# EDGAR Filing Document

**Accession Number:** 0001517936
**File Stem:** 0000940400-25-002129
**Filing Date:** 2025-9
**Character Count:** 256232
**Document Hash:** f4e15c15d74ca333d1e96d28a0944011
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-25-002129.hdr.sgml**: 20250924

**ACCESSION NUMBER**: 0000940400-25-002129

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250731

**FILED AS OF DATE**: 20250924

**DATE AS OF CHANGE**: 20250924

**PERIOD START**: 20250731

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIRST TRUST EXCHANGE-TRADED FUND IV
- **CENTRAL INDEX KEY:** 0001517936

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22559
- **FILM NUMBER:** 251336429

**BUSINESS ADDRESS:**
- **STREET 1:** 120 EAST LIBERTY DRIVE, SUITE 400
- **CITY:** WHEATON
- **STATE:** IL
- **ZIP:** 60187
- **BUSINESS PHONE:** 630-765-8000

**MAIL ADDRESS:**
- **STREET 1:** 120 EAST LIBERTY DRIVE, SUITE 400
- **CITY:** WHEATON
- **STATE:** IL
- **ZIP:** 60187

## Series and Classes Contracts Data

### First Trust Core Investment Grade ETF (Series ID: S000082787)

| Class ID   | Class Name                            | Ticker Symbol   |
|:---|:---|:---|
| C000246109 | First Trust Core Investment Grade ETF | FTCB            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** First Trust Exchange-Traded Fund IV

- **b. Investment Company Act file number:** 811-22559

- **c. CIK number of Registrant:** 0001517936

- **d. LEI of Registrant:** 5493006CBTW7P2B31B80

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

  - **Street Address 1:** 120 East Liberty Drive

  - **City:** Wheaton

  - **State:** IL

  - **Foreign country:** US

  - **Zip / Postal Code:** 60187

  - **Telephone number:** 630-765-8000

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

- **a. Name of Series:** First Trust Core Investment Grade ETF

- **b. EDGAR series identifier (if any):** S000082787

- **c. LEI of Series:** 254900YDW62BMWVRZQ85

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

- **a. Date of fiscal year-end:** 2025-07-31

- **b. Date as of which information is reported:** 2025-07-31

**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:** $1454404407.43

**Total Liabilities:** $181237797.32

**Net Assets:** $1273166610.11

**Delayed Delivery Securities:** $17907342.69

**Stand-by Commitments:** $123654550.23

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 235.35238000 | **1-Year:** 43087.07594000 | **5-Year:** 316034.70367000 | **10-Year:** 201403.92756000 | **30-Year:** 21092.81930000

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

- **3-Month:** 121.58579000 | **1-Year:** 4430.24410000 | **5-Year:** 13700.84751000 | **10-Year:** 2099.89783000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000246109 | -0.74%               | 1.86%                | -0.31%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-622970.92              | $-6898503.22                               |
| Month 2  | $483116.68               | $13177048.71                               |
| Month 3  | $490632.66               | $-7232782.48                               |

**Designated Index Information**

- **Index Name:** The Fund's Designated Reference Portfolio is the Fund's Securities Portfolio.

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CHENIERE ENERGY PARTNERS                          | Cheniere Energy Partners LP                                   | CUSIP: 16411QAG6<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2969068.98   | 0.23%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                | Seasoned Loans Structured Transaction Series 2018-2           | CUSIP: 35564CAP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    232804 | PA      | $224808.79    | 0.02%             | 2028-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BSTN Commercial Mortgage Trust                    | BSTN Commercial Mortgage Trust 2025-1C                        | CUSIP: 05615EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1725568.00   | 0.14%             | 2044-06-15      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                                  | Hilton USA Trust                                              | CUSIP: 432826AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1708316.06   | 0.13%             | 2042-07-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B25 Mortgage Trust                             | CUSIP: 08163DAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2700000 | PA      | $2403470.88   | 0.19%             | 2054-04-15      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                 | PRPM 2025-NQM3 Trust                                          | CUSIP: 69382NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2504640.25   | 0.20%             | 2070-05-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                             | CUSIP: 3136BSDB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1002977 | PA      | $945516.28    | 0.07%             | 2033-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2025-3                             | CUSIP: 924928AA2<br>LEI: 213800DYYV3EM7TSTN14 | Long             | ABS-MBS          | CORP              | US        |   1345748 | PA      | $1352291.10   | 0.11%             | 2070-05-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2018-RPL9 Trust                                          | CUSIP: 12654PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    298029 | PA      | $287821.45    | 0.02%             | 2057-09-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                               | CUSIP: 3140XNEN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4327253 | PA      | $4067228.38   | 0.32%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                              | CUSIP: 3133KYVD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    814498 | PA      | $721701.46    | 0.06%             | 2041-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                               | PFS Financing Corp                                            | CUSIP: 69335PFW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1000900.10   | 0.08%             | 2029-04-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                      | Synopsys Inc                                                  | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    750000 | PA      | $740148.62    | 0.06%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                                  | Hilton USA Trust 2016-HHV                                     | CUSIP: 43300LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    845000 | PA      | $830264.30    | 0.07%             | 2038-11-05      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2021-6 Mortgage Loan Trust                               | CUSIP: 12658YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    691152 | PA      | $624347.29    | 0.05%             | 2066-12-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2022-2                              | CUSIP: 89180HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    824488 | PA      | $778042.43    | 0.06%             | 2062-07-01      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                            | CUSIP: 3137HHML2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3438181 | PA      | $2757868.48   | 0.22%             | 2054-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                          | MSCI Inc                                                      | CUSIP: 55354GAL4<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |   8065000 | PA      | $7575912.59   | 0.60%             | 2031-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                    | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137H14D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2178850 | PA      | $47993.32     | 0.00%             | 2028-05-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 91282CMK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $2030507.82   | 0.16%             | 2032-01-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| HPEFS Equipment Trust                             | HPEFS Equipment Trust 2023-2                                  | CUSIP: 44328UAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1001534.80   | 0.08%             | 2031-01-21      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2021-NQM4 Trust                                           | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    284417 | PA      | $240012.66    | 0.02%             | 2061-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 91282CHX2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4000000 | PA      | $4055937.52   | 0.32%             | 2028-08-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | ULTRA U.S. TREASURY BOND                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -2 | NC      | $-2781.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| PRP Advisors, LLC                                 | PRPM 2024-RPL3 LLC                                            | CUSIP: 69381LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    243705 | PA      | $236386.94    | 0.02%             | 2054-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| NY Commercial Mortgage Trust                      | NY Commercial Mortgage Trust 2025-299P                        | CUSIP: 62957FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1520000 | PA      | $1568320.04   | 0.12%             | 2047-02-10      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | US 2YR NOTE (CBT)                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      1116 | NC      | $-356693.29   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| AMRIZE FINANCE US LLC                             | Amrize Finance US LLC                                         | CUSIP: 43475RAD8<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2019042.08   | 0.16%             | 2035-04-07      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                    | Pagaya AI Debt Grantor Trust 2025-2                           | CUSIP: 69545GAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200146 | PA      | $1199376.95   | 0.09%             | 2032-10-15      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON & CO                             | Becton Dickinson & Co                                         | CUSIP: 075887BG3<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |   2525000 | PA      | $2198855.17   | 0.17%             | 2044-12-15      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2019-L2                        | CUSIP: 61768HAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5625504 | PA      | $165183.92    | 0.01%             | 2052-03-15      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Connecticut Avenue Securities Series 2025-R01                 | CUSIP: 20755JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2311471 | PA      | $2311374.06   | 0.18%             | 2045-01-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2020-BNK29                                               | CUSIP: 06541TBL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6912957 | PA      | $377334.10    | 0.03%             | 2053-11-15      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -165 | NC      | $-146953.13   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P                    | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137H73N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    269659 | PA      | $247994.28    | 0.02%             | 2031-12-25      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-1 | CUSIP: 35563PAP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1172978 | PA      | $1097611.72   | 0.09%             | 2056-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2020-BNK29                                               | CUSIP: 06541TBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1477000 | PA      | $1265643.66   | 0.10%             | 2053-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                               | CUSIP: 3140JCRH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3784601 | PA      | $3321607.21   | 0.26%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T                    | Ellington Financial Mortgage Trust 2019-2                     | CUSIP: 31573TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    289000 | PA      | $270983.34    | 0.02%             | 2059-11-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se                    | Wells Fargo Mortgage Backed Securities 2019-1 Trust           | CUSIP: 95001TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124341 | PA      | $118386.47    | 0.01%             | 2048-11-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                          | Vistra Operations Co LLC                                      | CUSIP: 92840VAT9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   1980000 | PA      | $1984894.56   | 0.16%             | 2026-12-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                            | Roper Technologies Inc                                        | CUSIP: 776696AJ5<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1227997.66   | 0.10%             | 2034-10-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | Fannie Mae or Freddie Mac                                     | CUSIP: 01F050692<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2625000 | PA      | $2553413.44   | 0.20%             | 2055-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                | CUSIP: 05581KAG6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2000000 | PA      | $2104047.54   | 0.17%             | 2034-12-05      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        54 | NC      | $27000.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | Fannie Mae or Freddie Mac                                     | CUSIP: 01F032690<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11505000 | PA      | $10264007.42  | 0.81%             | 2055-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                    | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137H1YX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  34258159 | PA      | $1682120.16   | 0.13%             | 2031-06-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| OSCAR US Funding Trust                            | Oscar US Funding XV LLC                                       | CUSIP: 68785CAC5<br>LEI: 353800KY84862IDYBM21 | Long             | ABS-O            | CORP              | JP        |    775000 | PA      | $780280.15    | 0.06%             | 2027-12-10      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 91282CMT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4000000 | PA      | $4002421.88   | 0.31%             | 2032-03-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                      | CUSIP: 38384VNU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    552085 | PA      | $556700.93    | 0.04%             | 2035-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Stratus CLO                                       | Stratus Funding CLO 2025-1 Ltd                                | CUSIP: 863163AC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2250000 | PA      | $2249895.18   | 0.18%             | 2033-07-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| CHARLES RIVER LABORATORI                          | Charles River Laboratories International Inc                  | CUSIP: 159864AG2<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |    975000 | PA      | $919217.91    | 0.07%             | 2029-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2024-HQA2                       | CUSIP: 35564NDY6<br>LEI: 5299002OYNAPMJKK2A73 | Long             | ABS-MBS          | CORP              | US        |    726667 | PA      | $730304.46    | 0.06%             | 2044-08-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | 10 YEAR U.S. ULTRA TREASURY BOND                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -8 | NC      | $-625.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CROWN CASTLE INC                                  | Crown Castle Inc                                              | CUSIP: 22822VAB7<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    175000 | PA      | $174787.72    | 0.01%             | 2026-02-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                             | TRK 2022-INV1 Trust                                           | CUSIP: 872635AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2467919 | PA      | $2294236.23   | 0.18%             | 2057-02-25      | Variable      | 2.58%                 | No            |                  2 | On Loan: No      |
| VMWARE LLC                                        | VMware LLC                                                    | CUSIP: 928563AF2<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    965000 | PA      | $965874.65    | 0.08%             | 2030-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                | CUSIP: 61747YEY7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2450000 | PA      | $2655736.01   | 0.21%             | 2033-10-18      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate                     | Cantor Commercial Real Estate Lending 2019-CF3                | CUSIP: 12529TAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    573582 | PA      | $552854.19    | 0.04%             | 2053-01-15      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                | VICI Properties LP                                            | CUSIP: 925650AJ2<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    278000 | PA      | $279699.24    | 0.02%             | 2028-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                    | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137HHUT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $302189.52    | 0.02%             | 2032-01-25      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | 2 YEAR U.S. TREASURY NOTE                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -194 | NC      | $-36375.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SOLVENTUM CORP                                    | Solventum Corp                                                | CUSIP: 83444MAS0<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |   3040000 | PA      | $3016494.78   | 0.24%             | 2054-04-30      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                          | Vistra Operations Co LLC                                      | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2547290.00   | 0.20%             | 2034-12-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                               | Charles Schwab Corp/The                                       | CUSIP: 808513CE3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2120663.18   | 0.17%             | 2034-05-19      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                             | Northrop Grumman Corp                                         | CUSIP: 666807BT8<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    370000 | PA      | $359991.33    | 0.03%             | 2040-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                                         | IQVIA Inc                                                     | CUSIP: 46266TAB4<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |     65000 | PA      | $66577.55     | 0.01%             | 2028-05-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                               | CUSIP: 3140XFYA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6122009 | PA      | $5759779.34   | 0.45%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SFO Commerical Mortgage Trust                     | SFO Commercial Mortgage Trust 2021-555                        | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3288100 | PA      | $3275575.63   | 0.26%             | 2038-05-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                | BMO 2024-C9 Mortgage Trust                                    | CUSIP: 05593MAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $785487.90    | 0.06%             | 2057-07-15      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                      | CUSIP: 38384X5M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10658153 | PA      | $10621237.60  | 0.83%             | 2054-11-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FLUTTER TREASURY DAC                              | Flutter Treasury DAC                                          | CUSIP: 344045AA7<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |   1105000 | PA      | $1137095.83   | 0.09%             | 2029-04-29      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | 10 YEAR U.S. TREASURY NOTE                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -4 | NC      | $-1250.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                              | CUSIP: 3132DVL78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    595924 | PA      | $520389.44    | 0.04%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                              | FREMF 2018-K156 Mortgage Trust                                | CUSIP: 302957AL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 322026940 | PA      | $1627491.95   | 0.13%             | 2036-07-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | 10 YEAR U.S. ULTRA TREASURY BOND                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -4 | NC      | $-625.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3 | CUSIP: 35563PGG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    377853 | PA      | $362944.36    | 0.03%             | 2057-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                               | Ashtead Capital Inc                                           | CUSIP: 045054AF0<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    750000 | PA      | $744568.66    | 0.06%             | 2027-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                               | Quanta Services Inc                                           | CUSIP: 74762EAF9<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $919760.64    | 0.07%             | 2030-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                              | CUSIP: 3132DVDN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3494984 | PA      | $3327540.81   | 0.26%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                      | CUSIP: 38380XKN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2561782 | PA      | $2249484.89   | 0.18%             | 2048-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | ULTRA U.S. TREASURY BOND                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -26 | NC      | $-4062.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CBAM CLO Management                               | Cbam 2018-7 Ltd                                               | CUSIP: 12482JAC4<br>LEI: 2549002XHTMWO4GGPF51 | Long             | ABS-CBDO         | CORP              | KY        |   1495000 | PA      | $1500971.09   | 0.12%             | 2031-07-20      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| JM SMUCKER CO                                     | J M Smucker Co/The                                            | CUSIP: 832696AX6<br>LEI: 5493000WDH6A0LHDJD55 | Long             | DBT              | CORP              | US        |   6305000 | PA      | $6744932.26   | 0.53%             | 2033-11-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $19826562.40  | 1.56%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TR FINANCE LLC                                    | TR Finance LLC                                                | CUSIP: 87268LAB3<br>LEI: 254900OWSTRTOV8P5W25 | Long             | DBT              | CORP              | US        |   2470000 | PA      | $2512278.20   | 0.20%             | 2040-04-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                                     | United States Treasury Bill                                   | CUSIP: 912797QT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9953736.20   | 0.78%             | 2025-09-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                | Seasoned Loans Structured Transaction Trust Series 2020-2     | CUSIP: 35564CGW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    582296 | PA      | $521593.09    | 0.04%             | 2030-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                    | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137H74E0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1776500 | PA      | $42512.00     | 0.00%             | 2055-04-25      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| AON GLOBAL LTD                                    | Aon Global Ltd                                                | CUSIP: 00185AAH7<br>LEI: VVT2B79I2Z4U3R6BY589 | Long             | DBT              | CORP              | GB        |   1530000 | PA      | $1336840.25   | 0.11%             | 2045-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                              | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    700000 | PA      | $703969.84    | 0.06%             | 2028-07-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| HOUSTON GALLERIA MALL TRUST                       | Houston Galleria Mall Trust 2025-HGLR                         | CUSIP: 44216XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2750000 | PA      | $2795799.33   | 0.22%             | 2045-02-05      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-4 | CUSIP: 35563PML0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    393484 | PA      | $363409.31    | 0.03%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                    | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FNX70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5296573 | PA      | $192015.59    | 0.02%             | 2029-07-25      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                           | Flagstar Mortgage Trust 2018-2                                | CUSIP: 33851HAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2124942 | PA      | $1952484.67   | 0.15%             | 2048-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| STRIP PRINC                                       | United States Treasury Strip Principal                        | CUSIP: 912803DU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14250000 | PA      | $6495440.13   | 0.51%             | 2041-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | Fannie Mae or Freddie Mac                                     | CUSIP: 01F0406A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7598000 | PA      | $7003947.03   | 0.55%             | 2055-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                           | Arthur J Gallagher & Co                                       | CUSIP: 04316JAG4<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |    380000 | PA      | $415426.90    | 0.03%             | 2054-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | Fannie Mae or Freddie Mac                                     | CUSIP: 01F042681<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5666000 | PA      | $5375493.58   | 0.42%             | 2055-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -5 | NC      | $-4687.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SYNOPSYS INC                                      | Synopsys Inc                                                  | CUSIP: 871607AE7<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1506043.02   | 0.12%             | 2035-04-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                   | CUSIP: 68389XCU7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1630000 | PA      | $1469449.45   | 0.12%             | 2054-09-27      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                      | CUSIP: 38385GUG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4280967 | PA      | $3883135.43   | 0.30%             | 2055-05-20      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                | CUSIP: 09659W3D4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2000000 | PA      | $2020194.26   | 0.16%             | 2031-05-09      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| MOLEX ELECTRONICS TECH                            | Molex Electronic Technologies LLC                             | CUSIP: 60856BAF1<br>LEI: 549300WTBVUFUPSIWI20 | Long             | DBT              | CORP              | US        |   4500000 | PA      | $4516139.21   | 0.35%             | 2032-04-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| STRIP PRINC                                       | United States Treasury Strip Principal                        | CUSIP: 912803DK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $7604422.80   | 0.60%             | 2040-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                            | CUSIP: 3137FDBN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2932809 | PA      | $2634863.42   | 0.21%             | 2048-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SODEXO INC                                        | Sodexo Inc                                                    | CUSIP: 833794AD2<br>LEI: 549300WSZGQGJQXRFU84 | Long             | DBT              | CORP              | US        |   5375000 | PA      | $5502182.87   | 0.43%             | 2035-08-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                             | Arroyo Mortgage Trust 2020-1                                  | CUSIP: 04285CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    154477 | PA      | $147185.91    | 0.01%             | 2055-03-25      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| TR FINANCE LLC                                    | TR Finance LLC                                                | CUSIP: 87268LAE7<br>LEI: 254900OWSTRTOV8P5W25 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2533157.15   | 0.20%             | 2035-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                    | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FL2N3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    672695 | PA      | $19198.99     | 0.00%             | 2034-01-25      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                              | CUSIP: 3133KYVT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5767359 | PA      | $5098268.37   | 0.40%             | 2041-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NEW YORK NY CITY TRANSITIONAL                     | NEW YORK CITY TRANSITIONAL FINANCE AUTHORITY                  | CUSIP: 64972JWL8<br>LEI: 5493003476LG35QAKM08 | Long             | DBT              | MUN               | US        |   1640000 | PA      | $1729949.57   | 0.14%             | 2050-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | 2 YEAR U.S. TREASURY NOTE                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -12 | NC      | $-4687.51     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | 10 YEAR U.S. TREASURY NOTE                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -57 | NC      | $-33843.75    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                               | CUSIP: 3140JA3U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4552032 | PA      | $4097543.93   | 0.32%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | 2 YEAR U.S. TREASURY NOTE                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -18 | NC      | $-5625.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| AMCOR FLEXIBLES NORTH AM                          | Amcor Flexibles North America Inc                             | CUSIP: 02344AAE8<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3054555.63   | 0.24%             | 2035-03-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                            | Santander Holdings USA Inc                                    | CUSIP: 80282KBN5<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   2750000 | PA      | $2795521.03   | 0.22%             | 2029-03-20      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                              | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    750000 | PA      | $766109.87    | 0.06%             | 2030-01-23      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Tru                    | Vista Point Securitization Trust 2020-1                       | CUSIP: 92838WAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270000 | PA      | $265352.76    | 0.02%             | 2065-03-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                            | CUSIP: 3137H8WD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10474821 | PA      | $10186473.92  | 0.80%             | 2052-09-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 91282CLM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $1463818.37   | 0.11%             | 2031-09-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                | VICI Properties LP                                            | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |   1295000 | PA      | $1301554.32   | 0.10%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                    | Pagaya AI Debt Grantor Trust 2024-8                           | CUSIP: 69544QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    242813 | PA      | $243312.81    | 0.02%             | 2032-01-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2022-1                              | CUSIP: 89170VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1840041 | PA      | $1740708.58   | 0.14%             | 2062-07-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                    | Pagaya AI Debt Grantor Trust 2024-11                          | CUSIP: 69544AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1149196 | PA      | $1150342.30   | 0.09%             | 2032-07-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                          | Constellation Brands Inc                                      | CUSIP: 21036PBD9<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    820000 | PA      | $748675.95    | 0.06%             | 2048-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2019-INV3                            | CUSIP: 46591LBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    928935 | PA      | $833087.02    | 0.07%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GSMS Trust 2024-Fair                                          | CUSIP: 36270JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    975000 | PA      | $1001182.46   | 0.08%             | 2029-07-15      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                 | Hyatt Hotels Corp                                             | CUSIP: 448579AV4<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |   3250000 | PA      | $3334568.84   | 0.26%             | 2032-03-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                            | CUSIP: 3137H7G31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4189982 | PA      | $3726361.36   | 0.29%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11000000 | PA      | $11086581.99  | 0.87%             | 2028-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust 2                    | JW Trust 2024-BERY                                            | CUSIP: 46676AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1240000 | PA      | $1243394.38   | 0.10%             | 2039-11-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                     | New Residential Mortgage Loan Trust 2018-4                    | CUSIP: 64828FCQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265024 | PA      | $260014.16    | 0.02%             | 2048-01-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                          | OZLM XXIV Ltd                                                 | CUSIP: 67113DAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    660209 | PA      | $661603.29    | 0.05%             | 2032-07-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                        | GLS Auto Receivables Issuer Trust 2024-3                      | CUSIP: 37989AAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $901923.48    | 0.07%             | 2028-04-17      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-1 | CUSIP: 35563PDY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1408518 | PA      | $1188979.28   | 0.09%             | 2057-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                     | Corevest American Finance 2019-3 Trust                        | CUSIP: 21872NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    510030 | PA      | $506605.98    | 0.04%             | 2052-10-15      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                              | CUSIP: 87264ABW4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    405000 | PA      | $380044.02    | 0.03%             | 2031-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL INFO SERV                           | Fidelity National Information Services Inc                    | CUSIP: 31620MBU9<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |    905000 | PA      | $662422.51    | 0.05%             | 2041-03-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                     | Citigroup Commercial Mortgage Trust 2019-GC43                 | CUSIP: 17328HBE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    682857 | PA      | $659687.56    | 0.05%             | 2052-11-10      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 91282CNJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9920312.50   | 0.78%             | 2032-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                      | CUSIP: 38383M3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4857663 | PA      | $4343741.69   | 0.34%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                            | CUSIP: 3137H63G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3754585 | PA      | $3453015.49   | 0.27%             | 2037-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHI Commercial Mortgage Trust                     | CHI Commercial Mortgage Trust 2025-SFT                        | CUSIP: 16706GAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  62200000 | PA      | $625190.86    | 0.05%             | 2042-04-15      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3 | CUSIP: 35563PGD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1533290 | PA      | $1349538.44   | 0.11%             | 2057-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACKAGING CORP OF AMERIC                          | Packaging Corp of America                                     | CUSIP: 695156AX7<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | DBT              | CORP              | US        |   2575000 | PA      | $2680448.98   | 0.21%             | 2033-12-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                           | Arthur J Gallagher & Co                                       | CUSIP: 04316JAF6<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |    395000 | PA      | $431170.92    | 0.03%             | 2034-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MARS INC                                          | Mars Inc                                                      | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1005346.99   | 0.08%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                            | CUSIP: 3137HJFC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8694061 | PA      | $7051225.07   | 0.55%             | 2042-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                   | CUSIP: 68389XAH8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1105000 | PA      | $1150683.52   | 0.09%             | 2039-07-08      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                              | Kraft Heinz Foods Co                                          | CUSIP: 50077LBM7<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1007552.57   | 0.08%             | 2032-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                             | Silver Point CLO 7 LTD                                        | CUSIP: 82808UAA3<br>LEI: 254900UZNMKMPK9GWJ82 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501468.64    | 0.04%             | 2038-01-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                    | Pagaya Ai Debt Trust 2025-R1                                  | CUSIP: 69547CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2607458 | PA      | $2607073.85   | 0.20%             | 2026-05-18      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-1 | CUSIP: 35563PDZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2418671 | PA      | $2268954.24   | 0.18%             | 2057-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                               | Ashtead Capital Inc                                           | CUSIP: 045054AJ2<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |   3255000 | PA      | $3193915.60   | 0.25%             | 2028-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                              | CUSIP: 3132AC3B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4175440 | PA      | $4043838.39   | 0.32%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2022-3                              | CUSIP: 89180NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2769703 | PA      | $2622367.41   | 0.21%             | 2062-08-01      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                        | MFRA 2024-NQM3 Trust                                          | CUSIP: 55287GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5205015 | PA      | $5223387.24   | 0.41%             | 2069-12-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                 | Brown & Brown Inc                                             | CUSIP: 115236AE1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   2615000 | PA      | $2485717.72   | 0.20%             | 2032-03-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                       | HOMES 2024-AFC1 Trust                                         | CUSIP: 403945AC2<br>LEI: 2549009KYOPIDSS2IL61 | Long             | ABS-MBS          | CORP              | US        |   7192961 | PA      | $7162488.10   | 0.56%             | 2059-08-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust                                      | CUSIP: 46593VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5020734.00   | 0.39%             | 2055-11-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor A                    | Research-Driven Pagaya Motor Asset Trust 2023-3               | CUSIP: 76089RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1442332 | PA      | $1446545.97   | 0.11%             | 2032-01-26      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1855000 | PA      | $1849703.49   | 0.15%             | 2030-01-23      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                               | CUSIP: 3136BRLB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    345415 | PA      | $279264.86    | 0.02%             | 2053-04-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2025-SFR1 Trust                          | CUSIP: 74334NAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5493212 | PA      | $5194320.71   | 0.41%             | 2042-02-17      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| RYAN SPECIALTY                                    | Ryan Specialty LLC                                            | CUSIP: 78351GAA3<br>LEI: 549300K52N7QBO3PYY45 | Long             | DBT              | CORP              | US        |   7553000 | PA      | $7580523.13   | 0.60%             | 2032-08-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                      | CUSIP: 38385EPU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7561052 | PA      | $7336660.05   | 0.58%             | 2036-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                | BMO 2024-5C3 Mortgage Trust                                   | CUSIP: 09660QAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5824000 | PA      | $192641.03    | 0.02%             | 2057-02-15      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -10 | NC      | $-156.25      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ELEVANCE HEALTH INC                               | Elevance Health Inc                                           | CUSIP: 94973VBB2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   1475000 | PA      | $1281017.87   | 0.10%             | 2043-01-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                    | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FVEE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8494152 | PA      | $449725.42    | 0.04%             | 2030-06-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| THE 2023-MIC Trust                                | 2023-MIC Trust/THE                                            | CUSIP: 87256GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2060000 | PA      | $2231602.12   | 0.18%             | 2038-12-05      | Variable      | 8.44%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7000000 | PA      | $3404296.84   | 0.27%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -8 | NC      | $-2750.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                            | CUSIP: 3137HFSC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2914692 | PA      | $2886851.74   | 0.23%             | 2054-10-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                    | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FWHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7842103 | PA      | $436803.55    | 0.03%             | 2030-07-25      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2019-6                               | CUSIP: 46651BAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1127256 | PA      | $1051592.35   | 0.08%             | 2049-12-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                              | CUSIP: 31427M5H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5345235 | PA      | $4862352.27   | 0.38%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OSCAR US Funding Trust                            | Oscar US Funding XVII LLC                                     | CUSIP: 68784BAC8<br>LEI: 353800UI8625NXT7ND41 | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $99833.87     | 0.01%             | 2029-03-12      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                              | CUSIP: 3133N3XD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1624215 | PA      | $1243133.29   | 0.10%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | Fannie Mae or Freddie Mac                                     | CUSIP: 01F040693<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9404000 | PA      | $8670580.82   | 0.68%             | 2055-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                               | CUSIP: 31374CR57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    483465 | PA      | $413945.31    | 0.03%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                               | CUSIP: 3140XDWF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8870296 | PA      | $8586909.21   | 0.67%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE REG FINANCE                            | Blackstone Reg Finance Co LLC                                 | CUSIP: 092914AA8<br>LEI: 254900S2G1V55FTA4590 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1483915.47   | 0.12%             | 2034-12-06      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                       | PRKCM 2025-HOME1                                              | CUSIP: 69382FAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    966183 | PA      | $968333.31    | 0.08%             | 2060-02-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                            | CUSIP: 3137FQVN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    395574 | PA      | $382901.01    | 0.03%             | 2050-01-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS INC                              | Verisk Analytics Inc                                          | CUSIP: 92345YAE6<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |    510000 | PA      | $489227.28    | 0.04%             | 2045-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                  | Berry Global Inc                                              | CUSIP: 08576PAL5<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    820000 | PA      | $839248.59    | 0.07%             | 2028-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                 | Brown & Brown Inc                                             | CUSIP: 115236AN1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1025668.01   | 0.08%             | 2055-06-23      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | 5 YEAR U.S. TREASURY NOTE                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -68 | NC      | $-2125.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| DELL INT LLC / EMC CORP                           | Dell International LLC / EMC Corp                             | CUSIP: 24703TAN6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2551819.83   | 0.20%             | 2032-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| HCA INC                                           | HCA Inc                                                       | CUSIP: 404119BY4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    305000 | PA      | $286149.31    | 0.02%             | 2039-06-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                  | CUSIP: 06738EBD6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   2330000 | PA      | $2352201.73   | 0.18%             | 2029-05-16      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                    | Pagaya AI Debt Trust 2025-4                                   | CUSIP: 69547DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1004819.40   | 0.08%             | 2033-01-17      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                  | THREE-MONTH SOFR                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -118 | NC      | $-76700.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | 5 YEAR U.S. TREASURY NOTE                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -74 | NC      | $-18500.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ABBVIE INC                                        | AbbVie Inc                                                    | CUSIP: 00287YAM1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    395000 | PA      | $346067.88    | 0.03%             | 2042-11-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                               | Elevance Health Inc                                           | CUSIP: 036752BE2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    100000 | PA      | $95549.90     | 0.01%             | 2055-02-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                     | Corevest American Finance 2021-1 Trust                        | CUSIP: 21873LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    239856 | PA      | $234009.88    | 0.02%             | 2053-04-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                        | AbbVie Inc                                                    | CUSIP: 00287YEB1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $993778.29    | 0.08%             | 2055-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                               | CUSIP: 31418AXL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1134093 | PA      | $1048961.65   | 0.08%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-4 | CUSIP: 35563PHF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    574719 | PA      | $552705.22    | 0.04%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                    | Pagaya AI Debt Grantor Trust 2025-5                           | CUSIP: 69548WAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2503647.00   | 0.20%             | 2033-03-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -28 | NC      | $-41125.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| STAR 2025-SFR5 Trust                              | STAR 2025-SFR5 Trust                                          | CUSIP: 85520CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5007094.00   | 0.39%             | 2042-02-17      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                 | PRPM 2025-NQM2 Trust                                          | CUSIP: 693983AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2935744 | PA      | $2945276.51   | 0.23%             | 2070-04-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 91282CMN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8000000 | PA      | $8067500.00   | 0.63%             | 2028-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                               | CUSIP: 31418DPK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2138943 | PA      | $1730606.67   | 0.14%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                    | BBCMS Mortgage Trust 2023-C20                                 | CUSIP: 07336DAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1392000 | PA      | $1439936.03   | 0.11%             | 2056-07-15      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                      | CUSIP: 38383FS53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6850986 | PA      | $6994552.60   | 0.55%             | 2052-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                  | Crown Castle Inc                                              | CUSIP: 22822VAX9<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    865000 | PA      | $618947.39    | 0.05%             | 2041-04-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                             | CUSIP: 3136BPEZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4481737 | PA      | $4326501.14   | 0.34%             | 2052-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                             | Silver Point CLO 9 Ltd                                        | CUSIP: 82809VAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1506315.39   | 0.12%             | 2038-03-31      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                               | CUSIP: 3140XGEU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4546225 | PA      | $4414055.84   | 0.35%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | 5 YEAR U.S. TREASURY NOTE                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -35 | NC      | $-6015.63     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -108 | NC      | $-64125.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P                    | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FREM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5200000 | PA      | $284281.92    | 0.02%             | 2030-01-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -233 | NC      | $-538812.50   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| SYNOPSYS INC                                      | Synopsys Inc                                                  | CUSIP: 871607AC1<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    400000 | PA      | $404660.39    | 0.03%             | 2030-04-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                           | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2940000 | PA      | $2958765.90   | 0.23%             | 2033-07-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                               | CUSIP: 3140JCET7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1712858 | PA      | $1599846.87   | 0.13%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                               | CUSIP: 3138WFP59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2122496 | PA      | $1993733.81   | 0.16%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | 10 YEAR U.S. TREASURY NOTE                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -26 | NC      | $-4875.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                            | CUSIP: 3137BTEH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1465459 | PA      | $1195078.17   | 0.09%             | 2053-04-15      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2024-277P Mortgage Trust                                 | CUSIP: 12654FAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7850000 | PA      | $207636.43    | 0.02%             | 2044-08-10      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -4 | NC      | $-2750.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Santander Mortgage Asset Recei                    | Santander Mortgage Asset Receivable Trust 2025-NQM2           | CUSIP: 802638AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3363400 | PA      | $3374494.70   | 0.27%             | 2065-02-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                 | PRPM 2025-RPL4 LLC                                            | CUSIP: 74448NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2154526 | PA      | $2011674.12   | 0.16%             | 2055-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                          | MSCI Inc                                                      | CUSIP: 55354GAH3<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    550000 | PA      | $531627.42    | 0.04%             | 2029-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust                    | MSWF Commercial Mortgage Trust 2023-1                         | CUSIP: 55376CAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  40348052 | PA      | $2081535.84   | 0.16%             | 2056-05-15      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | Fannie Mae or Freddie Mac                                     | CUSIP: 01F022683<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165000 | PA      | $135223.83    | 0.01%             | 2055-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2024-DNA2                       | CUSIP: 35564NCW1<br>LEI: 529900GRKKKHILZX4347 | Long             | ABS-MBS          | CORP              | US        |   5686486 | PA      | $5713196.25   | 0.45%             | 2044-05-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| UNIVERSAL HEALTH SVCS                             | Universal Health Services Inc                                 | CUSIP: 913903AW0<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |   2710000 | PA      | $2398493.28   | 0.19%             | 2030-10-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Fun                    | Gracie Point International Funding 2024-1 LLC                 | CUSIP: 38410KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    832000 | PA      | $833618.41    | 0.07%             | 2028-03-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                               | CUSIP: 3140W1MP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10476047 | PA      | $10132167.73  | 0.80%             | 2050-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SKY1 Trust                                        | SKY Trust 2025-LINE                                           | CUSIP: 830941AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2727966 | PA      | $2741267.90   | 0.22%             | 2042-04-15      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                        | CUSIP: 91324PFR8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3002561.43   | 0.24%             | 2055-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                                     | United States Treasury Bill                                   | CUSIP: 912797MG9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9992894.60   | 0.78%             | 2025-08-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real E                    | FARM 2024-2 Mortgage Trust                                    | CUSIP: 307910AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    327067 | PA      | $321659.46    | 0.03%             | 2054-08-01      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                               | Quanta Services Inc                                           | CUSIP: 74762EAL6<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   3370000 | PA      | $3407390.62   | 0.27%             | 2034-08-09      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                    | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FNWZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2897050 | PA      | $25162.03     | 0.00%             | 2026-07-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                | Seasoned Loans Structured Transaction Trust Series 2024-2     | CUSIP: 35564CSK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    953789 | PA      | $970085.03    | 0.08%             | 2034-10-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                                         | IQVIA Inc                                                     | CUSIP: 46266TAC2<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3072810.00   | 0.24%             | 2028-05-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                          | AT&T Inc                                                      | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    355000 | PA      | $236299.51    | 0.02%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                               | CUSIP: 3140JBEB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9431531 | PA      | $8125867.83   | 0.64%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                              | CUSIP: 3132DTPN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15975812 | PA      | $15227941.45  | 1.20%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                      | CUSIP: 38383FN90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6965655 | PA      | $7111410.38   | 0.56%             | 2052-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CROWDSTRIKE HOLDINGS INC                          | Crowdstrike Holdings Inc                                      | CUSIP: 22788CAA3<br>LEI: 549300YBY08K9KM4HX32 | Long             | DBT              | CORP              | US        |   4550000 | PA      | $4262659.31   | 0.33%             | 2029-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $258626.95    | 0.02%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2019-HY2                            | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1966707 | PA      | $2013274.11   | 0.16%             | 2058-05-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7000000 | PA      | $7103906.25   | 0.56%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | Fannie Mae or Freddie Mac                                     | CUSIP: 01F0526A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1814000 | PA      | $1801916.17   | 0.14%             | 2055-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | 10 YEAR U.S. ULTRA TREASURY BOND                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -14 | NC      | $-14437.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| TENN VALLEY AUTHORITY                             | Tennessee Valley Authority                                    | CUSIP: 880591FC1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |  14121000 | PA      | $13704434.45  | 1.08%             | 2055-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -213 | NC      | $-6656.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2025-SFR3 Trust                          | CUSIP: 74334BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2600000 | PA      | $2434225.04   | 0.19%             | 2042-07-17      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2017-GS5                         | CUSIP: 36252HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    377297 | PA      | $373709.13    | 0.03%             | 2050-03-10      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | US 10YR NOTE (CBT)                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -34 | NC      | $-12249.99    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                          | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $1131541.91   | 0.09%             | 2030-02-07      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Chase Auto Owner Trust                            | Chase Auto Owner Trust 2022-A                                 | CUSIP: 16144JAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    876000 | PA      | $872252.03    | 0.07%             | 2028-03-27      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| Farmer Mac Agricultural Real E                    | FARM 2024-1 Mortgage Trust                                    | CUSIP: 30335JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2788864 | PA      | $2662891.01   | 0.21%             | 2053-10-01      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2025-BNK49                                               | CUSIP: 05494FBY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  53522539 | PA      | $2555936.71   | 0.20%             | 2058-03-15      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                    | BRAVO Residential Funding Trust 2022-NQM3                     | CUSIP: 10569FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1126641 | PA      | $1095014.94   | 0.09%             | 2061-09-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                    | Home Partners of America 2020-2 Trust                         | CUSIP: 437301AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    963360 | PA      | $868585.60    | 0.07%             | 2041-01-17      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                            | Marriott International Inc/MD                                 | CUSIP: 571903BT9<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    600000 | PA      | $607391.69    | 0.05%             | 2032-04-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2017-6                               | CUSIP: 46649HAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    707035 | PA      | $638598.01    | 0.05%             | 2048-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2019-C49                | CUSIP: 95001WBC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  27489002 | PA      | $905886.33    | 0.07%             | 2052-03-15      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                                     | United States Treasury Bill                                   | CUSIP: 912797RE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $19793126.60  | 1.55%             | 2025-10-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $270890.63    | 0.02%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    395000 | PA      | $308748.04    | 0.02%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Trust 2021-ARIA                                            | CUSIP: 05608RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1480000 | PA      | $1479986.24   | 0.12%             | 2036-10-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential                     | Starwood Mortgage Residential Trust 2022-3                    | CUSIP: 85571RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1133404 | PA      | $1108504.03   | 0.09%             | 2067-03-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                    | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137HDUZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 116788000 | PA      | $2874770.49   | 0.23%             | 2034-06-25      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                             | CUSIP: 3136BTLF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3337447 | PA      | $3315780.79   | 0.26%             | 2054-07-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                    | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137HH6B2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    919000 | PA      | $48105.93     | 0.00%             | 2031-08-25      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                            | CUSIP: 3137BKYF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2609319 | PA      | $2232090.99   | 0.18%             | 2045-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2022-INV1                          | CUSIP: 92539JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2013240 | PA      | $2002490.83   | 0.16%             | 2067-08-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                           | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc   | CUSIP: 03522AAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    655000 | PA      | $599305.99    | 0.05%             | 2046-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | Fannie Mae or Freddie Mac                                     | CUSIP: 01F060683<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2144000 | PA      | $2173969.00   | 0.17%             | 2055-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2019-INV1                            | CUSIP: 46591DBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    229981 | PA      | $220805.64    | 0.02%             | 2049-09-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | Fannie Mae or Freddie Mac                                     | CUSIP: 01F032682<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -2013000 | PA      | $-1798540.27  | -0.14%            | 2055-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                   | CUSIP: 68389XCJ2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    400000 | PA      | $430705.61    | 0.03%             | 2032-11-09      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                                | Alcon Finance Corp                                            | CUSIP: 01400EAE3<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |    910000 | PA      | $934938.76    | 0.07%             | 2032-12-06      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                    | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137HHUL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22349000 | PA      | $717581.69    | 0.06%             | 2034-11-25      | Variable      | 0.37%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -99 | NC      | $-131484.38   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    695000 | PA      | $450202.54    | 0.04%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                    | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FMTU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  26574169 | PA      | $1370791.29   | 0.11%             | 2034-04-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                    | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137HHJ44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4437000 | PA      | $308477.54    | 0.02%             | 2034-09-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| HCA INC                                           | HCA Inc                                                       | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   3035000 | PA      | $2976179.94   | 0.23%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                   | CUSIP: 68389XDB8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2450788.93   | 0.19%             | 2055-08-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                    | Pagaya Ai Debt Grantor Trust 2024-9                           | CUSIP: 69546QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    329689 | PA      | $329440.13    | 0.03%             | 2032-03-15      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | Fannie Mae or Freddie Mac                                     | CUSIP: 01F042699<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -5675000 | PA      | $-5381815.31  | -0.42%            | 2055-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2019-INV1                            | CUSIP: 46591DAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1639556 | PA      | $1589351.75   | 0.12%             | 2049-09-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                  | CUSIP: 902613BQ0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   2500000 | PA      | $2547242.75   | 0.20%             | 2036-05-09      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | 10 YEAR U.S. TREASURY NOTE                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -72 | NC      | $-21375.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| THE CAMPBELLS COMPANY                             | The Campbell's Company                                        | CUSIP: 134429BP3<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |   1470000 | PA      | $1485374.63   | 0.12%             | 2034-03-21      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| LV Trust                                          | Fashion Show Mall LLC                                         | CUSIP: 50245XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2225000 | PA      | $2234762.41   | 0.18%             | 2041-10-10      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                               | Sound Point CLO XXVIII Ltd                                    | CUSIP: 83615CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    847961 | PA      | $849237.08    | 0.07%             | 2032-01-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                    | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FWG95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  34060943 | PA      | $1803101.15   | 0.14%             | 2030-06-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                 | Battalion CLO XXIV Ltd                                        | CUSIP: 07135JAJ0<br>LEI: 549300ALTGBNQDUY5038 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2004021.15   | 0.16%             | 2036-07-14      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                             | CUSIP: 3136BMY69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9856982 | PA      | $7169821.78   | 0.56%             | 2042-06-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                             | Duke Energy Carolinas LLC                                     | CUSIP: 26442CAH7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |   2340000 | PA      | $2331594.44   | 0.18%             | 2040-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                               | CUSIP: 3140FXGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    256627 | PA      | $253369.17    | 0.02%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                   | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $899327.17    | 0.07%             | 2033-02-24      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                    | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137HH6L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    325000 | PA      | $326617.01    | 0.03%             | 2032-01-25      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                           | Arthur J Gallagher & Co                                       | CUSIP: 04316JAN9<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |   1330000 | PA      | $1322999.51   | 0.10%             | 2035-02-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                          | Constellation Brands Inc                                      | CUSIP: 21036PBS6<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2011634.30   | 0.16%             | 2030-05-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                               | CUSIP: 3140JCRV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4809228 | PA      | $4447719.39   | 0.35%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2025-NQM6 Trust                                           | CUSIP: 67448UAA0<br>LEI: 254900W46UQEWQMYYZ02 | Long             | ABS-MBS          | CORP              | US        |   2343708 | PA      | $2348359.24   | 0.18%             | 2065-03-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                    | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137F62P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8373795 | PA      | $331835.06    | 0.03%             | 2030-09-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                          | Florida Power & Light Co                                      | CUSIP: 341081GM3<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |   3155000 | PA      | $3020701.27   | 0.24%             | 2053-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Series 2019-UVIL                                         | CUSIP: 12656DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1199671.46   | 0.09%             | 2041-12-15      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -7 | NC      | $-1531.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SOLVENTUM CORP                                    | Solventum Corp                                                | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |   4555000 | PA      | $4673834.35   | 0.37%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                 | PRPM 2023-NQM3 Trust                                          | CUSIP: 69380TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    737908 | PA      | $741029.64    | 0.06%             | 2068-11-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                    | Freddie Mac Multiclass Certificates Series 2020-RR14          | CUSIP: 3137F85E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5778199 | PA      | $780078.82    | 0.06%             | 2034-03-27      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                             | Amrize Finance US LLC                                         | CUSIP: 43475RAC0<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2020773.14   | 0.16%             | 2030-04-07      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -8 | NC      | $-15125.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P                    | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FFXM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16680447 | PA      | $234473.71    | 0.02%             | 2031-01-25      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Sec                    | Arbor Multifamily Mortgage Securities Trust 2020-MF1          | CUSIP: 03881BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    772250 | PA      | $710594.02    | 0.06%             | 2053-05-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                | Seasoned Loans Structured Transaction Trust Series 2019-2     | CUSIP: 35564CCZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    449879 | PA      | $424793.84    | 0.03%             | 2029-09-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-RPL6 Trust                                          | CUSIP: 12657GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    398921 | PA      | $359029.97    | 0.03%             | 2060-10-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                     | Corevest American Finance 2020-2 Trust                        | CUSIP: 21872VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10196 | PA      | $10129.61     | 0.00%             | 2052-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Rockland Park CLO Ltd                             | Rockland Park CLO Ltd                                         | CUSIP: 773663AJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2001500.00   | 0.16%             | 2038-07-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9782031.20   | 0.77%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| STRIP PRINC                                       | United States Treasury Strip Principal                        | CUSIP: 912803DZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8000000 | PA      | $3432974.24   | 0.27%             | 2042-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-2 | CUSIP: 35563PKG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3703075 | PA      | $3537393.50   | 0.28%             | 2058-08-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                        | MFA 2023-INV2 Trust                                           | CUSIP: 59319BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1705889 | PA      | $1721226.27   | 0.14%             | 2058-10-25      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                     | GS Mortgage-Backed Securities Trust 2022-LTV2                 | CUSIP: 36266VAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9000000 | PA      | $6317025.30   | 0.50%             | 2052-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $4985546.90   | 0.39%             | 2030-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                          | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3170000 | PA      | $3121963.53   | 0.25%             | 2033-04-27      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -31 | NC      | $-6296.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2025-NQM13 Trust                                          | CUSIP: 67121UAA4<br>LEI: 254900FPAGVH6E25VL74 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2000920.00   | 0.16%             | 2065-05-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2020-BNK26                                               | CUSIP: 06540JBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4808681 | PA      | $196718.80    | 0.02%             | 2063-03-15      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| FNA VI LLC                                        | FNA VI LLC                                                    | CUSIP: 34411YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    655694 | PA      | $609138.90    | 0.05%             | 2032-01-10      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -83 | NC      | $-33718.75    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Steele Creek CLO Ltd                              | Steele Creek Clo 2018-1 Ltd                                   | CUSIP: 85815CAC3<br>LEI: 5493003MADGN3MR3LO39 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250694.80    | 0.02%             | 2031-04-15      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES PWR-MINN                          | Northern States Power Co/MN                                   | CUSIP: 665772DA4<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3006965.88   | 0.24%             | 2055-05-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                    | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137F72R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  72061672 | PA      | $3058016.33   | 0.24%             | 2030-10-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                   | CUSIP: 38141GB60<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1305000 | PA      | $1304351.90   | 0.10%             | 2030-10-23      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| HCA INC                                           | HCA Inc                                                       | CUSIP: 404121AH8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    765000 | PA      | $768292.47    | 0.06%             | 2026-09-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                    | BBCMS 2018-TALL Mortgage Trust                                | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3145000 | PA      | $2993543.40   | 0.24%             | 2037-03-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                              | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1499270.55   | 0.12%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                               | CUSIP: 31374CR81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    470201 | PA      | $420156.43    | 0.03%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                       | PRKCM 2025-HOME1                                              | CUSIP: 69382FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2275360 | PA      | $2276009.32   | 0.18%             | 2060-02-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                   | Venture XIX CLO Ltd                                           | CUSIP: 92330EAP2<br>LEI: 549300KIDQKDB48YU144 | Long             | ABS-CBDO         | CORP              | KY        |    247819 | PA      | $248435.62    | 0.02%             | 2032-01-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4000000 | PA      | $2999218.76   | 0.24%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| American Heritage Auto Receiva                    | American Heritage Auto Receivables Trust 2024-1               | CUSIP: 026944AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    640000 | PA      | $641917.18    | 0.05%             | 2029-09-17      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ABC SUPPLY CO INC                                 | American Builders & Contractors Supply Co Inc                 | CUSIP: 024747AF4<br>LEI: 549300H5GQ4C1BEKG397 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2922618.30   | 0.23%             | 2028-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRIP PRINC                                       | United States Treasury Strip Principal                        | CUSIP: 912803DY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7000000 | PA      | $3049637.85   | 0.24%             | 2042-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | 10 YEAR U.S. TREASURY NOTE                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -37 | NC      | $-14453.13    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                             | CUSIP: 3136BSSN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    956452 | PA      | $959375.18    | 0.08%             | 2035-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | ULTRA U.S. TREASURY BOND                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -4 | NC      | $-1062.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| OPEN TEXT CORP                                    | Open Text Corp                                                | CUSIP: 683715AF3<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |   4895000 | PA      | $5058718.17   | 0.40%             | 2027-12-01      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust Series 2025-3                        | CUSIP: 46593RAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5150000 | PA      | $5146561.35   | 0.40%             | 2055-09-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-2 | CUSIP: 35563PKJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7558761 | PA      | $6981118.75   | 0.55%             | 2058-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS INC                              | Verisk Analytics Inc                                          | CUSIP: 92345YAL0<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2001652.44   | 0.16%             | 2035-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    510000 | PA      | $466869.14    | 0.04%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Bank                                              | Bank 2019-BNK19                                               | CUSIP: 06540WBH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  28999484 | PA      | $900819.67    | 0.07%             | 2061-08-15      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                    | BRAVO Residential Funding Trust 2019-1                        | CUSIP: 10568GAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $421116.25    | 0.03%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                   | Cigna Group/The                                               | CUSIP: 125523CF5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   1750000 | PA      | $1512995.12   | 0.12%             | 2046-07-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                 | PRPM 2024-RPL4 LLC                                            | CUSIP: 74448MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    563178 | PA      | $546812.58    | 0.04%             | 2054-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 91282CNL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7000000 | PA      | $6974296.84   | 0.55%             | 2027-06-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | Fannie Mae or Freddie Mac                                     | CUSIP: 01F060691<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    715000 | PA      | $724268.16    | 0.06%             | 2055-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                           | Arthur J Gallagher & Co                                       | CUSIP: 04316JAJ8<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38738.60     | 0.00%             | 2054-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2017-C41                | CUSIP: 95001ABE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12720181 | PA      | $256178.09    | 0.02%             | 2050-11-15      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                               | American Express Co                                           | CUSIP: 025816DN6<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    365000 | PA      | $396181.84    | 0.03%             | 2031-10-30      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                 | PRPM 2025-RPL3 LLC                                            | CUSIP: 69392NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    959618 | PA      | $918693.93    | 0.07%             | 2055-04-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                               | American Express Co                                           | CUSIP: 025816EH8<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3113841.03   | 0.24%             | 2036-04-25      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| NYO Commercial Mortgage Trust                     | NYO Commercial Mortgage Trust 2021-1290                       | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3100000 | PA      | $3098647.78   | 0.24%             | 2038-11-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 91282CMW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4000000 | PA      | $3985468.76   | 0.31%             | 2028-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                  | Berry Global Inc                                              | CUSIP: 08576PAQ4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    300000 | PA      | $310247.41    | 0.02%             | 2034-01-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                       | Gartner Inc                                                   | CUSIP: 366651AG2<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |   1065000 | PA      | $1010889.91   | 0.08%             | 2029-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FACTSET RESEARCH SYSTEMS                          | FactSet Research Systems Inc                                  | CUSIP: 303075AB1<br>LEI: 549300ZSJE7NBK6K9P30 | Long             | DBT              | CORP              | US        |   1850000 | PA      | $1687351.81   | 0.13%             | 2032-03-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                         | CIM Trust 2019-INV3                                           | CUSIP: 12557LAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3462194 | PA      | $3266236.99   | 0.26%             | 2049-08-25      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| SMURFIT KAPPA TREASURY                            | Smurfit Kappa Treasury ULC                                    | CUSIP: 83272GAD3<br>LEI: 635400B3DOXSWFOWJT40 | Long             | DBT              | CORP              | IE        |    845000 | PA      | $866234.85    | 0.07%             | 2030-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| CITADEL SECURITIES GLOBA                          | Citadel Securities Global Holdings LLC                        | CUSIP: 17289RAA4<br>LEI: 549300NV5RXBUS3X7L47 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $4036965.88   | 0.32%             | 2030-06-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | Fannie Mae or Freddie Mac                                     | CUSIP: 01F050684<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8578000 | PA      | $8350100.21   | 0.66%             | 2055-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 91282CLX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2900000 | PA      | $2913083.99   | 0.23%             | 2027-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                               | Ashtead Capital Inc                                           | CUSIP: 045054AS2<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2568406.88   | 0.20%             | 2034-04-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                 | Brown & Brown Inc                                             | CUSIP: 115236AF8<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $856463.88    | 0.07%             | 2052-03-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-2 | CUSIP: 35563PBC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1734597 | PA      | $1613583.41   | 0.13%             | 2056-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                             | CUSIP: 3136B47H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138741 | PA      | $134922.72    | 0.01%             | 2049-07-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                           | United Rentals North America Inc                              | CUSIP: 911365BQ6<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |   4765000 | PA      | $4854062.62   | 0.38%             | 2029-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RUN NQM TRUST                                     | RUN 2022-NQM1 Trust                                           | CUSIP: 74981CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3779036 | PA      | $3686792.53   | 0.29%             | 2067-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                           | HCA Inc                                                       | CUSIP: 404119CL1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1085000 | PA      | $867777.03    | 0.07%             | 2052-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Capital Street Master Trust                       | Capital Street Master Trust                                   | CUSIP: 14051LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2500000.00   | 0.20%             | 2029-08-16      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                    | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FQKM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    392208 | PA      | $377627.26    | 0.03%             | 2029-06-25      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | 5 YEAR U.S. TREASURY NOTE                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -4 | NC      | $-62.50       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P                    | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18922884 | PA      | $1167475.69   | 0.09%             | 2030-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2019-AFC1 Trust                                          | CUSIP: 12596XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    207081 | PA      | $199343.10    | 0.02%             | 2049-07-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                   | United States Treasury Inflation Indexed Bonds                | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6000000 | PA      | $7078159.00   | 0.56%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 91282CNF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1999375.00   | 0.16%             | 2032-05-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                     | Citigroup Commercial Mortgage Trust 2018-C5                   | CUSIP: 17291DAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    585049 | PA      | $575506.04    | 0.05%             | 2051-06-10      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                                | Alcon Finance Corp                                            | CUSIP: 01400EAF0<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |   2265000 | PA      | $2262604.72   | 0.18%             | 2052-12-06      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                               | CUSIP: 3140XDYJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355290 | PA      | $324524.93    | 0.03%             | 2050-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                     | AppLovin Corp                                                 | CUSIP: 03831WAC2<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |   3855000 | PA      | $3929738.66   | 0.31%             | 2031-12-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2018-C47                | CUSIP: 95002DBR9<br>LEI: 549300VHRKFNCWVN9Y77 | Long             | ABS-MBS          | CORP              | US        |   2737274 | PA      | $2696509.69   | 0.21%             | 2061-09-15      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2019-RPL1 Trust                                          | CUSIP: 36167CAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    505210 | PA      | $489438.06    | 0.04%             | 2068-10-25      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Tr                    | GLS Auto Select Receivables Trust 2023-1                      | CUSIP: 36267FAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1260058.63   | 0.10%             | 2028-10-16      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| TRANS-ALLEGHENY INTERSTA                          | Trans-Allegheny Interstate Line Co                            | CUSIP: 893045AF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1419296.38   | 0.11%             | 2031-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -18 | NC      | $-13218.75    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CoreVest American Finance Ltd                     | Corevest American Finance 2020-1 Trust                        | CUSIP: 21872UAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    141794 | PA      | $133229.57    | 0.01%             | 2050-03-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                | Conagra Brands Inc                                            | CUSIP: 205887CL4<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |   4143000 | PA      | $4154867.37   | 0.33%             | 2035-08-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MOLSON COORS BEVERAGE                             | Molson Coors Beverage Co                                      | CUSIP: 60871RAH3<br>LEI: 54930073LBBH6ZCBE225 | Long             | DBT              | CORP              | US        |   1145000 | PA      | $908424.54    | 0.07%             | 2046-07-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                 | PRPM 2024-RPL2 LLC                                            | CUSIP: 69381DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    781303 | PA      | $754751.97    | 0.06%             | 2054-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-2 | CUSIP: 35563PKD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2779182 | PA      | $2443346.38   | 0.19%             | 2058-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                   | OHA Credit Funding 15-R Ltd                                   | CUSIP: 67121NAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2200000 | PA      | $2206050.00   | 0.17%             | 2038-07-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                               | CUSIP: 3140JCLB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    345785 | PA      | $313014.37    | 0.02%             | 2048-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | Fannie Mae or Freddie Mac                                     | CUSIP: 01F052680<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2076000 | PA      | $2065333.51   | 0.16%             | 2055-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate                     | Cantor Commercial Real Estate Lending 2019-CF1                | CUSIP: 12529MAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    559013 | PA      | $538620.89    | 0.04%             | 2052-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                               | CUSIP: 3140W0U86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5251959 | PA      | $4877389.72   | 0.38%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-4 | CUSIP: 35563PMF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    575225 | PA      | $528069.98    | 0.04%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                    | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FL2M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    217105 | PA      | $202444.68    | 0.02%             | 2034-01-25      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                          | Duke Energy Progress LLC                                      | CUSIP: 26442UAV6<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $979130.21    | 0.08%             | 2055-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -10 | NC      | $-3906.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2022-C62                | CUSIP: 95003MBS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2950000 | PA      | $2775893.95   | 0.22%             | 2055-04-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2025-DNA1                       | CUSIP: 35564NFY4<br>LEI: 529900WZAMS87JCAOC53 | Long             | ABS-MBS          | CORP              | US        |   1475000 | PA      | $1476750.38   | 0.12%             | 2045-01-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                 | Brown & Brown Inc                                             | CUSIP: 115236AG6<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   3245000 | PA      | $3305430.86   | 0.26%             | 2034-06-11      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                    | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FREK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9989375 | PA      | $406945.17    | 0.03%             | 2030-01-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                          | Sabine Pass Liquefaction LLC                                  | CUSIP: 785592AV8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    205000 | PA      | $205999.91    | 0.02%             | 2026-06-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                              | CUSIP: 3132AEQR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17712529 | PA      | $16859749.49  | 1.32%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -13 | NC      | $-609.38      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | 10 YEAR U.S. TREASURY NOTE                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -59 | NC      | $-25812.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chase Mortgage Finance Corpora                    | Chase Home Lending Mortgage Trust 2019-ATR2                   | CUSIP: 16159GAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380265 | PA      | $350550.27    | 0.03%             | 2049-07-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Connecticut Avenue Securities Trust 2024-R05                  | CUSIP: 20754XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2360202 | PA      | $2364405.33   | 0.19%             | 2044-07-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                             | CUSIP: 3136ALDV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3908301 | PA      | $3509380.44   | 0.28%             | 2044-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                              | CUSIP: 87264ACW3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    595000 | PA      | $573333.33    | 0.05%             | 2053-01-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -8 | NC      | $-4625.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Pagaya AI Debt Selection Trust                    | Pagaya AI Debt Grantor Trust 2025-1                           | CUSIP: 69544NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4999573 | PA      | $5007488.92   | 0.39%             | 2032-07-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                    | Pagaya AI Debt Grantor Trust 2024-10                          | CUSIP: 69544MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1036461 | PA      | $1039049.46   | 0.08%             | 2032-06-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| DTE ELECTRIC CO                                   | DTE Electric Co                                               | CUSIP: 23338VAZ9<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    500000 | PA      | $523111.68    | 0.04%             | 2055-05-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                      | CUSIP: 38385G2J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5366780 | PA      | $5055703.49   | 0.40%             | 2055-06-20      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                      | CUSIP: 38382TZP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5192506 | PA      | $5268605.79   | 0.41%             | 2051-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MSILF Treasury Portfolio                          | MSILF Treasury Portfolio                                      | CUSIP: 61747C582<br>LEI: 549300D1XR6GP7EZ0T47 | Long             | STIV             | RF                | US        |  20501721 | NS      | $20501720.82  | 1.61%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                   | CUSIP: 38141GZU1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1190000 | PA      | $1190067.26   | 0.09%             | 2028-08-23      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust                      | METLIFE SECURITIZATION TRUST 2018-1                           | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    342156 | PA      | $331775.46    | 0.03%             | 2057-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                               | CUSIP: 3138ETKN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4019285 | PA      | $3598952.38   | 0.28%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                      | Centene Corp                                                  | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   2250000 | PA      | $1961135.55   | 0.15%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3900000 | PA      | $3773859.38   | 0.30%             | 2044-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NASDAQ INC                                        | Nasdaq Inc                                                    | CUSIP: 63111XAK7<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |   1315000 | PA      | $1337456.15   | 0.11%             | 2053-08-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                               | PFS Financing Corp                                            | CUSIP: 69335PFY6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1501447.05   | 0.12%             | 2030-05-15      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| ZIMMER BIOMET HOLDINGS                            | Zimmer Biomet Holdings Inc                                    | CUSIP: 98956PAZ5<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Long             | DBT              | CORP              | US        |    670000 | PA      | $672818.65    | 0.05%             | 2034-09-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| WASTE MANAGEMENT INC                              | Waste Management Inc                                          | CUSIP: 94106LBK4<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |    535000 | PA      | $435407.30    | 0.03%             | 2049-07-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                             | CUSIP: 3136BUDS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18116095 | PA      | $18066393.23  | 1.42%             | 2054-11-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 91282CHA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5500000 | PA      | $5444355.46   | 0.43%             | 2028-04-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VERALTO CORP                                      | Veralto Corp                                                  | CUSIP: 92338CAF0<br>LEI: 635400FJE6GSOJUSNY27 | Long             | DBT              | CORP              | US        |   3095000 | PA      | $3179382.08   | 0.25%             | 2033-09-18      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                             | CUSIP: 3136BPAQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4912703 | PA      | $4752418.14   | 0.37%             | 2052-10-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                     | New Residential Mortgage Loan Trust 2016-3                    | CUSIP: 64829HAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2057090 | PA      | $1998254.97   | 0.16%             | 2056-09-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                          | Marsh & McLennan Cos Inc                                      | CUSIP: 571748CE0<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    785000 | PA      | $760920.60    | 0.06%             | 2044-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2020-C58                | CUSIP: 95002UAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    317843 | PA      | $281476.45    | 0.02%             | 2053-07-15      | Fixed         | 1.81%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                  | Berry Global Inc                                              | CUSIP: 08576PAK7<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |     45000 | PA      | $46056.33     | 0.00%             | 2028-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3500000 | PA      | $2547070.33   | 0.20%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                    | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FQ4B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23810637 | PA      | $701497.07    | 0.06%             | 2029-10-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Chase Auto Owner Trust                            | Chase Auto Owner Trust 2024-1                                 | CUSIP: 16144BAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     95000 | PA      | $96499.46     | 0.01%             | 2029-10-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2025-4 Mortgage Loan Trust                               | CUSIP: 12674HAA0<br>LEI: 2138002WIT3BHLQD3E93 | Long             | ABS-MBS          | CORP              | US        |   1926639 | PA      | $1939609.45   | 0.15%             | 2070-04-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2016-DC2 Mortgage Trust                                  | CUSIP: 12594CBE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192321 | PA      | $191868.40    | 0.02%             | 2049-02-10      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| QUEST DIAGNOSTICS INC                             | Quest Diagnostics Inc                                         | CUSIP: 74834LBD1<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |    510000 | PA      | $558079.61    | 0.04%             | 2033-11-30      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                             | CUSIP: 3136B2GN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275602 | PA      | $265889.24    | 0.02%             | 2048-06-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 91282CNA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7000000 | PA      | $6950097.63   | 0.55%             | 2032-04-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac Stacr Remic Trust 2025-Hqa1                       | CUSIP: 35564NGY3<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | CORP              | US        |   1937500 | PA      | $1937201.04   | 0.15%             | 2045-02-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                | BMO 2025-C12 Mortgage Trust                                   | CUSIP: 05615DAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3091000 | PA      | $3237654.97   | 0.25%             | 2058-06-15      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                               | BWAY Trust 2025-1535                                          | CUSIP: 12430BAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    765000 | PA      | $793259.25    | 0.06%             | 2042-05-05      | Variable      | 7.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | Fannie Mae or Freddie Mac                                     | CUSIP: 01F0506A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    914000 | PA      | $888717.21    | 0.07%             | 2055-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                      | CUSIP: 38385GPR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4377299 | PA      | $4225360.89   | 0.33%             | 2055-05-20      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | 5 YEAR U.S. TREASURY NOTE                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -55 | NC      | $-1289.09     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2019-INV3                            | CUSIP: 46591LAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    547318 | PA      | $490845.88    | 0.04%             | 2050-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| SMURFIT KAPPA TREASURY                            | Smurfit Kappa Treasury ULC                                    | CUSIP: 83272GAE1<br>LEI: 635400B3DOXSWFOWJT40 | Long             | DBT              | CORP              | IE        |   1050000 | PA      | $1072075.46   | 0.08%             | 2034-04-03      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-1 | CUSIP: 35563PJF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1155010 | PA      | $1108052.14   | 0.09%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2019-GC39                        | CUSIP: 36260JAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1794737 | PA      | $62784.40     | 0.00%             | 2052-05-10      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                | Credit Agricole SA                                            | CUSIP: 22535WAK3<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   1000000 | PA      | $1021701.94   | 0.08%             | 2030-01-10      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                  | THREE-MONTH SOFR                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -118 | NC      | $-62687.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FIDELITY NATL INFO SERV                           | Fidelity National Information Services Inc                    | CUSIP: 31620MBY1<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30495.16     | 0.00%             | 2032-07-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| COSTAR GROUP INC                                  | CoStar Group Inc                                              | CUSIP: 22160NAA7<br>LEI: 984500Q1D53D08E2E698 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1805010.58   | 0.14%             | 2030-07-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                  | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   2710000 | PA      | $2650045.04   | 0.21%             | 2031-04-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trus                    | CFCRE Commercial Mortgage Trust 2017-C8                       | CUSIP: 12532CAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    191693 | PA      | $189969.74    | 0.01%             | 2050-06-15      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                      | Centene Corp                                                  | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   4350000 | PA      | $4220854.59   | 0.33%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora                    | Chase Home Lending Mortgage Trust 2019-ATR2                   | CUSIP: 16159GAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    595777 | PA      | $550701.40    | 0.04%             | 2049-07-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                             | TRK 2021-INV1 Trust                                           | CUSIP: 89688WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3313408 | PA      | $2984198.50   | 0.23%             | 2056-07-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2020-VIV4                        | CUSIP: 05608MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3081000 | PA      | $2813783.02   | 0.22%             | 2044-03-09      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Sec                    | Arbor Multifamily Mortgage Securities Trust 2020-MF1          | CUSIP: 03881BAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125000 | PA      | $114927.61    | 0.01%             | 2053-05-15      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                               | CUSIP: 3140FXT28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10051382 | PA      | $10214949.58  | 0.80%             | 2061-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                    | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137F84T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9729355 | PA      | $345737.51    | 0.03%             | 2030-11-25      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                    | BBCMS Mortgage Trust 2025-C35                                 | CUSIP: 07337DAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  51900000 | PA      | $2696511.21   | 0.21%             | 2058-07-15      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $296003.91    | 0.02%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                            | CUSIP: 3137HHF89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9636945 | PA      | $9575595.50   | 0.75%             | 2054-11-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | 5 YEAR U.S. TREASURY NOTE                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -8 | NC      | $-1625.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BWAY Mortgage Trust                               | BWAY Trust 2025-1535                                          | CUSIP: 12430BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2150000 | PA      | $2194874.80   | 0.17%             | 2042-05-05      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | Fannie Mae or Freddie Mac                                     | CUSIP: 01F052698<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2046000 | PA      | $2033649.46   | 0.16%             | 2055-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CCL INDUSTRIES INC                                | CCL Industries Inc                                            | CUSIP: 124900AD3<br>LEI: 549300TD3EMSRRC0YH75 | Long             | DBT              | CORP              | CA        |   6500000 | PA      | $6017180.72   | 0.47%             | 2030-06-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1136000 | PA      | $930188.74    | 0.07%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                   | Cigna Group/The                                               | CUSIP: 125523CS7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   2340000 | PA      | $2406325.71   | 0.19%             | 2033-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2022-4                              | CUSIP: 89180YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    463355 | PA      | $441661.82    | 0.03%             | 2062-09-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                          | Lloyds Banking Group PLC                                      | CUSIP: 53944YBA0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   1770000 | PA      | $1837028.27   | 0.14%             | 2030-06-05      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                        | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    365000 | PA      | $360421.06    | 0.03%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                       | Gartner Inc                                                   | CUSIP: 366651AE7<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |   1985000 | PA      | $1859441.41   | 0.15%             | 2030-10-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6700000 | PA      | $6287531.25   | 0.49%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | 10 YEAR U.S. TREASURY NOTE                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -8 | NC      | $-1625.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P                    | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FMU42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4950000 | PA      | $199844.37    | 0.02%             | 2029-06-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                    | BRAVO Residential Funding Trust 2019-NQM2                     | CUSIP: 10568LAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    174682 | PA      | $166803.55    | 0.01%             | 2044-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -225 | NC      | $-189843.75   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | 5 YEAR U.S. TREASURY NOTE                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -20 | NC      | $-2343.76     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| AT&T INC                                          | AT&T Inc                                                      | CUSIP: 00206RCQ3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    405000 | PA      | $352642.88    | 0.03%             | 2046-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -32 | NC      | $-62500.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2020-B21 Mortgage Trust                             | CUSIP: 08163LAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6137837 | PA      | $345096.80    | 0.03%             | 2053-12-17      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| Garnet CLO Ltd                                    | Garnet CLO 2 Ltd                                              | CUSIP: 36626CAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2001720.00   | 0.16%             | 2038-10-20      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage T                    | EFMT 2024-INV2                                                | CUSIP: 26844LAA6<br>LEI: 254900QTMZ2ZHRYMFA85 | Long             | ABS-MBS          | CORP              | US        |   1864110 | PA      | $1848512.74   | 0.15%             | 2069-10-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| ICON INVESTMENTS SIX DAC                          | Icon Investments Six DAC                                      | CUSIP: 45115AAB0<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |   3800000 | PA      | $3941846.44   | 0.31%             | 2029-05-08      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                   | CUSIP: 68389XDA0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1014440.61   | 0.08%             | 2035-08-03      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | US LONG BOND(CBT)                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       236 | NC      | $439866.64    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| BACARDI-MARTINI BV                                | Bacardi-Martini BV                                            | CUSIP: 05634WAA0<br>LEI: 5493002XXBV8B88K2408 | Long             | DBT              | CORP              | NL        |   1000000 | PA      | $1027552.41   | 0.08%             | 2030-02-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $2193281.25   | 0.17%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | 2 YEAR U.S. TREASURY NOTE                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -38 | NC      | $-19000.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MSWF Commercial Mortgage Trust                    | MSWF Commercial Mortgage Trust 2023-2                         | CUSIP: 55361AAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1066858.80   | 0.08%             | 2056-12-15      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | ULTRA U.S. TREASURY BOND                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -8 | NC      | $-1875.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                               | CUSIP: 3140XRNJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5728536 | PA      | $5246767.97   | 0.41%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $216169.92    | 0.02%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 91282CNE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1996640.62   | 0.16%             | 2027-05-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                            | CUSIP: 3137HJSV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6325447 | PA      | $6367880.35   | 0.50%             | 2055-02-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | 10 YEAR U.S. TREASURY NOTE                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -30 | NC      | $-7500.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $2005742.18   | 0.16%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                            | CUSIP: 3137HHSZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    958221 | PA      | $957238.25    | 0.08%             | 2054-12-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                    | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137FWHG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    400059 | PA      | $36704.85     | 0.00%             | 2035-07-25      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 91282CMB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $15034570.35  | 1.18%             | 2027-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trus                    | WHARF Commercial Mortgage Trust 2025-DC                       | CUSIP: 92987LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2175000 | PA      | $2212199.46   | 0.17%             | 2040-07-15      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                  | CIFC Funding 2015-IV Ltd                                      | CUSIP: 12550TAY1<br>LEI: 549300ZXX0SJBZWIWI81 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2004365.73   | 0.16%             | 2034-04-20      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                               | CUSIP: 3138ERNL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5544907 | PA      | $4841601.34   | 0.38%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                            | CUSIP: 3137HJAB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4617851 | PA      | $3995726.23   | 0.31%             | 2055-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CEMEX SAB DE CV                                   | Cemex SAB de CV                                               | CUSIP: 151290BV4<br>LEI: 549300RIG2CXWN6IV731 | Long             | DBT              | CORP              | MX        |   3000000 | PA      | $3019191.00   | 0.24%             | 2029-11-19      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2014-A                          | CUSIP: 17322GAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    492148 | PA      | $487086.12    | 0.04%             | 2035-01-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                      | CUSIP: 38381NPY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8797038 | PA      | $7618603.84   | 0.60%             | 2055-06-20      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2020-BNK26                                               | CUSIP: 06540JBB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    325000 | PA      | $291536.96    | 0.02%             | 2063-03-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO LTD                               | ASSURANT CLO II LTD                                           | CUSIP: 04623TAA3<br>LEI: 6354003JXBM4LA5YCP98 | Long             | ABS-CBDO         | CORP              | KY        |     38780 | PA      | $38820.19     | 0.00%             | 2031-04-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | Fannie Mae or Freddie Mac                                     | CUSIP: 01F022691<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84000 | PA      | $68867.47     | 0.01%             | 2055-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                             | CUSIP: 3136AHVZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    264466 | PA      | $238619.78    | 0.02%             | 2044-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                               | Fifth Third Bancorp                                           | CUSIP: 316773DG2<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |   1010000 | PA      | $1014376.98   | 0.08%             | 2030-07-28      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                     | GS Mortgage-Backed Securities Trust 2020-NQM1                 | CUSIP: 36259WAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190338 | PA      | $179893.63    | 0.01%             | 2060-09-27      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                     | UBS Commercial Mortgage Trust                                 | CUSIP: 90278MBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  22402217 | PA      | $1063319.00   | 0.08%             | 2052-10-15      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | 2 YEAR U.S. TREASURY NOTE                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -30 | NC      | $-9843.78     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HOMES Trust                                       | HOMES 2025-AFC2 Trust                                         | CUSIP: 43761YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2205417 | PA      | $2203212.92   | 0.17%             | 2060-06-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| First Trust Commercial Mortgage Opportunities ETF | First Trust Commercial Mortgage Opportunities ETF             | CUSIP: 33738D762<br>LEI: 254900TMRGSMLWIAPA66 | Long             | EC               | RF                | US        |     20000 | NS      | $406700.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| GARTNER INC                                       | Gartner Inc                                                   | CUSIP: 366651AC1<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |   1635000 | PA      | $1609668.13   | 0.13%             | 2028-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                       | PRKCM 2022-AFC2 Trust                                         | CUSIP: 69377TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2546769 | PA      | $2536371.42   | 0.20%             | 2057-08-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| ATLASSIAN CORPORATION                             | Atlassian Corp                                                | CUSIP: 049468AB7<br>LEI: 549300V7ZY5P02D2MY38 | Long             | DBT              | CORP              | US        |    850000 | PA      | $863479.67    | 0.07%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                  | LPL Holdings Inc                                              | CUSIP: 50212YAP9<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2023840.34   | 0.16%             | 2030-06-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                             | CUSIP: 3136BATB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    328455 | PA      | $318321.17    | 0.03%             | 2050-07-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| NEW YORK NY                                       | City of New York NY                                           | CUSIP: 64966SME3<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |   4000000 | PA      | $4095906.40   | 0.32%             | 2050-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                              | CUSIP: 3132AA2H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    654010 | PA      | $600642.92    | 0.05%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | 10 YEAR U.S. TREASURY NOTE                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -143 | NC      | $-4468.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BRAVO Residential Funding Trus                    | Bravo Residential Funding Trust 2025-Nqm3                     | CUSIP: 105927AC1<br>LEI: 254900KREJHICFBDC014 | Long             | ABS-MBS          | CORP              | US        |   1425223 | PA      | $1428031.23   | 0.11%             | 2065-03-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                              | CUSIP: 87264ADS1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3044782.35   | 0.24%             | 2032-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | 10 YEAR U.S. TREASURY NOTE                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -29 | NC      | $-6796.88     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BX Trust                                          | BX Trust 2025-GW                                              | CUSIP: 12433GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2009561.00   | 0.16%             | 2042-07-15      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                     | CoreVest American Finance 2020-3 Trust                        | CUSIP: 21873CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    687323 | PA      | $678709.87    | 0.05%             | 2053-08-15      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                    | Freddie Mac Multiclass Certificates Series 2020-RR07          | CUSIP: 3137FRVE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5795000 | PA      | $361837.48    | 0.03%             | 2028-10-27      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2021-C61                | CUSIP: 95003QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    905000 | PA      | $838546.21    | 0.07%             | 2054-11-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Capital Street Master Trust                       | Capital Street Master Trust                                   | CUSIP: 14051LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $250047.95    | 0.02%             | 2028-10-16      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                            | CUSIP: 3137H7G72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12105000 | PA      | $10864420.29  | 0.85%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FLUTTER TREASURY DAC                              | Flutter Treasury DAC                                          | CUSIP: 344045AB5<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |   4900000 | PA      | $4935378.00   | 0.39%             | 2031-06-04      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Harriman Park CLO                                 | Harriman Park CLO LTD                                         | CUSIP: 413717BC2<br>LEI: 549300BI9STOGTECXV18 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2005500.00   | 0.16%             | 2038-07-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| AMCOR FLEXIBLES NORTH AM                          | Amcor Flexibles North America Inc                             | CUSIP: 02344AAD0<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2029617.56   | 0.16%             | 2030-03-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                              | Kraft Heinz Foods Co                                          | CUSIP: 50076QAE6<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |   3335000 | PA      | $2969644.05   | 0.23%             | 2042-06-04      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                     | CoreVest American Finance 2021-2 Trust                        | CUSIP: 21873BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    251694 | PA      | $240948.61    | 0.02%             | 2054-07-15      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| ICON INVESTMENTS SIX DAC                          | Icon Investments Six DAC                                      | CUSIP: 45115AAC8<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |   2415000 | PA      | $2472672.13   | 0.19%             | 2034-05-08      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                             | CUSIP: 3136A92R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5049427 | PA      | $4571056.08   | 0.36%             | 2042-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JH NORTH AMERICA HOLDING                          | JH North America Holdings Inc                                 | CUSIP: 46593WAB1<br>LEI: 254900A6FXA0D81TL967 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2527812.50   | 0.20%             | 2032-07-31      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -12 | NC      | $-2250.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo Mortgage Backed Se                    | Wells Fargo Mortgage Backed Securities 2018-1                 | CUSIP: 94989UBH3<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |   2299955 | PA      | $2130845.56   | 0.17%             | 2047-07-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1468984.38   | 0.12%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                               | Elevance Health Inc                                           | CUSIP: 28622HAC5<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    525000 | PA      | $463385.55    | 0.04%             | 2053-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                             | CUSIP: 3136ADQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1247379 | PA      | $1128337.40   | 0.09%             | 2043-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                             | Sixth Street CLO XX Ltd                                       | CUSIP: 83012QAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1999983.53   | 0.16%             | 2038-07-17      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                   | Cigna Group/The                                               | CUSIP: 125523AJ9<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1392748.95   | 0.11%             | 2038-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Sec                    | Arbor Multifamily Mortgage Securities Trust 2020-MF1          | CUSIP: 03881BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9000000 | PA      | $8253142.20   | 0.65%             | 2053-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                     | New Residential Mortgage Loan Trust 2018-3                    | CUSIP: 64830KAA5<br>LEI: 549300U48YU2VDL8N523 | Long             | ABS-MBS          | CORP              | US        |   6574454 | PA      | $6388409.11   | 0.50%             | 2058-05-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| BACARDI LTD / MARTINI BV                          | Bacardi Ltd / Bacardi-Martini BV                              | CUSIP: 05635JAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    240000 | PA      | $243937.93    | 0.02%             | 2029-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                    | Freddie Mac Multifamily PC REMIC Trust 2019-RR01              | CUSIP: 3137FQ3M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  23500000 | PA      | $844430.20    | 0.07%             | 2028-06-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 91282CMS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9999023.40   | 0.79%             | 2028-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2022-1                             | CUSIP: 92538WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2406174 | PA      | $2239830.21   | 0.18%             | 2067-01-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                               | CUSIP: 3140XTD40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2680448 | PA      | $2578186.02   | 0.20%             | 2051-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2018-J1 Trust                                            | CUSIP: 12653TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2667107 | PA      | $2378004.57   | 0.19%             | 2048-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 91282CMY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4000000 | PA      | $3984609.36   | 0.31%             | 2027-04-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                        | Flagship Credit Auto Trust 2024-3                             | CUSIP: 33843YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1380978 | PA      | $1382815.60   | 0.11%             | 2028-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                       | HOMES 2024-AFC2 Trust                                         | CUSIP: 437920AC5<br>LEI: 254900GDF2MBHUV58Z95 | Long             | ABS-MBS          | CORP              | US        |   2952378 | PA      | $2944484.11   | 0.23%             | 2059-10-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1130000 | PA      | $796032.03    | 0.06%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                             | Northrop Grumman Corp                                         | CUSIP: 666807BD3<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $959027.41    | 0.08%             | 2040-11-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                | Conagra Brands Inc                                            | CUSIP: 205887CD2<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    970000 | PA      | $913688.45    | 0.07%             | 2038-11-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2020-LTV2                            | CUSIP: 46653LCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    487265 | PA      | $439968.30    | 0.03%             | 2050-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                    | FREMF 2025-K541 Mortgage Trust                                | CUSIP: 3137HLXX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  73540322 | PA      | $1942199.90   | 0.15%             | 2030-02-25      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                               | CUSIP: 3140XDPA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2141250 | PA      | $1974269.43   | 0.16%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | US 10YR ULTRA                                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -329 | NC      | $-174323.16   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | 10 YEAR U.S. TREASURY NOTE                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -29 | NC      | $-906.25      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Arbor Multifamily Mortgage Sec                    | Arbor Multifamily Mortgage Securities Trust 2020-MF1          | CUSIP: 03881BAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3167369 | PA      | $111102.11    | 0.01%             | 2053-05-15      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION SOFTWARE                            | Constellation Software Inc/Canada                             | CUSIP: 21037XAD2<br>LEI: 549300B6PYHMCTDWQV29 | Long             | DBT              | CORP              | CA        |    670000 | PA      | $679062.44    | 0.05%             | 2034-02-16      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| CHI Commercial Mortgage Trust                     | CHI Commercial Mortgage Trust 2025-SFT                        | CUSIP: 16706GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2230000 | PA      | $2262427.32   | 0.18%             | 2042-04-15      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                | Seasoned Loans Structured Transaction Trust Series 2019-3     | CUSIP: 35564CEE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    155329 | PA      | $146456.16    | 0.01%             | 2029-11-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                          | Constellation Brands Inc                                      | CUSIP: 21036PBL1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |   2645000 | PA      | $2626897.09   | 0.21%             | 2032-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO X Ltd                                 | Elmwood CLO X Ltd                                             | CUSIP: 29002VAW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $2006600.00   | 0.16%             | 2038-07-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                    | Freddie Mac Multifamily Structured Pass Through Certificates  | CUSIP: 3137H3EX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  92115392 | PA      | $2347155.47   | 0.18%             | 2031-08-25      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $282878.91    | 0.02%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                             | CUSIP: 3136BRX77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3957707 | PA      | $3424916.14   | 0.27%             | 2045-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                        | MFA 2025-NQM1 Trust                                           | CUSIP: 55287JAA4<br>LEI: 254900T233AM4RM23465 | Long             | ABS-MBS          | CORP              | US        |   1874017 | PA      | $1870095.58   | 0.15%             | 2070-03-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                              | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1916562.50   | 0.15%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| WASTE MANAGEMENT INC                              | Waste Management Inc                                          | CUSIP: 94106LCF4<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $967755.21    | 0.08%             | 2054-10-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                  | THREE-MONTH SOFR                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -100 | NC      | $-11250.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | US 5YR NOTE (CBT)                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       647 | NC      | $-48069.85    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -41 | NC      | $-41640.63    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | US ULTRA BOND CBT                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       202 | NC      | $309172.90    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CONSTELLATION BRANDS INC                          | Constellation Brands Inc                                      | CUSIP: 21036PAT5<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    425000 | PA      | $350643.68    | 0.03%             | 2047-05-09      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | 2 YEAR U.S. TREASURY NOTE                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        13 | NC      | $609.39       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                               | CUSIP: 3140XQZ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14031114 | PA      | $12878865.22  | 1.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2022-2                             | CUSIP: 92538XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2519603 | PA      | $2383265.25   | 0.19%             | 2067-02-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -29 | NC      | $-74312.50    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Cross Mortgage Trust                              | Cross 2025-H3 Mortgage Trust                                  | CUSIP: 22757EAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1919744 | PA      | $1934179.41   | 0.15%             | 2070-04-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                    | BBCMS Mortgage Trust 2020-C8                                  | CUSIP: 05552ABC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2800000 | PA      | $2450494.48   | 0.19%             | 2053-10-15      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                      | CUSIP: 38381J2J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  30464950 | PA      | $1493248.66   | 0.12%             | 2063-06-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                             | CUSIP: 3136BTTR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3462278 | PA      | $3442518.14   | 0.27%             | 2054-11-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| MARS INC                                          | Mars Inc                                                      | CUSIP: 571676BC8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3456736.99   | 0.27%             | 2055-05-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.       | U.S. TREASURY BOND                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -2 | NC      | $-593.75      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae or Freddie Mac                         | Fannie Mae or Freddie Mac                                     | CUSIP: 01F030694<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1487000 | PA      | $1272935.26   | 0.10%             | 2055-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                           | Arthur J Gallagher & Co                                       | CUSIP: 04316JAP4<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |   3805000 | PA      | $3593064.01   | 0.28%             | 2055-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                          | Lloyds Banking Group PLC                                      | CUSIP: 53944YAX1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    345000 | PA      | $354398.50    | 0.03%             | 2035-01-05      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Connecticut Avenue Securities Trust 2025-R02                  | CUSIP: 20754TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2178888 | PA      | $2180115.43   | 0.17%             | 2045-02-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-09-23

**Name of Applicant:** First Trust Exchange-Traded Fund IV

**Signature:** Derek Maltbie

**Name of Signer:** Derek Maltbie

**Title:** Treasurer, Chief Financial Officer and Chief Accounting Officer