# EDGAR Filing Document

**Accession Number:** 0000914036
**File Stem:** 0001752724-23-020453
**Filing Date:** 2023-2
**Character Count:** 306120
**Document Hash:** ca8c4453ad61a6fd551ea8e57812cb69
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-020453.hdr.sgml**: 20230208

**ACCESSION NUMBER**: 0001752724-23-020453

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230208

**DATE AS OF CHANGE**: 20230208

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST
- **CENTRAL INDEX KEY:** 0000914036
- **IRS NUMBER:** 521835648
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08090
- **FILM NUMBER:** 23598345

**BUSINESS ADDRESS:**
- **STREET 1:** 1301 SOUTH HARRISON STREET
- **CITY:** FORT WAYNE
- **STATE:** IN
- **ZIP:** 46802
- **BUSINESS PHONE:** 260-455-2000

**MAIL ADDRESS:**
- **STREET 1:** 1301 SOUTH HARRISON STREET
- **CITY:** FORT WAYNE
- **STATE:** IN
- **ZIP:** 46802

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AGGRESSIVE GROWTH FUND /
- **DATE OF NAME CHANGE:** 20031001

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST
- **DATE OF NAME CHANGE:** 20030910

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LINCOLN NATIONAL AGGRESSIVE GROWTH FUND INC
- **DATE OF NAME CHANGE:** 19931025

## Series and Classes Contracts Data

### LVIP Delaware Bond Fund (Series ID: S000002812)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000007720 | Standard Class |  |
| C000007721 | Service Class  |  |

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST

- **b. Investment Company Act file number:** 811-08090

- **c. CIK number of Registrant:** 0000914036

- **d. LEI of Registrant:** 3EICVM5HD7FVBIM8WO57

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 1301 S. Harrison Street

  - **City:** FORT WAYNE

  - **State:** IN

  - **Foreign country:** US

  - **Zip / Postal Code:** 46802

  - **Telephone number:** 260-455-2000

**Item A.2. Information about the Series.**

- **a. Name of Series:** LVIP Delaware Bond Fund

- **b. EDGAR series identifier (if any):** S000002812

- **c. LEI of Series:** TX5WPE5J86ZXCTSWEQ14

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $6360963573.85

**Total Liabilities:** $183356678.36

**Net Assets:** $6177606895.49

**Cash Not Reported:** $12775310.64

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** -4352.57000000 | **1-Year:** -135769.27000000 | **5-Year:** -463706.68000000 | **10-Year:** -706390.36000000 | **30-Year:** -522624.10000000

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** -532.88000000 | **1-Year:** -12476.94000000 | **5-Year:** -54057.42000000 | **10-Year:** -96116.00000000 | **30-Year:** -27052.06000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000007721 | -1.28%               | 4.06%                | -0.60%               |
| Class ID C000007720 | -1.25%               | 4.08%                | -0.57%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-46234136.38            | $-42466088.08                              |
| Month 2  | $-105531169.42           | $318748562.25                              |
| Month 3  | $-50545476.77            | $-892772.13                                |

**Designated Index Information**

- **Index Name:** Bloomberg Barclays U.S. Aggregate Bond Index

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                                                     | Title                                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140X5FW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3431428 | PA      | $3069252.91   | 0.05%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QQLR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15141872 | PA      | $15080839.84  | 0.24%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | United States Treasury Note/Bond                                                | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15545000 | PA      | $15566860.16  | 0.25%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                  | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  26658000 | PA      | $19330548.60  | 0.31%             | 2036-09-16      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                              | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16521624 | PA      | $14762500.06  | 0.24%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FIN GROUP INC                                  | Jefferies Financial Group Inc                                                   | CUSIP: 472319AE2<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |   1766000 | PA      | $1842907.11   | 0.03%             | 2027-06-08      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                 | Enterprise Products Operating LLC                                               | CUSIP: 29379VCB7<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |  19037000 | PA      | $12663068.02  | 0.20%             | 2053-02-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Catamaran CLO Ltd                                        | Catamaran CLO 2014-1 Ltd                                                        | CUSIP: 14889DAL2<br>LEI: 549300C8Q7ISEHHDRH76 | Long             | ABS-CBDO         | CORP              | KY        |  11150000 | PA      | $10515130.15  | 0.17%             | 2030-04-22      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                      | GS Mortgage-Backed Securities Trust 2021-PJ8                                    | CUSIP: 36262WAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16098351 | PA      | $12952884.39  | 0.21%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                       | Royalty Pharma PLC                                                              | CUSIP: 78081BAP8<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |   6232000 | PA      | $3841811.19   | 0.06%             | 2051-09-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| EATON CORP                                               | Eaton Corp                                                                      | CUSIP: 278062AH7<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |   9920000 | PA      | $9221806.29   | 0.15%             | 2033-03-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINANCIAL INC                                 | Prudential Financial Inc                                                        | CUSIP: 74432QCF0<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |   8920000 | PA      | $6806584.40   | 0.11%             | 2051-03-13      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31418EJ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1731895 | PA      | $1737554.92   | 0.03%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                               | US Bancorp                                                                      | CUSIP: 91159HHU7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   6220000 | PA      | $6068119.04   | 0.10%             | 2025-11-17      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136AWPE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2966603 | PA      | $2767255.30   | 0.04%             | 2047-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                   | Verizon Communications Inc                                                      | CUSIP: 92343VEA8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |  30790000 | PA      | $28809779.64  | 0.47%             | 2033-08-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                           | Air Lease Corp                                                                  | CUSIP: 00914AAG7<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   9220000 | PA      | $7689231.71   | 0.12%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SWEIHAN PV POWER CO PJSC                                 | Sweihan PV Power Co PJSC                                                        | CUSIP: 870674AA6<br>LEI: 353800EF1E1IC18GBC48 | Long             | DBT              | CORP              | AE        |   5959260 | PA      | $4774857.08   | 0.08%             | 2049-01-31      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                     | Lockheed Martin Corp                                                            | CUSIP: 539830BP3<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2463792.60   | 0.04%             | 2030-06-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                           | CUSIP: 31335BZT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9778214 | PA      | $10150244.35  | 0.16%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                                  | Southern Co Gas Capital Corp                                                    | CUSIP: 8426EPAF5<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |   9182000 | PA      | $9011458.86   | 0.15%             | 2032-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                 | JP Morgan Trust 2015-6                                                          | CUSIP: 46645GAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1108462 | PA      | $973557.31    | 0.02%             | 2045-10-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                           | Air Lease Corp                                                                  | CUSIP: 00914AAH5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   3290000 | PA      | $3111750.50   | 0.05%             | 2025-07-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                              | Workday Inc                                                                     | CUSIP: 98138HAH4<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |   1465000 | PA      | $1344062.10   | 0.02%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                             | Comcast Corp                                                                    | CUSIP: 2003A3NQ3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | STIV             | CORP              | US        |   4000000 | PA      | $3988244.44   | 0.06%             | 2023-01-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TBA MERRILL LYNCH BOC                                    | TBA MERRILL LYNCH BOC                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     61000 | NS      | $61000.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AIR LEASE CORP                                           | Air Lease Corp                                                                  | CUSIP: 00914AAT9<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   3620000 | PA      | $3615883.92   | 0.06%             | 2027-12-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                    | Wells Fargo Commercial Mortgage Trust 2015-NXS3                                 | CUSIP: 94989VAD1<br>LEI: 549300ZVNWG0TX42H716 | Long             | ABS-MBS          | CORP              | US        |   3185000 | PA      | $3001015.61   | 0.05%             | 2057-09-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                    | Wells Fargo Commercial Mortgage Trust 2019-C54                                  | CUSIP: 95001YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28403000 | PA      | $24905644.88  | 0.40%             | 2052-12-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| VW Credit Inc                                            | VW Credit Inc                                                                   | CUSIP: 91842KNA0<br>LEI: 549300UUPJ2NXDB68M19 | Long             | STIV             | CORP              | US        |   4000000 | PA      | $3995450.00   | 0.06%             | 2023-01-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31418DLY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1131498 | PA      | $985100.75    | 0.02%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                      | Freddie Mac STACR Remic Trust 2020-DNA2                                         | CUSIP: 35565KAH1<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | USGSE             | US        |   1416514 | PA      | $1410360.31   | 0.02%             | 2050-02-25      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                 | Celanese US Holdings LLC                                                        | CUSIP: 15089QAL8<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |   2905000 | PA      | $2893697.69   | 0.05%             | 2025-03-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                      | GS Mortgage-Backed Securities Trust 2021-PJ7                                    | CUSIP: 36262CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11293799 | PA      | $9087096.94   | 0.15%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                 | Vistra Operations Co LLC                                                        | CUSIP: 92840VAL6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   5695000 | PA      | $5568115.40   | 0.09%             | 2025-05-13      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| OGLETHORPE POWER CORP                                    | Oglethorpe Power Corp                                                           | CUSIP: 677050AQ9<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |   8178000 | PA      | $5864685.13   | 0.09%             | 2050-08-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC              | BBCMS Mortgage Trust 2020-C7                                                    | CUSIP: 05492VAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  33000000 | PA      | $26985350.70  | 0.44%             | 2053-04-15      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS PLC                                   | BP Capital Markets PLC                                                          | CUSIP: 05565QDV7<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |   5850000 | PA      | $5118750.00   | 0.08%             | 2030-03-22      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                    | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CAX2<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |   6035000 | PA      | $5790468.44   | 0.09%             | 2028-11-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| VW Credit Inc                                            | VW Credit Inc                                                                   | CUSIP: 91842KND4<br>LEI: 549300UUPJ2NXDB68M19 | Long             | STIV             | CORP              | US        |   5541000 | PA      | $5532226.77   | 0.09%             | 2023-01-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9UD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119871 | PA      | $125204.02    | 0.00%             | 2039-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140X72U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5112469 | PA      | $5189962.60   | 0.08%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                         | Bank of Montreal                                                                | CUSIP: 06369MUC5<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | STIV             | CORP              | CA        |   1062000 | PA      | $1033860.01   | 0.02%             | 2023-07-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QEZW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7225485 | PA      | $6764793.52   | 0.11%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                    | Time Warner Cable LLC                                                           | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |  14595000 | PA      | $14477833.09  | 0.23%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3133BMRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3713331 | PA      | $3749340.26   | 0.06%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MKS CLO Ltd                                              | MKS CLO 2017-2 Ltd                                                              | CUSIP: 12662CAA5<br>LEI: 549300JCIKT6NT8T1275 | Long             | ABS-CBDO         | CORP              | KY        |   6300000 | PA      | $6206495.40   | 0.10%             | 2031-01-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | United States Treasury Note/Bond                                                | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13170000 | PA      | $9012704.33   | 0.15%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                            | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  14090000 | PA      | $14547526.25  | 0.24%             | 2028-11-10      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust               | JPMBB Commercial Mortgage Securities Trust 2015-C33                             | CUSIP: 46645JAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18043000 | PA      | $17173744.19  | 0.28%             | 2048-12-15      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XGP86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  34837751 | PA      | $32236326.99  | 0.52%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QANG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2785095 | PA      | $2747152.69   | 0.04%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                   | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  36375000 | PA      | $26846386.88  | 0.43%             | 2034-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ALFA DESARROLLO SPA                                      | Alfa Desarrollo SpA                                                             | CUSIP: 01538TAA3<br>LEI: 2549006BJAN34R520038 | Long             | DBT              | CORP              | CL        |   4179708 | PA      | $3175035.25   | 0.05%             | 2051-09-27      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| ENTERGY TEXAS INC                                        | Entergy Texas Inc                                                               | CUSIP: 29365TAJ3<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |   3560000 | PA      | $2554220.51   | 0.04%             | 2049-09-30      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                 | JP Morgan Mortgage Trust 2014-2                                                 | CUSIP: 46641YAP8<br>LEI: 549300BV8AJIRLDGMR51 | Long             | ABS-MBS          | CORP              | US        |    588553 | PA      | $502945.73    | 0.01%             | 2029-06-25      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                      | COMM 2015-3BP Mortgage Trust                                                    | CUSIP: 12592TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22346000 | PA      | $20671491.32  | 0.33%             | 2035-02-10      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140KYPB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7490332 | PA      | $6182358.16   | 0.10%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                            | Citigroup Inc                                                                   | CUSIP: 172967NX5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  14855000 | PA      | $14918534.54  | 0.24%             | 2026-09-29      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust               | JPMBB Commercial Mortgage Securities Trust 2015-C31                             | CUSIP: 46644YAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11372496 | PA      | $10778589.39  | 0.17%             | 2048-08-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                   | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BF1<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   5165000 | PA      | $5047496.25   | 0.08%             | 2027-09-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                   | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KCA6<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   5535000 | PA      | $3613530.62   | 0.06%             | 2052-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                 | Warnermedia Holdings Inc                                                        | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   6480000 | PA      | $4710742.40   | 0.08%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE ENTRMN                                 | Time Warner Cable Enterprises LLC                                               | CUSIP: 88731EAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7690000 | PA      | $7738025.43   | 0.13%             | 2023-03-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                                 | Burlington Northern Santa Fe LLC                                                | CUSIP: 12189LBH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7791000 | PA      | $5194041.55   | 0.08%             | 2052-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Bank                                                     | BANK 2017-BNK7                                                                  | CUSIP: 06541XAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17405000 | PA      | $16068699.80  | 0.26%             | 2060-09-15      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3133KPZK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16481518 | PA      | $16565810.08  | 0.27%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                               | AbbVie Inc                                                                      | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |  14660000 | PA      | $13633567.64  | 0.22%             | 2026-11-21      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140L2PU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8617639 | PA      | $7080894.02   | 0.11%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XCB80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1226002 | PA      | $1047027.96   | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140J87H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9591568 | PA      | $10013453.08  | 0.16%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                         | T-Mobile USA Inc                                                                | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |  13240000 | PA      | $12470646.24  | 0.20%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                      | Freddie Mac STACR REMIC Trust 2021-HQA2                                         | CUSIP: 35564KFV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  25500000 | PA      | $22901705.55  | 0.37%             | 2033-12-25      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| TRUIST BANK                                              | Truist Bank                                                                     | CUSIP: 86787GAJ1<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |   7220000 | PA      | $6753263.82   | 0.11%             | 2026-05-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                                     | Signal Peak CLO 5 Ltd                                                           | CUSIP: 56844YAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3950228.00   | 0.06%             | 2031-04-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| JBS USA/FOOD/FINANCE                                     | JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc                          | CUSIP: 46590XAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   7289000 | PA      | $6032701.49   | 0.10%             | 2029-02-02      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140X74B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25678878 | PA      | $22081966.57  | 0.36%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                                    | Vale Overseas Ltd                                                               | CUSIP: 91911TAQ6<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |  15765000 | PA      | $13793296.67  | 0.22%             | 2030-07-08      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE AMERICA LLC                                 | Enel Finance America LLC                                                        | CUSIP: 29280HAB8<br>LEI: 549300EGNLVUJX1DEC60 | Long             | DBT              | CORP              | US        |  11800000 | PA      | $7078553.56   | 0.11%             | 2041-07-12      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                             | Broadcom Inc                                                                    | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      3000 | PA      | $2205.80      | 0.00%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Hardee's Funding                                         | Hardee's Funding LLC                                                            | CUSIP: 411707AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2633125 | PA      | $2472880.91   | 0.04%             | 2048-06-20      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| WESTLAKE CORP                                            | Westlake Corp                                                                   | CUSIP: 960413AZ5<br>LEI: GOXNEVUM0LL78B1OS344 | Long             | DBT              | CORP              | US        |  31770000 | PA      | $19560043.04  | 0.32%             | 2051-08-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                                      | NatWest Markets PLC                                                             | CUSIP: 63906FP29<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | STIV             | CORP              | GB        |  20000000 | PA      | $19914666.60  | 0.32%             | 2023-02-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140X9XJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9695683 | PA      | $10054179.94  | 0.16%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                 | JP Morgan Mortgage Trust 2021-11                                                | CUSIP: 46654KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12995397 | PA      | $10472462.76  | 0.17%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                   | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BH7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   6130000 | PA      | $6195201.07   | 0.10%             | 2025-10-28      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| TBA CITIBANK BOC                                         | TBA CITIBANK BOC                                                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -452000 | NS      | $-452000.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ATMOS ENERGY CORP                                        | Atmos Energy Corp                                                               | CUSIP: 049560AY1<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |   8590000 | PA      | $8966480.54   | 0.15%             | 2052-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust           | Morgan Stanley Residential Mortgage Loan Trust 2021-1                           | CUSIP: 61772AAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3542221 | PA      | $2843462.99   | 0.05%             | 2051-03-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| NOMURA TBA COC                                           | NOMURA TBA COC                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -255000 | NS      | $-255000.00   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140Q7SL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56828 | PA      | $50319.47     | 0.00%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC USA Inc                                             | HSBC USA Inc                                                                    | CUSIP: 40434RNH1<br>LEI: 549300LBOHZ4QSIWU288 | Long             | STIV             | CORP              | US        |   8500000 | PA      | $8488100.00   | 0.14%             | 2023-01-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QA3Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234441 | PA      | $229240.95    | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | United States Treasury Note/Bond - WI Reopening                                 | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4765000 | PA      | $4665232.81   | 0.08%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                 | Benchmark 2021-B25 Mortgage Trust                                               | CUSIP: 08163DAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14130000 | PA      | $11789207.24  | 0.19%             | 2054-04-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                      | Freddie Mac Structured Agency Credit Risk Debt Notes                            | CUSIP: 3137G0QC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1249584 | PA      | $1234362.52   | 0.02%             | 2029-12-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                     | Lockheed Martin Corp                                                            | CUSIP: 539830BR9<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |   5255000 | PA      | $4951757.23   | 0.08%             | 2032-06-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| DAE FUNDING LLC                                          | DAE Funding LLC                                                                 | CUSIP: 23371DAJ3<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |   4100000 | PA      | $3810168.99   | 0.06%             | 2024-08-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| TRUST FIBRAUNO                                           | Trust Fibra Uno                                                                 | CUSIP: 898339AA4<br>LEI: N/A                  | Long             | DBT              |  | MX        |   6000000 | PA      | $5152500.00   | 0.08%             | 2030-01-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| SHERWIN-WILLIAMS CO                                      | Sherwin-Williams Co/The                                                         | CUSIP: 824348BM7<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |  17225000 | PA      | $11773303.00  | 0.19%             | 2050-05-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                             | Barclays PLC                                                                    | CUSIP: 06738ECC7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   6945000 | PA      | $7193597.46   | 0.12%             | 2026-11-02      | Fixed         | 7.33%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                   | Pacific Gas and Electric Co                                                     | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2559000 | PA      | $1982817.12   | 0.03%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31374CQU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10588094 | PA      | $10496294.92  | 0.17%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                   | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RBL0<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   1552000 | PA      | $1604838.37   | 0.03%             | 2028-10-25      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets PLC                                   | BP Capital Markets PLC                                                          | CUSIP: 05568UPE0<br>LEI: 549300CRVT18MXX0AG93 | Long             | STIV             | CORP              | GB        |   8000000 | PA      | $7952577.76   | 0.13%             | 2023-02-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Agricole Corporate and Investment Bank/New York   | Credit Agricole Corporate and Investment Bank/New York                          | CUSIP: 22533UUM3<br>LEI: 254900BN8XS34XZDJ223 | Long             | STIV             | CORP              | FR        |  13000000 | PA      | $12644101.47  | 0.20%             | 2023-07-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| American Honda Finance Corp                              | American Honda Finance Corp                                                     | CUSIP: 02665KN52<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | STIV             | CORP              | US        |  10000000 | PA      | $9995022.20   | 0.16%             | 2023-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140X8LV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19124444 | PA      | $15696804.71  | 0.25%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  64678000 | PA      | $62236812.32  | 1.01%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   7150000 | PA      | $6252258.01   | 0.10%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                   | NXP BV / NXP Funding LLC / NXP USA Inc                                          | CUSIP: 62954HAU2<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   8930000 | PA      | $6230831.24   | 0.10%             | 2041-05-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                      | Citigroup Commercial Mortgage Trust 2020-555                                    | CUSIP: 17328EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6700000 | PA      | $5595472.17   | 0.09%             | 2041-12-10      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                               | CUSIP: 3622ABDD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3730403 | PA      | $3346644.29   | 0.05%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                         | Crown Castle Inc                                                                | CUSIP: 22822VAW1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |  11178000 | PA      | $8809867.26   | 0.14%             | 2031-04-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Toyota Motor Credit Corp                                 | Toyota Motor Credit Corp                                                        | CUSIP: 89233HQ23<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | STIV             | CORP              | US        |   9000000 | PA      | $8930916.54   | 0.14%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANK                                         | Fifth Third Bank NA                                                             | CUSIP: 31677QBT5<br>LEI: QFROUN1UWUYU0DVIWD51 | Long             | DBT              | CORP              | US        |  13250000 | PA      | $13383814.00  | 0.22%             | 2025-10-27      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XG3P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4728320 | PA      | $4639552.81   | 0.08%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TELEDYNE TECHNOLOGIES IN                                 | Teledyne Technologies Inc                                                       | CUSIP: 879360AE5<br>LEI: 549300VSMO9KYQWDND94 | Long             | DBT              | CORP              | US        |   9665000 | PA      | $7903079.59   | 0.13%             | 2031-04-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BMO 2022-C1 Mortgage Trust                               | BMO 2022-C1 Mortgage Trust                                                      | CUSIP: 05609MCC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3555000 | PA      | $3088651.55   | 0.05%             | 2055-02-17      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| TBA STATE STREET BANK BOC                                | TBA STATE STREET BANK BOC                                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |  -7438000 | NS      | $-7438000.00  | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley BAML Trust                                | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29                     | CUSIP: 61766EBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4910000 | PA      | $4567588.88   | 0.07%             | 2049-05-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Natixis SA/New York NY                                   | Natixis SA/New York NY                                                          | CUSIP: 63873KP68<br>LEI: 2549003L5ZG5M2ZSE107 | Long             | STIV             | CORP              | FR        |   6500000 | PA      | $6476990.00   | 0.10%             | 2023-02-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Chase Auto Credit Linked Notes                           | JPMorgan Chase Bank NA - CACLN                                                  | CUSIP: 46591HCD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3462010 | PA      | $3263029.92   | 0.05%             | 2029-02-26      | Fixed         | 0.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae I Pool                                                               | CUSIP: 3617MN3S0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1982471 | PA      | $1760574.04   | 0.03%             | 2050-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP                                      | SVB Financial Group                                                             | CUSIP: 78486QAF8<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $2918123.48   | 0.05%             | 2031-02-02      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                   | Aviation Capital Group LLC                                                      | CUSIP: 05369AAA9<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |  15880000 | PA      | $13870184.80  | 0.22%             | 2027-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                 | JP Morgan Mortgage Trust 2021-1                                                 | CUSIP: 46592EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3661850 | PA      | $2950935.86   | 0.05%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                                   | GE HealthCare Technologies Inc                                                  | CUSIP: 36267VAE3<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   3745000 | PA      | $3788818.34   | 0.06%             | 2027-11-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| GCC SAB DE CV                                            | GCC SAB de CV                                                                   | CUSIP: 36165RAC9<br>LEI: 254900WY9XL8033CKX68 | Long             | DBT              | CORP              | MX        |   8065000 | PA      | $6711990.44   | 0.11%             | 2032-04-20      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada/New York NY                         | Royal Bank of Canada/New York NY                                                | CUSIP: 78015DS19<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | STIV             | CORP              | US        |   4000000 | PA      | $3936356.68   | 0.06%             | 2023-05-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31418DXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15817478 | PA      | $13470546.90  | 0.22%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PG&E CORP                                                | PG&E Corp                                                                       | CUSIP: 69331CAJ7<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |   2250000 | PA      | $2047500.00   | 0.03%             | 2030-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | United States Treasury Note/Bond                                                | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 110575000 | PA      | $78253408.90  | 1.27%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3138WHV82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100151 | PA      | $89704.57     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                        | State Street Corp                                                               | CUSIP: 857477BY8<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |   1070000 | PA      | $1104962.27   | 0.02%             | 2028-11-04      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                 | JP Morgan Mortgage Trust 2021-13                                                | CUSIP: 46592XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17190025 | PA      | $13852742.93  | 0.22%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                             | CD 2019-CD8 Mortgage Trust                                                      | CUSIP: 12515BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16075000 | PA      | $14015417.95  | 0.23%             | 2057-08-15      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                      | COMM 2016-CR28 Mortgage Trust                                                   | CUSIP: 12593YBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8148000 | PA      | $7776566.09   | 0.13%             | 2049-02-10      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust             | Wells Fargo Mortgage Backed Securities 2020-1 Trust                             | CUSIP: 95002KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    758440 | PA      | $633424.64    | 0.01%             | 2049-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                        | Iron Mountain Inc                                                               | CUSIP: 46284VAJ0<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              |  | US        |   9446000 | PA      | $8208574.00   | 0.13%             | 2030-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae REMICS                                                               | CUSIP: 3136ADA74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196661 | PA      | $144870.41    | 0.00%             | 2043-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PARKER-HANNIFIN CORP                                     | Parker-Hannifin Corp                                                            | CUSIP: 701094AR5<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |  16425000 | PA      | $15935444.33  | 0.26%             | 2027-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                 | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7510000 | PA      | $4343486.30   | 0.07%             | 2061-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | United States Treasury Note/Bond                                                | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 103275000 | PA      | $105388910.16 | 1.71%             | 2032-11-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                               | AbbVie Inc                                                                      | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |  21570000 | PA      | $18462825.54  | 0.30%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM / SPEC I                                 | Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC | CUSIP: 85208NAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2643750 | PA      | $2612581.67   | 0.04%             | 2025-03-20      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                     | Royal Bank of Canada                                                            | CUSIP: 78009BRB0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | STIV             | CORP              | CA        |   7250000 | PA      | $7154049.88   | 0.12%             | 2023-04-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140H3XP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10087619 | PA      | $9358179.73   | 0.15%             | 2037-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 51 Ltd                       | Octagon Investment Partners 51 Ltd                                              | CUSIP: 67578JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11000000 | PA      | $10706883.00  | 0.17%             | 2034-07-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132DWFH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12262401 | PA      | $12298853.04  | 0.20%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                | Towd Point Mortgage Trust 2017-2                                                | CUSIP: 89173HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93291 | PA      | $90946.15     | 0.00%             | 2057-04-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XH6L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17559335 | PA      | $17329401.19  | 0.28%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                              | Workday Inc                                                                     | CUSIP: 98138HAJ0<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |   9190000 | PA      | $8112352.20   | 0.13%             | 2032-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140X9LP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5771175 | PA      | $4752724.91   | 0.08%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                                 | Sabine Pass Liquefaction LLC                                                    | CUSIP: 785592AJ5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |      1000 | PA      | $1000.24      | 0.00%             | 2024-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| TBA NOMURA BOC USD                                       | TBA NOMURA BOC USD                                                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -106000 | NS      | $-106000.00   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BENCHMARK Mortgage Trust                                 | Benchmark 2020-B22 Mortgage Trust                                               | CUSIP: 08163BBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24350000 | PA      | $19486077.76  | 0.32%             | 2054-01-15      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| JP Morgan Securities LLC                                 | JP Morgan Securities LLC                                                        | CUSIP: 46640QS85<br>LEI: ZBUT11V806EZRVTWT807 | Long             | STIV             | CORP              | US        |   5000000 | PA      | $4915128.75   | 0.08%             | 2023-05-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd                                          | Oaktree CLO 2019-2 Ltd                                                          | CUSIP: 67401UAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5582715 | PA      | $5478826.26   | 0.09%             | 2031-04-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| American Honda Finance Corp                              | American Honda Finance Corp                                                     | CUSIP: 02665KNJ2<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | STIV             | CORP              | US        |   6950000 | PA      | $6934968.68   | 0.11%             | 2023-01-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                               | US Bancorp                                                                      | CUSIP: 91159HJB7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   4690000 | PA      | $3568957.23   | 0.06%             | 2036-11-03      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                              | RCKT Mortgage Trust 2021-1                                                      | CUSIP: 749350AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3798474 | PA      | $3049165.76   | 0.05%             | 2051-03-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp                                         | Duke Energy Corp                                                                | CUSIP: 26244JN47<br>LEI: I1BZKREC126H0VB1BL91 | Long             | STIV             | CORP              | US        |   5000000 | PA      | $4998166.65   | 0.08%             | 2023-01-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                     | Enel Finance International NV                                                   | CUSIP: 29278GAN8<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   3695000 | PA      | $2934952.10   | 0.05%             | 2028-07-12      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132DVLR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8449821 | PA      | $7256688.56   | 0.12%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BROADRIDGE FINANCIAL SOL                                 | Broadridge Financial Solutions Inc                                              | CUSIP: 11133TAE3<br>LEI: 549300KZDJZQ2YIHRC28 | Long             | DBT              | CORP              | US        |  13468000 | PA      | $10965326.81  | 0.18%             | 2031-05-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| TBA JP MORGAN COC                                        | TBA JP MORGAN COC                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   1161000 | NS      | $1161000.00   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| GM Financial Automobile Leasing Trust                    | GM Financial Automobile Leasing Trust 2021-1                                    | CUSIP: 36261RAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2230000 | PA      | $2170579.42   | 0.04%             | 2025-02-20      | Fixed         | 0.54%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                             | GS Mortgage Securities Trust 2020-GC47                                          | CUSIP: 36258RBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14250000 | PA      | $11652746.55  | 0.19%             | 2053-05-12      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| TENNESSEE GAS PIPELINE                                   | Tennessee Gas Pipeline Co LLC                                                   | CUSIP: 880451AZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  14002000 | PA      | $11728005.33  | 0.19%             | 2030-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCSJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6056829 | PA      | $5944362.55   | 0.10%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities                 | Freddie Mac Structured Pass-Through Certificates                                | CUSIP: 31394JY35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    191483 | PA      | $198014.73    | 0.00%             | 2043-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | United States Treasury Note/Bond                                                | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 205620000 | PA      | $206375011.97 | 3.34%             | 2027-10-31      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| TBA BARCLAYS BANK COC                                    | TBA BARCLAYS BANK COC                                                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -840000 | NS      | $-840000.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| METLIFE INC                                              | MetLife Inc                                                                     | CUSIP: 59156RCA4<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |   8690000 | PA      | $8070837.50   | 0.13%             | 2025-09-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| TBA BANK OF AMERICA COC                                  | TBA BANK OF AMERICA COC                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   1701000 | NS      | $1701000.00   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                   | Credit Suisse Group AG                                                          | CUSIP: 225401AS7<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   4585000 | PA      | $2571337.51   | 0.04%             | 2030-09-03      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANQUE OUEST AFRICAINE D                                 | Banque Ouest Africaine de Developpement                                         | CUSIP: 06675QAB9<br>LEI: 529900LIZJABE4JJS826 | Long             | DBT              | NUSS              | XX        |   2903000 | PA      | $2722491.46   | 0.04%             | 2027-07-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                 | Benchmark 2022-B33 Mortgage Trust                                               | CUSIP: 08163PBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4450000 | PA      | $3160403.35   | 0.05%             | 2055-03-15      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| NOMURA TBA COC                                           | NOMURA TBA COC                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    122000 | NS      | $122000.00    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| PNC Bank NA                                              | PNC Bank NA                                                                     | CUSIP: 69349LAR9<br>LEI: AD6GFRVSDT01YPT1CS68 | Long             | DBT              | CORP              | US        |   7075000 | PA      | $6656988.84   | 0.11%             | 2028-07-26      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  29283684 | PA      | $23910345.04  | 0.39%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                             | Broadcom Inc                                                                    | CUSIP: 11135FBL4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |  18997000 | PA      | $15154524.49  | 0.25%             | 2034-04-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                   | US 10YR ULTRA FUT MAR23                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -211 | NC      | $34136.11     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ADANI ELECTRICITY MUMBAI                                 | Adani Electricity Mumbai Ltd                                                    | CUSIP: 00654GAA1<br>LEI: 335800AIC1B5EBFVUC38 | Long             | DBT              | CORP              | IN        |   7000000 | PA      | $5304545.61   | 0.09%             | 2030-02-12      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                   | Pacific Gas and Electric Co                                                     | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2420000 | PA      | $2066756.06   | 0.03%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3138WBQU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    546962 | PA      | $539984.94    | 0.01%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PNC BANK NA                                              | PNC Bank NA                                                                     | CUSIP: 20453KAA3<br>LEI: AD6GFRVSDT01YPT1CS68 | Long             | DBT              | CORP              | US        |   6913000 | PA      | $6723269.88   | 0.11%             | 2025-04-10      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                              | Viatris Inc                                                                     | CUSIP: 92556VAB2<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |   1855000 | PA      | $1680059.61   | 0.03%             | 2025-06-22      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| UBS-Barclays Commercial Mortgage Trust                   | UBS-Barclays Commercial Mortgage Trust 2013-C5                                  | CUSIP: 90270YAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3300000 | PA      | $3215022.03   | 0.05%             | 2046-03-10      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF KAZAKHSTAN                                   | Kazakhstan Government International Bond                                        | CUSIP: 000000000<br>LEI: 5493007OEK8EF02UO833 | Long             | DBT              | NUSS              | KZ        |   4957000 | PA      | $4418372.38   | 0.07%             | 2044-10-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                             | CD 2016-CD2 Mortgage Trust                                                      | CUSIP: 12515ABD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9638427 | PA      | $8993560.13   | 0.15%             | 2049-11-10      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BBVA BANCOMER SA TEXAS                                   | BBVA Bancomer SA/Texas                                                          | CUSIP: 05533UAG3<br>LEI: 549300WIWQK5Q9MCUN92 | Long             | DBT              | CORP              | MX        |   3475000 | PA      | $3209262.37   | 0.05%             | 2034-09-13      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                             | Comcast Corp                                                                    | CUSIP: 20030NDZ1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |  17200000 | PA      | $17425360.25  | 0.28%             | 2025-11-07      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                 | JP Morgan Mortgage Trust 2016-4                                                 | CUSIP: 46647JBA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2110744 | PA      | $1865887.48   | 0.03%             | 2046-10-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| TBA BOC STONEX USD                                       | TBA BOC STONEX USD                                                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -222000 | NS      | $-222000.00   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132DPCK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  20770474 | PA      | $20876692.95  | 0.34%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| KEYCORP                                                  | KeyCorp                                                                         | CUSIP: 49326EEN9<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |   8405000 | PA      | $7935907.20   | 0.13%             | 2033-06-01      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2264234 | PA      | $2099608.27   | 0.03%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TBA CITIGROUP BOC                                        | TBA CITIGROUP BOC                                                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -114000 | NS      | $-114000.00   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Time Warner Cable LLC                                    | Time Warner Cable LLC                                                           | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   6015000 | PA      | $5696229.48   | 0.09%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                    | Wells Fargo & Co                                                                | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   6670000 | PA      | $6514564.25   | 0.11%             | 2028-07-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Bank                                                     | BANK 2022-BNK41                                                                 | CUSIP: 06540MBH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5845000 | PA      | $5330143.76   | 0.09%             | 2065-04-15      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                         | Connecticut Avenue Securities Trust 2018-R07                                    | CUSIP: 20753QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    291303 | PA      | $290837.33    | 0.00%             | 2031-04-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| APTIV PLC                                                | Aptiv PLC                                                                       | CUSIP: 03835VAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |  21208000 | PA      | $12533648.48  | 0.20%             | 2051-12-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                 | Benchmark 2020-B20 Mortgage Trust                                               | CUSIP: 08162XBG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22100000 | PA      | $17889247.22  | 0.29%             | 2053-10-15      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                    | Truist Financial Corp                                                           | CUSIP: 89832QAE9<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   7095000 | PA      | $6783529.50   | 0.11%             | 2025-09-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                              | Southern Co/The                                                                 | CUSIP: 842587DL8<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   4635000 | PA      | $4741444.58   | 0.08%             | 2032-10-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QQPB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  30252735 | PA      | $30333937.13  | 0.49%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Curators of the University of Missouri/The               | CURATORS OF THE UNIV OF MISSOURI MO SYS FACS REVENUE                            | CUSIP: 231266GC5<br>LEI: G0G4PRB87K0V5MXIV248 | Long             | DBT              | MUN               | US        |   4070000 | PA      | $4367637.47   | 0.07%             | 2041-11-01      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31418DY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7153435 | PA      | $6092089.26   | 0.10%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TBA JP MORGAN BOC                                        | TBA JP MORGAN BOC                                                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |  -2908000 | NS      | $-2908000.00  | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                                   | United States Treasury Note/Bond                                                | CUSIP: 91282CFX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4300000 | PA      | $4300167.96   | 0.07%             | 2024-11-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140X6MU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12666281 | PA      | $12093165.68  | 0.20%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDIANAPOLIS PWR & LIGHT                                 | Indianapolis Power & Light Co                                                   | CUSIP: 455434BV1<br>LEI: 2T85JNP2R2B2GTSFND21 | Long             | DBT              | CORP              | US        |   5145000 | PA      | $5276631.07   | 0.09%             | 2032-12-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                  | MPLX LP                                                                         | CUSIP: 55336VBR0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   3710000 | PA      | $3306983.18   | 0.05%             | 2026-03-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                   | Pacific Gas and Electric Co                                                     | CUSIP: 694308JT5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2220000 | PA      | $1804532.82   | 0.03%             | 2031-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                   | General Motors Financial Co Inc                                                 | CUSIP: 37045XDB9<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   3820000 | PA      | $3233152.39   | 0.05%             | 2030-09-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                    | Toronto-Dominion Bank/The                                                       | CUSIP: 89115A2C5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |  13110000 | PA      | $12672786.09  | 0.21%             | 2027-06-08      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                          | CFCRE Commercial Mortgage Trust 2016-C7                                         | CUSIP: 12532BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7090000 | PA      | $6673440.52   | 0.11%             | 2054-12-10      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INFO MGMT                                  | Iron Mountain Information Management Services Inc                               | CUSIP: 46285MAA8<br>LEI: N/A                  | Long             | DBT              |  | US        |  29060000 | PA      | $24140155.66  | 0.39%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                            | CUSIP: 06051GKC2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  45275000 | PA      | $33266273.49  | 0.54%             | 2036-09-21      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAPITAL C                                 | American Water Capital Corp                                                     | CUSIP: 03040WBA2<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |  12995000 | PA      | $12432415.65  | 0.20%             | 2032-06-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                            | Agate Bay Mortgage Trust 2015-1                                                 | CUSIP: 00841WBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1051767 | PA      | $965159.45    | 0.02%             | 2045-01-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                    | Wells Fargo Commercial Mortgage Trust 2020-C58                                  | CUSIP: 95002UAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3275000 | PA      | $2628685.63   | 0.04%             | 2053-07-15      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                               | Humana Inc                                                                      | CUSIP: 444859BU5<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   5743000 | PA      | $5863795.91   | 0.09%             | 2028-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                                 | Discovery Communications LLC                                                    | CUSIP: 25470DBL2<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |  33235000 | PA      | $19969971.95  | 0.32%             | 2055-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                    | Truist Financial Corp                                                           | CUSIP: 89788MAK8<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   3551000 | PA      | $3736014.34   | 0.06%             | 2033-10-28      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3138WEW39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    551180 | PA      | $495510.01    | 0.01%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp                                         | Duke Energy Corp                                                                | CUSIP: 26443ENH8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | STIV             | CORP              | US        |  10000000 | PA      | $9979688.90   | 0.16%             | 2023-01-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132DNEW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4832125 | PA      | $4404541.43   | 0.07%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                 | JP Morgan Mortgage Trust 2017-2                                                 | CUSIP: 46648HAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    348441 | PA      | $301258.46    | 0.00%             | 2047-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Apex Credit CLO LLC                                      | Apex Credit Clo 2018-I Ltd                                                      | CUSIP: 03755HAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7000000 | PA      | $6852188.00   | 0.11%             | 2031-04-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                              | CUSIP: 36193FLJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    337812 | PA      | $351503.81    | 0.01%             | 2037-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QQNR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15266418 | PA      | $15055295.00  | 0.24%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31418EHF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  31587566 | PA      | $29925552.04  | 0.48%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                         | CSC Holdings LLC                                                                | CUSIP: 126307BD8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |   4965000 | PA      | $2743828.11   | 0.04%             | 2030-12-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                     | Fannie Mae REMIC Trust 2004-W11                                                 | CUSIP: 31394AB47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     51713 | PA      | $53054.76     | 0.00%             | 2044-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XFNN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21323118 | PA      | $17515472.54  | 0.28%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MidOcean Credit CLO                                      | Midocean Credit CLO IX                                                          | CUSIP: 59802MAA5<br>LEI: 549300XXQYQPW7OQNX23 | Long             | ABS-CBDO         | CORP              | KY        |   7000000 | PA      | $6852083.00   | 0.11%             | 2031-07-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| TBA STATE STREET BANK COC                                | TBA STATE STREET BANK COC                                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    539000 | NS      | $539000.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CROWN CASTLE INC                                         | Crown Castle Inc                                                                | CUSIP: 22822VAL5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |  13740000 | PA      | $12975223.77  | 0.21%             | 2029-02-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Stanley Black & Decker Inc                               | Stanley Black & Decker Inc                                                      | CUSIP: 85462DNS8<br>LEI: 549300DJ09SMTO561131 | Long             | STIV             | CORP              | US        |   8000000 | PA      | $7975277.76   | 0.13%             | 2023-01-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                           | CUSIP: 31292LHA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1755004 | PA      | $1741752.36   | 0.03%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust           | Morgan Stanley Residential Mortgage Loan Trust 2021-5                           | CUSIP: 61772NAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11658707 | PA      | $9358845.26   | 0.15%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                   | BP Capital Markets America Inc                                                  | CUSIP: 10373QBT6<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |   7265000 | PA      | $6055084.65   | 0.10%             | 2032-01-12      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| National Bank of Canada                                  | National Bank of Canada                                                         | CUSIP: 63307MSW0<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | STIV             | CORP              | CA        |  13000000 | PA      | $12736194.64  | 0.21%             | 2023-05-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AUTODESK INC                                             | Autodesk Inc                                                                    | CUSIP: 052769AH9<br>LEI: FRKKVKAIQEF3FCSTPG55 | Long             | DBT              | CORP              | US        |  11900000 | PA      | $9506000.84   | 0.15%             | 2031-12-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132DVLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2003130 | PA      | $1783850.94   | 0.03%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                     | Enel Finance International NV                                                   | CUSIP: 29278GAP3<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   1709000 | PA      | $1243479.95   | 0.02%             | 2031-07-12      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XGJB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26796835 | PA      | $24619721.15  | 0.40%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Gracechurch Mortgage Finance Plc                         | Grace Trust 2020-GRCE                                                           | CUSIP: 38406JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9310000 | PA      | $7169369.39   | 0.12%             | 2040-12-10      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| BRIGHTHOUSE FINANCIAL IN                                 | Brighthouse Financial Inc                                                       | CUSIP: 10922NAF0<br>LEI: 5493003T8SZSHOGGAW52 | Long             | DBT              | CORP              | US        |   5203000 | PA      | $3806029.36   | 0.06%             | 2047-06-22      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                              | CUSIP: 3617Q2CM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3940937 | PA      | $3580612.15   | 0.06%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                      | COMM 2013-CCRE6 Mortgage Trust                                                  | CUSIP: 12624XAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6875000 | PA      | $6679783.00   | 0.11%             | 2046-03-10      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| CELLNEX FINANCE                                          | Cellnex Finance Co SA                                                           | CUSIP: 15118JAA3<br>LEI: 549300OUROMFTRFA7T23 | Long             | DBT              | CORP              | ES        |  16510000 | PA      | $11292840.00  | 0.18%             | 2041-07-07      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                      | Citigroup Commercial Mortgage Trust 2019-C7                                     | CUSIP: 17328CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11904000 | PA      | $10277654.09  | 0.17%             | 2072-12-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| BofA Securities Inc                                      | BofA Securities Inc                                                             | CUSIP: 06054PRH1<br>LEI: 549300HN4UKV1E2R3U73 | Long             | STIV             | CORP              | US        |   8500000 | PA      | $8379436.00   | 0.14%             | 2023-04-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Steele Creek CLO Ltd                                     | Steele Creek Clo 2017-1 Ltd                                                     | CUSIP: 85816VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5500000 | PA      | $5412445.50   | 0.09%             | 2030-10-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                   | Sequoia Mortgage Trust 2020-4                                                   | CUSIP: 81748RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2931365 | PA      | $2303236.13   | 0.04%             | 2050-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                               | US Bancorp                                                                      | CUSIP: 91159HHK9<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |  11522000 | PA      | $11278351.18  | 0.18%             | 2024-09-11      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                      | Freddie Mac Stacr Remic Trust 2020-HQA2                                         | CUSIP: 35565LAH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1663223 | PA      | $1680220.86   | 0.03%             | 2050-03-25      | Floating      | 7.49%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                   | US 10YR NOTE (CBT)MAR23                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      2303 | NC      | $-724721.85   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                                 | JP Morgan Trust 2015-5                                                          | CUSIP: 46644XBD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1736959 | PA      | $1703370.33   | 0.03%             | 2045-05-25      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                      | COMM 2014-CCRE19 Mortgage Trust                                                 | CUSIP: 12592GBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3947000 | PA      | $3810766.14   | 0.06%             | 2047-08-10      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                | Boeing Co/The                                                                   | CUSIP: 097023DB8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   7380000 | PA      | $6702016.60   | 0.11%             | 2028-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3133KPZH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12159855 | PA      | $12375419.01  | 0.20%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending                    | Cantor Commercial Real Estate Lending 2019-CF3                                  | CUSIP: 12529TAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13150000 | PA      | $11309301.14  | 0.18%             | 2053-01-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5691522 | PA      | $4887735.71   | 0.08%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                                      | CDW LLC / CDW Finance Corp                                                      | CUSIP: 12513GBH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  23485000 | PA      | $20106917.60  | 0.33%             | 2028-12-01      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                      | COMM 2014-CCRE20 Mortgage Trust                                                 | CUSIP: 12592LBL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11135000 | PA      | $10411426.54  | 0.17%             | 2047-11-10      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                   | Bank of New York Mellon Corp/The                                                | CUSIP: 064058AH3<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |  21135000 | PA      | $20292347.55  | 0.33%             | 2025-09-20      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140LNA23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8536853 | PA      | $7330308.48   | 0.12%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Ginnie Mae II Pool                                                              | CUSIP: 36179XFJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8170803 | PA      | $8098399.76   | 0.13%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                   | Pacific Gas and Electric Co                                                     | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |  21588000 | PA      | $14616538.80  | 0.24%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| MILEAGE PLUS HLDINGS LLC                                 | Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd       | CUSIP: 599191AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   6394912 | PA      | $6357833.45   | 0.10%             | 2027-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                  | MPLX LP                                                                         | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |  12350000 | PA      | $10854307.80  | 0.18%             | 2049-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| State Street Global Advisors                             | State Street Institutional US Government Money Market Fund                      | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |  47854147 | NS      | $47854147.23  | 0.77%             |  |  |  | No            |                  1 | On Loan: No      |
| Truist Bank                                              | Truist Bank                                                                     | CUSIP: 07330MAC1<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |  21981000 | PA      | $20556352.26  | 0.33%             | 2029-09-17      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QPAD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15169904 | PA      | $13899953.99  | 0.23%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                      | Freddie Mac STACR REMIC Trust 2021-HQA1                                         | CUSIP: 35564KBS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  37000000 | PA      | $34237435.70  | 0.55%             | 2033-08-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Kreditanstalt fuer Wiederaufbau                          | Kreditanstalt fuer Wiederaufbau                                                 | CUSIP: 48246UPM2<br>LEI: 549300GDPG70E3MBBU98 | Long             | STIV             | CORP              | ZA        |  13000000 | PA      | $12925596.71  | 0.21%             | 2023-02-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                             | GS Mortgage Securities Trust 2018-GS9                                           | CUSIP: 36255NAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2875000 | PA      | $2434144.05   | 0.04%             | 2051-03-10      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3133KPN95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15799933 | PA      | $15687496.21  | 0.25%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                       | Royalty Pharma PLC                                                              | CUSIP: 78081BAM5<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |   6313000 | PA      | $4034344.68   | 0.07%             | 2050-09-02      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                       | Energy Transfer LP                                                              | CUSIP: 29273VAN0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |  15980000 | PA      | $13742800.00  | 0.22%             | 2026-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                         | Bank of Montreal                                                                | CUSIP: 06369MN58<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | STIV             | CORP              | CA        |   4800000 | PA      | $4798320.00   | 0.08%             | 2023-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TBA CITIGROUP COC                                        | TBA CITIGROUP COC                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |     31000 | NS      | $31000.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| APPALACHIAN POWER CO                                     | Appalachian Power Co                                                            | CUSIP: 037735CY1<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |   2410000 | PA      | $1755184.20   | 0.03%             | 2050-05-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| SK HYNIX INC                                             | SK Hynix Inc                                                                    | CUSIP: 78392BAB3<br>LEI: 988400XAIK6XISWQV045 | Long             | DBT              | CORP              | KR        |   3637000 | PA      | $3151849.33   | 0.05%             | 2026-01-19      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| TBA CITIBANK COC                                         | TBA CITIBANK COC                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |  11522000 | NS      | $11522000.00  | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| DUKE ENERGY INDIANA LLC                                  | Duke Energy Indiana LLC                                                         | CUSIP: 26443TAC0<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |  11495000 | PA      | $7216544.10   | 0.12%             | 2050-04-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Natixis SA/New York NY                                   | Natixis SA/New York NY                                                          | CUSIP: 63873KW11<br>LEI: 2549003L5ZG5M2ZSE107 | Long             | STIV             | CORP              | FR        |  13500000 | PA      | $13025373.75  | 0.21%             | 2023-09-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Los Angeles Department of Water & Power                  | LOS ANGELES CA DEPT WTR & PWR REVENUE                                           | CUSIP: 544495VY7<br>LEI: 549300S8NXV6YU61GG95 | Long             | DBT              | MUN               | US        |   6965000 | PA      | $8198845.57   | 0.13%             | 2045-07-01      | Fixed         | 6.57%                 | No            |                  2 | On Loan: No      |
| TELEFONICA MOVILES CHILE                                 | Telefonica Moviles Chile SA                                                     | CUSIP: 87938XAB7<br>LEI: 549300PDWJ2U6A15B785 | Long             | DBT              | CORP              | CL        |  10000000 | PA      | $8191900.00   | 0.13%             | 2031-11-18      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3133KYX79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16090389 | PA      | $16005718.50  | 0.26%             | 2042-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Export Development Canada                                | Export Development Canada                                                       | CUSIP: 30215HQD5<br>LEI: Z6MHCSLXHKYG4B6PHW02 | Long             | STIV             | CORP              | CA        |  13100000 | PA      | $12979160.88  | 0.21%             | 2023-03-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                 | JP Morgan Mortgage Trust 2015-4                                                 | CUSIP: 46644VBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1710102 | PA      | $1487508.72   | 0.02%             | 2045-06-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| TBA MORGAN STANLEY COC                                   | TBA MORGAN STANLEY COC                                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -755000 | NS      | $-755000.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FIFTH THIRD BANCORP                                      | Fifth Third Bancorp                                                             | CUSIP: 316773DF4<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |   2451000 | PA      | $2239376.42   | 0.04%             | 2033-04-25      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XFYA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16819452 | PA      | $16110917.83  | 0.26%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140J9T68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  24747466 | PA      | $22166167.20  | 0.36%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wisconsin Gas LLC                                        | Wisconsin Gas LLC                                                               | CUSIP: 97670SNA7<br>LEI: 549300FGW43XR75F1O70 | Long             | STIV             | CORP              | US        |   5000000 | PA      | $4994250.00   | 0.08%             | 2023-01-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                           | Air Lease Corp                                                                  | CUSIP: 00912XBK9<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   3560000 | PA      | $2438600.00   | 0.04%             | 2026-12-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140X4QY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2364913 | PA      | $2142143.23   | 0.03%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                               | Humana Inc                                                                      | CUSIP: 444859BV3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   1525000 | PA      | $1574263.02   | 0.03%             | 2033-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust            | JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11                  | CUSIP: 46639YAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8529000 | PA      | $7239418.61   | 0.12%             | 2046-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LIBERTY BROADBAND CORP                                   | Liberty Broadband Corp                                                          | CUSIP: 530307AC1<br>LEI: 549300MIX43II8JLN536 | Long             | DBT              | CORP              | US        |   9485000 | PA      | $9153025.00   | 0.15%             | 2050-09-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                               | US Bancorp                                                                      | CUSIP: 91159HJH4<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   4655000 | PA      | $4741157.63   | 0.08%             | 2026-10-21      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132DWDW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2826177 | PA      | $2651075.83   | 0.04%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                   | Credit Suisse Group AG                                                          | CUSIP: 225401AV0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |  14255000 | PA      | $12981973.19  | 0.21%             | 2028-08-11      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                        | Atmos Energy Corp                                                               | CUSIP: 049560AW5<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |   4815000 | PA      | $3115765.75   | 0.05%             | 2052-02-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Westpac Banking Corp                                     | Westpac Banking Corp                                                            | CUSIP: 9612C1RB5<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | STIV             | CORP              | AU        |   8500000 | PA      | $8391962.20   | 0.14%             | 2023-04-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132DWAN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6923190 | PA      | $5658264.65   | 0.09%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                          | CVS Health Corp                                                                 | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   3775000 | PA      | $3388231.96   | 0.05%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                 | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   9410000 | PA      | $8976750.33   | 0.15%             | 2028-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3133KLJ57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3613503 | PA      | $3094492.95   | 0.05%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Digital Realty Trust LP                                  | Digital Realty Trust LP                                                         | CUSIP: 25389JAT3<br>LEI: CD4SPTZ3YBTHY0C1AH38 | Long             | DBT              |  | US        |   3800000 | PA      | $3597626.86   | 0.06%             | 2028-07-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                   | Verizon Communications Inc                                                      | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   8315000 | PA      | $6591317.80   | 0.11%             | 2032-03-15      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| TENGIZCHEVROIL FIN CO IN                                 | Tengizchevroil Finance Co International Ltd                                     | CUSIP: 88034QAB3<br>LEI: 5493001VEV2XTJIBZH31 | Long             | DBT              | CORP              | BM        |   7694000 | PA      | $6586140.94   | 0.11%             | 2025-08-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| SWAP GOLDMAN SACHS COC                                   | SWAP GOLDMAN SACHS COC                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |       100 | NS      | $100.21       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Societe Generale SA                                      | Societe Generale SA                                                             | CUSIP: 83369CSX3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | STIV             | CORP              | US        |  15000000 | PA      | $14693086.65  | 0.24%             | 2023-05-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                 | JP Morgan Mortgage Trust 2015-4                                                 | CUSIP: 46644VBR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1224692 | PA      | $1065281.80   | 0.02%             | 2045-06-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| TBA BARCLAYS BANK COC                                    | TBA BARCLAYS BANK COC                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    540000 | NS      | $540000.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| T-MOBILE USA INC                                         | T-Mobile USA Inc                                                                | CUSIP: 87264ABL8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |  30100000 | PA      | $21239282.10  | 0.34%             | 2041-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                 | Benchmark 2022-B32 Mortgage Trust                                               | CUSIP: 08163NBQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11000000 | PA      | $8145954.30   | 0.13%             | 2055-01-15      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                 | JP Morgan Mortgage Trust 2020-2                                                 | CUSIP: 46591TAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    513578 | PA      | $444445.45    | 0.01%             | 2050-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| ANGLOGOLD HOLDINGS PLC                                   | AngloGold Ashanti Holdings PLC                                                  | CUSIP: 03512TAF8<br>LEI: 213800745ZIXC4L6A131 | Long             | DBT              | CORP              | IM        |   7010000 | PA      | $6110656.82   | 0.10%             | 2028-11-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| TBBC INTL FC STONE BOC                                   | TBBC INTL FC STONE BOC                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    222000 | NS      | $222000.00    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Hyundai Capital America                                  | Hyundai Capital America                                                         | CUSIP: 44890NN97<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | STIV             | CORP              | US        |   2250000 | PA      | $2247734.99   | 0.04%             | 2023-01-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BRIGHTHOUSE FINANCIAL IN                                 | Brighthouse Financial Inc                                                       | CUSIP: 10922NAG8<br>LEI: 5493003T8SZSHOGGAW52 | Long             | DBT              | CORP              | US        |   4095000 | PA      | $3894656.18   | 0.06%             | 2030-05-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                | Towd Point Mortgage Trust 2018-1                                                | CUSIP: 89176EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    856970 | PA      | $818571.81    | 0.01%             | 2058-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| LOUISVILLE GAS & ELEC                                    | Louisville Gas and Electric Co                                                  | CUSIP: 546676AY3<br>LEI: KO3GRIB3RPH1XDX50U72 | Long             | DBT              | CORP              | US        |   2505000 | PA      | $2076911.41   | 0.03%             | 2049-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                 | AT&T Inc                                                                        | CUSIP: 00206RJZ6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |  13124000 | PA      | $9787014.98   | 0.16%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust               | JPMDB Commercial Mortgage Securities Trust 2016-C2                              | CUSIP: 46590LAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11776000 | PA      | $10871730.38  | 0.18%             | 2049-06-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3133KYWF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2135814 | PA      | $1857328.46   | 0.03%             | 2042-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                    | Entergy Louisiana LLC                                                           | CUSIP: 29364WBA5<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    435000 | PA      | $392577.18    | 0.01%             | 2033-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                         | Bank of Montreal                                                                | CUSIP: 06369MN90<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | STIV             | CORP              | CA        |   5000000 | PA      | $4995577.80   | 0.08%             | 2023-01-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140K0SW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20977476 | PA      | $18648395.16  | 0.30%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Western Union Co/The                                     | Western Union Co/The                                                            | CUSIP: 95980HN36<br>LEI: 28ID94QU1140NC23S047 | Long             | STIV             | CORP              | US        |  10000000 | PA      | $9997472.20   | 0.16%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending                    | Cantor Commercial Real Estate Lending 2019-CF1                                  | CUSIP: 12529MAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16282000 | PA      | $14548515.70  | 0.24%             | 2052-05-15      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                 | Benchmark 2020-B17 Mortgage Trust                                               | CUSIP: 08162MAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  21500000 | PA      | $17957397.70  | 0.29%             | 2053-03-15      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QADH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3262953 | PA      | $3194805.60   | 0.05%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust               | JPMDB Commercial Mortgage Securities Trust 2016-C4                              | CUSIP: 46646RAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7150000 | PA      | $6551728.76   | 0.11%             | 2049-12-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | United States Treasury Note/Bond                                                | CUSIP: 91282CFP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  77175000 | PA      | $77114707.03  | 1.25%             | 2025-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                 | OCP SA                                                                          | CUSIP: 67091TAE5<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |   4285000 | PA      | $3241036.88   | 0.05%             | 2051-06-23      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | United States Treasury Note/Bond                                                | CUSIP: 91282CGA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17235000 | PA      | $17124588.28  | 0.28%             | 2025-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TRUIST BANK                                              | Truist Bank                                                                     | CUSIP: 86787EAV9<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |   3790000 | PA      | $3784522.28   | 0.06%             | 2023-02-02      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Toyota Motor Credit Corp                                 | Toyota Motor Credit Corp                                                        | CUSIP: 89233HR30<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | STIV             | CORP              | US        |   2750000 | PA      | $2717134.59   | 0.04%             | 2023-04-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132DVLF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15780321 | PA      | $13568914.36  | 0.22%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Allianz Finance Corp                                     | Allianz Finance Corp                                                            | CUSIP: 0188E3NP2<br>LEI: 549300LX561OW737I485 | Long             | STIV             | CORP              | US        |  10000000 | PA      | $9974027.80   | 0.16%             | 2023-01-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust            | JP Morgan Chase Commercial Mortgage Securities Trust 2015-JP1                   | CUSIP: 46590KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8627000 | PA      | $8206822.83   | 0.13%             | 2049-01-15      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELEC POWER                                  | Southwestern Electric Power Co                                                  | CUSIP: 845437BR2<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |  17845000 | PA      | $16913289.71  | 0.27%             | 2028-09-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| DZ Bank AG Deutsche Zentral-Genossenschaftsbank/New York | DZ Bank AG Deutsche Zentral-Genossenschaftsbank/New York                        | CUSIP: 26821JN97<br>LEI: 529900HNOAA1KXQJUQ27 | Long             | STIV             | CORP              | DE        |   3125000 | PA      | $3122138.88   | 0.05%             | 2023-01-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XCAX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1655480 | PA      | $1366412.95   | 0.02%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                        | State Street Corp                                                               | CUSIP: 857477BX0<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |   1510000 | PA      | $1545667.38   | 0.03%             | 2026-11-04      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DTE Gas Co                                               | DTE Gas Co                                                                      | CUSIP: 23337UN47<br>LEI: 237YTH76KTQNIWTYJQ19 | Long             | STIV             | CORP              | US        |  12849000 | PA      | $12844033.52  | 0.21%             | 2023-01-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XJZY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13846192 | PA      | $12838118.75  | 0.21%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                   | Credit Suisse Group AG                                                          | CUSIP: 225401AM0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |  10630000 | PA      | $9397562.37   | 0.15%             | 2025-09-11      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                   | NXP BV / NXP Funding LLC / NXP USA Inc                                          | CUSIP: 62954HAL2<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   4515000 | PA      | $3060232.37   | 0.05%             | 2042-02-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                   | US 5YR NOTE (CBT) MAR23                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       826 | NC      | $4376.15      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                                 | JP Morgan Trust 2015-1                                                          | CUSIP: 46643UDP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2146811 | PA      | $2083338.73   | 0.03%             | 2044-12-25      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| Citicorp Residential Mortgage Securities, Inc.           | Citicorp Residential Mortgage Trust Series 2006-3                               | CUSIP: 17310NAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1228530 | PA      | $1171612.65   | 0.02%             | 2036-11-25      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                  | MPLX LP                                                                         | CUSIP: 55336VAN0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   3590000 | PA      | $2832982.91   | 0.05%             | 2048-04-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Bank                                                     | BANK 2017-BNK5                                                                  | CUSIP: 06541WBB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4085000 | PA      | $3635314.62   | 0.06%             | 2060-06-15      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                   | US LONG BOND(CBT) MAR23                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       885 | NC      | $18768.64     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Westpac Securities NZ Ltd/London                         | Westpac Securities NZ Ltd/London                                                | CUSIP: 96122HNJ8<br>LEI: 549300W0N3O6Q4RCKE25 | Long             | STIV             | CORP              | NZ        |   9100000 | PA      | $9085819.20   | 0.15%             | 2023-01-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending                    | Cantor Commercial Real Estate Lending 2019-CF2                                  | CUSIP: 12528YAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5950000 | PA      | $5070731.61   | 0.08%             | 2052-11-15      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                           | CUSIP: 31335B5H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21166023 | PA      | $19697597.19  | 0.32%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust            | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP2                   | CUSIP: 46590MAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10654000 | PA      | $9745797.64   | 0.16%             | 2049-08-15      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XB5S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10025378 | PA      | $8868394.74   | 0.14%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132ACYK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3155857 | PA      | $3159221.96   | 0.05%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEMAK SAB DE CV                                          | Nemak SAB de CV                                                                 | CUSIP: 64045DAC8<br>LEI: 5493000MY3DAIB0BP706 | Long             | DBT              | CORP              | MX        |   4140000 | PA      | $3238452.15   | 0.05%             | 2031-06-28      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                      | Southern California Edison Co                                                   | CUSIP: 842400GG2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   3505000 | PA      | $2739070.86   | 0.04%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                      | Freddie Mac STACR REMIC Trust 2021-DNA1                                         | CUSIP: 35564KAH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  30871601 | PA      | $30139981.24  | 0.49%             | 2051-01-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                          | CVS Health Corp                                                                 | CUSIP: 126650DP2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |  36905000 | PA      | $25496545.91  | 0.41%             | 2040-08-21      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                 | Celanese US Holdings LLC                                                        | CUSIP: 15089QAM6<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |  10125000 | PA      | $9986552.88   | 0.16%             | 2027-07-15      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| DIGITAL REALTY TRUST LP                                  | Digital Realty Trust LP                                                         | CUSIP: 25389JAV8<br>LEI: CD4SPTZ3YBTHY0C1AH38 | Long             | DBT              |  | US        |   6635000 | PA      | $6678867.97   | 0.11%             | 2028-01-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS ESCROW CORP                                     | Entegris Escrow Corp                                                            | CUSIP: 29365BAA1<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |   5905000 | PA      | $5384989.76   | 0.09%             | 2029-04-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                             | Comcast Corp                                                                    | CUSIP: 20030NBT7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   4770000 | PA      | $3866778.18   | 0.06%             | 2036-07-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31416YJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1062252 | PA      | $1021723.34   | 0.02%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                 | JP Morgan Mortgage Trust 2021-12                                                | CUSIP: 46592WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16950876 | PA      | $13660022.53  | 0.22%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140X9HW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5724191 | PA      | $4675786.05   | 0.08%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                                       | Athene Holding Ltd                                                              | CUSIP: 04686JAE1<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | BM        |  12375000 | PA      | $7596190.31   | 0.12%             | 2052-05-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                    | Wells Fargo Commercial Mortgage Trust 2014-LC18                                 | CUSIP: 94989AAU9<br>LEI: 5493007CD1Q2V06I4172 | Long             | ABS-MBS          | CORP              | US        |   5756058 | PA      | $5454572.37   | 0.09%             | 2047-12-15      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                 | Benchmark 2018-B1 Mortgage Trust                                                | CUSIP: 08162PAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1220000 | PA      | $1140172.35   | 0.02%             | 2051-01-15      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAP0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   2295000 | PA      | $2279925.32   | 0.04%             | 2023-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co                            | Baltimore Gas and Electric Co                                                   | CUSIP: 05916SN97<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | STIV             | CORP              | US        |   4750000 | PA      | $4745091.68   | 0.08%             | 2023-01-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Svenska Handelsbanken AB                                 | Svenska Handelsbanken AB                                                        | CUSIP: 86960KNJ7<br>LEI: NHBDILHZTYCNBV5UYZ31 | Long             | STIV             | CORP              | SE        |  12492000 | PA      | $12473713.09  | 0.20%             | 2023-01-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                               | Zoetis Inc                                                                      | CUSIP: 98978VAU7<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |   2100000 | PA      | $2141953.17   | 0.03%             | 2025-11-14      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| EVERGY METRO                                             | Evergy Metro Inc                                                                | CUSIP: 485134BP4<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |  10103000 | PA      | $9813153.11   | 0.16%             | 2025-08-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust                  | DBJPM 20-C9 Mortgage Trust                                                      | CUSIP: 233063AT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11250000 | PA      | $9150154.88   | 0.15%             | 2053-08-15      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Oglethorpe Power Corp                                    | Oglethorpe Power Corp                                                           | CUSIP: 677050AN6<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |   6185000 | PA      | $5288208.28   | 0.09%             | 2048-10-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140N25E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  39655435 | PA      | $38185255.75  | 0.62%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3133ACTE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4138555 | PA      | $3384310.40   | 0.05%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| American Honda Finance Corp                              | American Honda Finance Corp                                                     | CUSIP: 02665KNP8<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | STIV             | CORP              | US        |   8500000 | PA      | $8476001.70   | 0.14%             | 2023-01-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Diamond Infrastructure Funding LLC                       | Diamond Infrastructure Funding LLC                                              | CUSIP: 25265LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  26305000 | PA      | $21546078.27  | 0.35%             | 2049-04-15      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| Georgia-Pacific LLC                                      | Georgia-Pacific LLC                                                             | CUSIP: 373298CF3<br>LEI: L2EVHWFHVAQK72TMH265 | Long             | DBT              | CORP              | US        |  16242000 | PA      | $16728167.89  | 0.27%             | 2024-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |  16200000 | PA      | $13571959.70  | 0.22%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3133KYU64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17622300 | PA      | $15007577.23  | 0.24%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                      | JPMorgan Chase & Co                                                             | CUSIP: 46647PAJ5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   7235000 | PA      | $6005026.70   | 0.10%             | 2038-07-24      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                      | Citigroup Commercial Mortgage Trust 2015-GC27                                   | CUSIP: 17323CAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7120000 | PA      | $6728243.36   | 0.11%             | 2048-02-10      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                 | JP Morgan Mortgage Trust 2020-7                                                 | CUSIP: 46591XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2163846 | PA      | $1805404.30   | 0.03%             | 2051-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| TBA MERRILL LYNCH COC                                    | TBA MERRILL LYNCH COC                                                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -105000 | NS      | $-105000.00   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| VW Credit Inc                                            | VW Credit Inc                                                                   | CUSIP: 91842KN51<br>LEI: 549300UUPJ2NXDB68M19 | Long             | STIV             | CORP              | US        |  20000000 | PA      | $19989666.60  | 0.32%             | 2023-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                         | Connecticut Avenue Securities Trust 2019-R01                                    | CUSIP: 20754FAK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    295949 | PA      | $297589.84    | 0.00%             | 2031-07-25      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                 | Benchmark 2021-B24 Mortgage Trust                                               | CUSIP: 08163CBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6634000 | PA      | $5536632.25   | 0.09%             | 2054-03-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| REGENERON PHARMACEUTICAL                                 | Regeneron Pharmaceuticals Inc                                                   | CUSIP: 75886FAF4<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | DBT              | CORP              | US        |   7089000 | PA      | $4396660.32   | 0.07%             | 2050-09-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                          | CVS Health Corp                                                                 | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |  23423000 | PA      | $21336808.96  | 0.35%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132DVKS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8063767 | PA      | $7955599.99   | 0.13%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                               | PacifiCorp                                                                      | CUSIP: 695114CZ9<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |   2945000 | PA      | $2914662.02   | 0.05%             | 2053-12-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                      | COMM 2015-CCRE23 Mortgage Trust                                                 | CUSIP: 12593ABA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3327000 | PA      | $3157362.92   | 0.05%             | 2048-05-10      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                      | Southern California Edison Co                                                   | CUSIP: 842400HN6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |  11586000 | PA      | $8242635.51   | 0.13%             | 2052-02-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL                                    | Takeda Pharmaceutical Co Ltd                                                    | CUSIP: 874060AT3<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |   3417000 | PA      | $3389562.31   | 0.05%             | 2023-11-26      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| HSBC USA Inc                                             | HSBC USA Inc                                                                    | CUSIP: 40434RQH8<br>LEI: 549300LBOHZ4QSIWU288 | Long             | STIV             | CORP              | US        |  14050000 | PA      | $13908728.37  | 0.23%             | 2023-03-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                     | Colombia Government International Bond                                          | CUSIP: 195325DP7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   7105000 | PA      | $6139074.18   | 0.10%             | 2029-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                      | Freddie Mac STACR REMIC Trust 2021-DNA3                                         | CUSIP: 35564KEL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12900000 | PA      | $12654834.21  | 0.20%             | 2033-10-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC                                 | Baxter International Inc                                                        | CUSIP: 071813CV9<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |   8580000 | PA      | $5537338.26   | 0.09%             | 2051-12-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3133KMJG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8396358 | PA      | $7423302.29   | 0.12%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132ADXY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5427410 | PA      | $5311828.32   | 0.09%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                             | Broadcom Inc                                                                    | CUSIP: 11135FBK6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1603.42      | 0.00%             | 2033-04-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| INRETAIL CONSUMER                                        | InRetail Consumer                                                               | CUSIP: 45790TAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |   4820000 | PA      | $4144641.22   | 0.07%             | 2028-03-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                 | JP Morgan Mortgage Trust 2016-4                                                 | CUSIP: 46647JAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1153637 | PA      | $1019809.28   | 0.02%             | 2046-10-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                | Towd Point Mortgage Trust 2017-1                                                | CUSIP: 89173FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179806 | PA      | $175378.81    | 0.00%             | 2056-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL                                    | Takeda Pharmaceutical Co Ltd                                                    | CUSIP: 874060AZ9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |  21445000 | PA      | $14463340.71  | 0.23%             | 2050-07-09      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                      | JPMorgan Chase & Co                                                             | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  18910000 | PA      | $18433153.72  | 0.30%             | 2028-07-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Gold Pool                                                           | CUSIP: 31335BXV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4901995 | PA      | $4366133.24   | 0.07%             | 2048-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TBA GOLDMAN SACHS BOC                                    | TBA GOLDMAN SACHS BOC                                                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -730000 | NS      | $-730000.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140X5TL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4374864 | PA      | $4274679.13   | 0.07%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank                                                     | BANK 2019-BNK20                                                                 | CUSIP: 06540AAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6159000 | PA      | $5400052.30   | 0.09%             | 2062-09-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Ford Credit Floorplan Master Owner Trust                 | Ford Credit Floorplan Master Owner Trust A                                      | CUSIP: 34528QHQ0<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |   5372000 | PA      | $4827672.97   | 0.08%             | 2027-09-15      | Fixed         | 1.06%                 | No            |                  2 | On Loan: No      |
| INFRAESTRUCTURA ENERGETI                                 | Infraestructura Energetica Nova SAPI de CV                                      | CUSIP: 456829AA8<br>LEI: 715K4H1JYF3O6JOK1411 | Long             | DBT              | CORP              | MX        |   7096000 | PA      | $6333180.00   | 0.10%             | 2028-01-14      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                 | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RDL5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   5870000 | PA      | $5671466.62   | 0.09%             | 2025-09-22      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FUNDING LLC                                   | NXP BV / NXP Funding LLC                                                        | CUSIP: 62947QBC1<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   2145000 | PA      | $2142125.85   | 0.03%             | 2028-12-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| TBA GOLDMAN SACHS COC                                    | TBA GOLDMAN SACHS COC                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    550000 | NS      | $550000.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QLRB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  30322137 | PA      | $25895648.44  | 0.42%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                                   | GE HealthCare Technologies Inc                                                  | CUSIP: 36267VAC7<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   3745000 | PA      | $3768073.58   | 0.06%             | 2025-11-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                  | Hyundai Capital America                                                         | CUSIP: 44890NP61<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | STIV             | CORP              | US        |  10000000 | PA      | $9953000.00   | 0.16%             | 2023-02-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                         | Connecticut Avenue Securities Trust 2022-R02                                    | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4565000 | PA      | $4303118.73   | 0.07%             | 2042-01-25      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QLMW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8012858 | PA      | $6571948.77   | 0.11%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QQSQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10990245 | PA      | $11117454.56  | 0.18%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                      | Charles Schwab Corp/The                                                         | CUSIP: 808513BD6<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |  14935000 | PA      | $14606430.00  | 0.24%             | 2025-06-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | United States Treasury Note/Bond                                                | CUSIP: 91282CFY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  45530000 | PA      | $45224095.31  | 0.73%             | 2029-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31418EJ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20495514 | PA      | $20212075.98  | 0.33%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140J83Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5681336 | PA      | $5875601.46   | 0.10%             | 2041-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Regatta XIX Funding Ltd                                  | Regatta XIX Funding Ltd                                                         | CUSIP: 75888EAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2896323.00   | 0.05%             | 2035-04-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140X4PF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12701635 | PA      | $12180761.29  | 0.20%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140J9JV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4360886 | PA      | $4552693.59   | 0.07%             | 2042-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                   | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KCJ7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   9510000 | PA      | $9326854.42   | 0.15%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QCBM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1549641 | PA      | $1389011.42   | 0.02%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TBA MORGAN STANLEY BOC                                   | TBA MORGAN STANLEY BOC                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   1974000 | NS      | $1974000.00   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust 2020-1    | Morgan Stanley Residential Mortgage Loan Trust 2020-1                           | CUSIP: 61771QAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5199976 | PA      | $4143384.76   | 0.07%             | 2050-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                   | Verizon Communications Inc                                                      | CUSIP: 92343VFU3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   5390000 | PA      | $3379310.52   | 0.05%             | 2050-11-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                 | Benchmark 2020-B21 Mortgage Trust                                               | CUSIP: 08163LAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13290000 | PA      | $10659768.13  | 0.17%             | 2053-12-17      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                     | FREMF 2017-K71 Mortgage Trust                                                   | CUSIP: 35708WAS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2990000 | PA      | $2749594.43   | 0.04%             | 2050-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                    | Wells Fargo Commercial Mortgage Trust 2016-BNK1                                 | CUSIP: 95000GAY0<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |   7895000 | PA      | $7129942.13   | 0.12%             | 2049-08-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAN5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   3035000 | PA      | $3075298.58   | 0.05%             | 2025-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NEWMONT CORP                                             | Newmont Corp                                                                    | CUSIP: 651639AX4<br>LEI: 549300VSP3RIX7FGDZ51 | Long             | DBT              | CORP              | US        |  19540000 | PA      | $16611637.31  | 0.27%             | 2029-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FIN GROUP INC                                  | Jefferies Financial Group Inc                                                   | CUSIP: 47233JGT9<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |   5925000 | PA      | $4519824.04   | 0.07%             | 2031-10-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| TBA BONY BOC USD                                         | TBA BONY BOC USD                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    142000 | NS      | $142000.00    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Toronto-Dominion Bank/The                                | Toronto-Dominion Bank/The                                                       | CUSIP: 89119BVP8<br>LEI: PT3QB789TSUIDF371261 | Long             | STIV             | CORP              | CA        |   9000000 | PA      | $8703111.96   | 0.14%             | 2023-08-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | United States Treasury Strip Principal                                          | CUSIP: 912803EH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  97675000 | PA      | $40089836.40  | 0.65%             | 2044-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SEMPRA ENERGY                                            | Sempra Energy                                                                   | CUSIP: 816851BK4<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |   2835000 | PA      | $2621467.80   | 0.04%             | 2025-10-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC                                  | Standard Industries Inc/NJ                                                      | CUSIP: 853496AH0<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |   3120000 | PA      | $2347810.30   | 0.04%             | 2031-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31418CJA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22202 | PA      | $19837.62     | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                 | AT&T Inc                                                                        | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |  28885000 | PA      | $19495531.56  | 0.32%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Netflix Inc                                              | Netflix Inc                                                                     | CUSIP: 64110LAS5<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |  13560000 | PA      | $13093351.18  | 0.21%             | 2028-04-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BANCO NACIONAL DE PANAMA                                 | Banco Nacional de Panama                                                        | CUSIP: 059626AC5<br>LEI: 529900H2Q7WMDKKIW109 | Long             | DBT              | CORP              | PA        |   6390000 | PA      | $5121585.00   | 0.08%             | 2030-08-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Black Diamond CLO                                        | Black Diamond CLO 2017-2 DAC                                                    | CUSIP: 000000000<br>LEI: 549300PKZ3LBLGCJNI86 | Long             | ABS-CBDO         | CORP              | IE        |   2892964 | PA      | $2853912.26   | 0.05%             | 2032-01-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC                                      | Delta Air Lines Inc                                                             | CUSIP: 247361ZX9<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |  16537000 | PA      | $16899833.85  | 0.27%             | 2025-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| TBA CITIGROUP COC                                        | TBA CITIGROUP COC                                                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        | -11618000 | NS      | $-11618000.00 | -0.19%            |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET CORP                                        | State Street Corp                                                               | CUSIP: 857477BS1<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |   5955000 | PA      | $5348994.90   | 0.09%             | 2028-02-07      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                         | Bank of Montreal                                                                | CUSIP: 06369MNJ8<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | STIV             | CORP              | CA        |   1700000 | PA      | $1697511.39   | 0.03%             | 2023-01-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| American Tower Truste I                                  | American Tower Trust #1                                                         | CUSIP: 03027WAJ1<br>LEI: 5493004YGM0MQZJOEJ36 | Long             | ABS-O            | CORP              | US        |   5831000 | PA      | $5796601.18   | 0.09%             | 2048-03-15      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| JEFFERIES FIN GROUP INC                                  | Jefferies Financial Group Inc                                                   | CUSIP: 472319AM4<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |   5130000 | PA      | $4997898.81   | 0.08%             | 2043-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3138WHSS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1289164 | PA      | $1155497.06   | 0.02%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                             | Ford Credit Auto Owner Trust 2021-A                                             | CUSIP: 34532NAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1420000 | PA      | $1291637.11   | 0.02%             | 2026-10-15      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| NEWMONT CORP                                             | Newmont Corp                                                                    | CUSIP: 651639AY2<br>LEI: 549300VSP3RIX7FGDZ51 | Long             | DBT              | CORP              | US        |   4525000 | PA      | $3636922.23   | 0.06%             | 2030-10-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP                                      | SVB Financial Group                                                             | CUSIP: 78486QAS0<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |   7239000 | PA      | $6404991.12   | 0.10%             | 2033-04-29      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QAJA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5231820 | PA      | $5121423.29   | 0.08%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                                              | Nutrien Ltd                                                                     | CUSIP: 67077MAW8<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |  15380000 | PA      | $13176323.30  | 0.21%             | 2030-05-13      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23                     | CUSIP: 61690QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17967000 | PA      | $17040625.07  | 0.28%             | 2050-07-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                 | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  18914000 | PA      | $12098781.74  | 0.20%             | 2061-12-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Marathon CLO LTD                                         | Marathon CLO XIII Ltd                                                           | CUSIP: 56579AAS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3250000 | PA      | $3185942.50   | 0.05%             | 2032-04-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                   | Verizon Communications Inc                                                      | CUSIP: 92343VGK4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   9870000 | PA      | $7421277.18   | 0.12%             | 2041-03-22      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                      | Freddie Mac STACR REMIC Trust 2022-DNA1                                         | CUSIP: 35564KQC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11550000 | PA      | $10439489.45  | 0.17%             | 2042-01-25      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3133KYTE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    789600 | PA      | $716819.86    | 0.01%             | 2040-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                 | Ford Motor Credit Co LLC                                                        | CUSIP: 345397B85<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1920000 | PA      | $1752729.60   | 0.03%             | 2025-02-10      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                           | Amazon.com Inc                                                                  | CUSIP: 023135BT2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   7010000 | PA      | $4417777.99   | 0.07%             | 2050-06-03      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                              | RCKT Mortgage Trust 2021-4                                                      | CUSIP: 74938VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17228694 | PA      | $13830065.00  | 0.22%             | 2051-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                          | Venture 34 CLO Ltd                                                              | CUSIP: 92332CAA7<br>LEI: 549300MYRV6PEDBLPL32 | Long             | ABS-CBDO         | CORP              | KY        |   7500000 | PA      | $7307107.50   | 0.12%             | 2031-10-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | United States Treasury Note/Bond                                                | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  87910000 | PA      | $61131789.40  | 0.99%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | United States Treasury Note/Bond                                                | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27470000 | PA      | $22010337.50  | 0.36%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                                      | PayPal Holdings Inc                                                             | CUSIP: 70450YAK9<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |   1780000 | PA      | $1712792.81   | 0.03%             | 2027-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| NEVADA POWER CO                                          | Nevada Power Co                                                                 | CUSIP: 641423CF3<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |   8230000 | PA      | $8771314.34   | 0.14%             | 2053-05-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Bank                                                     | BANK 2020-BNK25                                                                 | CUSIP: 06539WBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  40000000 | PA      | $34131348.00  | 0.55%             | 2063-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| BANK HAPOALIM                                            | Bank Hapoalim BM                                                                | CUSIP: 000000000<br>LEI: B6ARUI4946ST4S7WOU88 | Long             | DBT              | CORP              | IL        |   4635000 | PA      | $3988324.80   | 0.06%             | 2032-01-21      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                 | Benchmark 2022-B33 Mortgage Trust                                               | CUSIP: 08163PBM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4450000 | PA      | $3425492.08   | 0.06%             | 2055-03-15      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | United States Treasury Note/Bond                                                | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5520000 | PA      | $4547962.50   | 0.07%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                      | Citigroup Commercial Mortgage Trust 2016-P3                                     | CUSIP: 29429CAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7897000 | PA      | $7334867.06   | 0.12%             | 2049-04-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| TBA WELLS FARGO BOC                                      | TBA WELLS FARGO BOC                                                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -226000 | NS      | $-226000.37   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| DataBank Issuer LLC                                      | DataBank Issuer                                                                 | CUSIP: 23802WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8500000 | PA      | $7362271.60   | 0.12%             | 2051-02-27      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                      | American Tower Corp                                                             | CUSIP: 03027XBG4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |  17495000 | PA      | $13500797.73  | 0.22%             | 2030-10-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| KKR FINANCIAL CLO LTD                                    | KKR CLO 41 Ltd                                                                  | CUSIP: 48255PAA3<br>LEI: 254900VCKMCY079T6M57 | Long             | ABS-CBDO         | CORP              | KY        |   5600000 | PA      | $5393757.60   | 0.09%             | 2035-04-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                  | CUSIP: 61747YEX9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  23885000 | PA      | $24394589.10  | 0.39%             | 2026-10-16      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132CWQB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23127176 | PA      | $20686477.16  | 0.33%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BANQUE OUEST AFRICAINE D                                 | Banque Ouest Africaine de Developpement                                         | CUSIP: 06675QAC7<br>LEI: 529900LIZJABE4JJS826 | Long             | DBT              | NUSS              | XX        |   7075000 | PA      | $6010920.00   | 0.10%             | 2031-10-22      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ATLANTIC CITY ELECTRIC                                   | Atlantic City Electric Co                                                       | CUSIP: 048303CH2<br>LEI: 549300S5TW3VP5V06B73 | Long             | DBT              | CORP              | US        |   1695000 | PA      | $1613502.98   | 0.03%             | 2028-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                      | Ashtead Capital Inc                                                             | CUSIP: 045054AP8<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |   2960000 | PA      | $2284949.36   | 0.04%             | 2031-08-12      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                           | Air Lease Corp                                                                  | CUSIP: 00914AAJ1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |  22595000 | PA      | $20906149.15  | 0.34%             | 2026-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3133KYWT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6919132 | PA      | $6180756.92   | 0.10%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                              | Oracle Corp                                                                     | CUSIP: 68389XCH6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3113897.76   | 0.05%             | 2029-11-09      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140X9R49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6575288 | PA      | $5599721.41   | 0.09%             | 2041-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TELEDYNE TECHNOLOGIES IN                                 | Teledyne Technologies Inc                                                       | CUSIP: 879360AD7<br>LEI: 549300VSMO9KYQWDND94 | Long             | DBT              | CORP              | US        |  10470000 | PA      | $9014956.15   | 0.15%             | 2028-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17                     | CUSIP: 61763UAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4533000 | PA      | $4362881.95   | 0.07%             | 2047-08-15      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                      | Freddie Mac Stacr Remic Trust 2019-Hqa4                                         | CUSIP: 35565CAH9<br>LEI: 5493005LAQ76UDHPEE03 | Long             | ABS-MBS          | USGSE             | US        |    165524 | PA      | $165105.34    | 0.00%             | 2049-11-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                   | US 2YR NOTE (CBT) MAR23                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      1963 | NC      | $362197.43    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                   | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3208460.00   | 0.05%             | 2031-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON NATIONAL BANK                                 | Huntington National Bank/The                                                    | CUSIP: 44644MAJ0<br>LEI: 2WHM8VNJH63UN14OL754 | Long             | DBT              | CORP              | US        |   4935000 | PA      | $4972672.70   | 0.08%             | 2030-01-10      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| VW Credit Inc                                            | VW Credit Inc                                                                   | CUSIP: 91842KP26<br>LEI: 549300UUPJ2NXDB68M19 | Long             | STIV             | CORP              | US        |   3635000 | PA      | $3619749.18   | 0.06%             | 2023-02-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | United States Treasury Note/Bond                                                | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4800000 | PA      | $3427312.51   | 0.06%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                         | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CF4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   9776000 | PA      | $7167897.82   | 0.12%             | 2032-01-14      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| ICG US CLO Ltd                                           | Bavarian Sky UK 5 PLC                                                           | CUSIP: 44928XAY0<br>LEI: 213800MAPH9PBACGJG35 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3864908.00   | 0.06%             | 2034-10-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140J6EW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11183406 | PA      | $11678583.21  | 0.19%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SK HYNIX INC                                             | SK Hynix Inc                                                                    | CUSIP: 78392BAC1<br>LEI: 988400XAIK6XISWQV045 | Long             | DBT              | CORP              | KR        |   7615000 | PA      | $5583049.95   | 0.09%             | 2031-01-19      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                          | CVS Health Corp                                                                 | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   4145000 | PA      | $3758117.47   | 0.06%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QP3Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12576252 | PA      | $12799210.81  | 0.21%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NEWMONT CORP                                             | Newmont Corp                                                                    | CUSIP: 651639AZ9<br>LEI: 549300VSP3RIX7FGDZ51 | Long             | DBT              | CORP              | US        |   3655000 | PA      | $2909787.61   | 0.05%             | 2032-07-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140X4W69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4135165 | PA      | $4099330.77   | 0.07%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                      | Societe Generale SA                                                             | CUSIP: 83369CUH5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | STIV             | CORP              | US        |  13500000 | PA      | $13129859.97  | 0.21%             | 2023-07-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31418DWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1426221 | PA      | $1208458.00   | 0.02%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140J9T84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19131900 | PA      | $17082812.24  | 0.28%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140X9XP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7422110 | PA      | $6620141.38   | 0.11%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                 | JP Morgan Trust 2015-6                                                          | CUSIP: 46645GAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1308258 | PA      | $1154716.83   | 0.02%             | 2045-10-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                           | Morgan Stanley Capital I Trust 2019-L3                                          | CUSIP: 61691UBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6400000 | PA      | $5580000.64   | 0.09%             | 2052-11-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERG                                 | Berkshire Hathaway Energy Co                                                    | CUSIP: 084659BC4<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |  21640000 | PA      | $14167281.91  | 0.23%             | 2051-05-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                 | Devon Energy Corp                                                               | CUSIP: 25179MAN3<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |   2685000 | PA      | $2272816.79   | 0.04%             | 2042-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SWAP CCPC JP MORGAN COC                                  | SWAP CCPC JP MORGAN COC                                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |      -621 | NS      | $-620.88      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Bank of Montreal                                         | Bank of Montreal                                                                | CUSIP: 06369MR47<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | STIV             | CORP              | CA        |   6000000 | PA      | $5927958.36   | 0.10%             | 2023-04-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 31329QHG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2499875 | PA      | $2448814.08   | 0.04%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XCLU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12485603 | PA      | $10664068.97  | 0.17%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                  | CUSIP: 61747YEY7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   4325000 | PA      | $4531755.07   | 0.07%             | 2033-10-18      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                             | GS Mortgage Securities Trust 2015-GC32                                          | CUSIP: 36250PAD7<br>LEI: 54930066YOFVQE068N73 | Long             | ABS-MBS          | CORP              | US        |   5118000 | PA      | $4895676.13   | 0.08%             | 2048-07-10      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                              | Workday Inc                                                                     | CUSIP: 98138HAG6<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |    960000 | PA      | $897186.32    | 0.01%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AEP Texas Inc                                            | AEP Texas Inc                                                                   | CUSIP: 00108WAJ9<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |   1530000 | PA      | $1193253.58   | 0.02%             | 2049-05-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QQQY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14523760 | PA      | $14593565.00  | 0.24%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  84064000 | PA      | $84271352.26  | 1.36%             | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                       | VICI Properties LP                                                              | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |  11785000 | PA      | $11218345.85  | 0.18%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust                  | DBJPM 16-C1 Mortgage Trust                                                      | CUSIP: 23312LAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4585000 | PA      | $4256452.66   | 0.07%             | 2049-05-10      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSAS LLC                                     | Entergy Arkansas LLC                                                            | CUSIP: 29366MAA6<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |  10450000 | PA      | $8550531.92   | 0.14%             | 2049-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| TBA WELLS FARGO BOC                                      | TBA WELLS FARGO BOC                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    340000 | NS      | $340000.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                      | GS Mortgage-Backed Securities Trust 2021-PJ9                                    | CUSIP: 36263CAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17860763 | PA      | $14370937.83  | 0.23%             | 2052-02-26      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT                                    | American Homes 4 Rent LP                                                        | CUSIP: 02666TAE7<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |   8130000 | PA      | $6838675.60   | 0.11%             | 2032-04-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| US BANK NA CINCINNATI                                    | US Bank NA/Cincinnati OH                                                        | CUSIP: 90331HNV1<br>LEI: 6BYL5QZYBDK8S7L73M02 | Long             | DBT              | CORP              | US        |   4810000 | PA      | $4766082.44   | 0.08%             | 2023-07-24      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                 | Ford Motor Credit Co LLC                                                        | CUSIP: 345397B93<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   3140000 | PA      | $2508106.40   | 0.04%             | 2029-02-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                | Boeing Co/The                                                                   | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |  16990000 | PA      | $11664634.18  | 0.19%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31418ELY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  30648602 | PA      | $30730867.16  | 0.50%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                       | Energy Transfer LP                                                              | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |  14545000 | PA      | $13525023.58  | 0.22%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                              | Viatris Inc                                                                     | CUSIP: 92556VAC0<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |   1705000 | PA      | $1456837.20   | 0.02%             | 2027-06-22      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| TBA BANK OF AMERICA COC                                  | TBA BANK OF AMERICA COC                                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |  -1714000 | NS      | $-1714000.00  | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                  | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   4505000 | PA      | $4650531.91   | 0.08%             | 2028-10-18      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140X5YV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3127560 | PA      | $2921257.07   | 0.05%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                             | GS Mortgage Securities Trust 2017-GS6                                           | CUSIP: 36253PAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14900000 | PA      | $13761325.61  | 0.22%             | 2050-05-10      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                 | Benchmark 2022-B32 Mortgage Trust                                               | CUSIP: 08163NBP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9000000 | PA      | $6887991.60   | 0.11%             | 2055-01-15      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38378WRW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1113000 | PA      | $1015734.48   | 0.02%             | 2043-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XHBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13790312 | PA      | $12182493.52  | 0.20%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140J7RS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8181494 | PA      | $8462049.77   | 0.14%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31418DRV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1725185 | PA      | $1582987.56   | 0.03%             | 2035-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                                      | CDW LLC / CDW Finance Corp                                                      | CUSIP: 12513GBG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2635000 | PA      | $2339400.43   | 0.04%             | 2026-12-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FUNDING LLC                                   | NXP BV / NXP Funding LLC                                                        | CUSIP: 62947QBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |  17490000 | PA      | $17356119.30  | 0.28%             | 2024-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                              | Viatris Inc                                                                     | CUSIP: 92556VAF3<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |  10735000 | PA      | $6614239.82   | 0.11%             | 2050-06-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                                       | Athene Holding Ltd                                                              | CUSIP: 04686JAD3<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | BM        |   5515000 | PA      | $3721278.95   | 0.06%             | 2051-05-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                           | Lowe's Cos Inc                                                                  | CUSIP: 548661DQ7<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   2250000 | PA      | $1759783.21   | 0.03%             | 2047-05-03      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                      | Petroleos Mexicanos                                                             | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   7932000 | PA      | $5060605.69   | 0.08%             | 2047-09-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QQUN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15011896 | PA      | $15185650.00  | 0.25%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP                                      | SVB Financial Group                                                             | CUSIP: 78486QAJ0<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |  11000000 | PA      | $7260220.22   | 0.12%             | 2026-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                      | Citigroup Commercial Mortgage Trust 2014-GC25                                   | CUSIP: 17322YAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4991000 | PA      | $4808458.67   | 0.08%             | 2047-10-10      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XBC32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2818052 | PA      | $2499815.62   | 0.04%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                             | TICP CLO IX Ltd                                                                 | CUSIP: 87249AAA3<br>LEI: 549300T5OQR4UD880D68 | Long             | ABS-CBDO         | CORP              | KY        |   9600000 | PA      | $9484032.00   | 0.15%             | 2031-01-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3133BMLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17780666 | PA      | $16684407.53  | 0.27%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                              | RCKT Mortgage Trust 2021-6                                                      | CUSIP: 74939KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7663940 | PA      | $6152108.67   | 0.10%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                      | Southern California Edison Co                                                   | CUSIP: 842400GR8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |  11850000 | PA      | $10419973.76  | 0.17%             | 2049-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                         | Duke Energy Corp                                                                | CUSIP: 26441CBG9<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   7100000 | PA      | $6478750.00   | 0.10%             | 2024-09-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BRIGHTHOUSE FINANCIAL IN                                 | Brighthouse Financial Inc                                                       | CUSIP: 10922NAH6<br>LEI: 5493003T8SZSHOGGAW52 | Long             | DBT              | CORP              | US        |  12425000 | PA      | $7843125.07   | 0.13%             | 2051-12-22      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Bayerische Landesbank/New York                           | Bayerische Landesbank/New York                                                  | CUSIP: 07274MNH4<br>LEI: 549300DJ6F1V4GISFC11 | Long             | STIV             | CORP              | US        |   7000000 | PA      | $6989826.69   | 0.11%             | 2023-01-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                             | CD 2017-CD6 Mortgage Trust                                                      | CUSIP: 125039AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2760000 | PA      | $2361207.88   | 0.04%             | 2050-11-13      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust           | Morgan Stanley Residential Mortgage Loan Trust 2021-4                           | CUSIP: 61772MAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3692643 | PA      | $2964211.44   | 0.05%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Zais Matrix CDO I                                        | Zais Clo 17 Ltd                                                                 | CUSIP: 98888JAA7<br>LEI: 549300PCGOXUK8XLNY49 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1955182.00   | 0.03%             | 2033-10-20      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                      | Southern California Edison Co                                                   | CUSIP: 842400GT4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   4215000 | PA      | $3078317.39   | 0.05%             | 2050-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Bank                                                     | BANK 2022-BNK40                                                                 | CUSIP: 06541LBU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8850000 | PA      | $6951360.83   | 0.11%             | 2064-03-15      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140K7KD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3276909 | PA      | $3174317.63   | 0.05%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AON CORP/AON GLOBAL HOLD                                 | Aon Corp / Aon Global Holdings PLC                                              | CUSIP: 03740LAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  12560000 | PA      | $7988154.22   | 0.13%             | 2051-08-23      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BROOKLYN UNION GAS CO                                    | Brooklyn Union Gas Co/The                                                       | CUSIP: 114259AT1<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |  14885000 | PA      | $13375305.84  | 0.22%             | 2029-03-04      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QEAQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8946645 | PA      | $7907625.77   | 0.13%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                   | Sequoia Mortgage Trust 2015-1                                                   | CUSIP: 81745QCB6<br>LEI: 5493007E0SBYHIR7SU85 | Long             | ABS-MBS          | CORP              | US        |    763512 | PA      | $702980.92    | 0.01%             | 2045-01-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                 | Ford Motor Credit Co LLC                                                        | CUSIP: 345397B51<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   4180000 | PA      | $3452341.71   | 0.06%             | 2028-02-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| VALERO ENERGY CORP                                       | Valero Energy Corp                                                              | CUSIP: 91913YBD1<br>LEI: 549300XTO5VR8SKV1V74 | Long             | DBT              | CORP              | US        |  15746000 | PA      | $11116736.15  | 0.18%             | 2051-12-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON NATIONAL BANK                                 | Huntington National Bank/The                                                    | CUSIP: 44644MAF8<br>LEI: 2WHM8VNJH63UN14OL754 | Long             | DBT              | CORP              | US        |   7007000 | PA      | $6760835.96   | 0.11%             | 2028-05-17      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                               | US Bancorp                                                                      | CUSIP: 91159HHV5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |  10550000 | PA      | $10361526.57  | 0.17%             | 2024-02-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140J7XC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13112152 | PA      | $12164057.37  | 0.20%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                             | GS Mortgage Securities Trust 2019-GC42                                          | CUSIP: 36257UAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20000000 | PA      | $17428680.00  | 0.28%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                      | Citigroup Commercial Mortgage Trust 2017-C4                                     | CUSIP: 17326FAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18940000 | PA      | $17306460.99  | 0.28%             | 2050-10-12      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| AON CORP/AON GLOBAL HOLD                                 | Aon Corp / Aon Global Holdings PLC                                              | CUSIP: 03740LAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  12325000 | PA      | $12187713.30  | 0.20%             | 2032-09-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                      | Societe Generale SA                                                             | CUSIP: 83369CV92<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | STIV             | CORP              | US        |   8500000 | PA      | $8238336.00   | 0.13%             | 2023-08-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Sirius XM Radio Inc                                      | Sirius XM Radio Inc                                                             | CUSIP: 82967NBA5<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |   3680000 | PA      | $3401648.85   | 0.06%             | 2027-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust                  | DBJPM 20-C9 Mortgage Trust                                                      | CUSIP: 233063BC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3250000 | PA      | $2386461.35   | 0.04%             | 2053-08-15      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LLC                          | Domino's Pizza Master Issuer LLC                                                | CUSIP: 25755TAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  43340000 | PA      | $36045097.88  | 0.58%             | 2051-04-25      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                                | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26                     | CUSIP: 61690VAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5698000 | PA      | $5363624.27   | 0.09%             | 2048-10-15      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3133KNR54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10608795 | PA      | $9319084.98   | 0.15%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                 | Government National Mortgage Association                                        | CUSIP: 38380KSV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    716451 | PA      | $667918.39    | 0.01%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac REMICS                                                              | CUSIP: 3137BWY73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2556338 | PA      | $2234450.71   | 0.04%             | 2045-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIZENS BANK NA/RI                                      | Citizens Bank NA/Providence RI                                                  | CUSIP: 75524KPT5<br>LEI: DRMSV1Q0EKMEXLAU1P80 | Long             | DBT              | CORP              | US        |  10270000 | PA      | $10385623.87  | 0.17%             | 2025-10-24      | Fixed         | 6.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140KVBU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5806600 | PA      | $4765783.22   | 0.08%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| National Rural Utilities Cooperative Finance Corp        | National Rural Utilities Cooperative Finance Corp                               | CUSIP: 63743DP62<br>LEI: 4NYF266XZC35SCTGX023 | Long             | STIV             | CORP              | US        |   5000000 | PA      | $4976850.00   | 0.08%             | 2023-02-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3133A0K78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3186218 | PA      | $2837279.87   | 0.05%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3133KPPB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16451778 | PA      | $16224262.05  | 0.26%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | United States Treasury Note/Bond                                                | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9245000 | PA      | $9194441.41   | 0.15%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                     | Lockheed Martin Corp                                                            | CUSIP: 539830BS7<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |   3920000 | PA      | $3324698.76   | 0.05%             | 2053-06-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| South Carolina Public Service Authority                  | SOUTH CAROLINA ST PUBLIC SVC AUTH REVENUE                                       | CUSIP: 837151NP0<br>LEI: EMBXY64GWKA9MZGFUD26 | Long             | DBT              | MUN               | US        |   1368000 | PA      | $1132086.90   | 0.02%             | 2045-12-01      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| EVERGY KANSAS CENTRAL                                    | Evergy Kansas Central Inc                                                       | CUSIP: 30036FAA9<br>LEI: J75GNWGEO73W89ZV3S44 | Long             | DBT              | CORP              | US        |   5975000 | PA      | $4324148.67   | 0.07%             | 2050-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | United States Treasury Note/Bond                                                | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 164445000 | PA      | $164496389.06 | 2.66%             | 2029-10-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132DMGC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12096291 | PA      | $11308121.57  | 0.18%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                 | JP Morgan Mortgage Trust 2021-10                                                | CUSIP: 46654AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7550702 | PA      | $6084803.96   | 0.10%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                           | Air Lease Corp                                                                  | CUSIP: 00914AAS1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |  11795000 | PA      | $9370305.74   | 0.15%             | 2032-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                  | BPCE SA                                                                         | CUSIP: 05571CUJ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | STIV             | CORP              | FR        |  13500000 | PA      | $13118924.97  | 0.21%             | 2023-07-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                   | Diamondback Energy Inc                                                          | CUSIP: 25278XAT6<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |   2530000 | PA      | $1851126.85   | 0.03%             | 2052-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                    | Truist Financial Corp                                                           | CUSIP: 89788MAE2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |  13720000 | PA      | $11484076.43  | 0.19%             | 2029-06-07      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140X8YQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12118562 | PA      | $9904443.88   | 0.16%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                             | GS Mortgage Securities Trust 2019-GC39                                          | CUSIP: 36260JAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $1987611.12   | 0.03%             | 2052-05-10      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132DWE74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2435490 | PA      | $2401809.21   | 0.04%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140X85M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5033182 | PA      | $4668631.78   | 0.08%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Nuveen Finance LLC                                       | Nuveen Finance LLC                                                              | CUSIP: 87246YAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  22109000 | PA      | $21520725.50  | 0.35%             | 2024-11-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| BANGKOK BANK PCL/HK                                      | Bangkok Bank PCL/Hong Kong                                                      | CUSIP: 059895AT9<br>LEI: 549300CCL2BKJGMYXV60 | Long             | DBT              | CORP              | TH        |  11340000 | PA      | $9474352.95   | 0.15%             | 2034-09-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3133ASH63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18532716 | PA      | $15141754.25  | 0.25%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2014-1 A PTT                                  | United Airlines 2014-1 Class A Pass Through Trust                               | CUSIP: 90932PAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1362700 | PA      | $1266045.33   | 0.02%             | 2026-04-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL                                    | Takeda Pharmaceutical Co Ltd                                                    | CUSIP: 874060AY2<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |   4945000 | PA      | $3628922.02   | 0.06%             | 2040-07-09      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                 | Enterprise Products Operating LLC                                               | CUSIP: 29379VCA9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |  11315000 | PA      | $7414114.94   | 0.12%             | 2052-02-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140X67M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2704169 | PA      | $2416726.34   | 0.04%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                   | Sequoia Mortgage Trust 2013-4                                                   | CUSIP: 81744YAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    469654 | PA      | $428846.82    | 0.01%             | 2043-04-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                      | Freddie Mac STACR REMIC Trust 2021-DNA5                                         | CUSIP: 35564KHE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13959493 | PA      | $13743601.23  | 0.22%             | 2034-01-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL GROUP                                      | SVB Financial Group                                                             | CUSIP: 78486QAL5<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |   2432000 | PA      | $2128000.78   | 0.03%             | 2026-10-28      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank/The                                | Toronto-Dominion Bank/The                                                       | CUSIP: 89119BUH7<br>LEI: PT3QB789TSUIDF371261 | Long             | STIV             | CORP              | CA        |   8000000 | PA      | $7780038.64   | 0.13%             | 2023-07-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority                    | MET TRANSPRTN AUTH NY REVENUE                                                   | CUSIP: 59259YGF0<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |   1725000 | PA      | $1802444.74   | 0.03%             | 2040-11-15      | Fixed         | 6.81%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                  | MPLX LP                                                                         | CUSIP: 55336VAR1<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   2835000 | PA      | $2636861.40   | 0.04%             | 2028-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TBA CITIGROUP BOC                                        | TBA CITIGROUP BOC                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    862000 | NS      | $862000.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| LIBERTY BROADBAND CORP                                   | Liberty Broadband Corp                                                          | CUSIP: 530307AA5<br>LEI: 549300MIX43II8JLN536 | Long             | DBT              | CORP              | US        |    274000 | PA      | $266862.78    | 0.00%             | 2050-09-30      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                                      | Fifth Third Bancorp                                                             | CUSIP: 316773DJ6<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |      4000 | PA      | $4115.58      | 0.00%             | 2028-10-27      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140Q9D42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19562 | PA      | $19627.70     | 0.00%             | 2048-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TBA GOLDMAN SACHS BOC                                    | TBA GOLDMAN SACHS BOC                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   7000000 | NS      | $7000000.00   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank                                                     | BANK 2019-BNK21                                                                 | CUSIP: 06540BBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12550000 | PA      | $10881649.44  | 0.18%             | 2052-10-17      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                              | Viatris Inc                                                                     | CUSIP: 92556VAD8<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |   6075000 | PA      | $4749643.07   | 0.08%             | 2030-06-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11672410 | PA      | $9504166.37   | 0.15%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Svenska Handelsbanken AB                                 | Svenska Handelsbanken AB                                                        | CUSIP: 86960KPG1<br>LEI: NHBDILHZTYCNBV5UYZ31 | Long             | STIV             | CORP              | SE        |   5000000 | PA      | $4977511.10   | 0.08%             | 2023-02-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                                      | PFS Financing Corp                                                              | CUSIP: 69335PDZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9200000 | PA      | $8656554.16   | 0.14%             | 2026-04-15      | Fixed         | 0.71%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                       | Energy Transfer LP                                                              | CUSIP: 29273VAQ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   2890000 | PA      | $2827460.40   | 0.05%             | 2033-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                            | AEP Texas Inc                                                                   | CUSIP: 00108WAK6<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |   1805000 | PA      | $1275150.05   | 0.02%             | 2050-01-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                           | Morgan Stanley                                                                  | CUSIP: 6174468X0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   5960000 | PA      | $4496978.12   | 0.07%             | 2032-04-28      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Stanley Black & Decker Inc                               | Stanley Black & Decker Inc                                                      | CUSIP: 85462DNR0<br>LEI: 549300DJ09SMTO561131 | Long             | STIV             | CORP              | US        |  14500000 | PA      | $14456983.29  | 0.23%             | 2023-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                            | Agate Bay Mortgage Trust 2015-1                                                 | CUSIP: 00841WBK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    594314 | PA      | $545375.30    | 0.01%             | 2045-01-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140XDR40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5624534 | PA      | $4944037.68   | 0.08%             | 2041-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140QGM61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  50185024 | PA      | $43307703.28  | 0.70%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140J9FX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8854942 | PA      | $9167719.49   | 0.15%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TBA MORGAN STANLEY COC                                   | TBA MORGAN STANLEY COC                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   1254000 | NS      | $1254000.00   | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED AIR 2014-2 A PTT                                  | United Airlines 2014-2 Class A Pass Through Trust                               | CUSIP: 90932QAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3356406 | PA      | $3088377.51   | 0.05%             | 2026-09-03      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                   | United States Treasury Floating Rate Note                                       | CUSIP: 91282CFS5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 192300000 | PA      | $192085256.67 | 3.11%             | 2024-10-31      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140Q8J48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15691772 | PA      | $14540820.31  | 0.24%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                   | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664DB4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |  17720000 | PA      | $14123688.97  | 0.23%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                      | New Residential Mortgage Loan Trust 2018-RPL1                                   | CUSIP: 64829VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    759918 | PA      | $708021.23    | 0.01%             | 2057-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                         | Connecticut Avenue Securities Trust 2019-R02                                    | CUSIP: 20753KAB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    167411 | PA      | $167455.28    | 0.00%             | 2031-08-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust               | JPMDB Commercial Mortgage Securities Trust 2017-C7                              | CUSIP: 46648KAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4220000 | PA      | $3864862.95   | 0.06%             | 2050-10-15      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| ENTERGY MISSISSIPPI LLC                                  | Entergy Mississippi LLC                                                         | CUSIP: 29366WAA4<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |    975000 | PA      | $744152.97    | 0.01%             | 2049-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                              | Oracle Corp                                                                     | CUSIP: 68389XCF0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1415000 | PA      | $1446675.04   | 0.02%             | 2025-11-10      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| TBA MORGAN STANLEY BOC                                   | TBA MORGAN STANLEY BOC                                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -613000 | NS      | $-613000.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140X5PY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8046405 | PA      | $7456210.58   | 0.12%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| American Honda Finance Corp                              | American Honda Finance Corp                                                     | CUSIP: 02665KN60<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | STIV             | CORP              | US        |   8820000 | PA      | $8814512.02   | 0.14%             | 2023-01-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                           | Amazon.com Inc                                                                  | CUSIP: 023135CH7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   6130000 | PA      | $5609724.46   | 0.09%             | 2032-04-13      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                   | US ULTRA BOND CBT MAR23                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -323 | NC      | $-99399.21    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Royal Bank of Canada                                     | Royal Bank of Canada                                                            | CUSIP: 78013WU57<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | STIV             | CORP              | US        |   3500000 | PA      | $3410969.84   | 0.06%             | 2023-07-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CENTRAL AMERICAN BANK                                    | Central American Bank for Economic Integration                                  | CUSIP: 15238PAF3<br>LEI: 549300OLDAMXBPSHIC05 | Long             | DBT              | NUSS              | XX        |  30000000 | PA      | $27955944.00  | 0.45%             | 2025-05-06      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31410LFB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2605058 | PA      | $2582456.09   | 0.04%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                 | JP Morgan Mortgage Trust 2014-2                                                 | CUSIP: 46641YAQ6<br>LEI: 549300BV8AJIRLDGMR51 | Long             | ABS-MBS          | CORP              | US        |    219277 | PA      | $187382.58    | 0.00%             | 2029-06-25      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                       | Royalty Pharma PLC                                                              | CUSIP: 78081BAJ2<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |  15130000 | PA      | $12805932.14  | 0.21%             | 2027-09-02      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3138EREA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  31896794 | PA      | $31511640.95  | 0.51%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                 | JP Morgan Mortgage Trust 2017-1                                                 | CUSIP: 46648CAY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4182029 | PA      | $3530227.43   | 0.06%             | 2047-01-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3132A5HR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7986768 | PA      | $7565905.15   | 0.12%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3133KJNE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2239339 | PA      | $1915095.39   | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Applied Systems, Inc.                                    | Applied Systems, Inc. 2021 2nd Lien Term Loan                                   | CUSIP: 03827FBA8<br>LEI: 549300NSKGF0SY5SWQ62 | Long             | LON              | CORP              | US        |  11828013 | PA      | $11694947.94  | 0.19%             | 2025-09-19      | Variable      | 11.33%                | No            |                  2 | On Loan: No      |
| TBA CITIBANK BOC                                         | TBA CITIBANK BOC                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    752000 | NS      | $752000.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| DUKE ENERGY INDIANA LLC                                  | Duke Energy Indiana LLC                                                         | CUSIP: 26443TAB2<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |   4095000 | PA      | $2841276.07   | 0.05%             | 2049-10-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| National Australia Bank Ltd                              | National Australia Bank Ltd                                                     | CUSIP: 63254FPQ4<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | STIV             | CORP              | AU        |   3700000 | PA      | $3678355.00   | 0.06%             | 2023-02-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                     | Bank of America Corp                                                            | CUSIP: 06051GJE0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  15060000 | PA      | $10130874.80  | 0.16%             | 2041-06-19      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| ONEOK Inc                                                | ONEOK Inc                                                                       | CUSIP: 682680AR4<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   8950000 | PA      | $9050086.15   | 0.15%             | 2023-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                              | Freddie Mac Pool                                                                | CUSIP: 3133BFQ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5259446 | PA      | $5074228.30   | 0.08%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVT OF BERMUDA                                          | Bermuda Government International Bond                                           | CUSIP: 085209AG9<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |   4000000 | PA      | $3374147.56   | 0.05%             | 2030-08-20      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| NBK SPC LTD                                              | NBK SPC Ltd                                                                     | CUSIP: 62877PAB0<br>LEI: 549300P1ANDK86KWB419 | Long             | DBT              | CORP              | AE        |   7985000 | PA      | $7010830.00   | 0.11%             | 2027-09-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 3140FXFQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61210 | PA      | $53961.63     | 0.00%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                 | JP Morgan Trust 2015-6                                                          | CUSIP: 46645GBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1995197 | PA      | $1676698.74   | 0.03%             | 2045-10-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Lloyds Bank Corporate Markets PLC/New York NY            | Lloyds Bank Corporate Markets PLC/New York NY                                   | CUSIP: 53948BUX5<br>LEI: 213800MBWEIJDM5CU638 | Long             | STIV             | CORP              | GB        |   8500000 | PA      | $8249195.43   | 0.13%             | 2023-07-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                                 | Baltimore Gas and Electric Co                                                   | CUSIP: 059165EP1<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |   6740000 | PA      | $5952593.77   | 0.10%             | 2052-06-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                          | Venture 42 CLO Ltd                                                              | CUSIP: 923260AC7<br>LEI: 5493005OM8P21GK6YE73 | Long             | ABS-CBDO         | CORP              | KY        |  15000000 | PA      | $14500320.00  | 0.23%             | 2034-04-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                               | Fannie Mae Pool                                                                 | CUSIP: 31416YGC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    824283 | PA      | $815867.41    | 0.01%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-17

**Name of Applicant:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST

**Signature:** William Flory

**Name of Signer:** William Flory

**Title:** VP