# EDGAR Filing Document

**Accession Number:** 0000710826
**File Stem:** 0001752724-25-207188
**Filing Date:** 2025-8
**Character Count:** 1052845
**Document Hash:** 7bf2a2a6bac0828945925074aa324f4f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-207188.hdr.sgml**: 20250827

**ACCESSION NUMBER**: 0001752724-25-207188

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250827

**DATE AS OF CHANGE**: 20250827

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Brighthouse Funds Trust II
- **CENTRAL INDEX KEY:** 0000710826

**ORGANIZATION NAME:**
- **EIN:** 833164113
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03618
- **FILM NUMBER:** 251260927

**BUSINESS ADDRESS:**
- **STREET 1:** BRIGHTHOUSE INVESTMENT ADVISERS, LLC
- **STREET 2:** 11225 NORTH COMMUNITY HOUSE RD
- **CITY:** CHARLOTTE
- **STATE:** NC
- **ZIP:** 28277
- **BUSINESS PHONE:** 980-949-5121

**MAIL ADDRESS:**
- **STREET 1:** BRIGHTHOUSE INVESTMENT ADVISERS, LLC
- **STREET 2:** 11225 NORTH COMMUNITY HOUSE RD
- **CITY:** CHARLOTTE
- **STATE:** NC
- **ZIP:** 28277

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** METROPOLITAN SERIES FUND
- **DATE OF NAME CHANGE:** 20120430

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** METROPOLITAN SERIES FUND INC
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### BlackRock Bond Income Portfolio (Series ID: S000006511)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000017802 | Class A      |  |
| C000017803 | Class B      |  |
| C000017804 | Class E      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Brighthouse Funds Trust II

- **b. Investment Company Act file number:** 811-03618

- **c. CIK number of Registrant:** 0000710826

- **d. LEI of Registrant:** 549300NPPA08K2CWOV06

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

  - **Street Address 1:** Brighthouse Investment Advisers, LLC

  - **City:** Charlotte

  - **State:** NC

  - **Foreign country:** US

  - **Zip / Postal Code:** 28277

  - **Telephone number:** 980-949-5089

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

- **a. Name of Series:** BlackRock Bond Income Portfolio

- **b. EDGAR series identifier (if any):** S000006511

- **c. LEI of Series:** RQ2HPSR0HMOOPNZQJY98

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-06-30

**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:** $3147988585.02

**Total Liabilities:** $561492255.49

**Net Assets:** $2586496329.53

**Delayed Delivery Securities:** $15310640.94

**Cash Not Reported:** $4778045.39

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -2444.93000000 | **1-Year:** -53059.57000000 | **5-Year:** -164210.15000000 | **10-Year:** -147221.77000000 | **30-Year:** -93905.73000000

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

- **3-Month:** -1557.37000000 | **1-Year:** -24519.10000000 | **5-Year:** -86974.14000000 | **10-Year:** -27390.55000000 | **30-Year:** -6540.47000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000017803 | 0.07%                | -0.38%               | 1.76%                |
| Class ID C000017802 | 0.09%                | -0.35%               | 1.77%                |
| Class ID C000017804 | 0.08%                | -0.36%               | 1.76%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-4404014.96             | $601814.36                                 |
| Month 2  | $-1845528.09             | $-13927772.28                              |
| Month 3  | $1142163.12              | $31708789.95                               |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                                                  | Title                                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |     Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Octagon Investment Partners XV Ltd                    | Octagon Investment Partners XV Ltd                                               | CUSIP: 67590EAS3<br>LEI: 549300VYCI9AZ4NZBX86 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249991.75    | 0.01%             | 2030-07-19      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $47146.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2006-OA14                                                 | CUSIP: 02146SAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1372140 | PA      | $1132432.18   | 0.04%             | 2046-11-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132M4QU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      150306 | PA      | $141096.10    | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                     | Cedar Funding XI Clo Ltd                                                         | CUSIP: 15033LAY8<br>LEI: 2549004YLPCISGLL7978 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250278.00    | 0.01%             | 2032-05-29      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST                             | Nelnet Student Loan Trust 2021-C                                                 | CUSIP: 64035GAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      110000 | PA      | $94935.76     | 0.00%             | 2062-04-20      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| 1211 Avenue of the Americas Trust                     | 1211 Avenue of the Americas Trust 2015-1211                                      | CUSIP: 90117PAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      230000 | PA      | $210164.80    | 0.01%             | 2035-08-10      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                         | PURCHASED USD / SOLD COP                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $997.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Lehman ABS Mortgage Loan Trust                        | Lehman ABS Mortgage Loan Trust 2007-1                                            | CUSIP: 52521MAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      119239 | PA      | $78905.07     | 0.00%             | 2037-06-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138X8XC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54112 | PA      | $53129.26     | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140HH6H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       43748 | PA      | $42658.29     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132GDC67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4303 | PA      | $4164.15      | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                         | PURCHASED CZK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CZ        |           1 | NC      | $89282.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DIG HLDNG/DIG FIN/DIFL                                | Digicel Intermediate Holdings Ltd / Digicel International Finance Ltd / Difl US  | CUSIP: 000000000<br>LEI: 5493007V023VOEW4FK27 | Long             | DBT              | CORP              | XX        |      124254 | PA      | $125341.22    | 0.00%             | 2027-05-25      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QSFD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1230335 | PA      | $1240949.15   | 0.05%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138W5MS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      263901 | PA      | $237854.37    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31410K3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       59811 | PA      | $62702.40     | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36176DHP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      210817 | PA      | $200910.90    | 0.01%             | 2041-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                             | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      515000 | PA      | $527849.03    | 0.02%             | 2031-01-24      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QUVV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3057983 | PA      | $3158441.67   | 0.12%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DMY58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1092345 | PA      | $874932.96    | 0.03%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                         | UBS Commercial Mortgage Trust                                                    | CUSIP: 90278MBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3950126 | PA      | $192307.94    | 0.01%             | 2052-10-15      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                              | CUSIP: 91282CAH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    17436300 | PA      | $16277739.64  | 0.63%             | 2027-08-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| ASHTON WOODS USA/FINANCE                              | Ashton Woods USA LLC / Ashton Woods Finance Co                                   | CUSIP: 045086AM7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       77000 | PA      | $73535.00     | 0.00%             | 2029-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31417TP44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11297 | PA      | $11270.59     | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31417AYD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      336107 | PA      | $324239.56    | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                        | Option One Mortgage Loan Trust 2007-FXD1                                         | CUSIP: 68402VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      856124 | PA      | $730905.57    | 0.03%             | 2037-01-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5811077 | PA      | $4991342.40   | 0.19%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                            | Progress Residential 2021-SFR9 Trust                                             | CUSIP: 74333QAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      221000 | PA      | $211222.56    | 0.01%             | 2040-11-17      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                     | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     2998000 | PA      | $2485313.37   | 0.10%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                            | Verus Securitization Trust 2023-2                                                | CUSIP: 92539DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      484000 | PA      | $483468.71    | 0.02%             | 2068-03-25      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2022-NQM6 Trust                                                             | CUSIP: 12663YAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1570981 | PA      | $1561822.62   | 0.06%             | 2067-12-25      | Variable      | 8.85%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC Trust 2017-CALI                                                             | CUSIP: 12652FAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      301000 | PA      | $90453.51     | 0.00%             | 2032-11-10      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WF4T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16350 | PA      | $15959.64     | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                           | Rad CLO 15 Ltd                                                                   | CUSIP: 750103AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      246730 | PA      | $246668.06    | 0.01%             | 2034-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                   | New Residential Mortgage Loan Trust 2019-2                                       | CUSIP: 64830DAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      152551 | PA      | $149563.62    | 0.01%             | 2057-12-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                      | Altria Group Inc                                                                 | CUSIP: 02209SBK8<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     1233000 | PA      | $964903.91    | 0.04%             | 2050-05-06      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36180E5C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      173174 | PA      | $161489.72    | 0.01%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FLEXSYS HOLDINGS INC                                  | Flexsys Holdings Inc 2025 Second Out Refinancing Term Loan                       | CUSIP: 000000000<br>LEI: 984500KE15B085F09569 | Long             | LON              | CORP              | US        |      341198 | PA      | $177209.45    | 0.01%             | 2029-08-01      | Floating      | 9.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36178EDP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       76488 | PA      | $71303.62     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140X83C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      936858 | PA      | $879271.74    | 0.03%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179UN81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15633 | PA      | $14012.31     | 0.00%             | 2049-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AES ANDES SA                                          | AES Andes SA                                                                     | CUSIP: 000000000<br>LEI: 549300IF4IFG0FS0RM26 | Long             | DBT              | CORP              | CL        |      470000 | PA      | $482975.45    | 0.02%             | 2029-03-15      | Fixed         | 6.30%                 | Yes           |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F062689<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7690000 | PA      | $7928630.70   | 0.31%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33371 | PA      | $31584.71     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      436383 | PA      | $12382.31     | 0.00%             | 2052-02-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                           | Southern Co/The                                                                  | CUSIP: 842587CW5<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      109000 | PA      | $99667.91     | 0.00%             | 2036-07-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2024 VLT4                                    | BX TRUST 2024 VLT4                                                               | CUSIP: 05612TAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      460000 | PA      | $457412.50    | 0.02%             | 2029-07-15      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| ARDAGH PKG FIN/HLDGS USA                              | Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc                           | CUSIP: 03969AAN0<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      982000 | PA      | $921970.34    | 0.04%             | 2026-08-15      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Regatta XIX Funding Ltd                               | Regatta XIX Funding Ltd                                                          | CUSIP: 75888EAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $251082.50    | 0.01%             | 2035-04-20      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                             | Nelnet Student Loan Trust 2021-B                                                 | CUSIP: 64034QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3120000 | PA      | $2745902.33   | 0.11%             | 2062-04-20      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                    | Expand Energy Corp                                                               | CUSIP: 92735LAA0<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     2016000 | PA      | $2040133.54   | 0.08%             | 2029-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TYSN 2023-CRNR Mortgage Trust                         | TYSN 2023-CRNR Mortgage Trust                                                    | CUSIP: 87332PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      320000 | PA      | $338964.90    | 0.01%             | 2033-12-10      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | BYDDDPH96 BR AIS SWAPTION 4.35 CALL USD 2027011                                  | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |      736505 | NC      | $46664.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Avoca CLO                                             | Avoca CLO XXII DAC                                                               | CUSIP: 000000000<br>LEI: 5493000BN1WPGQDK4X78 | Long             | ABS-CBDO         | CORP              | IE        |      150000 | PA      | $174843.69    | 0.01%             | 2035-04-15      | Floating      | 3.58%                 | Yes           |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                        | Option One Mortgage Loan Trust 2007-FXD1                                         | CUSIP: 68402VAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1224627 | PA      | $1055011.76   | 0.04%             | 2037-01-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitizations Corp.                 | Conseco Finance Securitizations Corp                                             | CUSIP: 20846QEQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      878314 | PA      | $173731.79    | 0.01%             | 2031-05-01      | Fixed         | 7.96%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                  | Glencore Funding LLC                                                             | CUSIP: 378272BP2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     1383000 | PA      | $1484307.13   | 0.06%             | 2030-10-06      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133USJU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      397311 | PA      | $317135.34    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae                                                                       | CUSIP: 21H052678<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    16137000 | PA      | $16158176.42  | 0.62%             | 2054-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WPHV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      265162 | PA      | $239376.82    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QGS24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      201182 | PA      | $190012.69    | 0.01%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Hess Corp                                             | Hess Corp                                                                        | CUSIP: 42809HAC1<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |      287000 | PA      | $302050.69    | 0.01%             | 2040-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                       | Cameron LNG LLC                                                                  | CUSIP: 133434AC4<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |     1253000 | PA      | $1067595.43   | 0.04%             | 2038-01-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| WESTBAY 4A2 NOTES                                     | WESTBAY 4A2 NOTES                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3134000 | PA      | $3138074.20   | 0.12%             | 2030-02-06      | Fixed         | 11.00%                | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WJF94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17481 | PA      | $16600.54     | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                        | Bayview Commercial Asset Trust 2006-3                                            | CUSIP: 07324NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       53428 | PA      | $51135.39     | 0.00%             | 2036-10-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DMYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3658377 | PA      | $2960454.74   | 0.11%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179RD71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      137004 | PA      | $127514.27    | 0.00%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QS5C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      453186 | PA      | $473954.31    | 0.02%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                         | PURCHASED USD / SOLD COP                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $3763.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Hudson Yards                                          | Hudson Yards 2019-55HY Mortgage Trust                                            | CUSIP: 44421MAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      662050 | PA      | $559045.08    | 0.02%             | 2041-12-10      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | SWP: IFS 2.729200 15-APR-2028 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     5000000 | OU      | $-2065.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALLEGIANT TRAVEL CO                                   | Allegiant Travel Co                                                              | CUSIP: 01748XAD4<br>LEI: 549300JM9OZXOHWL2K18 | Long             | DBT              | CORP              | US        |      175000 | PA      | $175050.75    | 0.01%             | 2027-08-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                           | Southern Co/The                                                                  | CUSIP: 842587DR5<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      322000 | PA      | $327617.81    | 0.01%             | 2033-06-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Auto1 Car Funding                                     | Auto1 Car Funding Sarl                                                           | CUSIP: 000000000<br>LEI: 984500380CAE46K6F380 | Long             | ABS-O            | CORP              | LU        |      100000 | PA      | $121462.61    | 0.00%             | 2033-12-15      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                              | CUSIP: 46647PEB8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      243000 | PA      | $247485.05    | 0.01%             | 2030-01-23      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                              | CUSIP: 46647PEY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     3485000 | PA      | $3571442.60   | 0.14%             | 2031-04-22      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Warner Bros Discovery Inc                             | Warner Bros Discovery Inc                                                        | CUSIP: 934423104<br>LEI: 5493006ZCRFWKF6B1K26 | Long             | EC               | CORP              | US        |       49094 | NS      | $562617.24    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust               | DBJPM 2017-C6 Mortgage Trust                                                     | CUSIP: 23312JAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2060000 | PA      | $32383.20     | 0.00%             | 2050-06-10      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 31335BCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      546646 | PA      | $503352.64    | 0.02%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                              | Cheniere Energy Partners LP                                                      | CUSIP: 16411QAK7<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     2955000 | PA      | $2811924.10   | 0.11%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F032674<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4421000 | PA      | $3979807.98   | 0.15%             | 2054-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                            | Progress Residential 2021-SFR3                                                   | CUSIP: 74333VAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1070000 | PA      | $1055030.91   | 0.04%             | 2026-05-17      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132QUZV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       79854 | PA      | $76183.50     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CBAM CLO Management                                   | CBAM 2018-5 Ltd                                                                  | CUSIP: 12481QAE5<br>LEI: 25490038OT2B8HTRW786 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250466.25    | 0.01%             | 2031-04-17      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                        | Morgan Stanley Capital I 2017-HR2                                                | CUSIP: 61691NAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4067000 | PA      | $3945318.21   | 0.15%             | 2050-12-15      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Commercial Mortgage Trust 2023-XL3                                            | CUSIP: 12434GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      605027 | PA      | $606724.03    | 0.02%             | 2040-12-09      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                        | European Union                                                                   | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | XX        |    19294541 | PA      | $19505903.15  | 0.75%             | 2053-03-04      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2464541 | PA      | $1855018.46   | 0.07%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                      | CIFC Funding 2019-VI Ltd                                                         | CUSIP: 12555XAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      940000 | PA      | $943945.18    | 0.04%             | 2037-07-16      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XFWG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      932612 | PA      | $751792.27    | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31418XDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          70 | PA      | $69.57        | 0.00%             | 2025-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132GJ5A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       60589 | PA      | $58496.62     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                 | Mexico Government International Bonds                                            | CUSIP: 91087BAT7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      458000 | PA      | $431985.60    | 0.02%             | 2033-05-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179V4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    17967283 | PA      | $15949969.18  | 0.62%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                              | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    11482600 | PA      | $11272683.72  | 0.44%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSURANCE AND ANNUITY ASSOCIATION OF AME     | Tiaa Clo III Ltd                                                                 | CUSIP: 87272HAA8<br>LEI: 54930043TEPI4UKGHU90 | Long             | ABS-CBDO         | CORP              | KY        |      109752 | PA      | $109785.91    | 0.00%             | 2031-01-16      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3092748 | PA      | $2628891.82   | 0.10%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QSQK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1990787 | PA      | $2041993.49   | 0.08%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WILDFIRE INTERMEDIATE HO                              | Wildfire Intermediate Holdings LLC                                               | CUSIP: 96812HAA6<br>LEI: 5493003RHEMQJZEXIR02 | Long             | DBT              | CORP              | US        |      151000 | PA      | $149999.11    | 0.01%             | 2029-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3128M9GP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      147307 | PA      | $138422.02    | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     9989589 | PA      | $8407390.78   | 0.33%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31415YBM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42517 | PA      | $42900.56     | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31417F2C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9519 | PA      | $9315.00      | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XCV39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      376244 | PA      | $344980.21    | 0.01%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 27 Ltd                                    | Elmwood CLO 27 Ltd                                                               | CUSIP: 29003FAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250996.75    | 0.01%             | 2037-04-18      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC Trust 2017-PFHP                                                             | CUSIP: 12595KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      157073 | PA      | $156609.13    | 0.01%             | 2030-12-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138W6SU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      505675 | PA      | $456288.91    | 0.02%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QKPN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      340412 | PA      | $314491.56    | 0.01%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Visio 2019-2 Trust                                    | Visio 2019-2 Trust                                                               | CUSIP: 92837DAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      169000 | PA      | $151676.79    | 0.01%             | 2054-11-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                    | MCR 2024-TWA Mortgage Trust                                                      | CUSIP: 582923AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      322000 | PA      | $325651.90    | 0.01%             | 2039-06-12      | Fixed         | 8.72%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $-16579.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                              | Foundation Finance Trust 2025-2                                                  | CUSIP: 35042NAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      300000 | PA      | $299969.16    | 0.01%             | 2052-04-15      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| Yale Mortgage Loan Trust                              | Yale Mortgage Loan Trust 2007-1                                                  | CUSIP: 984582AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      690778 | PA      | $214035.37    | 0.01%             | 2037-06-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31410KXL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       87516 | PA      | $91746.98     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                                    | Ohio Power Co                                                                    | CUSIP: 677415CR0<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |      635000 | PA      | $481256.63    | 0.02%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                    | CUSIP: 17327CAW3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     2698000 | PA      | $2717376.87   | 0.11%             | 2029-03-04      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Commercial Mortgage Trust 2020-VIV4                                           | CUSIP: 05608MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1454472 | PA      | $1327049.64   | 0.05%             | 2044-03-09      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31407HZD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       84005 | PA      | $87793.28     | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WC7G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       80827 | PA      | $79164.03     | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                         | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     4961000 | PA      | $3471218.05   | 0.13%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31418CET7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       77450 | PA      | $73590.01     | 0.00%             | 2031-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1823246 | PA      | $1454778.22   | 0.06%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      487000 | PA      | $495086.29    | 0.02%             | 2030-07-23      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F030470<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      163000 | PA      | $155406.85    | 0.01%             | 2039-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132CWTB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1236297 | PA      | $1139736.54   | 0.04%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                          | CUSIP: 404119CQ0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      989000 | PA      | $1012549.53   | 0.04%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140H3KJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40336 | PA      | $39703.35     | 0.00%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                                      | Flatiron CLO 25 Ltd                                                              | CUSIP: 33883XAC4<br>LEI: 254900Z25NHHRUZ9O184 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250455.85    | 0.01%             | 2037-10-17      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GZU1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     3310000 | PA      | $3314397.20   | 0.13%             | 2028-08-23      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| WOM NEW HOLDCO COMMON                                 | WOM NEW HOLDCO COMMON                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        1032 | NS      | $28896.00     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| LGI HOMES INC                                         | LGI Homes Inc                                                                    | CUSIP: 50187TAH9<br>LEI: 549300W02B4WNV8CV109 | Long             | DBT              | CORP              | US        |      232000 | PA      | $241173.05    | 0.01%             | 2028-12-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                | VICI Properties LP / VICI Note Co Inc                                            | CUSIP: 92564RAB1<br>LEI: N/A                  | Long             | DBT              |  | US        |      645000 | PA      | $633672.44    | 0.02%             | 2029-12-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132QUZX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       71269 | PA      | $67912.64     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JETBLUE 2019-1 CLASS AA                               | JetBlue 2019-1 Class AA Pass Through Trust                                       | CUSIP: 477143AH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       89274 | PA      | $78124.40     | 0.00%             | 2032-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Vistra Corp                                           | Vistra Corp                                                                      | CUSIP: 92840M102<br>LEI: 549300KP43CPCUJOOG15 | Long             | EC               | CORP              | US        |        1832 | NS      | $355059.92    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| OPEN Trust                                            | OPEN Trust 2023-AIR                                                              | CUSIP: 68373BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       41693 | PA      | $41706.18     | 0.00%             | 2040-11-15      | Floating      | 7.40%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                              | CUSIP: 91282CCP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    14128300 | PA      | $13629946.26  | 0.53%             | 2026-07-31      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                      | IndyMac INDX Mortgage Loan Trust 2007-AR19                                       | CUSIP: 45669NAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      599561 | PA      | $389923.85    | 0.02%             | 2037-09-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| Clover CLO                                            | Clover CLO 2018-1 LLC                                                            | CUSIP: 18914GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250627.75    | 0.01%             | 2037-04-20      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133KRVS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      269400 | PA      | $270614.93    | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                | Extra Space Storage LP                                                           | CUSIP: 30225VAH0<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |      227000 | PA      | $222280.48    | 0.01%             | 2029-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| STEM INC                                              | Stem Inc                                                                         | CUSIP: 85859NAA0<br>LEI: 549300GVWIYFILN5V546 | Long             | DBT              | CORP              | US        |      102000 | PA      | $24735.00     | 0.00%             | 2028-12-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132M7YQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       38068 | PA      | $35530.58     | 0.00%             | 2044-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36180E4C6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      149507 | PA      | $139371.74    | 0.01%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140H4SG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       35191 | PA      | $34226.86     | 0.00%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138ERM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      113858 | PA      | $111224.54    | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                              | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    22425000 | PA      | $20687062.50  | 0.80%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WHNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      101409 | PA      | $97640.23     | 0.00%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138Y5X76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       61468 | PA      | $59406.39     | 0.00%             | 2030-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SUBWAY FUNDING LLC                                    | Subway Funding LLC                                                               | CUSIP: 864300AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      832815 | PA      | $853193.23    | 0.03%             | 2054-07-30      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| BROOKFIELD RESID PROPERT                              | Brookfield Residential Properties Inc / Brookfield Residential US LLC            | CUSIP: 11283YAG5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      135000 | PA      | $122860.61    | 0.00%             | 2029-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                      | CIFC Funding 2013-I Ltd                                                          | CUSIP: 12549AAN0<br>LEI: 549300PC4RPZFE70AI24 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250322.50    | 0.01%             | 2030-07-16      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GYG3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     2002000 | PA      | $1932945.91   | 0.07%             | 2027-09-10      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                   | CUSIP: 61747YFE0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     2454000 | PA      | $2496327.03   | 0.10%             | 2034-04-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| TENNECO INC                                           | Tenneco Inc                                                                      | CUSIP: 880349AU9<br>LEI: 549300U0EXXFAQFAD785 | Long             | DBT              | CORP              | US        |      410000 | PA      | $405447.93    | 0.02%             | 2028-11-17      | Fixed         | 8.00%                 | No            |                  2 | On Loan: —       |
| Foundation Finance Trust                              | Foundation Finance Trust 2021-2                                                  | CUSIP: 35042PAA8<br>LEI: 54930021B3TF4B4HKE86 | Long             | ABS-O            | CORP              | US        |      360484 | PA      | $342516.00    | 0.01%             | 2042-01-15      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138EGVA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       58271 | PA      | $58996.40     | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Commercial Mortgage Trust 2022-CSMO                                           | CUSIP: 05610MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      560000 | PA      | $564200.00    | 0.02%             | 2027-06-15      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QTEX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1195763 | PA      | $1248546.29   | 0.05%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Asset-Backed European Securitisation Transaction      | Asset-Backed European Securitisation Transaction Twenty-Three Sarl               | CUSIP: 000000000<br>LEI: 213800WQKYRCMTF4FR47 | Long             | ABS-O            | CORP              | LU        |      100000 | PA      | $118606.67    | 0.00%             | 2034-03-21      | Floating      | 3.48%                 | Yes           |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                 | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      201000 | PA      | $207476.11    | 0.01%             | 2036-04-23      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                    | Seasoned Loans Structured Transaction Trust Series 2020-2                        | CUSIP: 35564CGD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1113784 | PA      | $1102109.99   | 0.04%             | 2060-09-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                             | BPR Trust 2021-TY                                                                | CUSIP: 05592AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      492000 | PA      | $487111.24    | 0.02%             | 2038-09-15      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                      | BAT Capital Corp                                                                 | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     1414000 | PA      | $1142260.39   | 0.04%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                   | American Tower Corp                                                              | CUSIP: 03027XCL2<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |      806000 | PA      | $821620.53    | 0.03%             | 2030-01-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| Mosaic Solar Loans LLC                                | Mosaic Solar Loan Trust 2019-2                                                   | CUSIP: 61945LAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       92942 | PA      | $81806.02     | 0.00%             | 2040-09-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36179DLP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      111952 | PA      | $104745.65    | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179RXD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       70743 | PA      | $65836.19     | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                                      | Trestles Clo IV Ltd                                                              | CUSIP: 89532WAA7<br>LEI: 254900EO5I6CR0IOWS98 | Long             | ABS-CBDO         | CORP              | KY        |     1170000 | PA      | $1170397.80   | 0.05%             | 2034-07-21      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| ACREC LLC                                             | Acrec 2025 Fl 3 LLC                                                              | CUSIP: 00112HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1870000 | PA      | $1863034.25   | 0.07%             | 2042-08-18      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust        | Structured Adjustable Rate Mortgage Loan Trust Series 2006-3                     | CUSIP: 863579Y69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      161672 | PA      | $84509.16     | 0.00%             | 2036-04-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | SWP: EUR 2.543000 22-APR-2054 EUR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     5340000 | OU      | $276082.50    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                 | CUSIP: 87264ACS2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      645000 | PA      | $600575.48    | 0.02%             | 2029-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Fortuna Consumer Loan ABS                             | Fortuna Consumer Loan Abs 2024-2 DAC                                             | CUSIP: 000000000<br>LEI: 635400WJJIABFKEPEL72 | Long             | ABS-O            | CORP              | IE        |      100000 | PA      | $118327.38    | 0.00%             | 2034-10-18      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                      | CIFC Funding 2018-I Ltd                                                          | CUSIP: 17181NAC8<br>LEI: 635400VBVF8AYJQBI411 | Long             | ABS-CBDO         | CORP              | KY        |      510000 | PA      | $511402.50    | 0.02%             | 2038-01-18      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                      | RALI Series 2006-QA10 Trust                                                      | CUSIP: 74922NAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      365774 | PA      | $319393.64    | 0.01%             | 2036-12-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36200MHW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6538 | PA      | $6693.51      | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CFSP Mortgage Trust                                   | CFSP 2024-AHP1 Mortgage Trust                                                    | CUSIP: 15723BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1122080 | PA      | $1074905.71   | 0.04%             | 2037-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | SWP: IFS 2.669500 15-APR-2029 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     4230000 | OU      | $-21539.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VEGAS Trust                                           | VEGAS 2024-GCS                                                                   | CUSIP: 92254BAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2180000 | PA      | $2057870.51   | 0.08%             | 2036-07-10      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138W7G40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      483401 | PA      | $436796.39    | 0.02%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | SWP: IFS 2.684000 15-APR-2029 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3231000 | OU      | $-18742.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36213FZ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       99396 | PA      | $92874.82     | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust 2024-MRCO                | JW Commercial Mortgage Trust 2024-MRCO                                           | CUSIP: 46657XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1410000 | PA      | $1410878.99   | 0.05%             | 2039-06-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      600577 | PA      | $516417.32    | 0.02%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MATTAMY GROUP CORP                                    | Mattamy Group Corp                                                               | CUSIP: 57701RAJ1<br>LEI: 5493008TNY7A82WCXU31 | Long             | DBT              | CORP              | CA        |      245000 | PA      | $243821.38    | 0.01%             | 2027-12-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Owl Rock CLO Ltd                                      | Owl Rock CLO XVIII LLC                                                           | CUSIP: 69122HAA8<br>LEI: 254900IC5H3CWUYT6A39 | Long             | ABS-CBDO         | CORP              | US        |      460000 | PA      | $458039.48    | 0.02%             | 2036-07-24      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| State of California                                   | CALIFORNIA ST                                                                    | CUSIP: 13063DGE2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     3765000 | PA      | $3826248.64   | 0.15%             | 2038-04-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                | CCO Holdings LLC / CCO Holdings Capital Corp                                     | CUSIP: 1248EPCP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      888000 | PA      | $790486.06    | 0.03%             | 2034-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31418DSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1012827 | PA      | $806050.11    | 0.03%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140X83D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      658375 | PA      | $612320.17    | 0.02%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust                        | ARES Commercial Mortgage Trust 2024-IND                                          | CUSIP: 03990DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $100156.25    | 0.00%             | 2041-07-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                      | Trinitas Clo VII Ltd                                                             | CUSIP: 89641CAU5<br>LEI: 549300F3XEPDOX3FOP69 | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $496657.50    | 0.02%             | 2035-01-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                               | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AR0<br>LEI: N/A                  | Long             | DBT              |  | US        |     1980000 | PA      | $1742626.71   | 0.07%             | 2032-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                               | Dryden 53 CLO Ltd                                                                | CUSIP: 26243EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3716049 | PA      | $3715119.86   | 0.14%             | 2031-01-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 31307NNV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       56865 | PA      | $55052.16     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133L8JQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      971097 | PA      | $896249.31    | 0.03%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179VMF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      389485 | PA      | $366667.86    | 0.01%             | 2050-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      194692 | PA      | $183329.64    | 0.01%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                       | BRAVO Residential Funding Trust 2025-NQM2                                        | CUSIP: 10569NAC5<br>LEI: 254900TZWRKTBX2YNW23 | Long             | ABS-MBS          | CORP              | US        |     1168582 | PA      | $1174202.68   | 0.05%             | 2064-11-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Home Equity Mortgage Trust                            | Home Equity Mortgage Trust 2006-2                                                | CUSIP: 225470W25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      449539 | PA      | $42310.41     | 0.00%             | 2036-07-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                              | CUSIP: 91282CGJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8144900 | PA      | $8050088.31   | 0.31%             | 2030-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                         | AppLovin Corp                                                                    | CUSIP: 03831WAC2<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |     4482000 | PA      | $4560767.34   | 0.18%             | 2031-12-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                      | Altria Group Inc                                                                 | CUSIP: 02209SBG7<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      149000 | PA      | $149137.68    | 0.01%             | 2059-02-14      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| SONDER SECURED NOTES BND                              | SONDER SECURED NOTES BND                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1539077 | PA      | $1319758.90   | 0.05%             | 2027-01-19      | Variable      | 7.00%                 | Yes           |                  3 | On Loan: No      |
| Regional Management Issuance Trust                    | Regional Management Issuance Trust 2024-1                                        | CUSIP: 758983AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      102000 | PA      | $105873.87    | 0.00%             | 2036-07-15      | Fixed         | 7.46%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust         | JP Morgan Chase Commercial Mortgage Securities Trust 2021-MHC                    | CUSIP: 466330AL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      787000 | PA      | $787491.88    | 0.03%             | 2038-04-15      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                        | Palmer Square Loan Funding 2021-4 Ltd                                            | CUSIP: 69702JAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      270000 | PA      | $268962.66    | 0.01%             | 2029-10-15      | Floating      | 9.52%                 | No            |                  2 | On Loan: No      |
| TRUST FIBRAUNO                                        | Trust Fibra Uno                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              |  | MX        |     1128000 | PA      | $1175505.72   | 0.05%             | 2032-01-23      | Fixed         | 7.70%                 | Yes           |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      707000 | PA      | $749961.71    | 0.03%             | 2029-10-24      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      744000 | PA      | $568833.31    | 0.02%             | 2060-12-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Trust 2024-VLT4                                                               | CUSIP: 05612TAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1180000 | PA      | $1175873.89   | 0.05%             | 2029-07-15      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                         | AEP Texas Inc                                                                    | CUSIP: 00108WAN0<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     1059000 | PA      | $710568.39    | 0.03%             | 2051-05-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Quarzo Srl                                            | Quarzo Srl                                                                       | CUSIP: 000000000<br>LEI: 815600702F68B2ED0B22 | Long             | ABS-O            | CORP              | IT        |       81863 | PA      | $97454.17     | 0.00%             | 2041-06-15      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140H6PA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1011501 | PA      | $927222.87    | 0.04%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VEGAS Trust                                           | VEGAS 2024-GCS                                                                   | CUSIP: 92254BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      970000 | PA      | $955341.55    | 0.04%             | 2036-07-10      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                            | Navient Private Education Refi Loan Trust 2021-D                                 | CUSIP: 63942CAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      141583 | PA      | $126953.82    | 0.00%             | 2060-04-15      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON & CO                                 | Becton Dickinson & Co                                                            | CUSIP: 075887CU1<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |      838000 | PA      | $856235.59    | 0.03%             | 2029-06-07      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132KEYV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       77088 | PA      | $75537.93     | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMC Networks Inc                                      | AMC Networks Inc                                                                 | CUSIP: 00164V103<br>LEI: 549300VGG9K75226LR46 | Long             | EC               | CORP              | US        |       21427 | NS      | $134347.29    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                 | CUSIP: 95000U3D3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     1484000 | PA      | $1518498.73   | 0.06%             | 2034-04-24      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                                | Canyon CLO 2020-3 Ltd                                                            | CUSIP: 13876RAN4<br>LEI: 25490032WO5XW3V7KL43 | Long             | ABS-CBDO         | CORP              | KY        |      330000 | PA      | $330844.80    | 0.01%             | 2037-10-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138EEHB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18436 | PA      | $17305.75     | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ORLEN SA                                              | ORLEN SA                                                                         | CUSIP: 000000000<br>LEI: 259400VVMM70CQREJT74 | Long             | DBT              | CORP              | PL        |     1156000 | PA      | $1185363.72   | 0.05%             | 2035-01-30      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      815000 | PA      | $856001.32    | 0.03%             | 2035-10-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| KSL Commercial Mortgage Trust                         | KSL Commercial Mortgage Trust 2024-HT2                                           | CUSIP: 500937AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6369000 | PA      | $6356710.38   | 0.25%             | 2039-12-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Pfizer Inc                                            | Pfizer Inc                                                                       | CUSIP: 717081EC3<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |      137000 | PA      | $125504.11    | 0.00%             | 2036-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| PECO ENERGY CO                                        | PECO Energy Co                                                                   | CUSIP: 693304BC0<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |      303000 | PA      | $190811.14    | 0.01%             | 2051-09-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | FSWP: OIS 4.308000 17-SEP-2025 FED                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   981957000 | OU      | $60497.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                     | Cedar Funding II CLO Ltd                                                         | CUSIP: 15032TBG0<br>LEI: 254900Q56WTD2BRLBE32 | Long             | ABS-CBDO         | CORP              | KY        |      510000 | PA      | $510374.34    | 0.02%             | 2034-04-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                             | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     2882000 | PA      | $2634726.16   | 0.10%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Italy Buoni Poliennali Del Tesoro                     | Italy Buoni Poliennali Del Tesoro                                                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    15423000 | PA      | $18498472.63  | 0.72%             | 2035-08-01      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities        | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 22540VHP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      196551 | PA      | $198924.08    | 0.01%             | 2031-09-25      | Variable      | 8.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133L8KJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      413343 | PA      | $381481.41    | 0.01%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Quarzo Srl                                            | Quarzo Srl                                                                       | CUSIP: 000000000<br>LEI: 815600702F68B2ED0B22 | Long             | ABS-O            | CORP              | IT        |       81863 | PA      | $97473.84     | 0.00%             | 2041-06-15      | Floating      | 4.28%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2006-28CB                                                 | CUSIP: 02147TAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      163951 | PA      | $80843.06     | 0.00%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XKHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1375345 | PA      | $1400963.45   | 0.05%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Regatta XVIII Funding Ltd                             | Regatta XVIII Funding Ltd                                                        | CUSIP: 75884EAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      436000 | PA      | $435042.98    | 0.02%             | 2038-04-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138XR3E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      125015 | PA      | $121786.99    | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PIONEER MIDCO                                         | PIONEER MIDCO                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1331106 | PA      | $1349475.29   | 0.05%             | 2030-11-18      | Fixed         | 11.62%                | Yes           |                  3 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175CK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      183000 | PA      | $155475.36    | 0.01%             | 2053-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138E7AT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      677190 | PA      | $652858.65    | 0.03%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AGL Core CLO 15 Ltd                                   | AGL Core CLO 15 Ltd                                                              | CUSIP: 00121GAA6<br>LEI: 5493001O95I190NV0196 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250422.75    | 0.01%             | 2035-01-20      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                   | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      420000 | PA      | $387288.89    | 0.01%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175CG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1226000 | PA      | $789931.86    | 0.03%             | 2062-06-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                | PURCHASED USD / SOLD COP                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-19244.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                             | Nelnet Student Loan Trust 2021-D                                                 | CUSIP: 64034YAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1640000 | PA      | $1462498.37   | 0.06%             | 2062-04-20      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                     | BYDKBSVH2 BLACKROCK PUT USD JPY 150.0000000 202511                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |    26483000 | OU      | $39856.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                    | JP Morgan Alternative Loan Trust 2007-A2                                         | CUSIP: 466278AR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      106860 | PA      | $94865.73     | 0.00%             | 2037-05-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| Algoma Steel Group Inc                                | Algoma Steel Group Inc                                                           | CUSIP: 015658107<br>LEI: 549300Q5EU337A1XCX27 | Long             | EC               | CORP              | CA        |       44147 | NS      | $304172.83    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MFT Trust                                             | MFT Trust 2020-ABC                                                               | CUSIP: 55317BAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      350781 | PA      | $220296.40    | 0.01%             | 2042-02-10      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140HBPX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40226 | PA      | $39136.33     | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132M4QV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       53866 | PA      | $50548.80     | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                      | Paramount Global                                                                 | CUSIP: 92553PAW2<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      579000 | PA      | $460885.25    | 0.02%             | 2044-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138ERQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      654818 | PA      | $642016.34    | 0.02%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                 | CUSIP: 95000U3R2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      364000 | PA      | $366635.71    | 0.01%             | 2028-01-24      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 31307JA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       44071 | PA      | $42790.14     | 0.00%             | 2029-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SPIRIT AIR 2017-1 PTT AA                              | Spirit Airlines Pass Through Trust 2017-1AA                                      | CUSIP: 84858WAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      145502 | PA      | $128797.02    | 0.00%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XBNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6757916 | PA      | $6153399.68   | 0.24%             | 2051-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CLEAN HARBORS INC                                     | Clean Harbors Inc                                                                | CUSIP: 184496AN7<br>LEI: 5493000SJVZVZJKHJF48 | Long             | DBT              | CORP              | US        |       72000 | PA      | $71646.78     | 0.00%             | 2027-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust Issuer Trust           | Goldman Home Improvement Trust 2021-GRN2 Issuer Trust                            | CUSIP: 38149XAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      288911 | PA      | $283053.63    | 0.01%             | 2051-06-25      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd                                  | OHA Loan Funding 2013-2 Ltd                                                      | CUSIP: 67104LAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2122324 | PA      | $2123705.49   | 0.08%             | 2031-05-23      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WAFC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      250051 | PA      | $245510.19    | 0.01%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      371367 | PA      | $318981.34    | 0.01%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Golden Bar Securitisation                             | Golden Bar Securitisation Srl                                                    | CUSIP: 000000000<br>LEI: 549300GESLGUWWGJRM09 | Long             | ABS-O            | CORP              | IT        |      219143 | PA      | $260530.97    | 0.01%             | 2043-09-22      | Floating      | 3.54%                 | Yes           |                  2 | On Loan: No      |
| Bank of New York Mellon                               | PURCHASED EUR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              |  | XX        |           1 | NC      | $2223.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      674719 | PA      | $549957.61    | 0.02%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Trust 2021-LBA                                                                | CUSIP: 05609BBM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      684050 | PA      | $675499.82    | 0.03%             | 2036-02-15      | Floating      | 7.43%                 | Yes           |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                     | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     1240000 | PA      | $1045864.62   | 0.04%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                                   | Synchrony Financial                                                              | CUSIP: 87165BAP8<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     3225000 | PA      | $3238019.55   | 0.13%             | 2029-03-19      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QMJZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2413083 | PA      | $1929791.29   | 0.07%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140NKJM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      390387 | PA      | $393754.82    | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bundesrepublik Deutschland Bundesanleihe              | Bundesrepublik Deutschland Bundesanleihe                                         | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     4447000 | PA      | $4654658.54   | 0.18%             | 2054-08-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      996000 | PA      | $981842.62    | 0.04%             | 2028-06-05      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                              | CUSIP: 91282CGR6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    14800000 | PA      | $14852175.77  | 0.57%             | 2026-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                | Velocity Commercial Capital Loan Trust 2020-1                                    | CUSIP: 92259LAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       95946 | PA      | $71887.52     | 0.00%             | 2050-02-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |           1 | NC      | $-166405.42   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority                 | MET TRANSPRTN AUTH NY REVENUE                                                    | CUSIP: 59259YBY4<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |      170000 | PA      | $183843.81    | 0.01%             | 2039-11-15      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QEBL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2056262 | PA      | $1733678.89   | 0.07%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Coreweave Compute Acquisition Co., IV, LLC            | Coreweave Compute Acquisition Co IV LLC 2024 Delayed Draw Term Loan              | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     2784000 | PA      | $2752819.20   | 0.11%             | 2029-05-16      | Floating      | 10.33%                | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XFFP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1190818 | PA      | $959941.77    | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Emerald Technologies (US) Acquisitionco Inc           | Emerald Technologies (US) Acquisitionco Inc Term Loan                            | CUSIP: 29102UAB5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      254750 | PA      | $178325.18    | 0.01%             | 2027-12-29      | Floating      | 10.73%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31417KZW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      266011 | PA      | $265405.97    | 0.01%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SHR Trust                                             | SHR Trust 2024-LXRY                                                              | CUSIP: 784234AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      255000 | PA      | $254840.63    | 0.01%             | 2041-10-15      | Floating      | 7.91%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                    | Regional Management Issuance Trust 2024-2                                        | CUSIP: 75907AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      261000 | PA      | $262428.04    | 0.01%             | 2033-12-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QE4W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      206701 | PA      | $190019.08    | 0.01%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VANTAGE DRILL INTL LTD                                | Vantage Drilling International Ltd                                               | CUSIP: 92210KAD0<br>LEI: 549300T9QN1134QR7185 | Long             | DBT              | CORP              | KY        |       25000 | PA      | $24875.00     | 0.00%             | 2028-02-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                              | Brazil Notas do Tesouro Nacional Serie F                                         | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    56786000 | PA      | $8617913.85   | 0.33%             | 2035-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                    | VICI Properties LP                                                               | CUSIP: 925650AJ2<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |      780000 | PA      | $786380.10    | 0.03%             | 2028-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1431600 | PA      | $984672.38    | 0.04%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XQQ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2078870 | PA      | $2159737.34   | 0.08%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                   | CUSIP: 61747YFS9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     5959000 | PA      | $6060240.31   | 0.23%             | 2030-07-19      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                | Sequoia Mortgage Trust 2007-3                                                    | CUSIP: 81744MAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      129925 | PA      | $102632.40    | 0.00%             | 2037-07-20      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                       | SWAP/CDSWAP/ICE: (ITRAXX.XO.43.V1)                                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     1089000 | OU      | $-119353.18   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                      | Altria Group Inc                                                                 | CUSIP: 02209SBM4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     2031000 | PA      | $1506641.72   | 0.06%             | 2041-02-04      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                              | CUSIP: 91282CJT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10412300 | PA      | $10437110.53  | 0.40%             | 2027-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                             | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      930000 | PA      | $950424.64    | 0.04%             | 2029-04-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Commercial Mortgage Trust 2023-XL3                                            | CUSIP: 12434GAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      826274 | PA      | $828709.72    | 0.03%             | 2040-12-09      | Floating      | 7.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138ERRX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      143947 | PA      | $140879.03    | 0.01%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MGM RESORTS INTL                                      | MGM Resorts International                                                        | CUSIP: 552953CJ8<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |       12000 | PA      | $12195.78     | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QAAJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       47665 | PA      | $45114.24     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XFGV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1708893 | PA      | $1367714.82   | 0.05%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                      | Paramount Global                                                                 | CUSIP: 124857AT0<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      417000 | PA      | $403460.48    | 0.02%             | 2028-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DMRT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5556790 | PA      | $5023764.81   | 0.19%             | 2044-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BlueMountain EUR CLO                                  | Bluemountain Euro 2021-2 CLO DAC                                                 | CUSIP: 000000000<br>LEI: 635400FUA3XKDDGLJL55 | Long             | ABS-CBDO         | CORP              | IE        |      560000 | PA      | $659655.66    | 0.03%             | 2035-10-15      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                      | Symphony CLO XX Ltd                                                              | CUSIP: 87166VAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250014.50    | 0.01%             | 2032-01-16      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| EQT Corp                                              | EQT Corp                                                                         | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     2789000 | PA      | $2752030.08   | 0.11%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QEJX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2634387 | PA      | $2221338.49   | 0.09%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Alorica Inc                                           | Alorica Inc 2022 Term Loan                                                       | CUSIP: 000000000<br>LEI: 549300I7BKCLNE05U640 | Long             | LON              | CORP              | US        |      792778 | PA      | $781917.13    | 0.03%             | 2027-12-21      | Floating      | 11.20%                | Yes           |                  3 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DMRF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      490941 | PA      | $454464.73    | 0.02%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                   | CUSIP: 61747YFY6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     4547000 | PA      | $4613146.80   | 0.18%             | 2029-04-12      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WFNC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      146008 | PA      | $141067.60    | 0.01%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179XNA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      381548 | PA      | $324320.79    | 0.01%             | 2052-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OHIO EDISON CO                                        | Ohio Edison Co                                                                   | CUSIP: 677347CJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       89000 | PA      | $90219.11     | 0.00%             | 2029-12-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179UQ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      173122 | PA      | $169072.67    | 0.01%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNB CORP                                              | FNB Corp/PA                                                                      | CUSIP: 302520AD3<br>LEI: PCYSKIGYNYFDTBLVZU83 | Long             | DBT              | CORP              | US        |       91000 | PA      | $91515.35     | 0.00%             | 2030-12-11      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust            | JPMBB Commercial Mortgage Securities Trust 2014-C22                              | CUSIP: 46642NBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       86662 | PA      | $0.90         | 0.00%             | 2047-09-15      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6549100 | PA      | $3643448.49   | 0.14%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                              | OBX 2025-NQM3 Trust                                                              | CUSIP: 67448YAC8<br>LEI: 254900MBGY6CR10DAX67 | Long             | ABS-MBS          | CORP              | US        |      695760 | PA      | $699517.12    | 0.03%             | 2064-12-01      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| VISTA OIL & GAS ARGENTIN                              | Vista Energy Argentina SAU                                                       | CUSIP: 92841RAA8<br>LEI: 549300FE4UJNCG1DB123 | Long             | DBT              | CORP              | AR        |      194000 | PA      | $188083.00    | 0.01%             | 2035-12-10      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                  | Bank of America Corp                                                             | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     2651000 | PA      | $2621671.01   | 0.10%             | 2029-03-05      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                              | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    19512000 | PA      | $19542487.50  | 0.76%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140X9MV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30395 | PA      | $28469.03     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138XTDH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      162470 | PA      | $160123.41    | 0.01%             | 2029-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                    | BX Trust 2019-OC11                                                               | CUSIP: 05606FAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1743000 | PA      | $1629371.22   | 0.06%             | 2041-12-09      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Trust                     | GreenPoint Mortgage Funding Trust 2006-AR2                                       | CUSIP: 39538WGJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       79808 | PA      | $74647.54     | 0.00%             | 2036-03-25      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138X55F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      183360 | PA      | $177964.31    | 0.01%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                       | Venture 32 CLO Ltd                                                               | CUSIP: 92325QAC1<br>LEI: 549300UP09C89Q3HWD39 | Long             | ABS-CBDO         | CORP              | KY        |      181708 | PA      | $181796.56    | 0.01%             | 2031-07-18      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Eaton Vance CDO Ltd                                   | Eaton Vance CLO 2013-1 Ltd                                                       | CUSIP: 27830BBQ6<br>LEI: 5493001O5CL3BBUIEH94 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250002.00    | 0.01%             | 2034-01-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                     | L3Harris Technologies Inc                                                        | CUSIP: 502431AT6<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |      531000 | PA      | $547704.89    | 0.02%             | 2031-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                               | HCA Inc                                                                          | CUSIP: 404119BW8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |       37000 | PA      | $38400.87     | 0.00%             | 2029-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-86895.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                 | Foundry JV Holdco LLC                                                            | CUSIP: 350930AH6<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |      204000 | PA      | $211061.08    | 0.01%             | 2036-01-25      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | FSWP: JPY 1.026500 12-MAR-2027 FTO                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  8309049195 | OU      | $-134392.69   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140X9PE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      160372 | PA      | $150176.67    | 0.01%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Origen Manufactured Housing                           | Origen Manufactured Housing Contract Trust 2001-A                                | CUSIP: 68619AAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      147333 | PA      | $147720.78    | 0.01%             | 2032-03-15      | Variable      | 7.82%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Bank                                | WASHINGTON MUTUAL BANK                                                           | CUSIP: 939MMIBF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2190000 | PA      | $0.22         | 0.00%             | 2049-09-19      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132CWSB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2255679 | PA      | $2017166.29   | 0.08%             | 2036-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Commercial Mortgage Trust 2024-BRBK                                           | CUSIP: 05613NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1240000 | PA      | $1247734.38   | 0.05%             | 2041-10-15      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| PFIZER INVESTMENT ENTER                               | Pfizer Investment Enterprises Pte Ltd                                            | CUSIP: 716973AE2<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |      183000 | PA      | $182449.84    | 0.01%             | 2033-05-19      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                      | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     2404000 | PA      | $1937642.94   | 0.07%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CNX RESOURCES CORP                                    | CNX Resources Corp                                                               | CUSIP: 12653CAL2<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |      978000 | PA      | $1012632.94   | 0.04%             | 2032-03-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Flagstar Financial Inc                                | Flagstar Financial Inc                                                           | CUSIP: 649445400<br>LEI: 529900HVXOTLY61GL030 | Long             | EC               | CORP              | US        |       89285 | NS      | $946421.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| ELM Trust 2024                                        | ELM Trust 2024-ELM                                                               | CUSIP: 26860XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6760000 | PA      | $95245.02     | 0.00%             | 2039-06-10      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                   | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1773000 | PA      | $1730184.00   | 0.07%             | 2027-05-04      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132QMPY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       52463 | PA      | $50209.17     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                      | GWT 2024-WLF2                                                                    | CUSIP: 362414AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2672000 | PA      | $2678754.28   | 0.10%             | 2041-05-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QT4C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2694607 | PA      | $2795371.65   | 0.11%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                              | EQT Corp                                                                         | CUSIP: 26884LBA6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     6772000 | PA      | $7442515.02   | 0.29%             | 2030-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XJVT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      761799 | PA      | $701658.61    | 0.03%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XGPU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1804352 | PA      | $1432959.54   | 0.06%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                      | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      414000 | PA      | $375351.28    | 0.01%             | 2054-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DMKJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1299152 | PA      | $1230455.27   | 0.05%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                                  | Birch Grove CLO 3 Ltd                                                            | CUSIP: 09076VAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249752.50    | 0.01%             | 2038-01-19      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    17887000 | PA      | $12592168.61  | 0.49%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XGVN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      300750 | PA      | $264715.82    | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | SWP: EUR 2.510500 01-MAR-2054 EUR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2978000 | OU      | $177131.89    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WJJ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      114603 | PA      | $108570.53    | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                   | BYDK1XEB4 BLACKROCK FXVAN PUT USD MXN 19.1000000                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |    37348000 | OU      | $835736.20    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc                                  | SCG 2024-MSP Mortgage Trust                                                      | CUSIP: 78436EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2258000 | PA      | $2259411.25   | 0.09%             | 2041-04-15      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| New York State Dormitory Authority                    | NEW YORK ST DORM AUTH ST PERSONAL INCOME TAX REVENUE                             | CUSIP: 6499022F9<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |      355000 | PA      | $355196.10    | 0.01%             | 2040-03-15      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae                                                                       | CUSIP: 21H032688<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      495000 | PA      | $448966.12    | 0.02%             | 2054-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31418RGR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4930 | PA      | $4913.04      | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 31335B2J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      743236 | PA      | $726351.04    | 0.03%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                              | CUSIP: 91282CKW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12978100 | PA      | $13217890.64  | 0.51%             | 2031-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FORESTAR GROUP INC                                    | Forestar Group Inc                                                               | CUSIP: 346232AE1<br>LEI: 549300BC2UB0GHV60V70 | Long             | DBT              | CORP              | US        |      287000 | PA      | $282540.74    | 0.01%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                    | VICI Properties LP                                                               | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |     1517000 | PA      | $1525319.91   | 0.06%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                                   | AUST 10Y BOND FUT SEP25                                                          | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |         -90 | NC      | $-64928.64    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                     | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      337000 | PA      | $327066.56    | 0.01%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132HRMP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      626739 | PA      | $567548.64    | 0.02%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                | RUSSELL 2000 INDEX JUL25 2000 PUT                                                | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |          38 | NC      | $12578.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XFGW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1667317 | PA      | $1339019.08   | 0.05%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | Credit Suisse Mortgage Capital Certificates                                      | CUSIP: 12642MAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2614500 | PA      | $982062.94    | 0.04%             | 2037-10-27      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BBAM US CLO LTD.                                      | BBAM US CLO I Ltd                                                                | CUSIP: 054978AL5<br>LEI: 549300LRECI1GZTZLF38 | Long             | ABS-CBDO         | CORP              | KY        |      390000 | PA      | $390106.93    | 0.02%             | 2038-03-30      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                           | Equinix Inc                                                                      | CUSIP: 29444UBT2<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              |  | US        |      420000 | PA      | $280966.44    | 0.01%             | 2052-02-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Revolving Mortgage Loan Trust       | Bayview Financial Revolving Asset Trust 2005-E                                   | CUSIP: 073250BV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       86010 | PA      | $91410.45     | 0.00%             | 2040-12-28      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                    | Japan Government Thirty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   521550000 | PA      | $3323353.32   | 0.13%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12928400 | PA      | $12811236.38  | 0.50%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UK Logisitics                                         | UK Logistics 2024-1 DAC                                                          | CUSIP: 000000000<br>LEI: 635400H22JMICKOJRJ36 | Long             | ABS-MBS          | CORP              | GB        |      202000 | PA      | $277829.79    | 0.01%             | 2034-05-17      | Floating      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XFUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      295393 | PA      | $237771.64    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                         | MHC Commercial Mortgage Trust 2021-MHC                                           | CUSIP: 55316VAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      602400 | PA      | $603529.51    | 0.02%             | 2038-04-15      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138XERE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      157261 | PA      | $154734.16    | 0.01%             | 2028-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                        | Solventum Corp                                                                   | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |      758000 | PA      | $780092.49    | 0.03%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36202FDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       24561 | PA      | $24370.59     | 0.00%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QEB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1316577 | PA      | $1111171.00   | 0.04%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                           | TRSWAP: GSISDRV5 BASKET 06-NOV-202                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               |  | US        |    13515076 | OU      | $7781.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Progress Residential Trust                            | Progress Residential 2021-SFR10 Trust                                            | CUSIP: 74333WAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1197598 | PA      | $1163532.58   | 0.04%             | 2040-12-17      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| One Bryant Park Trust                                 | One Bryant Park Trust 2019-OBP                                                   | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      128000 | PA      | $116531.39    | 0.00%             | 2054-09-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Voyager OPTONE Delaware Trust                         | Voyager OPTONE Delaware Trust                                                    | CUSIP: 92911BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2803520 | PA      | $611673.59    | 0.02%             | 2038-02-25      | Variable      | 2.76%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust         | JP Morgan Chase Commercial Mortgage Securities Trust 2021-MHC                    | CUSIP: 466330AQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      450000 | PA      | $450281.25    | 0.02%             | 2038-04-15      | Floating      | 7.63%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                      | Crown Castle Inc                                                                 | CUSIP: 22822VAW1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |      264000 | PA      | $226502.90    | 0.01%             | 2031-04-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XATV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      982941 | PA      | $791463.43    | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                    | Tricon Residential 2021-SFR1 Trust                                               | CUSIP: 89614YAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      795000 | PA      | $776652.04    | 0.03%             | 2038-07-17      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                           | Rad CLO 7 Ltd                                                                    | CUSIP: 74936GAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249647.50    | 0.01%             | 2036-04-17      | Floating      | 8.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XBG95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1655288 | PA      | $1480255.54   | 0.06%             | 2036-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31416VGJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      112042 | PA      | $114906.15    | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 312943Q63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       71785 | PA      | $69454.81     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 31307MNN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      135295 | PA      | $131548.95    | 0.01%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WJH35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      106189 | PA      | $100114.03    | 0.00%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Acquisition Trust                   | Bayview Financial Revolving Asset Trust 2004-B                                   | CUSIP: 073250BE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2780607 | PA      | $2327995.29   | 0.09%             | 2039-05-28      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Avoca CLO                                             | Avoca CLO XXII DAC                                                               | CUSIP: 000000000<br>LEI: 5493000BN1WPGQDK4X78 | Long             | ABS-CBDO         | CORP              | IE        |      250000 | PA      | $290776.23    | 0.01%             | 2035-04-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                                    | Ohio Power Co                                                                    | CUSIP: 677415CQ2<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |      164000 | PA      | $126724.15    | 0.00%             | 2048-04-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                                   | Sound Point CLO II Ltd                                                           | CUSIP: 83608GAN6<br>LEI: 549300Q00FJ0WHHYC788 | Long             | ABS-CBDO         | CORP              | KY        |      122791 | PA      | $122852.63    | 0.00%             | 2031-01-26      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Golden Ray S.A.                                       | Golden Ray SA - Compartment 1                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | LU        |      100000 | PA      | $116672.36    | 0.00%             | 2057-12-27      | Floating      | 4.09%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138EPJ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      202869 | PA      | $198659.79    | 0.01%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                      | CUSIP: 694308KD8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     4457000 | PA      | $3708311.13   | 0.14%             | 2052-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WD7A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4867 | PA      | $4714.83      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                | General Motors Financial Co Inc                                                  | CUSIP: 37045XEF9<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      316000 | PA      | $317434.13    | 0.01%             | 2026-04-06      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CONNECT FINCO SARL/CONNE                              | Connect Finco SARL / Connect US Finco LLC                                        | CUSIP: 20752TAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      200000 | PA      | $201025.60    | 0.01%             | 2029-09-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GB37<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1999000 | PA      | $2016379.81   | 0.08%             | 2035-07-23      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F040479<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |     -539000 | PA      | $-527153.28   | -0.02%            | 2039-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | FSWP: JPY 0.683000 21-APR-2027 FTO                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  3257950188 | OU      | $29091.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3561500 | PA      | $3188098.98   | 0.12%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 31292LGU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      557023 | PA      | $523773.20    | 0.02%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140J7MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      313488 | PA      | $297782.26    | 0.01%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Regatta XXVII Funding Ltd.                            | Regatta XXVII Funding Ltd                                                        | CUSIP: 758970AA5<br>LEI: 213800A3LAH3GG226R43 | Long             | ABS-CBDO         | CORP              | JE        |      470000 | PA      | $471345.61    | 0.02%             | 2037-04-26      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133L8AU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      652865 | PA      | $603177.14    | 0.02%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust         | BHG Securitization Trust 2021-B                                                  | CUSIP: 08862BAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      130000 | PA      | $123475.17    | 0.00%             | 2034-10-17      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QNJL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      300359 | PA      | $276641.77    | 0.01%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                      | SMB Private Education Loan Trust 2021-C                                          | CUSIP: 83208AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       68313 | PA      | $59217.37     | 0.00%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                | Velocity Commercial Capital Loan Trust 2021-4                                    | CUSIP: 92258DAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      237634 | PA      | $193410.78    | 0.01%             | 2051-12-26      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| STILLWATER MINING CO                                  | Stillwater Mining Co                                                             | CUSIP: 000000000<br>LEI: 6354007DPCY4ZN2MRR73 | Long             | DBT              | CORP              | US        |     1087000 | PA      | $969971.73    | 0.04%             | 2029-11-16      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| 720 East CLO Ltd.                                     | 720 East CLO VII Ltd                                                             | CUSIP: 81800WAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      970000 | PA      | $961789.92    | 0.04%             | 2037-04-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36181GFM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      464980 | PA      | $434761.11    | 0.02%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AGL Core CLO                                          | AGL Core CLO 2 Ltd                                                               | CUSIP: 001200AJ3<br>LEI: 549300EIBQDZ5WXOZ105 | Long             | ABS-CBDO         | CORP              | KY        |      950000 | PA      | $952352.20    | 0.04%             | 2037-07-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F030678<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      973000 | PA      | $841781.75    | 0.03%             | 2054-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                               | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AQ2<br>LEI: N/A                  | Long             | DBT              |  | US        |     3155000 | PA      | $2973753.77   | 0.11%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3128PY3W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5111 | PA      | $5026.18      | 0.00%             | 2027-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140J55S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      295230 | PA      | $290065.94    | 0.01%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSC Holdings LLC                                      | CSC Holdings LLC                                                                 | CUSIP: 126307AQ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      400000 | PA      | $381898.63    | 0.01%             | 2027-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                      | Soundview Home Loan Trust 2004-WMC1                                              | CUSIP: 83611MBW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       12298 | PA      | $10358.27     | 0.00%             | 2035-01-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133KPKT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1254103 | PA      | $1201903.22   | 0.05%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DVLH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      533573 | PA      | $429490.84    | 0.02%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                      | SMB Private Education Loan Trust 2021-C                                          | CUSIP: 83208AAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       33390 | PA      | $29672.01     | 0.00%             | 2053-01-15      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133KRB86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1861944 | PA      | $1878009.90   | 0.07%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PG&E CORP                                             | PG&E Corp                                                                        | CUSIP: 69331CAJ7<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |     3326000 | PA      | $3168488.59   | 0.12%             | 2030-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NEWDAY FUNDING                                        | Newday Funding Master Issuer PLC - Series 2024-2                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |      100000 | PA      | $137780.95    | 0.01%             | 2032-07-15      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| PERMIAN RESOURC OPTG LLC                              | Permian Resources Operating LLC                                                  | CUSIP: 15138AAA8<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |       23000 | PA      | $22960.93     | 0.00%             | 2026-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WEF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       44167 | PA      | $42755.02     | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RAIZEN FUELS FINANCE                                  | Raizen Fuels Finance SA                                                          | CUSIP: 75102XAF3<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |      796000 | PA      | $790030.00    | 0.03%             | 2032-07-08      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                              | CUSIP: 91282CJP7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7323200 | PA      | $7377837.96   | 0.29%             | 2026-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates               | WaMu Mortgage Pass-Through Certificates Series 2007-HY4 Trust                    | CUSIP: 933636AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3720738 | PA      | $3362879.64   | 0.13%             | 2037-04-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133KLUA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8856428 | PA      | $7471059.01   | 0.29%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | SWP: IFS 2.569200 15-APR-2029 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     4000000 | OU      | $-800.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                | CCO Holdings LLC / CCO Holdings Capital Corp                                     | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1111000 | PA      | $1034610.75   | 0.04%             | 2032-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                      | Carlyle Global Market Strategies CLO 2014-1 Ltd                                  | CUSIP: 14310MAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      223554 | PA      | $223605.34    | 0.01%             | 2031-04-17      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc             | Structured Asset Mortgage Investments II Trust 2006-AR5                          | CUSIP: 86360JAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      117472 | PA      | $82696.87     | 0.00%             | 2046-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| BNP Paribas Securities Services                       | TRSWAP: IBOXHY INDEX                                                             | CUSIP: 000000000<br>LEI: 549300WCGB70D06XZS54 | N/A              | DCR              |  | US        |     1422000 | OU      | $17148.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                              | Foundation Finance Trust 2024-2                                                  | CUSIP: 35040VAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      220919 | PA      | $220432.11    | 0.01%             | 2050-03-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                        | CFMT 2024-HB14 LLC                                                               | CUSIP: 12530XAD3<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |      161000 | PA      | $150473.48    | 0.01%             | 2034-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae                                                                       | CUSIP: 21H042679<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     7516000 | PA      | $7193247.78   | 0.28%             | 2054-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SONDER WARRANTS                                       | SONDER WARRANTS                                                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |        4323 | NS      | $11628.87     | 0.00%             |  |  |  | Yes           |                  1 | On Loan: No      |
| KINDER MORGAN INC                                     | Kinder Morgan Inc                                                                | CUSIP: 49456BBC4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |      296000 | PA      | $306829.03    | 0.01%             | 2035-06-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                 | Wells Fargo Commercial Mortgage Trust 2024-BPRC                                  | CUSIP: 95004AAE3<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |      640000 | PA      | $660675.20    | 0.03%             | 2043-07-15      | Fixed         | 6.21%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                    | CUSIP: 172967QA2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     2137000 | PA      | $2161355.50   | 0.08%             | 2031-05-07      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F022675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1662000 | PA      | $1377749.19   | 0.05%             | 2055-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138XEFF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14237 | PA      | $13959.32     | 0.00%             | 2028-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133KNCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4739780 | PA      | $3991758.64   | 0.15%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                     | CUSIP: 11135FCC3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      125000 | PA      | $123843.54    | 0.00%             | 2032-02-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DNTW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      967869 | PA      | $955577.80    | 0.04%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132KE3D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      201244 | PA      | $194925.96    | 0.01%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                 | Wells Fargo Commercial Mortgage Trust 2019-C50                                   | CUSIP: 95001XBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4573594 | PA      | $183823.72    | 0.01%             | 2052-05-15      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WH3T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      393902 | PA      | $379235.16    | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                         | AEP Texas Inc                                                                    | CUSIP: 00108WAR1<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |      181000 | PA      | $183609.34    | 0.01%             | 2033-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                     | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-6405.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31417GLT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1072863 | PA      | $968537.99    | 0.04%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust                | Banc of America Alternative Loan Trust 2006-7                                    | CUSIP: 059469AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      237503 | PA      | $63025.18     | 0.00%             | 2036-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                           | Equinix Inc                                                                      | CUSIP: 29444UBM7<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              |  | US        |      468000 | PA      | $288488.10    | 0.01%             | 2051-09-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURC OPTG LLC                              | Permian Resources Operating LLC                                                  | CUSIP: 27034RAA1<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |      358000 | PA      | $366019.20    | 0.01%             | 2027-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2681000 | PA      | $2034104.03   | 0.08%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                     | Battalion CLO VIII Ltd                                                           | CUSIP: 07132ACC5<br>LEI: 549300WH2OE0BGHQQP83 | Long             | ABS-CBDO         | CORP              | KY        |      272318 | PA      | $272417.11    | 0.01%             | 2030-07-18      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138EP6D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       70453 | PA      | $67466.76     | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XFVC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      107761 | PA      | $99252.12     | 0.00%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138XHBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      334171 | PA      | $327425.76    | 0.01%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F052672<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   180826000 | PA      | $180784630.63 | 6.99%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                         | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |           1 | NC      | $-222724.53   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS L                              | EQM Midstream Partners LP                                                        | CUSIP: 26885BAH3<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |     1390000 | PA      | $1421320.12   | 0.05%             | 2027-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1582000 | PA      | $1013545.11   | 0.04%             | 2061-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                               | CUSIP: 226373AT5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     4437000 | PA      | $4649270.69   | 0.18%             | 2031-02-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138YXK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       63395 | PA      | $61973.30     | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WFYM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      142830 | PA      | $137996.28    | 0.01%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Olympic Tower Mortgage Trust                          | Olympic Tower 2017-OT Mortgage Trust                                             | CUSIP: 68162MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13300000 | PA      | $75974.92     | 0.00%             | 2039-05-10      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                                    | Ohio Power Co                                                                    | CUSIP: 677415CU3<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |      189000 | PA      | $115403.46    | 0.00%             | 2051-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | BYDHMN7H5 BLACKROCK SWAPTION 4.0075 CALL USD 20270                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |      301735 | NC      | $14333.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                              | Cheniere Energy Partners LP                                                      | CUSIP: 16411QAV3<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |      680000 | PA      | $685346.24    | 0.03%             | 2035-10-30      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                         | CUSIP: 38382VHH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1350783 | PA      | $224759.52    | 0.01%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36180DVA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      235741 | PA      | $219835.40    | 0.01%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DVLU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1595142 | PA      | $1285777.94   | 0.05%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                              | Pioneer Natural Resources Co                                                     | CUSIP: 723787AR8<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |      584000 | PA      | $518721.16    | 0.02%             | 2031-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                          | TICP CLO VI 2016-2 Ltd                                                           | CUSIP: 87246MAS1<br>LEI: 254900JG2DPAYUCW8T83 | Long             | ABS-CBDO         | CORP              | KY        |      820000 | PA      | $821476.00    | 0.03%             | 2034-01-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                            | Navient Private Education Refi Loan Trust 2020-F                                 | CUSIP: 63941XAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      450000 | PA      | $381207.92    | 0.01%             | 2069-07-15      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTIL LTD                                 | Thames Water Utilities Ltd                                                       | CUSIP: 000000000<br>LEI: 213800JKM5UQHFJOTZ25 | Long             | DBT              | CORP              | GB        |        3000 | PA      | $3434.69      | 0.00%             | 2027-03-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Commercial Mortgage Trust 2021-NWM                                            | CUSIP: 12434AAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      979005 | PA      | $976729.04    | 0.04%             | 2033-02-15      | Floating      | 8.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140H4Q72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21331 | PA      | $20749.90     | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                         | PURCHASED CZK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CZ        |           1 | NC      | $2032.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION                                | Clydesdale Acquisition Holdings Inc                                              | CUSIP: 18972EAB1<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |      192000 | PA      | $196382.21    | 0.01%             | 2030-04-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                             | Prosus NV                                                                        | CUSIP: 000000000<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     1271000 | PA      | $1190481.82   | 0.05%             | 2032-01-19      | Fixed         | 4.19%                 | Yes           |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                              | Service Properties Trust                                                         | CUSIP: 81761LAD4<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |      828000 | PA      | $861192.04    | 0.03%             | 2029-06-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                              | Madison Park Funding XXIX LTD                                                    | CUSIP: 55820CAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1250000 | PA      | $1248567.50   | 0.05%             | 2038-03-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                               | BYDL26QQ4 BLACKROCK SWAPTION 3.995 CALL USD 202706                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |     3490000 | NC      | $164838.18    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                              | Angel Oak Mortgage Trust 2023-7                                                  | CUSIP: 03466DAA0<br>LEI: 254900DRGJVOF9SOT744 | Long             | ABS-MBS          | CORP              | US        |     1568666 | PA      | $1558442.80   | 0.06%             | 2067-11-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                        | NRG Energy Inc                                                                   | CUSIP: 629377CT7<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     4144000 | PA      | $4548848.08   | 0.18%             | 2033-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | SWP: EUR 2.455500 22-MAR-2054 EUR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1250000 | OU      | $90828.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                      | BAT Capital Corp                                                                 | CUSIP: 054989AD0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     3113000 | PA      | $3467418.82   | 0.13%             | 2053-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 31307JA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       82507 | PA      | $80216.29     | 0.00%             | 2029-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                  | Targa Resources Corp                                                             | CUSIP: 87612GAD3<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |      232000 | PA      | $238166.21    | 0.01%             | 2053-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                             | Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19                      | CUSIP: 61764PAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1810000 | PA      | $61.00        | 0.00%             | 2047-12-15      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140F5BJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       90645 | PA      | $86129.98     | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140J75N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39937 | PA      | $38850.23     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138YXT21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12314 | PA      | $11908.31     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3575299 | PA      | $3214393.78   | 0.12%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Manufactured Housing Contract              | Lehman ABS Manufactured Housing Contract Trust 2001-B                            | CUSIP: 52519SAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      311156 | PA      | $313638.66    | 0.01%             | 2040-04-15      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae                                                                       | CUSIP: 21H020675<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    11076000 | PA      | $9018080.31   | 0.35%             | 2054-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Service Experts Issuer                                | Service Experts Issuer 2021-1 LLC                                                | CUSIP: 81758VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      373949 | PA      | $364433.74    | 0.01%             | 2032-02-02      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                      | CSC Holdings LLC                                                                 | CUSIP: 126307BN6<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      247000 | PA      | $234935.48    | 0.01%             | 2029-01-31      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| Aimco                                                 | Aimco CLO 11 Ltd                                                                 | CUSIP: 00140NAY6<br>LEI: 549300VLRW0CEQ83RF89 | Long             | ABS-CBDO         | CORP              | KY        |      330000 | PA      | $330747.12    | 0.01%             | 2037-07-17      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                             | LBA Trust 2024-BOLT                                                              | CUSIP: 50177BAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      153000 | PA      | $152190.98    | 0.01%             | 2039-06-15      | Floating      | 8.75%                 | No            |                  2 | On Loan: No      |
| Caesars Entertainment Inc                             | Caesars Entertainment Inc                                                        | CUSIP: 12769G100<br>LEI: 549300FA4CTCW903Y781 | Long             | EC               | CORP              | US        |       10266 | NS      | $291451.74    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| SG Mortgage Securities Trust                          | SG Mortgage Securities Trust 2006-OPT2                                           | CUSIP: 78420MAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      570000 | PA      | $431361.29    | 0.02%             | 2036-10-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Trust 2024-PAT                                                                | CUSIP: 05612FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      530000 | PA      | $530000.00    | 0.02%             | 2041-03-15      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| Vaco Holdings LLC                                     | Vaco Holdings LLC 2022 Term Loan                                                 | CUSIP: 91865FAJ8<br>LEI: 54930076HTNXBP03T379 | Long             | LON              | CORP              | US        |      269758 | PA      | $248092.74    | 0.01%             | 2029-01-21      | Floating      | 9.45%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization       | C-BASS 2006-CB7 TRUST                                                            | CUSIP: 12479DAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      140497 | PA      | $96092.96     | 0.00%             | 2036-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      119719 | PA      | $56628.86     | 0.00%             | 2052-02-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust         | J.P. Morgan Chase Commercial Mortgage Securities Trust 2020-609M                 | CUSIP: 46652RAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      180000 | PA      | $173298.17    | 0.01%             | 2033-10-15      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                         | CUSIP: 38383R2G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1048475 | PA      | $180285.50    | 0.01%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                      | Duke Energy Corp                                                                 | CUSIP: 26441CBU8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      398000 | PA      | $348928.16    | 0.01%             | 2052-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| Nelnet Student Loan Trust                             | Nelnet Student Loan Trust 2021-C                                                 | CUSIP: 64035GAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      160000 | PA      | $140768.77    | 0.01%             | 2062-04-20      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                              | Sabine Pass Liquefaction LLC                                                     | CUSIP: 785592AV8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |      650000 | PA      | $653537.35    | 0.03%             | 2026-06-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2006-OC10                                                 | CUSIP: 23245FAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      516362 | PA      | $445406.35    | 0.02%             | 2036-11-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                               | CUSIP: 29273VAW0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     2225000 | PA      | $2116636.65   | 0.08%             | 2054-05-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                                | Argent Mortgage Loan Trust 2005-W1                                               | CUSIP: 040104MY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1577293 | PA      | $1282445.19   | 0.05%             | 2035-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133BEQS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       24738 | PA      | $24452.98     | 0.00%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MAVERICK GAMING LLC                                   | Maverick Gaming LLC 2024 Second Out Term Loan                                    | CUSIP: 57770JAE6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      469331 | PA      | $305065.23    | 0.01%             | 2028-06-03      | Floating      | 13.78%                | Yes           |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                   | Synchrony Financial                                                              | CUSIP: 87165BAV5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     2633000 | PA      | $2705351.97   | 0.10%             | 2030-08-02      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                        | Carrington Mortgage Loan Trust Series 2006-NC4                                   | CUSIP: 14453MAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       79783 | PA      | $77649.88     | 0.00%             | 2036-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36181D7A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      291808 | PA      | $272027.87    | 0.01%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XTA35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      674556 | PA      | $538859.54    | 0.02%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     3987000 | PA      | $3523113.87   | 0.14%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| NYC Trust                                             | NYCT Trust 2024-3ELV                                                             | CUSIP: 62956HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      198000 | PA      | $195916.39    | 0.01%             | 2029-08-15      | Floating      | 8.15%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                                 | Sixth Street CLO XIX Ltd                                                         | CUSIP: 83012KAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      573000 | PA      | $573598.79    | 0.02%             | 2034-07-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XGVQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      483323 | PA      | $422420.17    | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Connect Finco SARL                                    | Connect Finco Sarl 2024 Extended Term Loan B                                     | CUSIP: 000000000<br>LEI: 2594001KNYIQ456J2792 | Long             | LON              | CORP              | LU        |      519740 | PA      | $495539.66    | 0.02%             | 2029-09-27      | Floating      | 8.83%                 | No            |                  2 | On Loan: No      |
| Banc of America Commercial Mortgage Trust             | Bank of America Merrill Lynch Commercial Mortgage Trust 2017-BNK3                | CUSIP: 06427DAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4070000 | PA      | $32823.33     | 0.00%             | 2050-02-15      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132GD3M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      157284 | PA      | $156876.52    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cassia S.r.l.                                         | Cassia 2022-1 SRL                                                                | CUSIP: 000000000<br>LEI: 815600A9D6ADF4638276 | Long             | ABS-MBS          | CORP              | IT        |     1206206 | PA      | $1423802.78   | 0.06%             | 2034-05-22      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| ACE03 MH1 B2                                          | ACE03 MH1 B2                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      149790 | PA      | $141784.52    | 0.01%             | 2030-08-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Equity One ABS Inc                                    | Equity One Mortgage Pass-Through Trust 2003-3                                    | CUSIP: 294751CU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2986237 | PA      | $2551496.33   | 0.10%             | 2033-12-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| ECL ENTERTAINMENT LLC                                 | ECL Entertainment LLC 2024 1st Lien Term Loan B                                  | CUSIP: 26826TAL7<br>LEI: 254900UPSGHOBB360Z85 | Long             | LON              | CORP              | US        |      848732 | PA      | $852975.62    | 0.03%             | 2030-09-03      | Floating      | 7.83%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers Jersey Borrower SPV Limited      | Vantage Data Centers Jersey Borrower Spv Ltd                                     | CUSIP: 000000000<br>LEI: 213800S5S638C9IBQ379 | Long             | ABS-O            | CORP              | JE        |      480000 | PA      | $675349.57    | 0.03%             | 2039-05-28      | Fixed         | 6.17%                 | Yes           |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed CTFS                   | Washington Mutural Asset-Backed Certificates WMABS Series 2006-HE5 Trust         | CUSIP: 93934XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      473970 | PA      | $356699.76    | 0.01%             | 2036-10-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31417GTW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32705 | PA      | $29375.58     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CONSUMERS ENERGY CO                                   | Consumers Energy Co                                                              | CUSIP: 210518DZ6<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |      554000 | PA      | $557836.11    | 0.02%             | 2035-05-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                          | TICP CLO VII Ltd                                                                 | CUSIP: 87248TAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      395000 | PA      | $395334.57    | 0.02%             | 2033-04-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                  | FREMF 2018-K80 Mortgage Trust                                                    | CUSIP: 30307RAE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      304000 | PA      | $297129.81    | 0.01%             | 2050-08-25      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                           | Rad Clo 25 Ltd                                                                   | CUSIP: 75009GAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |      640000 | PA      | $641688.32    | 0.02%             | 2037-07-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                              | CUSIP: 91282CMC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    11015400 | PA      | $11357910.09  | 0.44%             | 2031-12-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                       | OHA Credit Funding 7 Ltd                                                         | CUSIP: 67098WAY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250000.00    | 0.01%             | 2038-07-19      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3128M9WN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      651358 | PA      | $670410.08    | 0.03%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138ELX65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       44883 | PA      | $44730.70     | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36180UFX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      100156 | PA      | $93398.24     | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132KFAJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       51507 | PA      | $50376.10     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WFK47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      153769 | PA      | $150235.28    | 0.01%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CVR ENERGY INC                                        | CVR Energy Inc Term Loan B                                                       | CUSIP: 12663SAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      393706 | PA      | $394197.90    | 0.02%             | 2027-12-30      | Floating      | 8.30%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F020471<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      759000 | PA      | $693388.83    | 0.03%             | 2039-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                      | COLT 2023-3 Mortgage Loan Trust                                                  | CUSIP: 19688RAE9<br>LEI: 213800MIPEZY1A8W1N28 | Long             | ABS-MBS          | CORP              | US        |     2314000 | PA      | $2332956.75   | 0.09%             | 2068-09-25      | Variable      | 7.85%                 | No            |                  2 | On Loan: No      |
| OHA Credit Partners Ltd                               | OHA Credit Partners XII Ltd                                                      | CUSIP: 67109YBC7<br>LEI: 254900U4U4HIDOPWSL06 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250950.75    | 0.01%             | 2037-04-23      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | SWP: IFS 2.691250 15-APR-2028 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     4181500 | OU      | $6302.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                          | GS Mortgage Securities Trust 2019-GSA1                                           | CUSIP: 36261PAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       60000 | PA      | $54642.62     | 0.00%             | 2052-11-10      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                           | RCKT Mortgage Trust 2024-CES2                                                    | CUSIP: 74938PAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1647000 | PA      | $1684990.38   | 0.07%             | 2044-04-25      | Variable      | 8.01%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                  | Targa Resources Corp                                                             | CUSIP: 87612GAB7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     1130000 | PA      | $942670.61    | 0.04%             | 2052-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                              | CUSIP: 912828ZS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    13670000 | PA      | $12858877.70  | 0.50%             | 2027-05-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                   | American Tower Corp                                                              | CUSIP: 03027XBA7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     1167000 | PA      | $1087436.19   | 0.04%             | 2030-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX 2021-MFM1                                                                     | CUSIP: 05608VAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      171500 | PA      | $171288.16    | 0.01%             | 2034-01-15      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| Indonesia Government International Bonds              | Indonesia Government International Bonds                                         | CUSIP: 455780CQ7<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     2172000 | PA      | $2034341.55   | 0.08%             | 2030-02-14      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                              | Warnermedia Holdings Inc                                                         | CUSIP: 55903VBE2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      330000 | PA      | $230175.00    | 0.01%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                       | CVS Health Corp                                                                  | CUSIP: 126650CD0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      577000 | PA      | $523941.25    | 0.02%             | 2043-12-05      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Reynolds American Inc                                 | Reynolds American Inc                                                            | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |      266000 | PA      | $256636.73    | 0.01%             | 2045-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| CITADEL PLC                                           | Citadel 2024-1 PLC                                                               | CUSIP: 000000000<br>LEI: 213800XKX6NBEB5W9Z43 | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $137233.81    | 0.01%             | 2060-04-28      | Floating      | 6.67%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                              | BX Trust 2022-VAMF                                                               | CUSIP: 05609TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1260000 | PA      | $1259212.50   | 0.05%             | 2039-01-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp                                      | Duke Energy Corp                                                                 | CUSIP: 26441CAY1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      681000 | PA      | $511733.96    | 0.02%             | 2047-08-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                   | BYDK1XEP3 BLACKROCK FXVAN PUT USD MXN 18.5000000                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |   -37348000 | OU      | $-199961.19   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITADEL PLC                                           | Citadel 2024-1 PLC                                                               | CUSIP: 000000000<br>LEI: 213800XKX6NBEB5W9Z43 | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $137447.53    | 0.01%             | 2060-04-28      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                 | Foundry JV Holdco LLC                                                            | CUSIP: 350930AC7<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |      311000 | PA      | $327247.45    | 0.01%             | 2032-01-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DVLZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      365472 | PA      | $322423.76    | 0.01%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132XCSJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      449945 | PA      | $438039.71    | 0.02%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GC36<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     2116000 | PA      | $2165530.76   | 0.08%             | 2031-01-28      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Los Angeles Community College District/CA             | LOS ANGELES CA CMNTY CLG DIST                                                    | CUSIP: 54438CNZ1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      785000 | PA      | $851670.05    | 0.03%             | 2042-08-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                | SWAP/CDSWAP/SCDS: (DB)                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | DE        |      352000 | OU      | $-6302.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Regatta VII Funding Ltd                               | Regatta VII Funding Ltd                                                          | CUSIP: 75888ABE5<br>LEI: 549300DA6HSLI0UPTQ25 | Long             | ABS-CBDO         | CORP              | KY        |      280000 | PA      | $280535.36    | 0.01%             | 2034-06-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QLZ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4854271 | PA      | $4076055.24   | 0.16%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                   | American Tower Corp                                                              | CUSIP: 03027XBM1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |      529000 | PA      | $474380.68    | 0.02%             | 2031-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2007-3T1                                                  | CUSIP: 02149VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       89331 | PA      | $39341.26     | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140EXCP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14372 | PA      | $13832.08     | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                      | SMB Private Education Loan Trust 2021-A                                          | CUSIP: 78448YAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      271688 | PA      | $246245.53    | 0.01%             | 2053-01-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                       | CVS Health Corp                                                                  | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      488000 | PA      | $432179.77    | 0.02%             | 2045-07-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138ALJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       81100 | PA      | $82075.99     | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4210000 | PA      | $4121195.31   | 0.16%             | 2044-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                      | CUSIP: 694308HH3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      750000 | PA      | $608522.20    | 0.02%             | 2044-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                 | Duke Energy Carolinas LLC                                                        | CUSIP: 26442CAT1<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     1066000 | PA      | $801936.35    | 0.03%             | 2047-12-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| HIH Trust                                             | HIH Trust 2024-61P                                                               | CUSIP: 40444VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      177346 | PA      | $176902.33    | 0.01%             | 2041-10-15      | Floating      | 7.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WFEW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      109783 | PA      | $106119.77    | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                           | BRTT2EPF3                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              |  | US        |      500000 | OU      | $85500.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Washington Mutual Bank                                | WASHINGTON MUTUAL INC                                                            | CUSIP: 939ESCBE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1310000 | PA      | $0.13         | 0.00%             | 2049-09-20      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| GLENCORE FUNDING LLC                                  | Glencore Funding LLC                                                             | CUSIP: 378272BL1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      113000 | PA      | $116828.77    | 0.00%             | 2033-05-08      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132WJUH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      100691 | PA      | $90542.14     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 31307NDE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4719 | PA      | $4611.82      | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                   | COMM 2024-WCL1 MORTGAGE TRUST                                                    | CUSIP: 20047DAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      367000 | PA      | $365509.06    | 0.01%             | 2041-06-15      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 31307LHB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       62914 | PA      | $60877.69     | 0.00%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                               | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              |  | US        |     3122000 | PA      | $3156616.74   | 0.12%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                                            | NLT 2021-INV2 Trust                                                              | CUSIP: 62917JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1361000 | PA      | $1029582.48   | 0.04%             | 2056-08-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                     | EURO-BOBL FUTURE SEP25                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         206 | NC      | $-34619.64    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 31307NV50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       29488 | PA      | $28773.06     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                               | BYDL26QR2 BLACKROCK SWAPTION 3.995 PUT USD 2027060                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |     3490000 | NC      | $124736.68    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DMRZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1008338 | PA      | $956329.05    | 0.04%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                         | PURCHASED USD / SOLD CZK                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |           1 | NC      | $-76392.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WD6X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3917 | PA      | $3795.78      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9487000 | PA      | $8161784.69   | 0.32%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc          | BAMLL Trust 2025-ASHF                                                            | CUSIP: 05494CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1435000 | PA      | $1435050.23   | 0.06%             | 2042-02-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QGS73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      333028 | PA      | $316308.65    | 0.01%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132JADY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      113441 | PA      | $106420.63    | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | SWP: EUR 2.260000 22-OCT-2054 EUR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      590000 | OU      | $-70250.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PG&E CORP                                             | PG&E Corp                                                                        | CUSIP: 69331CAM0<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |     2564000 | PA      | $2428159.66   | 0.09%             | 2055-03-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DPCT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      762091 | PA      | $755168.59    | 0.03%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                     | CUSIP: 11135FBL4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      141000 | PA      | $125954.35    | 0.00%             | 2034-04-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138XUAA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      202715 | PA      | $197251.96    | 0.01%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Trust 2025-ROIC                                                               | CUSIP: 05593VAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1409000 | PA      | $1380899.47   | 0.05%             | 2030-03-15      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                     | Battalion CLO XI Ltd                                                             | CUSIP: 07132LAN9<br>LEI: 549300O0R7FIDPTPCK50 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250375.25    | 0.01%             | 2034-04-24      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Prodigy Finance Designated Activity Co                | Prodigy Finance CM2021-1 DAC                                                     | CUSIP: 742855AB5<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |       47545 | PA      | $48069.83     | 0.00%             | 2051-07-25      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140EXEK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      231725 | PA      | $227336.77    | 0.01%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DPML9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1026448 | PA      | $1044963.35   | 0.04%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMC NETWORKS INC                                      | AMC Networks Inc                                                                 | CUSIP: 00164VAG8<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |      261000 | PA      | $270582.62    | 0.01%             | 2029-01-15      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                               | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AP4<br>LEI: N/A                  | Long             | DBT              |  | US        |      929000 | PA      | $892760.82    | 0.03%             | 2030-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133KJUF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1453958 | PA      | $1282967.34   | 0.05%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                              | Madison Park Funding LXVII Ltd                                                   | CUSIP: 55821YAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      640000 | PA      | $642851.20    | 0.02%             | 2037-04-25      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31417YNF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9190 | PA      | $9395.26      | 0.00%             | 2040-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Thunder Logistics                                     | Thunder Logistics 2024-1 DAC                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |       71578 | PA      | $84441.97     | 0.00%             | 2036-11-17      | Floating      | 4.18%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XFA43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      904415 | PA      | $764759.31    | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                           | FSWP: OIS 3.900000 16-MAY-2026 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    36611000 | OU      | $-15986.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET INST US GOVT FUND                        | STATE STREET INST US GOVT FUND                                                   | CUSIP: 857492706<br>LEI: N/A                  | Long             | STIV             | RF                | US        |      600000 | NS      | $600000.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                 | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      991000 | PA      | $1016604.97   | 0.04%             | 2031-01-24      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                | Velocity Commercial Capital Loan Trust 2025-1                                    | CUSIP: 922955AN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      108573 | PA      | $109361.05    | 0.00%             | 2055-02-25      | Variable      | 10.15%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WJEZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      274698 | PA      | $261158.12    | 0.01%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ELM Trust 2024                                        | ELM Trust 2024-ELM                                                               | CUSIP: 26860XAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7464000 | PA      | $15835.62     | 0.00%             | 2039-06-10      | Variable      | 0.24%                 | No            |                  2 | On Loan: No      |
| Lex Commercial Loan Master Trust                      | LEX 2024-BBG Mortgage Trust                                                      | CUSIP: 52885AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1711000 | PA      | $1719956.74   | 0.07%             | 2033-10-13      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F032476<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -1734000 | PA      | $-1673125.71  | -0.06%            | 2039-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DPJ25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      836722 | PA      | $829121.82    | 0.03%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31419EJ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      228251 | PA      | $227098.13    | 0.01%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                          | GS Mortgage Securities Corp Trust 2025-800D                                      | CUSIP: 36273XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1117000 | PA      | $1118996.41   | 0.04%             | 2041-11-25      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| PRIMA Capital LTD                                     | Prima Capital CRE Securitization 2016-VI Ltd                                     | CUSIP: 74165WAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      729378 | PA      | $705554.65    | 0.03%             | 2040-08-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                              | Brazil Notas do Tesouro Nacional Serie F                                         | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    20100000 | PA      | $3394473.47   | 0.13%             | 2029-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Uruguay Government International Bonds                | Uruguay Government International Bonds                                           | CUSIP: 760942BB7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     1266587 | PA      | $1269018.85   | 0.05%             | 2027-10-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                              | CUSIP: 91282CJR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    17354000 | PA      | $17369591.53  | 0.67%             | 2028-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132KE6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      289989 | PA      | $280748.09    | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 31307NM68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       30156 | PA      | $29483.53     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XKEQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3669633 | PA      | $3162256.32   | 0.12%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XEA38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1116503 | PA      | $899320.49    | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                   | Dominion Energy Inc                                                              | CUSIP: 25746UDU0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |     1169000 | PA      | $1254257.51   | 0.05%             | 2054-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138XU2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       41059 | PA      | $40188.92     | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                         | CUSIP: 38383P6D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1161830 | PA      | $197504.37    | 0.01%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                 | General Dynamics Corp                                                            | CUSIP: 369550BR8<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |      169000 | PA      | $169646.39    | 0.01%             | 2035-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | SWP: IFS 2.835000 15-APR-2028 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     4039000 | OU      | $-23352.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Venture Global Inc                                    | Venture Global Inc                                                               | CUSIP: 92333F101<br>LEI: 2549007XC91CAB3E0N98 | Long             | EC               | CORP              | US        |        1377 | NS      | $21453.66     | 0.00%             |  |  |  | No            |                  1 | On Loan: —       |
| Greenpoint Manufactured Housing                       | Greenpoint Manufactured Housing                                                  | CUSIP: 395383AG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      250971 | PA      | $250523.39    | 0.01%             | 2029-12-15      | Variable      | 9.23%                 | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                          | CUSIP: 404121AK1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      824000 | PA      | $831131.15    | 0.03%             | 2034-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                      | SMB Private Education Loan Trust 2021-A                                          | CUSIP: 78448YAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      186320 | PA      | $168837.25    | 0.01%             | 2053-01-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Securitization Corp.      | BCMSC Trust 2000-A                                                               | CUSIP: 09774XBQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      850435 | PA      | $65014.26     | 0.00%             | 2030-06-15      | Variable      | 8.29%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                         | RFMSI Series 2006-SA4 Trust                                                      | CUSIP: 74958CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       25866 | PA      | $21247.16     | 0.00%             | 2036-11-25      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138EQA36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      245763 | PA      | $240111.53    | 0.01%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138LTL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13110 | PA      | $12303.44     | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                      | Paramount Global                                                                 | CUSIP: 92556HAE7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      241000 | PA      | $236791.07    | 0.01%             | 2062-03-30      | Fixed         | 6.38%                 | No            |                  2 | On Loan: —       |
| Hydrofarm Holdings LLC                                | Hydrofarm Holdings LLC 2021 Term Loan                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      347018 | PA      | $289760.15    | 0.01%             | 2028-10-25      | Floating      | 10.04%                | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                | VICI Properties LP / VICI Note Co Inc                                            | CUSIP: 92564RAD7<br>LEI: N/A                  | Long             | DBT              |  | US        |      786000 | PA      | $773953.10    | 0.03%             | 2027-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36180DQD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      106628 | PA      | $99397.95     | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      664000 | PA      | $603810.20    | 0.02%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XGPQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1303730 | PA      | $1197686.68   | 0.05%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DP3F3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      357883 | PA      | $364311.66    | 0.01%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140J76Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      650766 | PA      | $626281.34    | 0.02%             | 2032-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY OHIO INC                                  | Duke Energy Ohio Inc                                                             | CUSIP: 26442EAJ9<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |      328000 | PA      | $337802.51    | 0.01%             | 2033-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INC                                        | Transocean Inc                                                                   | CUSIP: 893830BY4<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | KY        |      239000 | PA      | $220965.56    | 0.01%             | 2029-05-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                       | CUSIP: 92344GAM8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      484000 | PA      | $557111.13    | 0.02%             | 2030-12-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                      | Soundview Home Loan Trust 2005-OPT3                                              | CUSIP: 83611MGX0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      158500 | PA      | $126765.78    | 0.00%             | 2035-11-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138YBX65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39951 | PA      | $38971.83     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179W5D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     7739192 | PA      | $7059578.07   | 0.27%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                    | MCR 2024-HTL Mortgage Trust                                                      | CUSIP: 55286PAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      350476 | PA      | $348838.86    | 0.01%             | 2037-02-15      | Floating      | 8.97%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3323284 | PA      | $2918321.55   | 0.11%             | 2060-12-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                            | Pfizer Inc                                                                       | CUSIP: 717081FA6<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |      993000 | PA      | $616523.33    | 0.02%             | 2050-05-28      | Fixed         | 2.70%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140GYJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      181155 | PA      | $166183.28    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                      | Symphony CLO XXVI Ltd                                                            | CUSIP: 87190GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      328511 | PA      | $328965.36    | 0.01%             | 2033-04-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                     | CUSIP: 11135FCD1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     1654000 | PA      | $1634017.58   | 0.06%             | 2034-10-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                           | Rad CLO 7 Ltd                                                                    | CUSIP: 74936GAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250102.00    | 0.01%             | 2036-04-17      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132CWS96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      244122 | PA      | $224855.96    | 0.01%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      110564 | PA      | $102666.32    | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140JSAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      529338 | PA      | $426218.37    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Race Point CLO Ltd                                    | Race Point IX CLO Ltd                                                            | CUSIP: 74982WAA4<br>LEI: 549300C3570PBQ31OI09 | Long             | ABS-CBDO         | CORP              | KY        |      119417 | PA      | $119384.31    | 0.00%             | 2030-10-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                           | FSWP: OIS 3.800000 16-MAY-2026 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    50240000 | OU      | $-64985.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Lumen Technologies Inc                                | Lumen Technologies Inc                                                           | CUSIP: 550241103<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | EC               | CORP              | US        |       76323 | NS      | $334294.74    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                                | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $-42.69       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140J8HY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      474977 | PA      | $466199.22    | 0.02%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MidAmerican Energy Co                                 | MidAmerican Energy Co                                                            | CUSIP: 595620AS4<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |      369000 | PA      | $276020.78    | 0.01%             | 2048-08-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                               | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AK5<br>LEI: N/A                  | Long             | DBT              |  | US        |      984000 | PA      | $1008300.86   | 0.04%             | 2028-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Scholar Funding Trust                                 | Scholar Funding Trust 2013-A                                                     | CUSIP: 80705XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2080924 | PA      | $2050875.63   | 0.08%             | 2045-01-30      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| OHA Credit Partners Ltd                               | OHA Credit Partners XI Ltd                                                       | CUSIP: 67109FAU9<br>LEI: 549300OYGEU6QQMCEG78 | Long             | ABS-CBDO         | CORP              | KY        |      540000 | PA      | $541603.80    | 0.02%             | 2037-04-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31410KHE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       56677 | PA      | $59416.32     | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| D.R. HORTON INC                                       | DR Horton Inc                                                                    | CUSIP: 23331ABU2<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |     1075000 | PA      | $1094624.06   | 0.04%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | FSWP: JPY 0.811700 12-MAR-2027 FTO                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   750000000 | OU      | $-1075.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LESSEN HOLDINGS INC PREF                              | LESSEN HOLDINGS INC PREF                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       23458 | NS      | $68731.94     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Winchester PLC                                        | Winchester 1 PLC                                                                 | CUSIP: 000000000<br>LEI: 213800AWJGG72JJNBW66 | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $137138.00    | 0.01%             | 2056-10-21      | Floating      | 6.30%                 | Yes           |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                 | Foundry JV Holdco LLC                                                            | CUSIP: 350930AJ2<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |      823000 | PA      | $856649.40    | 0.03%             | 2037-01-25      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                             | LBA Trust 2024-BOLT                                                              | CUSIP: 50177BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1840000 | PA      | $1841147.06   | 0.07%             | 2039-06-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WFG83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      149077 | PA      | $145737.40    | 0.01%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                      | Georgia Power Co                                                                 | CUSIP: 373334KR1<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |      274000 | PA      | $256061.10    | 0.01%             | 2052-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XCAT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      554089 | PA      | $509345.73    | 0.02%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F020679<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -2668000 | PA      | $-2111422.12  | -0.08%            | 2054-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC           | BBCMS 2018-TALL Mortgage Trust                                                   | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1770000 | PA      | $1672930.72   | 0.06%             | 2037-03-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                              | CUSIP: 46647PEJ1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     8597000 | PA      | $8754000.74   | 0.34%             | 2030-07-22      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810QS0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      791000 | PA      | $708655.67    | 0.03%             | 2041-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      241616 | PA      | $221483.63    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust         | J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-PHH                  | CUSIP: 46650FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      116290 | PA      | $100080.27    | 0.00%             | 2035-06-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133KRCJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1489573 | PA      | $1526196.08   | 0.06%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | BYDDDKGZ0 BLACKROCK SWAPTION 4.34 PUT USD 20270113                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |      736505 | NC      | $15597.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133BM7G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      115832 | PA      | $114172.62    | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132CWR71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      330514 | PA      | $296177.10    | 0.01%             | 2036-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138ELS79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      576429 | PA      | $604296.07    | 0.02%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Peru Government International Bonds                   | Peru Government International Bonds                                              | CUSIP: 715638DT6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     2017000 | PA      | $1382592.99   | 0.05%             | 2051-03-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                             | College Ave Student Loans 2021-B LLC                                             | CUSIP: 19425AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      115479 | PA      | $104533.27    | 0.00%             | 2052-06-25      | Fixed         | 2.42%                 | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                          | CUSIP: 404119CW7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     1427000 | PA      | $1391616.59   | 0.05%             | 2064-04-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132JNXG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      145803 | PA      | $139970.92    | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                       | AREIT 2024-CRE9 Ltd                                                              | CUSIP: 00193AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3001884 | PA      | $2991560.53   | 0.12%             | 2041-05-17      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                | RR 5 Ltd                                                                         | CUSIP: 74979VAV5<br>LEI: 549300213Q1LH7O32902 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250875.50    | 0.01%             | 2039-07-15      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| LESSEN INC                                            | LESSEN INC                                                                       | CUSIP: 527083AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1888083 | PA      | $1739490.87   | 0.07%             | 2028-01-05      | Variable      | 12.78%                | Yes           |                  3 | On Loan: No      |
| JP Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7849894 | PA      | $122747.22    | 0.00%             | 2052-02-25      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GC77<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     5890000 | PA      | $5935906.07   | 0.23%             | 2028-04-23      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Atlas Funding                                         | Atlas Funding 2024-1 PLC                                                         | CUSIP: 000000000<br>LEI: 635400BMBKLDPBSN2U43 | Long             | ABS-MBS          | CORP              | GB        |       99899 | PA      | $137097.11    | 0.01%             | 2061-09-20      | Floating      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2681000 | PA      | $1924560.03   | 0.07%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MTGE LL                              | United Wholesale Mortgage LLC                                                    | CUSIP: 913229AA8<br>LEI: 549300HW662MN1WU8550 | Long             | DBT              | CORP              | US        |        5000 | PA      | $4853.28      | 0.00%             | 2029-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QMZU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1551585 | PA      | $1302353.49   | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140Q9YZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      237285 | PA      | $236543.66    | 0.01%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                      | Altria Group Inc                                                                 | CUSIP: 02209SAM5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      968000 | PA      | $786873.73    | 0.03%             | 2042-08-09      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F042673<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1020000 | PA      | $975549.91    | 0.04%             | 2054-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | BYDHMN7J1 BLACKROCK SWAPTION 4.0075 PUT USD 202704                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |      301735 | NC      | $10076.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-2124.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                              | Discovery Communications LLC                                                     | CUSIP: 25470DBS7<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     1631000 | PA      | $1558648.84   | 0.06%             | 2028-03-20      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140HHNE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       53312 | PA      | $51834.94     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                               | Dryden 87 CLO Ltd                                                                | CUSIP: 26246GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      400000 | PA      | $400201.20    | 0.02%             | 2034-05-20      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                              | EQT Corp                                                                         | CUSIP: 26884LAN9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     5606000 | PA      | $5196146.85   | 0.20%             | 2031-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       24931 | PA      | $23309.55     | 0.00%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AB BSL CLO                                            | AB BSL CLO 3 Ltd                                                                 | CUSIP: 00037QAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $251323.25    | 0.01%             | 2038-04-20      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Ares Euro CLO                                         | Ares European CLO XII DAC                                                        | CUSIP: 000000000<br>LEI: 635400XCOLUI5RNVIZ11 | Long             | ABS-CBDO         | CORP              | IE        |      297000 | PA      | $349899.27    | 0.01%             | 2032-04-20      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                           | Southern Co/The                                                                  | CUSIP: 842587DL8<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      715000 | PA      | $751034.16    | 0.03%             | 2032-10-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ConnectWise LLC                                       | ConnectWise LLC 2021 Term Loan B                                                 | CUSIP: 20786NAC1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      404835 | PA      | $407365.18    | 0.02%             | 2028-09-29      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XDK88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      253097 | PA      | $233583.18    | 0.01%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140GW4L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32201 | PA      | $31316.64     | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138ARZW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      207722 | PA      | $206673.33    | 0.01%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140J5GJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      311377 | PA      | $291934.63    | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DM2Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      436737 | PA      | $351414.19    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133KQDV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       54963 | PA      | $56378.10     | 0.00%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140GW3B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26440 | PA      | $25775.80     | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                 | Palmer Square CLO 2021-3 Ltd                                                     | CUSIP: 69688FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250176.25    | 0.01%             | 2035-01-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                          | GS Mortgage Securities Trust 2020-GSA2                                           | CUSIP: 36264KAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2945426 | PA      | $199699.28    | 0.01%             | 2053-12-12      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F040677<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3344000 | PA      | $3109006.49   | 0.12%             | 2054-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                              | Neuberger Berman CLO XXI Ltd                                                     | CUSIP: 64130DBS8<br>LEI: 549300VBBLOSKH8XQ869 | Long             | ABS-CBDO         | CORP              | KY        |      870000 | PA      | $872827.50    | 0.03%             | 2039-01-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| New Jersey Turnpike Authority                         | NEW JERSEY ST TURNPIKE AUTH TURNPIKE REVENUE                                     | CUSIP: 646139W35<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |      492000 | PA      | $587961.99    | 0.02%             | 2040-01-01      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36196FZJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      152171 | PA      | $139641.17    | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EVgo Inc                                              | EVgo Inc                                                                         | CUSIP: 30052F118<br>LEI: 254900NJU5Y3D9R42S26 | N/A              | DE               |  | US        |       12581 | NS      | $2767.82      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                   | Suzano Austria GmbH                                                              | CUSIP: 86964WAK8<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |      994000 | PA      | $875980.59    | 0.03%             | 2032-01-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138Y4T58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      172493 | PA      | $168809.80    | 0.01%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Verdelite Static CLO Ltd                              | Verdelite Static CLO 2024-1 Ltd                                                  | CUSIP: 92338VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      327959 | PA      | $327794.62    | 0.01%             | 2032-07-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                | Diamondback Energy Inc                                                           | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     8219000 | PA      | $8097325.27   | 0.31%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QMLV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      638826 | PA      | $516166.64    | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                     | Expedia Group Inc                                                                | CUSIP: 30212PAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      296000 | PA      | $279226.65    | 0.01%             | 2030-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QEBM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2136617 | PA      | $1801422.93   | 0.07%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TAV HAVALIMANLARI HOLDIN                              | TAV Havalimanlari Holding AS                                                     | CUSIP: 000000000<br>LEI: 789000PBM9TT5D88M597 | Long             | DBT              | CORP              | TR        |      921000 | PA      | $961098.02    | 0.04%             | 2028-12-07      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140L6BK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      578821 | PA      | $466957.29    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                          | GS Mortgage Securities Trust 2015-590M                                           | CUSIP: 36250WAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      200000 | PA      | $191960.16    | 0.01%             | 2035-10-10      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                 | Foundry JV Holdco LLC                                                            | CUSIP: 350930AG8<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |     1614000 | PA      | $1673203.23   | 0.06%             | 2033-01-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | SWP: EUR 2.505500 20-FEB-2054 EUR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     4730760 | OU      | $287844.10    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179QWD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       31687 | PA      | $28550.94     | 0.00%             | 2044-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179Q6P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       22490 | PA      | $20938.93     | 0.00%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                             | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      137000 | PA      | $140865.39    | 0.01%             | 2036-01-24      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan Trust                    | CWHEQ Revolving Home Equity Loan Trust Series 2005-B                             | CUSIP: 126685AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       19164 | PA      | $18978.82     | 0.00%             | 2035-05-15      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                 | Mexico Government International Bonds                                            | CUSIP: 91087BAV2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     6239000 | PA      | $6372202.65   | 0.25%             | 2035-02-09      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132AACD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      360112 | PA      | $352322.50    | 0.01%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140H5UJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      167596 | PA      | $164525.25    | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                             | Anchorage Capital CLO 7 Ltd                                                      | CUSIP: 03328TBU8<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |     1480000 | PA      | $1485600.32   | 0.06%             | 2037-04-28      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      916702 | PA      | $786536.80    | 0.03%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138EQZA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      215843 | PA      | $211712.40    | 0.01%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                             | Nelnet Student Loan Trust 2021-B                                                 | CUSIP: 64034QAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      260000 | PA      | $227985.19    | 0.01%             | 2062-04-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GOLAR LNG LTD                                         | Golar LNG Ltd                                                                    | CUSIP: 38046YAC5<br>LEI: 213800C2VSFZG3EZLO34 | Long             | DBT              | CORP              | BM        |      112000 | PA      | $114800.00    | 0.00%             | 2030-12-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                            | Navient Private Education Loan Trust 2020-A                                      | CUSIP: 63941FAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      184886 | PA      | $184353.54    | 0.01%             | 2068-11-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140KFQP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1208725 | PA      | $1044047.34   | 0.04%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Coast Investment Grade                                | COAST Commercial Mortgage Trust 2023-2HTL                                        | CUSIP: 19033EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2090000 | PA      | $2091207.18   | 0.08%             | 2036-08-15      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                 | Mexico Government International Bonds                                            | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     3805000 | PA      | $3188590.00   | 0.12%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                | CHL Mortgage Pass-Through Trust 2007-8                                           | CUSIP: 12545AAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      935446 | PA      | $391833.86    | 0.02%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 312944R78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       59897 | PA      | $61307.20     | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COHESITY GLOBAL INC                                   | COHESITY GLOBAL INC                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        2000 | NS      | $45000.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EQT CORP                                              | EQT Corp                                                                         | CUSIP: 26884LAM1<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     2443000 | PA      | $2405381.86   | 0.09%             | 2026-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179VMD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      254140 | PA      | $225667.01    | 0.01%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                   | CUSIP: 61748UAF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1463000 | PA      | $1501791.42   | 0.06%             | 2036-01-18      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36177PPP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      138538 | PA      | $129620.51    | 0.01%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138AUPE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       59395 | PA      | $58966.36     | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 31307MWZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      145839 | PA      | $142474.71    | 0.01%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140GSRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36452 | PA      | $34514.19     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                              | CUSIP: 46647PEU6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     2217000 | PA      | $2246771.12   | 0.09%             | 2029-01-24      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY INC                                      | Viper Energy Inc                                                                 | CUSIP: 92763MAA3<br>LEI: 5299009LINL232255G03 | Long             | DBT              | CORP              | US        |     2960000 | PA      | $2963220.33   | 0.11%             | 2027-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132WJUD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      191006 | PA      | $171654.32    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GREENKO WIND PROJECTS MU                              | Greenko Wind Projects Mauritius Ltd                                              | CUSIP: 000000000<br>LEI: 254900MSUXE1FF83DP82 | Long             | DBT              | CORP              | MU        |      944000 | PA      | $952059.43    | 0.04%             | 2028-09-27      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WFAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       86843 | PA      | $83985.64     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31417TM62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      148733 | PA      | $152415.69    | 0.01%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| State of Texas                                        | TEXAS ST                                                                         | CUSIP: 882722KF7<br>LEI: 549300X9CH74QB747L76 | Long             | DBT              | MUN               | US        |      820000 | PA      | $844015.26    | 0.03%             | 2039-04-01      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140NVJY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      796000 | PA      | $825260.01    | 0.03%             | 2031-06-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36182XAY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       47146 | PA      | $44578.30     | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                          | GS Mortgage Securities Trust 2015-GC32                                           | CUSIP: 36250PAL9<br>LEI: 54930066YOFVQE068N73 | Long             | ABS-MBS          | CORP              | US        |      110000 | PA      | $106753.76    | 0.00%             | 2048-07-10      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                | RUSSELL 2000 INDEX JUL25 1900 PUT                                                | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |         -38 | NC      | $-4484.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| OLYMPUS WTR US HLDG CORP                              | Olympus Water US Holding Corp                                                    | CUSIP: 25259KAA8<br>LEI: 549300YU2GGVCBN3MY89 | Long             | DBT              | CORP              | US        |      203000 | PA      | $213765.09    | 0.01%             | 2028-11-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Solaris Energy Infrastructure Inc                     | Solaris Energy Infrastructure Inc                                                | CUSIP: 83418M103<br>LEI: 529900MTK3C8Y8TIIC10 | Long             | EC               | CORP              | US        |       42395 | NS      | $1199354.55   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XGMR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      452598 | PA      | $425221.51    | 0.02%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                       | CVS Health Corp                                                                  | CUSIP: 126650DK3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |      265000 | PA      | $221241.86    | 0.01%             | 2040-04-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133BJEZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      417945 | PA      | $400409.14    | 0.02%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Trust 2021-LBA                                                                | CUSIP: 05609BAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1070000 | PA      | $1062643.75   | 0.04%             | 2036-02-15      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| NEW GEN GAS BOND CORP                                 | NEW GEN GAS BOND CORP                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1303351 | PA      | $1293576.21   | 0.05%             | 2029-09-30      | Floating      | 9.47%                 | Yes           |                  3 | On Loan: No      |
| Carlyle Global Market Strategies                      | CARLYLE US CLO 2017-3 Ltd                                                        | CUSIP: 14314FBC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      520000 | PA      | $521975.48    | 0.02%             | 2037-10-21      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust            | JPMBB Commercial Mortgage Securities Trust 2015-C33                              | CUSIP: 46645JBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      150000 | PA      | $135943.67    | 0.01%             | 2048-12-15      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust        | Structured Adjustable Rate Mortgage Loan Trust Series 2007-3                     | CUSIP: 86363GAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      499033 | PA      | $187678.25    | 0.01%             | 2047-04-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                 | CUSIP: 87264ABS3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      446000 | PA      | $418416.95    | 0.02%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                       | CUSIP: 92343VHA5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     1351612 | PA      | $1359761.33   | 0.05%             | 2037-07-02      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                         | PURCHASED USD / SOLD COP                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $4843.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179RS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       23419 | PA      | $21794.01     | 0.00%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Commercial Mortgage Trust 2024-KING                                           | CUSIP: 05612RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      611944 | PA      | $611943.88    | 0.02%             | 2034-05-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Commercial Mortgage Trust 2024-MF                                             | CUSIP: 05612EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      194800 | PA      | $195104.38    | 0.01%             | 2039-02-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132GEB41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      160572 | PA      | $158462.03    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Indymac Home Equity Loan Asset-Backed Trust           | Home Equity Mortgage Loan Asset-Backed Trust Series SPMD 2004-A                  | CUSIP: 456606ER9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       92076 | PA      | $88307.15     | 0.00%             | 2034-07-25      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                        | Bayview Commercial Asset Trust 2007-1                                            | CUSIP: 07325MAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       88582 | PA      | $83769.18     | 0.00%             | 2037-03-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.                                   | Elmwood CLO II Ltd                                                               | CUSIP: 29001LAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1140000 | PA      | $1143705.00   | 0.04%             | 2037-10-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                | Rockford Tower CLO 2017-3 Ltd                                                    | CUSIP: 77341DAA5<br>LEI: 549300V5ZF7112UGSH89 | Long             | ABS-CBDO         | CORP              | KY        |      895728 | PA      | $895964.31    | 0.03%             | 2030-10-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| CITADEL PLC                                           | Citadel 2024-1 PLC                                                               | CUSIP: 000000000<br>LEI: 213800XKX6NBEB5W9Z43 | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $137268.81    | 0.01%             | 2060-04-28      | Floating      | 7.97%                 | Yes           |                  2 | On Loan: No      |
| Genius Sports Ltd                                     | Genius Sports Ltd                                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | GG        |      112759 | NS      | $1172693.60   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Clover CLO                                            | Clover CLO 2018-1 LLC                                                            | CUSIP: 18914GAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $251055.00    | 0.01%             | 2037-04-20      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| WOM MOBILE SA                                         | WOM Mobile SA                                                                    | CUSIP: 97810LAA7<br>LEI: 549300T600VUO0QJ3063 | Long             | DBT              | CORP              | CL        |      190349 | PA      | $187893.50    | 0.01%             | 2031-04-01      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                    | MCR 2024-TWA Mortgage Trust                                                      | CUSIP: 582923AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      520000 | PA      | $526280.92    | 0.02%             | 2039-06-12      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                    | Regional Management Issuance Trust 2021-2                                        | CUSIP: 75907UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      173000 | PA      | $164686.66    | 0.01%             | 2033-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133B3GW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1119760 | PA      | $902661.24    | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132M9GM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       73307 | PA      | $68479.05     | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS                               | Frontier Communications Holdings LLC                                             | CUSIP: 35908MAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      621000 | PA      | $659817.30    | 0.03%             | 2031-03-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                       | OHA Credit Funding 17 Ltd                                                        | CUSIP: 67109SAA5<br>LEI: 254900ZA7EPUCGQUTA43 | Long             | ABS-CBDO         | CORP              | BM        |      490000 | PA      | $492569.07    | 0.02%             | 2037-04-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| SC GERMANY CONSUMER                                   | SC Germany SA Compartment Consumer 2024-2                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | LU        |      100000 | PA      | $117975.76    | 0.00%             | 2038-05-14      | Floating      | 3.59%                 | Yes           |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                        | HarborView Mortgage Loan Trust 2006-12                                           | CUSIP: 41162DAA7<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |     1028497 | PA      | $805332.61    | 0.03%             | 2036-12-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| MVM ENERGETIKA ZRT                                    | MVM Energetika Zrt                                                               | CUSIP: 000000000<br>LEI: 529900ELI5AQ9F74PF85 | Long             | DBT              | CORP              | HU        |     1149000 | PA      | $1188115.41   | 0.05%             | 2031-03-13      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 3620A6DC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      131844 | PA      | $133560.41    | 0.01%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Visio Trust                                           | Visio 2022-1 Trust                                                               | CUSIP: 92838CAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      171000 | PA      | $170165.76    | 0.01%             | 2057-08-25      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| SPIRIT AIR 2015-1 PTT A                               | Spirit Airlines Pass Through Trust 2015-1A                                       | CUSIP: 84858DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       12270 | PA      | $11256.39     | 0.00%             | 2028-04-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization       | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 1248P8AK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       95955 | PA      | $95332.05     | 0.00%             | 2036-10-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                    | Expand Energy Corp                                                               | CUSIP: 845467AS8<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     2001000 | PA      | $2006610.80   | 0.08%             | 2030-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                           | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | MX        |           1 | NC      | $17050.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                   | Synchrony Financial                                                              | CUSIP: 87165BAU7<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     2653000 | PA      | $2775952.14   | 0.11%             | 2033-02-02      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitizations Corp.                 | Conseco Finance Securitizations Corp                                             | CUSIP: 20846QER5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1604918 | PA      | $327026.72    | 0.01%             | 2031-05-01      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      227216 | PA      | $217734.35    | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3128MMRF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       54768 | PA      | $53524.10     | 0.00%             | 2028-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                              | Baltimore Gas and Electric Co                                                    | CUSIP: 059165EM8<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |       48000 | PA      | $30013.26     | 0.00%             | 2050-06-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | SWP: IFS 2.835500 15-APR-2028 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     4039000 | OU      | $-23455.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Trust 2024-PAT                                                                | CUSIP: 05612FAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      547000 | PA      | $552635.52    | 0.02%             | 2041-03-15      | Floating      | 9.70%                 | No            |                  2 | On Loan: No      |
| ELM Trust 2024                                        | ELM Trust 2024-ELM                                                               | CUSIP: 26860XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      710000 | PA      | $715368.52    | 0.03%             | 2039-06-10      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                        | 280 Park Avenue 2017-280P Mortgage Trust                                         | CUSIP: 90205FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2998451 | PA      | $2886009.09   | 0.11%             | 2034-09-15      | Floating      | 6.73%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132CWXG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      450202 | PA      | $413850.51    | 0.02%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132QMHE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       22804 | PA      | $21814.58     | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Uruguay Government International Bonds                | Uruguay Government International Bonds                                           | CUSIP: 760942BA9<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     1478733 | PA      | $1363717.15   | 0.05%             | 2050-06-18      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 31335AAT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      408772 | PA      | $404345.76    | 0.02%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                      | CIFC Funding 2017-V Ltd                                                          | CUSIP: 12551MAL3<br>LEI: 635400BTAKRBKGRV3X14 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $251089.00    | 0.01%             | 2037-07-17      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                | US 2YR NOTE (CBT) SEP25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        3146 | NC      | $2311461.87   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                             | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      517000 | PA      | $538568.14    | 0.02%             | 2029-09-15      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| ELM Trust 2024                                        | ELM Trust 2024-ELM                                                               | CUSIP: 26860XAU5<br>LEI: 254900IIXJ23M1M8Y987 | Long             | ABS-MBS          | CORP              | US        |      710000 | PA      | $717489.72    | 0.03%             | 2039-06-10      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XFRT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1935355 | PA      | $1562080.46   | 0.06%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION                              | FirstEnergy Transmission LLC                                                     | CUSIP: 33767BAH2<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     2766000 | PA      | $2736231.42   | 0.11%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                         | Agate Bay Mortgage Trust 2015-4                                                  | CUSIP: 00842ACG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      104000 | PA      | $60108.84     | 0.00%             | 2045-06-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                                  | Signal Peak CLO 5 Ltd                                                            | CUSIP: 82666VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      270000 | PA      | $270812.70    | 0.01%             | 2037-04-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                              | Sabine Pass Liquefaction LLC                                                     | CUSIP: 785592AS5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     3656000 | PA      | $3677946.75   | 0.14%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7CL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      301346 | PA      | $301679.99    | 0.01%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Interface Security Systems LLC                        | Interface Security Systems LLC Term Loan                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     1915954 | PA      | $1005876.11   | 0.04%             | 2028-08-07      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| LCH Ltd.                                              | SWP: IFS 2.832000 15-APR-2028 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     5581000 | OU      | $-31416.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                  | BlueMountain CLO XXII Ltd                                                        | CUSIP: 09629PAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      660000 | PA      | $660642.18    | 0.03%             | 2031-07-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Octagon 57 Ltd                                        | Octagon 57 Ltd                                                                   | CUSIP: 67592XAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250191.75    | 0.01%             | 2034-10-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                          | Comcast Corp                                                                     | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     1599000 | PA      | $899101.13    | 0.03%             | 2063-11-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| IHS HOLDING LTD                                       | IHS Holding Ltd                                                                  | CUSIP: 000000000<br>LEI: 213800CLGMKL63VKTD94 | Long             | DBT              | CORP              | KY        |      954000 | PA      | $961708.32    | 0.04%             | 2031-11-29      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                 | Wells Fargo Commercial Mortgage Trust 2015-NXS4                                  | CUSIP: 94989XBF1<br>LEI: 549300RD723OFH36TP29 | Long             | ABS-MBS          | CORP              | US        |      795222 | PA      | $161.19       | 0.00%             | 2048-12-15      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31418CZ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      219832 | PA      | $207962.29    | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179XBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2254330 | PA      | $1916325.07   | 0.07%             | 2052-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                             | CUSIP: 06051GLH0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      572000 | PA      | $583459.31    | 0.02%             | 2034-04-25      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                      | FirstEnergy Corp                                                                 | CUSIP: 337932AM9<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     4372000 | PA      | $2963035.08   | 0.11%             | 2050-03-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                      | Crown Castle Inc                                                                 | CUSIP: 22822VAL5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |      881000 | PA      | $869517.83    | 0.03%             | 2029-02-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | FSWP: JPY 1.018460 12-MAR-2027 FTO                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  7697595372 | OU      | $-120256.03   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                          | CD 2017-CD5 Mortgage Trust                                                       | CUSIP: 12515HBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      363000 | PA      | $348613.80    | 0.01%             | 2050-08-15      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets                         | American Home Mortgage Assets Trust 2006-3                                       | CUSIP: 02660UAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      291691 | PA      | $189233.87    | 0.01%             | 2046-10-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                                | Conseco Finance Corp                                                             | CUSIP: 3935053Q3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      344579 | PA      | $96713.35     | 0.00%             | 2030-03-01      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2021-B23 Mortgage Trust                                                | CUSIP: 08162RAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5042097 | PA      | $252483.00    | 0.01%             | 2054-02-15      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                     | BYDGTKQD4 BLACKROCK FXVAN PUT EUR USD 1.0200000                                  | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | LU        |      900000 | OU      | $1.06         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140Q83N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4178566 | PA      | $4076905.40   | 0.16%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138XBKL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9797 | PA      | $9589.43      | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      501794 | PA      | $479845.08    | 0.02%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                             | RMF Buyout Issuance Trust 2021-HB1                                               | CUSIP: 74969TAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      509000 | PA      | $481349.34    | 0.02%             | 2031-11-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140EW4P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34754 | PA      | $33299.68     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OCEANA A 4YR NOTE UPSIZE                              | OCEANA A 4YR NOTE UPSIZE                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |      639000 | PA      | $426361.68    | 0.02%             | 2028-07-31      | Fixed         | 10.50%                | Yes           |                  3 | On Loan: No      |
| BX Trust                                              | BX 2024-PALM                                                                     | CUSIP: 05612UAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1877885 | PA      | $1877884.62   | 0.07%             | 2037-06-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | SWP: IFS 2.687500 15-APR-2029 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     6462000 | OU      | $-38590.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QDYC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      487027 | PA      | $457422.48    | 0.02%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140X83P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      447110 | PA      | $360014.38    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                             | Anchorage Capital CLO 6 Ltd                                                      | CUSIP: 03328QBN0<br>LEI: 54930064GO7DB3TVDY21 | Long             | ABS-CBDO         | CORP              | KY        |      540000 | PA      | $540480.60    | 0.02%             | 2034-04-22      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| CEMEX SAB DE CV                                       | Cemex SAB de CV                                                                  | CUSIP: 151290CC5<br>LEI: 549300RIG2CXWN6IV731 | Long             | DBT              | CORP              | MX        |      949000 | PA      | $958727.25    | 0.04%             | 2030-06-10      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                          | SM Energy Co                                                                     | CUSIP: 78454LAX8<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |       30000 | PA      | $29889.71     | 0.00%             | 2029-08-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5888700 | PA      | $3734033.86   | 0.14%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                 | Foundry JV Holdco LLC                                                            | CUSIP: 350930AF0<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |      562000 | PA      | $576441.25    | 0.02%             | 2031-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31418EAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8452397 | PA      | $6979459.08   | 0.27%             | 2041-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QA4A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4353426 | PA      | $4265593.53   | 0.16%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 00971FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3098430 | PA      | $3095732.50   | 0.12%             | 2061-06-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                              | Targa Resources Partners LP / Targa Resources Partners Finance Corp              | CUSIP: 87612BBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2730000 | PA      | $2708101.22   | 0.10%             | 2031-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     6044163 | PA      | $4924576.51   | 0.19%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132KFAB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      187701 | PA      | $181543.75    | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6526000 | PA      | $5327357.31   | 0.21%             | 2053-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                      | SMB Private Education Loan Trust 2021-C                                          | CUSIP: 83208AAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      109455 | PA      | $105835.82    | 0.00%             | 2053-01-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                             | CUSIP: 06051GHX0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      610000 | PA      | $570960.49    | 0.02%             | 2030-10-22      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                 | CWABS Asset-Backed Certificates Trust 2005-16                                    | CUSIP: 126670NV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      609414 | PA      | $540045.14    | 0.02%             | 2036-04-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                | Diamondback Energy Inc                                                           | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    10250000 | PA      | $9805333.48   | 0.38%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: —       |
| Palmer Square CLO Ltd                                 | Palmer Square CLO 2020-3 Ltd                                                     | CUSIP: 69701RAY3<br>LEI: 549300IUW4WDDDVSMS20 | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250355.00    | 0.01%             | 2036-11-15      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36178EK65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       22939 | PA      | $21400.19     | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      807918 | PA      | $653530.11    | 0.03%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| SITIO ROYAL OP / SIT FIN                              | Sitio Royalties Operating Partnership LP / Sitio Finance Corp                    | CUSIP: 82983MAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      200000 | PA      | $209413.92    | 0.01%             | 2028-11-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                       | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     1365000 | PA      | $1295485.08   | 0.05%             | 2034-11-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: —       |
| Mosaic Solar Loans LLC                                | Mosaic Solar Loan Trust 2020-1                                                   | CUSIP: 61946NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      104132 | PA      | $92463.99     | 0.00%             | 2046-04-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| APA CORP                                              | APA Corp                                                                         | CUSIP: 03743QAJ7<br>LEI: 549300VCIWLRHYVSHC79 | Long             | DBT              | CORP              | US        |      137000 | PA      | $109587.88    | 0.00%             | 2042-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31418CS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      178813 | PA      | $169278.07    | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Trust                      | Vista Point Securitization Trust 2020-2                                          | CUSIP: 92838TAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $97860.59     | 0.00%             | 2065-04-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                           | PURCHASED PEN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | PE        |           1 | NC      | $10354.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAZER HOMES USA                                      | Beazer Homes USA Inc                                                             | CUSIP: 07556QBT1<br>LEI: 549300DUPYT2T0F60I45 | Long             | DBT              | CORP              | US        |      772000 | PA      | $779293.86    | 0.03%             | 2029-10-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                              | Florida Power & Light Co                                                         | CUSIP: 341081FX0<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      509000 | PA      | $343924.11    | 0.01%             | 2049-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Riserva CLO, Ltd.                                     | Riserva Clo Ltd                                                                  | CUSIP: 76761RAY5<br>LEI: 549300640C8OB2I8SN35 | Long             | ABS-CBDO         | CORP              | KY        |      940000 | PA      | $941177.82    | 0.04%             | 2034-01-18      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36180DSX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      147038 | PA      | $137070.26    | 0.01%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138EQD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13847 | PA      | $13559.11     | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PGA National Resort Commercial Mortgage Trust         | PGA Trust 2024-RSR2                                                              | CUSIP: 69381CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1527000 | PA      | $1529442.89   | 0.06%             | 2039-06-15      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| SPIRIT AIR 2017-1 PTT A                               | Spirit Airlines Pass Through Trust 2017-1A                                       | CUSIP: 84858XAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      383425 | PA      | $332041.52    | 0.01%             | 2030-02-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QKVQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      471737 | PA      | $422718.44    | 0.02%             | 2036-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6RM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       41459 | PA      | $42475.60     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                    | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-1                    | CUSIP: 35563PEX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      157107 | PA      | $69522.23     | 0.00%             | 2057-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 3620A9TU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      100185 | PA      | $100601.61    | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PARK INTERMED HOLDINGS                                | Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer | CUSIP: 70052LAC7<br>LEI: N/A                  | Long             | DBT              |  | US        |      340000 | PA      | $329427.63    | 0.01%             | 2029-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDC                              | Greensaif Pipelines Bidco Sarl                                                   | CUSIP: 000000000<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |     1171000 | PA      | $1182722.88   | 0.05%             | 2036-02-23      | Fixed         | 5.85%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132JPTF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       72819 | PA      | $71205.53     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                | BRTB78HA0                                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | US        |      777209 | OU      | $-518.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138XYBY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      181756 | PA      | $170805.46    | 0.01%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                         | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-23187.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                      | Paramount Global                                                                 | CUSIP: 92553PAP7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      347000 | PA      | $255451.88    | 0.01%             | 2043-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                      | BAT Capital Corp                                                                 | CUSIP: 05526DBV6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     1696000 | PA      | $1580233.23   | 0.06%             | 2052-03-16      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| RAIZEN FUELS FINANCE                                  | Raizen Fuels Finance SA                                                          | CUSIP: 000000000<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |      406000 | PA      | $406399.10    | 0.02%             | 2034-03-05      | Fixed         | 6.45%                 | Yes           |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                      | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      705000 | PA      | $736944.97    | 0.03%             | 2033-06-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140X83B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      911478 | PA      | $843759.50    | 0.03%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | FSWP: JPY 0.997500 12-MAR-2027 FTO                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  3395348847 | OU      | $-48160.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4345000 | PA      | $2982016.21   | 0.12%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Viper Energy Inc                                      | Viper Energy Inc                                                                 | CUSIP: 927959106<br>LEI: 5299009LINL232255G03 | Long             | EC               | CORP              | US        |        3843 | NS      | $146533.59    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FIRSTENERGY CORP                                      | FirstEnergy Corp                                                                 | CUSIP: 337932AL1<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     1157000 | PA      | $1062334.33   | 0.04%             | 2030-03-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                       | OHA Credit Funding 2 LTD                                                         | CUSIP: 67707EBJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2590000 | PA      | $2599689.19   | 0.10%             | 2038-01-21      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2006-OC1                                                  | CUSIP: 12668BJD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      147141 | PA      | $145036.95    | 0.01%             | 2036-03-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Steele Creek CLO Ltd                                  | Steele Creek Clo 2017-1 Ltd                                                      | CUSIP: 85816VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       83309 | PA      | $83313.72     | 0.00%             | 2030-10-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                 | Wells Fargo Commercial Mortgage Trust 2024-BPRC                                  | CUSIP: 95004AAG8<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |      407000 | PA      | $416371.99    | 0.02%             | 2043-07-15      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                     | Citigroup Mortgage Loan Trust 2007-6                                             | CUSIP: 17312VAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      252844 | PA      | $233941.25    | 0.01%             | 2037-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| CRESCENT ENERGY FINANCE                               | Crescent Energy Finance LLC                                                      | CUSIP: 45344LAE3<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |       56000 | PA      | $53525.11     | 0.00%             | 2033-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM                                       | Kingdom of Belgium Government Bond                                               | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |     5790320 | PA      | $6074034.30   | 0.23%             | 2054-06-22      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                              | Vistra Operations Co LLC                                                         | CUSIP: 92840VAT9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      436000 | PA      | $438131.60    | 0.02%             | 2026-12-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd                                  | OHA Loan Funding 2016-1 Ltd                                                      | CUSIP: 67110UAW9<br>LEI: 54930016024GMIAF7A82 | Long             | ABS-CBDO         | CORP              | KY        |      610000 | PA      | $611872.09    | 0.02%             | 2037-07-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31418CCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       53434 | PA      | $50798.84     | 0.00%             | 2031-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                              | Service Properties Trust                                                         | CUSIP: 81761LAB8<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |       71000 | PA      | $70346.68     | 0.00%             | 2027-12-15      | Fixed         | 5.50%                 | 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        |     2164125 | PA      | $65426.04     | 0.00%             | 2052-03-15      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                   | Synchrony Financial                                                              | CUSIP: 87165BAR4<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     3567000 | PA      | $3094872.49   | 0.12%             | 2031-10-28      | Fixed         | 2.88%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QANL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4715305 | PA      | $4625998.15   | 0.18%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed CTFS                   | Washington Mutural Asset-Backed Certificates WMABS Series 2006-HE4 Trust         | CUSIP: 93934QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1590860 | PA      | $403070.85    | 0.02%             | 2036-09-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| OT MIDCO LTD                                          | OT Midco Ltd                                                                     | CUSIP: 68877AAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      346000 | PA      | $267025.88    | 0.01%             | 2030-02-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140E1RT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10250 | PA      | $10000.33     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                              | Cheniere Energy Partners LP                                                      | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     2599000 | PA      | $2329837.84   | 0.09%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                       | Cameron LNG LLC                                                                  | CUSIP: 133434AB6<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |     1829000 | PA      | $1568012.27   | 0.06%             | 2035-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                    | MCR 2024-TWA Mortgage Trust                                                      | CUSIP: 582923AV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2421000 | PA      | $30247.01     | 0.00%             | 2039-06-12      | Fixed         | 0.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140J7MK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      513422 | PA      | $486850.15    | 0.02%             | 2032-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc             | Structured Asset Mortgage Investments II Trust 2006-AR2                          | CUSIP: 86359LSM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      413861 | PA      | $384065.14    | 0.01%             | 2036-02-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                         | Ballyrock CLO 15 Ltd                                                             | CUSIP: 05875TAJ6<br>LEI: 254900DRHPTI08KKW784 | Long             | ABS-CBDO         | CORP              | KY        |     1010000 | PA      | $1011369.56   | 0.04%             | 2038-01-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2005-22T1                                                 | CUSIP: 12667GGN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      841669 | PA      | $741685.17    | 0.03%             | 2035-06-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3128MAFB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1280155 | PA      | $1299215.69   | 0.05%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                              | Duke Energy Progress LLC                                                         | CUSIP: 26442UAP9<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |      478000 | PA      | $366758.43    | 0.01%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                 | CUSIP: 87264ADS1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      197000 | PA      | $200899.22    | 0.01%             | 2032-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                   | CUSIP: 61748UAE2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1495000 | PA      | $1530421.06   | 0.06%             | 2031-01-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DMRA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12461 | PA      | $11493.68     | 0.00%             | 2044-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                         | MHC Commercial Mortgage Trust 2021-MHC                                           | CUSIP: 55316VAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      154400 | PA      | $154400.00    | 0.01%             | 2038-04-15      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust      | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-2                   | CUSIP: 59024QAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3872465 | PA      | $2804516.01   | 0.11%             | 2037-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                        | Palmer Square Loan Funding 2022-3 Ltd                                            | CUSIP: 69690CAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1580000 | PA      | $1580741.02   | 0.06%             | 2031-04-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Lehman Brothers Small Balance Commercial              | Lehman Brothers Small Balance Commercial Mortgage Trust 2006-2                   | CUSIP: 52520VAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      152742 | PA      | $145119.75    | 0.01%             | 2036-09-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                     | PURCHASED EUR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | XX        |           1 | NC      | $6235.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                             | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      908000 | PA      | $791252.69    | 0.03%             | 2032-07-21      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WQPF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23848 | PA      | $23415.45     | 0.00%             | 2028-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                   | CUSIP: 61747YFH3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      731000 | PA      | $774291.10    | 0.03%             | 2029-11-01      | Fixed         | 6.41%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                   | American Tower Corp                                                              | CUSIP: 03027XCH1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     2773000 | PA      | $2855133.07   | 0.11%             | 2034-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                           | Extended Stay America Trust 2021-ESH                                             | CUSIP: 30227FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      827707 | PA      | $829776.54    | 0.03%             | 2038-07-15      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XFM40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2747106 | PA      | $2323301.81   | 0.09%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Italian Stella Loans Srl                              | Auto ABS Italian Stella Loans 2024-1 SRL                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IT        |       86786 | PA      | $103036.73    | 0.00%             | 2036-12-29      | Floating      | 3.63%                 | Yes           |                  2 | On Loan: No      |
| DISH NETWORK CORP                                     | DISH Network Corp                                                                | CUSIP: 25470MAF6<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |      459000 | PA      | $413100.00    | 0.02%             | 2025-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                       | OHA Credit Funding 7 Ltd                                                         | CUSIP: 67098WAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      630000 | PA      | $630000.00    | 0.02%             | 2037-02-24      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                    | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-3                    | CUSIP: 35563PCJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      867664 | PA      | $97921.23     | 0.00%             | 2056-07-25      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36178D7L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      100096 | PA      | $93497.93     | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VERSA NETWORKS                                        | VERSA NETWORKS                                                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |       83584 | NS      | $337679.36    | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2121663 | PA      | $2003443.43   | 0.08%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2021-C                                                  | CUSIP: 009733AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1110472 | PA      | $1107405.42   | 0.04%             | 2061-01-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                           | S+P500 EMINI FUT SEP25                                                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |         -23 | NC      | $-189172.70   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Latch Inc                                             | Latch Inc                                                                        | CUSIP: 51818V114<br>LEI: N/A                  | N/A              | DE               |  | US        |        6439 | NS      | $0.64         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DQF35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      598071 | PA      | $613121.60    | 0.02%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36180KJT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      187605 | PA      | $174888.22    | 0.01%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Trust 2024-PAT                                                                | CUSIP: 05612FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1141000 | PA      | $1152724.00   | 0.04%             | 2041-03-15      | Floating      | 8.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                 | CUSIP: 87264ACX1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     2356000 | PA      | $2307818.06   | 0.09%             | 2062-09-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140EW4N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16079 | PA      | $15396.08     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                              | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3772200 | PA      | $3532164.31   | 0.14%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 31307NXU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        8852 | PA      | $8550.40      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                      | Soundview Home Loan Trust 2007-NS1                                               | CUSIP: 83612QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3399241 | PA      | $3247573.31   | 0.13%             | 2037-01-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust            | Bear Stearns Asset Backed Securities I Trust 2006-IM1                            | CUSIP: 07387UFW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2046579 | PA      | $1926355.64   | 0.07%             | 2036-04-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                      | CUSIP: 68389XCU7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      235000 | PA      | $214822.06    | 0.01%             | 2054-09-27      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DMSH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1099958 | PA      | $1035259.75   | 0.04%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2006-OC7                                                  | CUSIP: 23243VAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2133737 | PA      | $1840325.56   | 0.07%             | 2046-07-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust            | Bear Stearns Asset Backed Securities I Trust 2007-HE3                            | CUSIP: 073852AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2965000 | PA      | $2826673.86   | 0.11%             | 2037-04-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co                              | Florida Power & Light Co                                                         | CUSIP: 341081FU6<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     1746000 | PA      | $1374518.81   | 0.05%             | 2049-03-01      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                      | SMB Private Education Loan Trust 2021-A                                          | CUSIP: 78448YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1070599 | PA      | $935243.73    | 0.04%             | 2053-01-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                | General Motors Financial Co Inc                                                  | CUSIP: 37045XEP7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     1175000 | PA      | $1209344.23   | 0.05%             | 2034-01-07      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F022675<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -3175600 | PA      | $-2632479.13  | -0.10%            | 2055-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36177MZY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       75778 | PA      | $70829.32     | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QFNP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1501374 | PA      | $1276375.60   | 0.05%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HMH Trust                                             | HMH Trust 2017-NSS                                                               | CUSIP: 40390AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      740000 | PA      | $629000.00    | 0.02%             | 2031-07-05      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| DP WORLD LTD UAE                                      | DP World Ltd/United Arab Emirates                                                | CUSIP: 000000000<br>LEI: 549300M3U2DNF4QVSS04 | Long             | DBT              | CORP              | AE        |     1080000 | PA      | $1176137.28   | 0.05%             | 2037-07-02      | Fixed         | 6.85%                 | Yes           |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                      | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      886000 | PA      | $633840.86    | 0.02%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31418CV35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40291 | PA      | $38136.76     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | SWP: IFS 2.685000 15-APR-2029 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3231000 | OU      | $-18900.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                      | Paramount Global                                                                 | CUSIP: 124857AN3<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      397000 | PA      | $293670.40    | 0.01%             | 2045-01-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31410KFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      150404 | PA      | $157674.66    | 0.01%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                              | EQT Corp                                                                         | CUSIP: 26884LAS8<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     1423000 | PA      | $1455063.69   | 0.06%             | 2027-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179TUA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       26755 | PA      | $24708.05     | 0.00%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MILEAGE PLUS HLDINGS LLC                              | Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd        | CUSIP: 599191AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      610852 | PA      | $611653.44    | 0.02%             | 2027-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates     | First Franklin Mortgage Loan Trust 2006-FF16                                     | CUSIP: 320275AE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6431434 | PA      | $2593357.56   | 0.10%             | 2036-12-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| TRIDENT ENERGY FINANCE                                | Trident Energy Finance PLC                                                       | CUSIP: 000000000<br>LEI: 9845004ECK3FYO64I382 | Long             | DBT              | CORP              | GB        |      212000 | PA      | $211778.52    | 0.01%             | 2029-11-30      | Fixed         | 12.50%                | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132GSSE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      185630 | PA      | $174510.76    | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust         | J.P. Morgan Chase Commercial Mortgage Securities Trust 2022-NLP                  | CUSIP: 466317AQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      797620 | PA      | $753934.42    | 0.03%             | 2037-04-15      | Floating      | 8.10%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                              | Madison Park Funding XXIII Ltd                                                   | CUSIP: 55820TAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250778.25    | 0.01%             | 2031-07-27      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Bank                                | WASHINGTON MUTUAL INC COMMON                                                     | CUSIP: 939ESCAY5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1247000 | PA      | $0.12         | 0.00%             | 2017-09-21      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| JPMorgan Chase Bank NA                                | SWAP/CDSWAP/SCDS: (DB)                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | DE        |      131000 | OU      | $-2345.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITADEL PLC                                           | Citadel 2024-1 PLC                                                               | CUSIP: 000000000<br>LEI: 213800XKX6NBEB5W9Z43 | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $137447.26    | 0.01%             | 2060-04-28      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                | SWAP/CDSWAP/SCDS: (UBS)                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | DE        |      117000 | OU      | $-2747.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AEP Transmission Co LLC                               | AEP Transmission Co LLC                                                          | CUSIP: 00115AAH2<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |      176000 | PA      | $133248.38    | 0.01%             | 2047-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31402C4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      482912 | PA      | $494778.73    | 0.02%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust               | Saluda Grade Alternative Mortgage Trust 2024-RTL5                                | CUSIP: 795935AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      825000 | PA      | $830380.82    | 0.03%             | 2030-04-25      | Variable      | 7.76%                 | No            |                  2 | On Loan: No      |
| OCEANA A 3 YEAR                                       | OCEANA A 3 YEAR                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |      456000 | PA      | $307619.40    | 0.01%             | 2026-07-31      | Fixed         | 12.50%                | Yes           |                  3 | On Loan: No      |
| BankAmerica Manufactured Housing Contract Trust       | BankAmerica Manufactured Housing Contract Trust                                  | CUSIP: 06606TAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4000000 | PA      | $379437.20    | 0.01%             | 2025-12-10      | Variable      | 7.19%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                              | CUSIP: 91282CEM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7545000 | PA      | $7314818.57   | 0.28%             | 2029-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140HHWE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      458860 | PA      | $433229.63    | 0.02%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                           | Extended Stay America Trust 2021-ESH                                             | CUSIP: 30227FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4253472 | PA      | $4253471.86   | 0.16%             | 2038-07-15      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140FCTF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      302212 | PA      | $270128.98    | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                   | Elevance Health Inc                                                              | CUSIP: 036752AS2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     1243000 | PA      | $874795.92    | 0.03%             | 2051-03-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138EPQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       89023 | PA      | $87141.58     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WFZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      123325 | PA      | $119095.83    | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                | Residential Asset Securitization Trust 2007-A9                                   | CUSIP: 761143AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11364644 | PA      | $3131335.72   | 0.12%             | 2037-09-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| SAMARCO MINERACAO SA                                  | Samarco Mineracao SA                                                             | CUSIP: 000000000<br>LEI: 529900U8HKV15GJC4O60 | Long             | DBT              | CORP              | BR        |      976685 | PA      | $960135.48    | 0.04%             | 2031-06-30      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| Babson CLO Ltd                                        | Barings CLO Ltd 2015-I                                                           | CUSIP: 056162AQ3<br>LEI: 549300QR3VQZ1T0JUI29 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250352.50    | 0.01%             | 2031-01-20      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                  | Targa Resources Corp                                                             | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     1234000 | PA      | $1156258.44   | 0.04%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC                                 | DirecTV Financing LLC 2025 Term Loan B                                           | CUSIP: 25460HAF9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      536740 | PA      | $515270.40    | 0.02%             | 2031-02-17      | Floating      | 9.83%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                    | Expand Energy Corp                                                               | CUSIP: 845467AT6<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     3454000 | PA      | $3358620.90   | 0.13%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | SWP: IFS 2.428000 15-APR-2030 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     7456698 | OU      | $8807.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                | Reperforming Loan REMIC Trust 2005-R2                                            | CUSIP: 12669GN64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      137008 | PA      | $131808.83    | 0.01%             | 2035-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                              | CUSIP: 91282CLM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    11385000 | PA      | $11194657.03  | 0.43%             | 2031-09-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                          | CUSIP: 404119CT4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     2485000 | PA      | $2562378.85   | 0.10%             | 2031-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                | SWAP/CDSWAP/SCDS: (UBS)                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | DE        |      112000 | OU      | $-2629.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                | Diamondback Energy Inc                                                           | CUSIP: 25278XAQ2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |      708000 | PA      | $546305.77    | 0.02%             | 2051-03-24      | Fixed         | 4.40%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132VMSZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      913150 | PA      | $887207.04    | 0.03%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DQB54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      545838 | PA      | $559395.13    | 0.02%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                           | Gartner Inc                                                                      | CUSIP: 366651AC1<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |     6313000 | PA      | $6247188.87   | 0.24%             | 2028-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| State of Illinois                                     | ILLINOIS ST                                                                      | CUSIP: 452151LF8<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |     2626373 | PA      | $2634211.45   | 0.10%             | 2033-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XDY42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      731609 | PA      | $588681.40    | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | BRTGGJVH4                                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |      467000 | OU      | $-79857.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                  | PRET 2024-RN2 LLC                                                                | CUSIP: 69391YAA5<br>LEI: 254900D7MDAANUUXWQ05 | Long             | ABS-O            | CORP              | US        |      294643 | PA      | $296487.70    | 0.01%             | 2054-04-25      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                              | CUSIP: 46647PBN5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1842000 | PA      | $1239467.47   | 0.05%             | 2051-04-22      | Fixed         | 3.11%                 | No            |                  2 | On Loan: —       |
| Morgan Stanley & Co. International PLC                | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-10908.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Northwind Midstream Partners LLC                      | Northwind Midstream Partners LLC Term Loan                                       | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     2721000 | PA      | $2670117.30   | 0.10%             | 2032-03-03      | Floating      | 10.70%                | Yes           |                  3 | On Loan: No      |
| Medical Solutions Holdings Inc                        | Medical Solutions Holdings Inc 2021 2nd Lien Term Loan                           | CUSIP: 58462QAM3<br>LEI: 549300JH2XHZ7TIKYR39 | Long             | LON              | CORP              | US        |      274000 | PA      | $128095.00    | 0.00%             | 2029-11-01      | Floating      | 11.38%                | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                 | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | US        |           1 | NC      | $-6619.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OZLM Ltd                                              | OZLM XVIII Ltd                                                                   | CUSIP: 67112GAC2<br>LEI: 5493002SZMQH8ZTTHX49 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250154.50    | 0.01%             | 2031-04-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8828 | PA      | $8441.37      | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                 | Mexico Government International Bonds                                            | CUSIP: 91087BAG5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     4504000 | PA      | $3270129.20   | 0.13%             | 2050-01-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| IREN LTD                                              | IREN Ltd                                                                         | CUSIP: 46270CAC3<br>LEI: 254900FZF02RB3NNGB71 | Long             | DBT              | CORP              | AU        |      206000 | PA      | $266358.00    | 0.01%             | 2029-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CIVITAS RESOURCES INC                                 | Civitas Resources Inc                                                            | CUSIP: 17888HAC7<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |       56000 | PA      | $56853.33     | 0.00%             | 2030-11-01      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                                 | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              |  | US        |           1 | NC      | $-147.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EQT CORP                                              | EQT Corp                                                                         | CUSIP: 26884LAW9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     5647000 | PA      | $5578357.44   | 0.22%             | 2029-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                   | GS Mortgage-Backed Securities Corp Trust 2019-PJ2                                | CUSIP: 36257LAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      240616 | PA      | $218042.05    | 0.01%             | 2049-11-25      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                   | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     2562000 | PA      | $2286569.99   | 0.09%             | 2033-01-21      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138EQU26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9172 | PA      | $8874.22      | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                              | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4871000 | PA      | $4407874.48   | 0.17%             | 2030-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Commercial Mortgage Trust 2024-BRBK                                           | CUSIP: 05613NAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      302000 | PA      | $302753.79    | 0.01%             | 2041-10-15      | Floating      | 8.24%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                              | Neuberger Berman Loan Advisers CLO 46 Ltd                                        | CUSIP: 64134QAL1<br>LEI: 549300LCOEVXWN75LP18 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249318.50    | 0.01%             | 2037-01-20      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                 | Duke Energy Carolinas LLC                                                        | CUSIP: 26442CAU8<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |      344000 | PA      | $268434.92    | 0.01%             | 2048-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132QUXG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2465008 | PA      | $2340228.72   | 0.09%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                           | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | BR        |           1 | NC      | $13069.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                          | CUSIP: 404119DB2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     1286000 | PA      | $1322487.94   | 0.05%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                   | COMM 2024-WCL1 MORTGAGE TRUST                                                    | CUSIP: 20047DAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      484000 | PA      | $479581.18    | 0.02%             | 2041-06-15      | Floating      | 8.80%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   146276000 | PA      | $148634384.54 | 5.75%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2021-RPL9 Trust                                                             | CUSIP: 12658XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1449173 | PA      | $1435152.74   | 0.06%             | 2061-02-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| SC GERMANY CONSUMER                                   | SC Germany SA Compartment Consumer 2024-2                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | LU        |      100000 | PA      | $118752.27    | 0.00%             | 2038-05-14      | Floating      | 3.29%                 | Yes           |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                              | CUSIP: 46647PDW3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1676000 | PA      | $1712396.72   | 0.07%             | 2027-10-22      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WFCS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      449649 | PA      | $439559.24    | 0.02%             | 2045-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WFQ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      185563 | PA      | $179115.55    | 0.01%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Trust 2025-VLT6                                                               | CUSIP: 12433KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      530000 | PA      | $529668.75    | 0.02%             | 2042-03-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | SWP: EUR 2.513000 20-FEB-2054 EUR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     6031000 | OU      | $356358.21    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust         | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3                    | CUSIP: 46590RAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5300000 | PA      | $35371.67     | 0.00%             | 2049-08-15      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QMVL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      914846 | PA      | $803911.36    | 0.03%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QNNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2157061 | PA      | $1729729.86   | 0.07%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| REWORLD HOLDING CORP                                  | Reworld Holding Corp                                                             | CUSIP: 22303XAA3<br>LEI: 40XIFLS8XDQGGHGPGC04 | Long             | DBT              | CORP              | US        |      101000 | PA      | $96085.72     | 0.00%             | 2029-12-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                      | Bain Capital Credit CLO 2024-2 Ltd                                               | CUSIP: 056921AA7<br>LEI: 254900KJZFJF5PZOFD13 | Long             | ABS-CBDO         | CORP              | KY        |     1170000 | PA      | $1173408.21   | 0.05%             | 2037-07-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                       | SWAP/CDSWAP/ICE: (ITRAXX.EUR.43.V1)                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     2890000 | OU      | $-72613.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                     | BYDJ1AA05 BLACKROCK PUT USD CAD 1.3350000 20250724                               | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |      -49000 | OU      | $-5199.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ambac Assurance Corp                                  | Ambac Assurance Corp                                                             | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |      162922 | PA      | $219944.48    | 0.01%             | 2099-12-31      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae                                                                       | CUSIP: 21H022671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5406000 | PA      | $4592069.29   | 0.18%             | 2054-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                          | GS Mortgage Securities Corp Trust 2023-FUN                                       | CUSIP: 36267CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      130000 | PA      | $130325.00    | 0.01%             | 2028-03-15      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36178N7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       68900 | PA      | $64315.39     | 0.00%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                              | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    13516000 | PA      | $13189715.38  | 0.51%             | 2029-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                         | AppLovin Corp                                                                    | CUSIP: 03831WAB4<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |     3180000 | PA      | $3221391.01   | 0.12%             | 2029-12-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138XPQG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12177 | PA      | $12002.99     | 0.00%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Vasco Finance                                         | TAGUS-Sociedade de Titularizacao de Creditos SA/Vasco Finance No. 2              | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | PT        |      100000 | PA      | $117897.90    | 0.00%             | 2042-10-27      | Floating      | 3.89%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      349188 | PA      | $324547.86    | 0.01%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179W7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3358090 | PA      | $2854412.76   | 0.11%             | 2052-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CSC Holdings LLC                                      | CSC Holdings LLC 2019 Term Loan B5                                               | CUSIP: 64072UAK8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | LON              | CORP              | US        |      153451 | PA      | $149806.97    | 0.01%             | 2027-04-15      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                     | CUSIP: 11135FBY6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     3008000 | PA      | $3094560.73   | 0.12%             | 2031-11-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1743000 | PA      | $1167440.83   | 0.05%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133KQWT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1228261 | PA      | $1238858.53   | 0.05%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      293000 | PA      | $210844.32    | 0.01%             | 2060-12-25      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | TR        |           1 | NC      | $7055.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GCAT                                                  | GCAT 2021-NQM3 Trust                                                             | CUSIP: 36167HAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      240000 | PA      | $174972.00    | 0.01%             | 2066-05-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | SWP: IFS 2.536250 15-APR-2029 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3344500 | OU      | $4691.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities Inc.                         | Deutsche Bank Securities Inc.                                                    | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | Long             | RA               | CORP              | US        |      304778 | PA      | $304778.25    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust                         | HTL Commercial Mortgage Trust 2024-T53                                           | CUSIP: 404300AJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3379000 | PA      | $3474741.94   | 0.13%             | 2039-05-10      | Variable      | 10.60%                | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                              | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6320000 | PA      | $5868218.72   | 0.23%             | 2027-09-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | SWP: IFS 2.789500 15-APR-2028 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     8078000 | OU      | $-28032.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      966041 | PA      | $777851.82    | 0.03%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132M9MM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       94350 | PA      | $87035.15     | 0.00%             | 2044-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XFZU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      248738 | PA      | $229099.65    | 0.01%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                      | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      749000 | PA      | $536248.72    | 0.02%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                 | Northrop Grumman Corp                                                            | CUSIP: 666807BU5<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |      147000 | PA      | $137758.19    | 0.01%             | 2050-05-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| SLM Student Loan Trust                                | SLM Private Education Loan Trust 2010-C                                          | CUSIP: 78445QAE1<br>LEI: 549300JEA36NHBYED811 | Long             | ABS-O            | CORP              | US        |     1887487 | PA      | $1977262.44   | 0.08%             | 2041-10-15      | Floating      | 9.18%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                | SWAP/CDSWAP/SCDS: (BA)                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |      700000 | OU      | $-10018.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America Corp                                  | Bank of America Corp                                                             | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |        4000 | PA      | $3909.94      | 0.00%             | 2028-12-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133A7KE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      360321 | PA      | $303739.76    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                 | OneMain Direct Auto Receivables Trust 2025-1                                     | CUSIP: 682684AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      196000 | PA      | $198974.93    | 0.01%             | 2037-07-14      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                  | Bank of America Corp                                                             | CUSIP: 06051GHM4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      360000 | PA      | $358814.12    | 0.01%             | 2029-07-23      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138W5M21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      302793 | PA      | $273411.02    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MS GOVT US LEX                                        | MS GOVT US LEX                                                                   | CUSIP: 61747C707<br>LEI: N/A                  | Long             | STIV             | RF                | US        |      600000 | NS      | $600000.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Cross Mortgage Trust                                  | Cross 2023-H2 Mortgage Trust                                                     | CUSIP: 22757NAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      322574 | PA      | $327432.04    | 0.01%             | 2068-11-25      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XLEB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1587793 | PA      | $1601490.84   | 0.06%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                            | Navient Private Education Refi Loan Trust 2021-D                                 | CUSIP: 63942CAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      374818 | PA      | $349908.32    | 0.01%             | 2060-04-15      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO                                        | PECO Energy Co                                                                   | CUSIP: 693304BG1<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |      233000 | PA      | $220794.24    | 0.01%             | 2054-09-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                           | SREIT Trust 2021-MFP                                                             | CUSIP: 78472UAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      746569 | PA      | $746568.94    | 0.03%             | 2038-11-15      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| BMP Trust                                             | BMP 2024-MF23                                                                    | CUSIP: 05593JAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      382000 | PA      | $380771.64    | 0.01%             | 2041-06-15      | Floating      | 7.70%                 | No            |                  2 | On Loan: No      |
| DBSG 2024-ALTA Mortgage Trust                         | DBSG 2024-ALTA Mortgage Trust                                                    | CUSIP: 239918AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      374607 | PA      | $381198.55    | 0.01%             | 2037-06-10      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Commercial Mortgage Trust 2021-SOAR                                           | CUSIP: 05608WAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      605460 | PA      | $605838.64    | 0.02%             | 2038-06-15      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                         | Boeing Co/The                                                                    | CUSIP: 097023204<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | EP               | CORP              | US        |        5400 | NS      | $367200.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| OCP CLO Ltd                                           | OCP CLO 2014-5 Ltd                                                               | CUSIP: 67102SAN4<br>LEI: 254900NXH68CRC058O44 | Long             | ABS-CBDO         | CORP              | KY        |      180000 | PA      | $180084.24    | 0.01%             | 2031-04-26      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                           | OCP CLO 2014-5 Ltd                                                               | CUSIP: 67102SAL8<br>LEI: 254900NXH68CRC058O44 | Long             | ABS-CBDO         | CORP              | KY        |       15322 | PA      | $15321.84     | 0.00%             | 2031-04-26      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                         | Agate Bay Mortgage Trust 2015-1                                                  | CUSIP: 00841WBP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      130000 | PA      | $79219.83     | 0.00%             | 2045-01-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| Service Experts Issuer                                | Service Experts Issuer 2024-1 LLC                                                | CUSIP: 81758FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      507684 | PA      | $516773.90    | 0.02%             | 2035-11-20      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| DREAM FINDERS HOMES INC                               | DREAM FINDERS HOMES INC                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        2628 | NS      | $2588580.00   | 0.10%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Amentum Holdings Inc                                  | Amentum Holdings Inc                                                             | CUSIP: 023939101<br>LEI: 2549009FJIBLW40CU216 | Long             | EC               | CORP              | US        |       21539 | NS      | $508535.79    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      394315 | PA      | $371692.61    | 0.01%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2006-OA2                                                  | CUSIP: 126694S41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1993925 | PA      | $1771633.61   | 0.07%             | 2046-05-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| SONDER HOLDINGS CLS A LEGENDED                        | SONDER HOLDINGS CLS A LEGENDED                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        4351 | NS      | $11747.70     | 0.00%             |  |  |  | Yes           |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                              | JP Morgan Mortgage Trust 2006-S3                                                 | CUSIP: 46629AAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      182325 | PA      | $55854.25     | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                   | JPMorgan Chase & Co                                                              | CUSIP: 46647PAF3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |       37000 | PA      | $36452.33     | 0.00%             | 2028-05-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132GTR33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6501 | PA      | $6109.93      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                        | Morgan Stanley Capital I Trust 2019-H6                                           | CUSIP: 61769JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       97000 | PA      | $77651.96     | 0.00%             | 2052-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ESC CB CHESAPEAKE ENER                                | ESC CB CHESAPEAKE ENER                                                           | CUSIP: 165ESCAE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $0.01         | 0.00%             | 2021-06-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XJTH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       61217 | PA      | $62621.06     | 0.00%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WJ4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      682380 | PA      | $609619.16    | 0.02%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                 | CUSIP: 95000U2Z5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |        6000 | PA      | $5113.28      | 0.00%             | 2053-04-25      | Fixed         | 4.61%                 | No            |                  2 | On Loan: —       |
| LCH Ltd.                                              | FSWP: OIS 4.272500 17-SEP-2025 FED                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  1889027780 | OU      | $25983.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WPHP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      119683 | PA      | $108119.19    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                           | Legacy Mortgage Asset Trust 2019-SL2                                             | CUSIP: 52473FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      523922 | PA      | $504105.67    | 0.02%             | 2059-02-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| ASTON MARTIN CAPITAL HOL                              | Aston Martin Capital Holdings Ltd                                                | CUSIP: 04625HAJ8<br>LEI: 213800H4GKEF3CJ8C774 | Long             | DBT              | CORP              | JE        |      217000 | PA      | $205474.80    | 0.01%             | 2029-03-31      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |           1 | NC      | $-63012.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Securities Services                       | SWAP/CDSWAP/SCDS: (UBS)                                                          | CUSIP: 000000000<br>LEI: 549300WCGB70D06XZS54 | N/A              | DCR              |  | DE        |      134000 | OU      | $-3146.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                 | Level 3 Financing Inc                                                            | CUSIP: 527298CK7<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |      139960 | PA      | $141358.52    | 0.01%             | 2032-10-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| AMGEN INC                                             | Amgen Inc                                                                        | CUSIP: 031162DG2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      726000 | PA      | $566693.97    | 0.02%             | 2062-02-22      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | SWP: IFS 2.734500 15-APR-2028 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     8400000 | OU      | $-5724.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7927000 | PA      | $4972644.28   | 0.19%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                             | Nelnet Student Loan Trust 2021-A                                                 | CUSIP: 64035DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      277000 | PA      | $239220.91    | 0.01%             | 2062-04-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36202FDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       20323 | PA      | $20165.74     | 0.00%             | 2039-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                  | Bank of America Corp                                                             | CUSIP: 06051GFG9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      272000 | PA      | $252033.24    | 0.01%             | 2044-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                              | CUSIP: 46647PEH5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     3200000 | PA      | $3361884.22   | 0.13%             | 2035-04-22      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DNNR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      426566 | PA      | $422998.56    | 0.02%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36178WQH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       50942 | PA      | $47488.60     | 0.00%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HOWARD HUGHES CORP                                    | Howard Hughes Corp/The                                                           | CUSIP: 44267DAD9<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |      416000 | PA      | $412894.85    | 0.02%             | 2028-08-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Knollwood CDO Ltd                                     | Knollwood CDO Ltd                                                                | CUSIP: 499169AD2<br>LEI: 549300E24U6UCPJEUI87 | Long             | ABS-CBDO         | CORP              | KY        |     1394689 | PA      | $139.47       | 0.00%             | 2039-01-10      | Floating      | 10.70%                | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                 | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     1718000 | PA      | $1537999.95   | 0.06%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810TR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7906500 | PA      | $6448739.06   | 0.25%             | 2053-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| One Market Plaza Trust                                | One Market Plaza Trust 2017-1MKT                                                 | CUSIP: 68245HAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17538712 | PA      | $175.39       | 0.00%             | 2032-02-10      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates     | First Franklin Mortgage Loan Trust 2006-FF13                                     | CUSIP: 30247DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      129578 | PA      | $83480.40     | 0.00%             | 2036-10-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust            | Bear Stearns Asset Backed Securities Trust 2005-2                                | CUSIP: 073877CH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2142000 | PA      | $2175144.45   | 0.08%             | 2035-06-25      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO Ltd                                      | Whitebox Clo I Ltd                                                               | CUSIP: 96467FBC3<br>LEI: 549300E4AC0513DYO913 | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $500331.00    | 0.02%             | 2036-07-24      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31390MJT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      233222 | PA      | $235904.02    | 0.01%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust            | Bear Stearns Asset Backed Securities I Trust 2005-AC9                            | CUSIP: 0738794J4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1122442 | PA      | $1096791.17   | 0.04%             | 2035-12-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                       | SWAP/CDSWAP/ICE: (ITRAXX.FINSR.43.V1)                                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     9090000 | OU      | $-206516.93   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                          | CUSIP: 404119DC0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      866000 | PA      | $872167.96    | 0.03%             | 2055-03-01      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Regatta VI Funding Ltd.                               | Regatta VI Funding Ltd                                                           | CUSIP: 75887NAW9<br>LEI: 2549001NU08X5ZRD6A39 | Long             | ABS-CBDO         | CORP              | KY        |      760000 | PA      | $760489.44    | 0.03%             | 2034-04-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| CLOUD SOFTWARE GRP INC                                | Cloud Software Group Inc                                                         | CUSIP: 18912UAA0<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |      128000 | PA      | $132675.25    | 0.01%             | 2029-09-30      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                     | Cedar Funding XIV CLO Ltd                                                        | CUSIP: 15034AAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250792.50    | 0.01%             | 2037-10-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                      | Duke Energy Corp                                                                 | CUSIP: 26441CBN4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     1046000 | PA      | $718352.01    | 0.03%             | 2051-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31418DUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1824967 | PA      | $1374552.97   | 0.05%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                         | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | PL        |           1 | NC      | $153881.12    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DOMINION ENERGY SOUTH                                 | Dominion Energy South Carolina Inc                                               | CUSIP: 25731VAC8<br>LEI: 3QRVFYR22IUIEOORTK28 | Long             | DBT              | CORP              | US        |      122000 | PA      | $124724.21    | 0.00%             | 2035-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO II Ltd.                                   | Elmwood CLO II Ltd                                                               | CUSIP: 29001LBA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250554.00    | 0.01%             | 2037-10-20      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| AGL Core 4 CLO Ltd                                    | AGL Core CLO 4 LTD                                                               | CUSIP: 001199AQ1<br>LEI: 549300HS2AZ4GZPCZ864 | Long             | ABS-CBDO         | CORP              | KY        |      860000 | PA      | $863377.22    | 0.03%             | 2037-10-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                | Cascade MH Asset Trust 2019-MH1                                                  | CUSIP: 14732FAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1376521 | PA      | $1312308.95   | 0.05%             | 2044-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XHXB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      343474 | PA      | $339099.62    | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31419A4H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       67033 | PA      | $70274.94     | 0.00%             | 2040-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MAUSER PACKAGING SOLUT                                | Mauser Packaging Solutions Holding Co                                            | CUSIP: 57763RAD9<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |      187000 | PA      | $190065.30    | 0.01%             | 2027-04-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Trust                       | Fontainebleau Miami Beach Mortgage Trust 2024-FBLU                               | CUSIP: 34461WAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      297000 | PA      | $296677.55    | 0.01%             | 2039-12-15      | Floating      | 9.96%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust                        | ARES Commercial Mortgage Trust 2024-IND                                          | CUSIP: 03990DAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1500000 | PA      | $1499978.55   | 0.06%             | 2041-07-15      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| ASHTON WOODS USA/FINANCE                              | Ashton Woods USA LLC / Ashton Woods Finance Co                                   | CUSIP: 045086AP0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      190000 | PA      | $180679.61    | 0.01%             | 2030-04-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QNJM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      571122 | PA      | $524789.95    | 0.02%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-1NYP                    | One New York Plaza Trust 2020-1NYP                                               | CUSIP: 68249DAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      160000 | PA      | $149336.38    | 0.01%             | 2036-01-15      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                   | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     2424000 | PA      | $2352856.64   | 0.09%             | 2028-01-21      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Trust 2021-ARIA                                                               | CUSIP: 05608RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      713000 | PA      | $712331.56    | 0.03%             | 2036-10-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                | SWAP/CDSWAP/SCDS: (DB)                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | DE        |      117000 | OU      | $-2094.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | FSWP: JPY 0.698000 11-MAY-2027 FTO                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  2601672453 | OU      | $22336.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | SWP: EUR 2.428700 20-JUN-2054 EUR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1184000 | OU      | $92608.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONTINUUM ENERGY PTE LTD                              | CONTINUUM ENERGY PTE LTD                                                         | CUSIP: 211926AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |     1448010 | PA      | $1448010.00   | 0.06%             | 2027-09-11      | Variable      | 12.85%                | No            |                  3 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DMY33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      215768 | PA      | $173474.45    | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                    | Energy Transfer LP                                                               | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      124000 | PA      | $125841.66    | 0.00%             | 2028-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Gaea Mortgage Loan Trust                              | Gaea Mortgage Loan Trust 2025-A                                                  | CUSIP: 362928AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      285485 | PA      | $280120.12    | 0.01%             | 2030-02-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corporation                   | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AF1              | CUSIP: 65536PAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      211368 | PA      | $37484.84     | 0.00%             | 2036-05-25      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                             | Nelnet Student Loan Trust 2021-A                                                 | CUSIP: 64035DAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3661000 | PA      | $3237821.72   | 0.13%             | 2062-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                       | CSAIL 2017-CX10 Commercial Mortgage Trust                                        | CUSIP: 12595JAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3940000 | PA      | $23642.36     | 0.00%             | 2050-11-15      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                           | Extended Stay America Trust 2021-ESH                                             | CUSIP: 30227FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      325079 | PA      | $325485.17    | 0.01%             | 2038-07-15      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO Ltd                                      | Whitebox CLO III Ltd                                                             | CUSIP: 96467JAE2<br>LEI: 549300JXCQSPB1A61C68 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250619.00    | 0.01%             | 2035-10-15      | Floating      | 9.91%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                              | OCP SA                                                                           | CUSIP: 000000000<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |      932000 | PA      | $965395.42    | 0.04%             | 2034-05-02      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                              | Duke Energy Progress LLC                                                         | CUSIP: 26442UAU8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |      875000 | PA      | $878707.23    | 0.03%             | 2035-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                      | Georgia Power Co                                                                 | CUSIP: 373334KQ3<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |      960000 | PA      | $959813.43    | 0.04%             | 2032-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Italian Stella Loans Srl                              | Auto ABS Italian Stella Loans 2024-1 SRL                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IT        |       86786 | PA      | $103199.68    | 0.00%             | 2036-12-29      | Floating      | 4.23%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                | BRT8DTKL6                                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |       40000 | OU      | $-7550.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                | Extra Space Storage LP                                                           | CUSIP: 30225VAN7<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |       18000 | PA      | $17652.24     | 0.00%             | 2029-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36180DQE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       92230 | PA      | $85977.49     | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31402DGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42379 | PA      | $43989.61     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                         | UBS Commercial Mortgage Trust 2019-C18                                           | CUSIP: 90278PBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6770320 | PA      | $212140.54    | 0.01%             | 2052-12-15      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                          | Barclays Mortgage Trust 2021-NPL1                                                | CUSIP: 06744JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1510406 | PA      | $1506164.35   | 0.06%             | 2051-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan Ltd.                               | Loanpal Solar Loan 2021-1 Ltd                                                    | CUSIP: 53948PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      688219 | PA      | $573583.31    | 0.02%             | 2048-01-20      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XVII LTD                  | Octagon Investment Partners XVII Ltd                                             | CUSIP: 67590GBG3<br>LEI: 54930007Y57X4ONHQV20 | Long             | ABS-CBDO         | CORP              | KY        |      369386 | PA      | $369345.17    | 0.01%             | 2031-01-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 31307MNP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      584734 | PA      | $573033.36    | 0.02%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                          | Voya CLO 2018-3 Ltd                                                              | CUSIP: 92917KAQ7<br>LEI: 54930068MLVF3BECCK93 | Long             | ABS-CBDO         | CORP              | KY        |      465798 | PA      | $466333.69    | 0.02%             | 2031-10-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Dowson                                                | Dowson 2024-1 PLC                                                                | CUSIP: 000000000<br>LEI: 635400IRBWDPWKGK1C24 | Long             | ABS-O            | CORP              | GB        |      500000 | PA      | $682445.73    | 0.03%             | 2031-08-20      | Floating      | 8.17%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31410KXB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       52409 | PA      | $52921.84     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140KFGF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      275065 | PA      | $240312.46    | 0.01%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                             | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     2653000 | PA      | $2375726.19   | 0.09%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QELS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2171339 | PA      | $1831092.17   | 0.07%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                          | Ares LVI CLO Ltd                                                                 | CUSIP: 04018NAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      350000 | PA      | $350724.50    | 0.01%             | 2038-01-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Minejesa Capital BV                                   | Minejesa Capital BV                                                              | CUSIP: 000000000<br>LEI: 549300KS7ERCP10BKC35 | Long             | DBT              | CORP              | NL        |     1012000 | PA      | $974247.14    | 0.04%             | 2037-08-10      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Trust                       | Fontainebleau Miami Beach Mortgage Trust 2024-FBLU                               | CUSIP: 34461WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1285419 | PA      | $1285418.74   | 0.05%             | 2039-12-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS          | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OC2 Trust | CUSIP: 93936LAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      119936 | PA      | $110260.95    | 0.00%             | 2037-06-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| CIVITAS RESOURCES INC                                 | Civitas Resources Inc                                                            | CUSIP: 097793AE3<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |      294000 | PA      | $290317.44    | 0.01%             | 2026-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                              | Sabine Pass Liquefaction LLC                                                     | CUSIP: 785592AZ9<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     1985000 | PA      | $2064678.65   | 0.08%             | 2037-09-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36202E7F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       87813 | PA      | $84010.46     | 0.00%             | 2039-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TITULOS DE TESORERIA                                  | Colombian TES                                                                    | CUSIP: 000000000<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 23813200000 | PA      | $3761279.92   | 0.15%             | 2036-07-09      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                | Merrill Lynch Mortgage Investors Trust Series 2006-AF2                           | CUSIP: 59023NAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       95434 | PA      | $50273.87     | 0.00%             | 2037-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3128MFCX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      420128 | PA      | $405762.55    | 0.02%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                      | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      166000 | PA      | $118338.06    | 0.00%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Digital Room Holdings Inc                             | Digital Room Holdings Inc 2021 Term Loan                                         | CUSIP: 78473KAB5<br>LEI: 549300I680V3FDWE2N30 | Long             | LON              | CORP              | US        |      500198 | PA      | $496446.02    | 0.02%             | 2028-12-21      | Floating      | 9.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WHD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      191750 | PA      | $184640.33    | 0.01%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140FNBD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      108576 | PA      | $105289.44    | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-119146.08   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                              | Cheniere Energy Partners LP                                                      | CUSIP: 16411QAQ4<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     1381000 | PA      | $1441536.59   | 0.06%             | 2033-06-30      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                      | CUSIP: 68389XCV5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     1530000 | PA      | $1393462.54   | 0.05%             | 2064-09-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 312938GD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       70179 | PA      | $70084.24     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                              | EQT Corp                                                                         | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     3384000 | PA      | $3668389.19   | 0.14%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: —       |
| AEP TEXAS INC                                         | AEP Texas Inc                                                                    | CUSIP: 00108WAT7<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |      120000 | PA      | $122597.38    | 0.00%             | 2034-05-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                     | Citigroup Mortgage Loan Trust 2007-AHL2                                          | CUSIP: 17312TAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1514216 | PA      | $989193.04    | 0.04%             | 2037-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                | RR 12 Ltd                                                                        | CUSIP: 74989HAQ5<br>LEI: 549300RLLUH00ZYECJ34 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249720.75    | 0.01%             | 2036-01-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                   | Elevance Health Inc                                                              | CUSIP: 036752BE2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |      187000 | PA      | $181212.99    | 0.01%             | 2055-02-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: —       |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     3790000 | PA      | $3885399.80   | 0.15%             | 2031-04-23      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QNE57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1995955 | PA      | $1682977.31   | 0.07%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | SWP: EUR 2.441300 24-JUN-2054 EUR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      828000 | OU      | $-62181.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140J7R64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      497285 | PA      | $484486.09    | 0.02%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31417FL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4158 | PA      | $4071.21      | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36177Q3X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       52931 | PA      | $49507.12     | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                     | Store Capital LLC                                                                | CUSIP: 862123AA4<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              |  | US        |     2770000 | PA      | $2806506.61   | 0.11%             | 2030-04-30      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DMX75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1827096 | PA      | $1553604.42   | 0.06%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                      | Crown Castle Inc                                                                 | CUSIP: 22822VBD2<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |      120000 | PA      | $123856.36    | 0.00%             | 2029-06-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | BYDDDKGY3 BLACKROCK SWAPTION 4.34 CALL USD 2027011                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |      736505 | NC      | $46252.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                | CHL Mortgage Pass-Through Trust 2007-9                                           | CUSIP: 12544XAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      103741 | PA      | $48526.80     | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Noria                                                 | Noria DE 2024                                                                    | CUSIP: 000000000<br>LEI: 9695003DRUTU793B4N34 | Long             | ABS-O            | CORP              | FR        |      100000 | PA      | $117916.51    | 0.00%             | 2043-02-25      | Floating      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                              | CUSIP: 46647PEV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     6559000 | PA      | $6726116.56   | 0.26%             | 2031-01-24      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Park Avenue Trust                                     | 245 Park Avenue Trust 2017-245P                                                  | CUSIP: 90187LAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $15609.00     | 0.00%             | 2037-06-05      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| Exmoor Funding PLC                                    | Exmoor Funding 2024-1 PLC                                                        | CUSIP: 000000000<br>LEI: 635400TJWGCUUIZAGH30 | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $138538.92    | 0.01%             | 2094-03-25      | Floating      | 6.14%                 | Yes           |                  2 | On Loan: No      |
| LCH Ltd.                                              | SWP: IFS 2.648000 15-APR-2029 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     4310215 | OU      | $-17421.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31414J6R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      119507 | PA      | $122609.23    | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                        | European Union                                                                   | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | XX        |     2020000 | PA      | $1849516.43   | 0.07%             | 2052-10-04      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WJQF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      346763 | PA      | $327354.72    | 0.01%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                      | CIFC Funding 2014 Ltd                                                            | CUSIP: 12549JBC4<br>LEI: 54930034H2IEPBE5Q044 | Long             | ABS-CBDO         | CORP              | KY        |      330000 | PA      | $330328.02    | 0.01%             | 2031-01-18      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| City of San Antonio TX Electric & Gas Systems Revenue | SAN ANTONIO TX ELEC & GAS REVENUE                                                | CUSIP: 796253Y30<br>LEI: 5493002G2FEH20Q4GQ04 | Long             | DBT              | MUN               | US        |      875000 | PA      | $883743.53    | 0.03%             | 2041-02-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175CP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      185000 | PA      | $198105.50    | 0.01%             | 2034-02-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138XFAL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       72933 | PA      | $71406.07     | 0.00%             | 2028-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140JHYV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      541146 | PA      | $526159.56    | 0.02%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QMH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2016558 | PA      | $1622603.64   | 0.06%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Asimi Funding Holdings Limited                        | Asimi Funding 2025-1 PLC                                                         | CUSIP: 000000000<br>LEI: 6354002PZBGQEXUI2V51 | Long             | ABS-O            | CORP              | GB        |       99170 | PA      | $136277.81    | 0.01%             | 2032-05-16      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QHPG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      285684 | PA      | $256004.74    | 0.01%             | 2036-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XHVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      247989 | PA      | $245944.10    | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                          | Atrium Hotel Portfolio Trust 2017-ATRM                                           | CUSIP: 04965JAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1041000 | PA      | $978539.79    | 0.04%             | 2036-12-15      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                     | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-240911.31   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XB2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      360092 | PA      | $339745.52    | 0.01%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VISTA OIL & GAS ARGENTIN                              | Vista Energy Argentina SAU                                                       | CUSIP: 92841RAB6<br>LEI: 549300FE4UJNCG1DB123 | Long             | DBT              | CORP              | AR        |      949000 | PA      | $959087.70    | 0.04%             | 2033-06-10      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138ERHD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34477 | PA      | $32420.93     | 0.00%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REMIC FUNDING TRUST 98-1                              | Redwood Funding Trust 2023-1                                                     | CUSIP: 75806CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      583982 | PA      | $581784.57    | 0.02%             | 2059-07-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                           | FSWP: OIS 3.793700 16-MAY-2026 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    50240000 | OU      | $67697.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AFFINITY INTERACTIVE                                  | Affinity Interactive                                                             | CUSIP: 00842XAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      107000 | PA      | $65671.25     | 0.00%             | 2027-12-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                              | CUSIP: 46647PEP7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     6099000 | PA      | $6117240.46   | 0.24%             | 2028-10-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QNEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3976405 | PA      | $3199499.82   | 0.12%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Pony                                                  | Pony SA                                                                          | CUSIP: 000000000<br>LEI: 2221001FWHVHKUW4NQ77 | Long             | ABS-O            | CORP              | LU        |      100000 | PA      | $117902.02    | 0.00%             | 2033-01-14      | Floating      | 3.09%                 | Yes           |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust        | Securitized Asset Backed Receivables LLC Trust 2007-NC2                          | CUSIP: 81378GAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       82000 | PA      | $59911.72     | 0.00%             | 2037-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                | Verizon Communications Inc                                                       | CUSIP: 92343VFL3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      492000 | PA      | $424952.19    | 0.02%             | 2030-09-18      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                                   | PURCHASED USD / SOLD PLN                                                         | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | US        |           1 | NC      | $-26429.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SREIT Trust                                           | SREIT Trust 2021-MFP2                                                            | CUSIP: 85236WCQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      342700 | PA      | $342914.19    | 0.01%             | 2036-11-15      | Floating      | 7.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DWEC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      215670 | PA      | $206434.84    | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36176Q4Q4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       41600 | PA      | $38922.41     | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133KQQM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      582975 | PA      | $593210.48    | 0.02%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Directv Financing LLC                                 | DirecTV Financing LLC Term Loan                                                  | CUSIP: 25460HAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       44610 | PA      | $44849.47     | 0.00%             | 2027-08-02      | Floating      | 9.54%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                           | E-MINI RUSS 2000 SEP25                                                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |         -34 | NC      | $-124735.27   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Exmoor Funding PLC                                    | Exmoor Funding 2024-1 PLC                                                        | CUSIP: 000000000<br>LEI: 635400TJWGCUUIZAGH30 | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $137027.50    | 0.01%             | 2094-03-25      | Floating      | 7.04%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd                                      | CIFC Funding 2020-I Ltd                                                          | CUSIP: 12555QAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250251.00    | 0.01%             | 2036-07-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133BUJD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      580952 | PA      | $585856.85    | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132D9DQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      873048 | PA      | $821168.68    | 0.03%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                              | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    14030900 | PA      | $14728608.39  | 0.57%             | 2030-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | SWP: EUR 2.184300 07-NOV-2054 EUR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      919000 | OU      | $-126029.70   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WKLH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      214487 | PA      | $208273.62    | 0.01%             | 2032-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PRM5 Trust                                            | PRM5 Trust 2025-PRM5                                                             | CUSIP: 693980AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      262000 | PA      | $260771.85    | 0.01%             | 2033-03-10      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                      | CIFC Funding 2015-IV Ltd                                                         | CUSIP: 12550TAY1<br>LEI: 549300ZXX0SJBZWIWI81 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250370.75    | 0.01%             | 2034-04-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                         | Agate Bay Mortgage Trust 2015-3                                                  | CUSIP: 00841YCG1<br>LEI: 549300GXWD0QSMEEID35 | Long             | ABS-MBS          | CORP              | US        |      150000 | PA      | $92150.24     | 0.00%             | 2045-04-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| The BAHA Trust                                        | BAHA Trust 2024-MAR                                                              | CUSIP: 05493XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1450000 | PA      | $1501093.65   | 0.06%             | 2041-12-10      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36202E4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11757 | PA      | $11257.93     | 0.00%             | 2039-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      166689 | PA      | $139048.89    | 0.01%             | 2052-02-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QST68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3991575 | PA      | $4071423.40   | 0.16%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                | TRSWAP: IBOXIG INDEX                                                             | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | US        |     1750000 | OU      | $22660.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      142177 | PA      | $134610.18    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31410K3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       41739 | PA      | $43620.66     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization       | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 1248P8AL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3827024 | PA      | $3113608.38   | 0.12%             | 2036-10-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140Q8D36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      872059 | PA      | $848941.60    | 0.03%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                               | AEP Transmission Co LLC                                                          | CUSIP: 00115AAL3<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |     1093000 | PA      | $728991.75    | 0.03%             | 2049-09-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WFGY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      127074 | PA      | $122891.77    | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133KMVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      509319 | PA      | $445929.59    | 0.02%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                | CHL Mortgage Pass-Through Trust 2007-11                                          | CUSIP: 12544LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5519554 | PA      | $2346732.82   | 0.09%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                           | Gartner Inc                                                                      | CUSIP: 366651AE7<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |     2505000 | PA      | $2344074.79   | 0.09%             | 2030-10-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140KSBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      311991 | PA      | $248548.81    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JSC KASPI.KZ                                          | JSC Kaspi.kz                                                                     | CUSIP: 000000000<br>LEI: 2549003YU6FARG8OAZ13 | Long             | DBT              | CORP              | KZ        |     1185000 | PA      | $1191382.39   | 0.05%             | 2030-03-26      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| DISH NETWORK CORP                                     | DISH Network Corp                                                                | CUSIP: 25470MAB5<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |      130000 | PA      | $107965.00    | 0.00%             | 2026-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31417FSK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      211415 | PA      | $191076.86    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust           | Arbor Multifamily Mortgage Securities Trust 2020-MF1                             | CUSIP: 03881BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      126000 | PA      | $100701.41    | 0.00%             | 2053-05-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | SWP: EUR 2.490000 19-FEB-2054 EUR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     5160760 | OU      | $332715.03    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization       | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 12498NAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      128190 | PA      | $104214.48    | 0.00%             | 2036-12-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                      | TRINITAS CLO IV LTD                                                              | CUSIP: 89640XBM7<br>LEI: 635400UFTIJ9NEWTCB16 | Long             | ABS-CBDO         | CORP              | KY        |      160000 | PA      | $160073.76    | 0.01%             | 2031-10-18      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138MKSW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6732 | PA      | $6602.57      | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Stratton Mortgage Funding PLC                         | Stratton Mortgage Funding 2024-3 PLC                                             | CUSIP: 000000000<br>LEI: 635400HN3D5CAXKQB937 | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $137108.07    | 0.01%             | 2049-06-25      | Floating      | 5.74%                 | Yes           |                  2 | On Loan: No      |
| Citibank NA                                           | PURCHASED NGN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | NG        |           1 | NC      | $-196.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fanatics Commerce Intermediate Holdco LLC             | Fanatics Commerce Intermediate Holdco LLC Term Loan B                            | CUSIP: 30709UAB0<br>LEI: 254900YDIRBC66RGAG10 | Long             | LON              | CORP              | US        |       82823 | PA      | $82926.53     | 0.00%             | 2028-11-24      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138Y1XZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       66743 | PA      | $65346.01     | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Spectacle Gary Holdings LLC                           | Spectacle Gary Holdings LLC 2021 Term Loan B                                     | CUSIP: 40443NAC4<br>LEI: 549300V1ELIRK8JURN28 | Long             | LON              | CORP              | US        |     1239186 | PA      | $1214402.36   | 0.05%             | 2028-12-11      | Floating      | 8.70%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                     | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | BR        |           1 | NC      | $126506.88    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EQT CORP                                              | EQT Corp                                                                         | CUSIP: 26884LBC2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     9506000 | PA      | $9356507.98   | 0.36%             | 2031-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| BHMS Mortgage Trust                                   | BHMS 2018-ATLS                                                                   | CUSIP: 05549GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4059844 | PA      | $4057722.33   | 0.16%             | 2035-07-15      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                 | Northrop Grumman Corp                                                            | CUSIP: 666807CJ9<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |     2594000 | PA      | $2331537.39   | 0.09%             | 2053-03-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F012478<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -2697000 | PA      | $-2396118.85  | -0.09%            | 2039-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133KJSE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      802774 | PA      | $608625.88    | 0.02%             | 2050-08-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| INVESCO GOVT AND AGCY LEX                             | INVESCO GOVT AND AGCY LEX                                                        | CUSIP: 825252885<br>LEI: N/A                  | Long             | STIV             | RF                | US        |      600000 | NS      | $600000.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| University of California                              | UNIV OF CALIFORNIA REVENUES                                                      | CUSIP: 91412GHA6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      239000 | PA      | $198205.64    | 0.01%             | 2112-05-15      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS          | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA2 Trust | CUSIP: 93935QAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1994000 | PA      | $1677332.19   | 0.06%             | 2047-01-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WFG91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      188691 | PA      | $184464.57    | 0.01%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                              | EQT Corp                                                                         | CUSIP: 26884LBG3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     1400000 | PA      | $1425471.54   | 0.06%             | 2027-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Palladyne AI Corp                                     | Palladyne AI Corp                                                                | CUSIP: 80359A205<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        1162 | NS      | $10062.92     | 0.00%             |  |  |  | No            |                  1 | On Loan: —       |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138M1YD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       43773 | PA      | $41058.48     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36196FZH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      242362 | PA      | $222554.70    | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Myers Park CLO LTD                                    | Myers Park CLO Ltd                                                               | CUSIP: 62848FAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      290000 | PA      | $290150.22    | 0.01%             | 2030-10-20      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DPQ43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      317991 | PA      | $320733.74    | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                      | Altria Group Inc                                                                 | CUSIP: 02209SAV5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      581000 | PA      | $429699.13    | 0.02%             | 2046-09-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DPEZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      328201 | PA      | $310389.22    | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY OHIO INC                                  | Duke Energy Ohio Inc                                                             | CUSIP: 26442EAL4<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |      340000 | PA      | $332156.17    | 0.01%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                 | Wells Fargo Commercial Mortgage Trust 2024-1CHI                                  | CUSIP: 95003PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      421000 | PA      | $423523.73    | 0.02%             | 2035-07-15      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                              | EQT Corp                                                                         | CUSIP: 26884LAU3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      196000 | PA      | $199032.42    | 0.01%             | 2028-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132A5H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      239665 | PA      | $219694.88    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QM4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3708190 | PA      | $3122591.62   | 0.12%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| State of California                                   | CALIFORNIA ST                                                                    | CUSIP: 13063A5G5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      780000 | PA      | $934815.80    | 0.04%             | 2039-04-01      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      397448 | PA      | $364864.40    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                               | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AU3<br>LEI: N/A                  | Long             | DBT              |  | US        |     2137000 | PA      | $2086034.69   | 0.08%             | 2054-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| NRG Energy Inc                                        | NRG Energy Inc                                                                   | CUSIP: 629377CL4<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     1749000 | PA      | $1720710.78   | 0.07%             | 2029-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | SWP: IFS 2.531250 15-APR-2029 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3177500 | OU      | $5229.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Hermitage Plc                                         | Hermitage 2024 PLC                                                               | CUSIP: 000000000<br>LEI: 635400OUUMGTAI2EJA52 | Long             | ABS-O            | CORP              | GB        |       78468 | PA      | $108681.53    | 0.00%             | 2033-04-21      | Floating      | 8.12%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                               | BYDK1BZJ2 BLACKROCK SWAPTION 4.35 PUT USD 20250813                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |    35878000 | NC      | $71147.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COHESITY GLOBAL INC                                   | COHESITY GLOBAL INC                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        1382 | NS      | $31095.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                | Extra Space Storage LP                                                           | CUSIP: 30225VAK3<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |     3116000 | PA      | $3232108.39   | 0.12%             | 2030-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ASHTON WOODS USA/FINANCE                              | Ashton Woods USA LLC / Ashton Woods Finance Co                                   | CUSIP: 045086AK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      727000 | PA      | $730001.78    | 0.03%             | 2028-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                           | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-11659.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                           | 3 MONTH SOFR FUT DEC25                                                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |        1579 | NC      | $242613.30    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140HBRA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54074 | PA      | $52634.09     | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| American Municipal Power Inc                          | AMERICAN MUNI PWR-OHIO INC OH REVENUE                                            | CUSIP: 02765UEK6<br>LEI: EARKGGZJJEMVD66XQ486 | Long             | DBT              | MUN               | US        |      510000 | PA      | $646818.67    | 0.03%             | 2050-02-15      | Fixed         | 8.08%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                      | Duke Energy Corp                                                                 | CUSIP: 26441CCF0<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     2381000 | PA      | $2324798.61   | 0.09%             | 2054-06-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XFK67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    16535643 | PA      | $13660243.76  | 0.53%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 31307NN26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       43818 | PA      | $42350.73     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140E0V36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29024 | PA      | $28147.44     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                   | Petroleos Mexicanos                                                              | CUSIP: 71654QDP4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |       32000 | PA      | $34260.45     | 0.00%             | 2033-02-07      | Fixed         | 10.00%                | No            |                  2 | On Loan: —       |
| MASTR Resecuritization Trust                          | MASTR Resecuritization Trust 2008-3                                              | CUSIP: 57643EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      207935 | PA      | $81614.11     | 0.00%             | 2037-08-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Corp. Nacional del Cobre de Chile                     | Corp. Nacional del Cobre de Chile                                                | CUSIP: 000000000<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |     1131000 | PA      | $1183065.26   | 0.05%             | 2036-01-26      | Fixed         | 6.44%                 | Yes           |                  2 | On Loan: No      |
| Juniper Valley Park CLO, Ltd                          | Juniper Valley Park CLO Ltd                                                      | CUSIP: 48206KAS5<br>LEI: 213800ACSV8GAJ4CCO70 | Long             | ABS-CBDO         | CORP              | JE        |      270000 | PA      | $269588.52    | 0.01%             | 2036-07-20      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140FBD72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      767247 | PA      | $746852.20    | 0.03%             | 2031-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XJSK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      486802 | PA      | $436210.89    | 0.02%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CENT Trust                                            | CENT Trust 2023-CITY                                                             | CUSIP: 12516WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2110000 | PA      | $2112622.52   | 0.08%             | 2038-09-15      | Floating      | 6.93%                 | Yes           |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS                               | Frontier Communications Holdings LLC                                             | CUSIP: 35906ABF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1841000 | PA      | $1840224.94   | 0.07%             | 2028-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138ELS87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      147775 | PA      | $154918.68    | 0.01%             | 2041-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31416WEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       52312 | PA      | $52166.34     | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2021-F                                                  | CUSIP: 009703AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4868177 | PA      | $4850795.77   | 0.19%             | 2061-06-25      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140Q9W74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       96895 | PA      | $91592.72     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QC6E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      364819 | PA      | $342407.06    | 0.01%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                               | NYMT 2024-RR1 Trust                                                              | CUSIP: 62956VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1009970 | PA      | $1004123.09   | 0.04%             | 2064-05-25      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                 | CUSIP: 95000U3L5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     2219000 | PA      | $2267186.83   | 0.09%             | 2028-04-22      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                              | Warnermedia Holdings Inc                                                         | CUSIP: 55903VBA0<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    14998000 | PA      | $13958799.23  | 0.54%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                              | Foundation Finance Trust 2025-2                                                  | CUSIP: 35042NAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      138000 | PA      | $137989.68    | 0.01%             | 2052-04-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140JR7K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      954109 | PA      | $767498.77    | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp                                      | FirstEnergy Corp                                                                 | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     3919000 | PA      | $3875060.49   | 0.15%             | 2027-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                      | Paramount Global                                                                 | CUSIP: 92553PBB7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      570000 | PA      | $557042.48    | 0.02%             | 2026-10-04      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| AKBANK TAS                                            | Akbank TAS                                                                       | CUSIP: 000000000<br>LEI: 789000TUMN63Z28TJ497 | Long             | DBT              | CORP              | TR        |      946000 | PA      | $963915.38    | 0.04%             | 2029-03-14      | Fixed         | 9.37%                 | Yes           |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                       | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TDS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      600821 | PA      | $607209.46    | 0.02%             | 2032-06-15      | Variable      | 7.62%                 | No            |                  2 | On Loan: No      |
| SCC POWER PLC                                         | SCC Power PLC                                                                    | CUSIP: 78397YAC6<br>LEI: 529900IYGYC6VSDSDF37 | Long             | DBT              | CORP              | GB        |      174358 | PA      | $41845.92     | 0.00%             | 2032-05-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                         | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-13503.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Elmwood CLO XII Ltd.                                  | Elmwood CLO XII Ltd                                                              | CUSIP: 29002YAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250765.25    | 0.01%             | 2037-10-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                            | FIXED INC CLEARING CORP.REPO                                                     | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |   102393300 | PA      | $102393299.94 | 3.96%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                 | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     2585000 | PA      | $2647820.70   | 0.10%             | 2030-01-23      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                       | Israel Government International Bond                                             | CUSIP: 46514BRM1<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     1440000 | PA      | $1332753.96   | 0.05%             | 2054-03-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133KQGC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      978249 | PA      | $969362.66    | 0.04%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36241LVF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      266147 | PA      | $269616.90    | 0.01%             | 2040-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XGWN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6608972 | PA      | $5520209.01   | 0.21%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                          | Voya CLO 2021-2 Ltd                                                              | CUSIP: 92919AAS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250803.75    | 0.01%             | 2038-04-20      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| JW Commercial Mortgage Trust 2024-MRCO                | JW Commercial Mortgage Trust 2024-MRCO                                           | CUSIP: 46657XAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      310000 | PA      | $308682.10    | 0.01%             | 2039-06-15      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                        | Morgan Stanley Capital I Trust 2017-H1                                           | CUSIP: 61691JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1190000 | PA      | $42505.97     | 0.00%             | 2050-06-15      | Variable      | 2.29%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Commercial Mortgage Trust 2021-NWM                                            | CUSIP: 12434AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2391915 | PA      | $2390389.51   | 0.09%             | 2033-02-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                      | CUSIP: 68389XCK9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      170000 | PA      | $189097.77    | 0.01%             | 2052-11-09      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                      | BAT Capital Corp                                                                 | CUSIP: 05526DBK0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     2749000 | PA      | $2266269.77   | 0.09%             | 2049-09-06      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                        | Long Beach Mortgage Loan Trust 2006-5                                            | CUSIP: 54251PAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      437797 | PA      | $204206.12    | 0.01%             | 2036-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | TR        |           1 | NC      | $5180.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                 | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     2394000 | PA      | $2186320.33   | 0.08%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9487000 | PA      | $8289266.25   | 0.32%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DVL60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8536840 | PA      | $6869192.69   | 0.27%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132XWA84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       80747 | PA      | $74226.61     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140X9WD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     6033910 | PA      | $5554828.79   | 0.21%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                                 | Sixth Street CLO XX Ltd                                                          | CUSIP: 83012QAS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250000.00    | 0.01%             | 2038-07-17      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO Ltd                                      | Whitebox CLO III Ltd                                                             | CUSIP: 96467HAU0<br>LEI: 549300JXCQSPB1A61C68 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250164.00    | 0.01%             | 2035-10-15      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                          | CUSIP: 404119CS6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      139000 | PA      | $115813.03    | 0.00%             | 2042-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SOLARIS ENERGY INFRASTRU                              | Solaris Energy Infrastructure Inc                                                | CUSIP: 83419XAA6<br>LEI: 529900MTK3C8Y8TIIC10 | Long             | DBT              | CORP              | US        |      608000 | PA      | $811300.00    | 0.03%             | 2030-05-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Consumo Santander                                     | FTA Consumo Santander                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | ES        |       86311 | PA      | $101944.78    | 0.00%             | 2038-07-20      | Floating      | 3.56%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Funding Ltd                              | Madison Park Funding XIX Ltd                                                     | CUSIP: 55819QBJ5<br>LEI: 254900END3IQSN7CTN87 | Long             | ABS-CBDO         | CORP              | KY        |     1094000 | PA      | $1096649.67   | 0.04%             | 2037-01-22      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae                                                                       | CUSIP: 21H040673<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2999000 | PA      | $2787931.25   | 0.11%             | 2054-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140HLPX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26410 | PA      | $25671.74     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      262445 | PA      | $250965.30    | 0.01%             | 2040-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                               | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $-6619.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LGI HOMES INC                                         | LGI Homes Inc                                                                    | CUSIP: 50187TAK2<br>LEI: 549300W02B4WNV8CV109 | Long             | DBT              | CORP              | US        |      253000 | PA      | $240792.75    | 0.01%             | 2032-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140X9EC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       41234 | PA      | $38621.30     | 0.00%             | 2050-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank of New York Mellon                               | PURCHASED EUR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              |  | XX        |           1 | NC      | $5104.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138XKSW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54805 | PA      | $53700.07     | 0.00%             | 2029-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                            | ROCK Trust 2024-CNTR                                                             | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1116274 | PA      | $1141931.78   | 0.04%             | 2041-11-13      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F032476<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      109000 | PA      | $105173.42    | 0.00%             | 2039-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                             | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     3787000 | PA      | $3726676.91   | 0.14%             | 2033-04-27      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                          | TICP CLO XI Ltd                                                                  | CUSIP: 87249QAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      260000 | PA      | $261216.02    | 0.01%             | 2037-04-25      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Alabama Power Co                                      | Alabama Power Co                                                                 | CUSIP: 010392FM5<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |      311000 | PA      | $242417.99    | 0.01%             | 2045-03-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Municipal Electric Authority of Georgia               | MUNI ELEC AUTH OF GEORGIA                                                        | CUSIP: 626207YF5<br>LEI: JA0WNILDDF2KUPS83B16 | Long             | DBT              | MUN               | US        |      443000 | PA      | $478321.36    | 0.02%             | 2057-04-01      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140X83A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1707529 | PA      | $1505076.24   | 0.06%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132J7RZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      260979 | PA      | $236167.36    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F030470<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |     -954000 | PA      | $-909559.09   | -0.04%            | 2039-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DMRR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      469249 | PA      | $421202.60    | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132D9B86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1284041 | PA      | $1247266.42   | 0.05%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |           1 | NC      | $-453674.99   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      642000 | PA      | $457777.15    | 0.02%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 31329KW83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       42865 | PA      | $40432.74     | 0.00%             | 2037-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fairstone Financial Issuance Trust I                  | Fairstone Financial Issuance Trust I                                             | CUSIP: 30575PAQ9<br>LEI: 549300LY2ZF7LX6T3F37 | Long             | ABS-O            | CORP              | CA        |      203846 | PA      | $148928.93    | 0.01%             | 2039-10-20      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                         | CUSIP: 38382RHG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1161033 | PA      | $193637.75    | 0.01%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SC GERMANY CONSUMER                                   | SC Germany SA Compartment Consumer 2025-1                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | DE        |      100000 | PA      | $118631.29    | 0.00%             | 2038-12-14      | Floating      | 3.66%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DMRJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2070021 | PA      | $1946026.14   | 0.08%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                       | Benefit Street Partners CLO V-B Ltd                                              | CUSIP: 08181JAH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2100000 | PA      | $2106564.60   | 0.08%             | 2037-07-20      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140X9ZP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      216326 | PA      | $198859.76    | 0.01%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                    | CUSIP: 172967PF2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     2834000 | PA      | $2891341.91   | 0.11%             | 2030-02-13      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                         | CUSIP: 00206RMZ2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      521000 | PA      | $531689.34    | 0.02%             | 2056-08-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                              | Madison Park Funding LI Ltd                                                      | CUSIP: 55821GAG0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      260000 | PA      | $260195.52    | 0.01%             | 2034-07-19      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae                                                                       | CUSIP: 21H060671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    10408000 | PA      | $10560032.47  | 0.41%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CPPIB CAPITAL INC                                     | CPPIB Capital Inc Term Loan B                                                    | CUSIP: 12673CAB0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      423798 | PA      | $423268.51    | 0.02%             | 2031-08-20      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| SoFi Personal Loan Trust                              | SoFi Personal Loan Trust 2024-1                                                  | CUSIP: 83407RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      794375 | PA      | $797901.55    | 0.03%             | 2031-02-12      | Fixed         | 6.06%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 39 Ltd                                    | Elmwood CLO 39 Ltd                                                               | CUSIP: 289910AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1750000 | PA      | $1757136.50   | 0.07%             | 2038-04-17      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                             | Nelnet Student Loan Trust 2021-B                                                 | CUSIP: 64034QAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      142000 | PA      | $121916.40    | 0.00%             | 2062-04-20      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| NGPL PIPECO LLC                                       | NGPL PipeCo LLC                                                                  | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |     3594000 | PA      | $3201723.96   | 0.12%             | 2031-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36181GFS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      155263 | PA      | $145320.25    | 0.01%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36202FM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      562611 | PA      | $538002.08    | 0.02%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                  | BlueMountain Fuji US Clo II Ltd                                                  | CUSIP: 09629EAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       70310 | PA      | $70331.33     | 0.00%             | 2030-10-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138XCXH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      282571 | PA      | $277967.41    | 0.01%             | 2028-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae                                                                       | CUSIP: 21H062677<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |     -141000 | PA      | $-144740.67   | -0.01%            | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NJ Trust 2023-GSP                                     | NJ Trust 2023-GSP                                                                | CUSIP: 65486XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      350000 | PA      | $368117.93    | 0.01%             | 2029-01-06      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2681000 | PA      | $1545659.34   | 0.06%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                             | Block Inc                                                                        | CUSIP: 852234AP8<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |      464000 | PA      | $425612.49    | 0.02%             | 2031-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMC NETWORKS INC                                      | AMC Networks Inc                                                                 | CUSIP: 00164VAF0<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |      405000 | PA      | $324449.55    | 0.01%             | 2029-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| LCH Ltd.                                              | SWP: IFS 2.723500 15-APR-2029 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     6462000 | OU      | $-49974.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138X6T70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1042444 | PA      | $1019228.51   | 0.04%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                         | RFMSI Series 2006-SA2 Trust                                                      | CUSIP: 749574AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      705580 | PA      | $500454.84    | 0.02%             | 2036-08-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138XB2A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21077 | PA      | $20750.52     | 0.00%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Taubman Centers Commercial Mortgage Trust             | TCO Commercial Mortgage Trust 2024-DPM                                           | CUSIP: 87231EAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $99003.30     | 0.00%             | 2039-12-15      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                               | Fremont Home Loan Trust 2006-3                                                   | CUSIP: 35729MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      572062 | PA      | $418671.82    | 0.02%             | 2037-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 3622A2AE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2524984 | PA      | $2471354.62   | 0.10%             | 2042-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                                      | Flatiron CLO 21 Ltd                                                              | CUSIP: 33883PAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2390000 | PA      | $2402877.32   | 0.09%             | 2037-10-19      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Ashford Hospitality Trust                             | Ashford Hospitality Trust 2018-ASHF                                              | CUSIP: 04410RAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      138000 | PA      | $135758.88    | 0.01%             | 2035-04-15      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                      | Georgia Power Co                                                                 | CUSIP: 373334KT7<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     1346000 | PA      | $1356426.18   | 0.05%             | 2033-05-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132GKD37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       90742 | PA      | $87673.81     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INSIGHT M INC WARRANTS                                | INSIGHT M INC WARRANTS                                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |      499269 | NS      | $49028.22     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QGJX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      130651 | PA      | $116759.45    | 0.00%             | 2035-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                 | Mexico Government International Bonds                                            | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     4211000 | PA      | $4389125.30   | 0.17%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138XSTM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      166695 | PA      | $164314.78    | 0.01%             | 2029-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NEWDAY FUNDING                                        | Newday Funding Master Issuer PLC - Series 2024-2                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |      111000 | PA      | $153582.73    | 0.01%             | 2032-07-15      | Floating      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                               | GSR Mortgage Loan Trust 2007-4F                                                  | CUSIP: 362669AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      330363 | PA      | $209332.78    | 0.01%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 39, LTD.                  | Octagon Investment Partners 39 Ltd                                               | CUSIP: 67592CAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      860000 | PA      | $861735.48    | 0.03%             | 2030-10-20      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138EPJ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      164383 | PA      | $160937.73    | 0.01%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                | CDS: (CMBX.NA.9.BBB-)                                                            | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | US        |      138000 | OU      | $-23598.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                    | Meta Platforms Inc                                                               | CUSIP: 30303M8W5<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     1528000 | PA      | $1493218.52   | 0.06%             | 2064-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138ERLF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1207115 | PA      | $1078687.60   | 0.04%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                      | CSC Holdings LLC                                                                 | CUSIP: 126307BM8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      200000 | PA      | $199247.30    | 0.01%             | 2028-05-15      | Fixed         | 11.25%                | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                                | Conseco Finance Corp                                                             | CUSIP: 3935053P5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      321760 | PA      | $94332.25     | 0.00%             | 2030-03-01      | Variable      | 7.86%                 | No            |                  2 | On Loan: No      |
| Veritas US Inc                                        | Veritas US Inc 2024 Priority Term Loan                                           | CUSIP: 000000000<br>LEI: 549300RFUWCPWS8FQ104 | Long             | LON              | CORP              | US        |      156014 | PA      | $157184.01    | 0.01%             | 2029-12-09      | Floating      | 16.80%                | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                          | Ares LIX CLO Ltd                                                                 | CUSIP: 04018EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250220.00    | 0.01%             | 2034-04-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                     | Expedia Group Inc                                                                | CUSIP: 30212PBL8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      127000 | PA      | $127875.40    | 0.00%             | 2035-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                      | Crown Castle Inc                                                                 | CUSIP: 22822VAT8<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |      246000 | PA      | $214011.53    | 0.01%             | 2031-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust                          | Morgan Stanley Resecuritization Trust 2015-R2                                    | CUSIP: 61690HAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3293199 | PA      | $2983656.06   | 0.12%             | 2046-12-27      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| CommScope Holding Co Inc                              | CommScope Holding Co Inc                                                         | CUSIP: 20337X109<br>LEI: 254900AW4CEPCQWSRI58 | Long             | EC               | CORP              | US        |       24072 | NS      | $199316.16    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                     | CUSIP: 11135FBK6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     1082000 | PA      | $981296.84    | 0.04%             | 2033-04-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132M6SF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       33372 | PA      | $31285.64     | 0.00%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Cardiff Automobile Receivables Securitisation         | Cardiff Auto Receivables Securitisation 2024-1 PLC                               | CUSIP: 000000000<br>LEI: 6354006GQBBANLIO8R45 | Long             | ABS-O            | CORP              | GB        |      259000 | PA      | $355544.35    | 0.01%             | 2031-08-20      | Floating      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138ENGF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1488598 | PA      | $1461330.71   | 0.06%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2005-31                                                   | CUSIP: 12667GYX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4228331 | PA      | $4034080.81   | 0.16%             | 2035-08-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORP CHRISTI HD                              | Cheniere Corpus Christi Holdings LLC                                             | CUSIP: 16412XAL9<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |     2966000 | PA      | $2413983.18   | 0.09%             | 2039-12-31      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      774307 | PA      | $630890.66    | 0.02%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                   | COMM 2016-667M Mortgage Trust                                                    | CUSIP: 12636GAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      140636 | PA      | $102116.66    | 0.00%             | 2036-10-10      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| HILL FL                                               | Hill FL 2024-2 BV                                                                | CUSIP: 000000000<br>LEI: 724500H2AN902EY7W191 | Long             | ABS-O            | CORP              | NL        |      100000 | PA      | $115999.63    | 0.00%             | 2032-10-18      | Floating      | 3.86%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7707834 | PA      | $6511210.55   | 0.25%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179VKP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19314 | PA      | $18747.13     | 0.00%             | 2050-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Regatta 31 Funding Ltd.                               | Regatta 31 Funding Ltd                                                           | CUSIP: 758962AE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250717.25    | 0.01%             | 2038-03-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                    | CUSIP: 172967ML2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      983000 | PA      | $901296.50    | 0.03%             | 2031-01-29      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                              | CUSIP: 46647PEW2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1199000 | PA      | $1234967.95   | 0.05%             | 2036-01-24      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179TV51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10995 | PA      | $10140.63     | 0.00%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138XHT76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      490597 | PA      | $482619.18    | 0.02%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                          | GS Mortgage Securities Corp Trust 2021-DM                                        | CUSIP: 36265AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1140000 | PA      | $1131450.00   | 0.04%             | 2036-11-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                              | Duke Energy Progress LLC                                                         | CUSIP: 26442UAK0<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     1809000 | PA      | $1046675.04   | 0.04%             | 2050-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FS Trust                                              | FS Trust 2024-HULA                                                               | CUSIP: 30338DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1727000 | PA      | $1732250.77   | 0.07%             | 2039-08-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                           | Rad CLO 7 Ltd                                                                    | CUSIP: 74936GAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249766.50    | 0.01%             | 2036-04-17      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                | Velocity Commercial Capital Loan Trust 2017-2                                    | CUSIP: 92258VAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       66639 | PA      | $62039.56     | 0.00%             | 2047-11-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                              | EQT Corp                                                                         | CUSIP: 26884LAY5<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     2517000 | PA      | $2596271.98   | 0.10%             | 2029-04-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                               | Duke Energy Florida LLC                                                          | CUSIP: 26444HAL5<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |      364000 | PA      | $229885.35    | 0.01%             | 2051-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DMRE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2124974 | PA      | $1993250.00   | 0.08%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140X83Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      733312 | PA      | $673671.80    | 0.03%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CORE SCIENTIFIC INC                                   | Core Scientific Inc                                                              | CUSIP: 21874AAE6<br>LEI: 5299003RGB2LAZ65RK73 | Long             | DBT              | CORP              | US        |       71000 | PA      | $77123.75     | 0.00%             | 2031-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Asimi Funding Holdings Limited                        | Asimi Funding 2024-1 PLC                                                         | CUSIP: 000000000<br>LEI: 635400ED9TX8KJO28Q39 | Long             | ABS-O            | CORP              | GB        |      100000 | PA      | $137297.36    | 0.01%             | 2031-09-16      | Floating      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      343670 | PA      | $323954.29    | 0.01%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                       | CSAIL 2019-C17 Commercial Mortgage Trust                                         | CUSIP: 12597BAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4150000 | PA      | $81787.79     | 0.00%             | 2052-09-15      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                                 | Silver Point Clo 4 Ltd                                                           | CUSIP: 82809EAA8<br>LEI: 254900DVAEEJOXQ8PL85 | Long             | ABS-CBDO         | CORP              | JE        |     1090000 | PA      | $1093416.06   | 0.04%             | 2037-04-15      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust            | JPMDB Commercial Mortgage Securities Trust 2016-C4                               | CUSIP: 46646RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2067000 | PA      | $16475.44     | 0.00%             | 2049-12-15      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WPHS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      523927 | PA      | $473087.06    | 0.02%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                            | BFLD Trust 2020-EYP                                                              | CUSIP: 05493AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      663000 | PA      | $8280.87      | 0.00%             | 2035-10-15      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| Park Avenue Trust                                     | 245 Park Avenue Trust 2017-245P                                                  | CUSIP: 90187LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      207000 | PA      | $193494.22    | 0.01%             | 2037-06-05      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                       | Oakwood Mortgage Investors Inc                                                   | CUSIP: 67087TCW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      140444 | PA      | $59373.19     | 0.00%             | 2031-09-15      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 31335BJX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      519639 | PA      | $482630.06    | 0.02%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                                        | Apidos Clo Xxv                                                                   | CUSIP: 03762YBH9<br>LEI: 254900C9NN5XS59HZV73 | Long             | ABS-CBDO         | CORP              | KY        |      650000 | PA      | $649296.70    | 0.03%             | 2037-01-20      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138LTFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12243 | PA      | $11493.73     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                      | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      254000 | PA      | $162860.89    | 0.01%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       22601 | PA      | $21612.41     | 0.00%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Cardiff Automobile Receivables Securitisation         | Cardiff Auto Receivables Securitisation 2024-1 PLC                               | CUSIP: 000000000<br>LEI: 6354006GQBBANLIO8R45 | Long             | ABS-O            | CORP              | GB        |      197000 | PA      | $270877.63    | 0.01%             | 2031-08-20      | Floating      | 6.82%                 | Yes           |                  2 | On Loan: No      |
| DIGICEL GROUP HOLDINGS                                | Digicel Group Holdings Ltd                                                       | CUSIP: 25381HAH1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      145973 | PA      | $8758.35      | 0.00%             | 2030-12-31      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Kinder Morgan Inc                                     | Kinder Morgan Inc                                                                | CUSIP: 49456B101<br>LEI: 549300WR7IX8XE0TBO16 | Long             | EC               | CORP              | US        |        9618 | NS      | $282769.20    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| AGL CLO Ltd.                                          | AGL CLO 12 Ltd                                                                   | CUSIP: 00120BAA8<br>LEI: 54930005OE1IFBESDA27 | Long             | ABS-CBDO         | CORP              | KY        |     1310000 | PA      | $1311691.21   | 0.05%             | 2034-07-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36196FZG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       95013 | PA      | $87365.41     | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                           | BYDHJK4C9 BLACKROCK SWAPTION 4.045 CALL USD 202704                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |      601300 | NC      | $29614.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                    | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-3                    | CUSIP: 35563PCG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      769174 | PA      | $116166.56    | 0.00%             | 2056-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WJDN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      276537 | PA      | $266022.69    | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SASOL FINANCING USA LLC                               | Sasol Financing USA LLC                                                          | CUSIP: 000000000<br>LEI: 549300XRB1PFMESFEL85 | Long             | DBT              | CORP              | US        |      960000 | PA      | $950589.89    | 0.04%             | 2029-05-03      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DMRN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      826189 | PA      | $762639.74    | 0.03%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SELECT MEDICAL CORP                                   | Select Medical Corp                                                              | CUSIP: 816196AV1<br>LEI: 549300X05KS0JKR8CB50 | Long             | DBT              | CORP              | US        |      377000 | PA      | $379251.07    | 0.01%             | 2032-12-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| Ballyrock Ltd                                         | Ballyrock CLO 2020-2 Ltd                                                         | CUSIP: 05876EAE9<br>LEI: 254900Y6C4AXEAZ9T124 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249089.50    | 0.01%             | 2031-10-20      | Floating      | 10.68%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138W9F88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31414 | PA      | $30681.76     | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                 | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      311000 | PA      | $299227.84    | 0.01%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| VERSA NETWORKS                                        | VERSA NETWORKS                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      678151 | NS      | $3465351.61   | 0.13%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3142GQLA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      468044 | PA      | $487056.90    | 0.02%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Irwin Home Equity                                     | Irwin Home Equity Loan Trust 2006-3                                              | CUSIP: 464125AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12239 | PA      | $12278.69     | 0.00%             | 2037-09-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2266759 | PA      | $2291430.58   | 0.09%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                            | MFA 2021-NQM1 Trust                                                              | CUSIP: 55283FAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      540000 | PA      | $439718.38    | 0.02%             | 2065-04-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                | Rockford Tower CLO 2017-2 Ltd                                                    | CUSIP: 77340GAQ4<br>LEI: 549300G18KVCW7VUKI86 | Long             | ABS-CBDO         | CORP              | KY        |      939000 | PA      | $939948.39    | 0.04%             | 2029-10-15      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179USV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      664721 | PA      | $644505.71    | 0.02%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 30 Ltd                                    | Elmwood CLO 30 Ltd                                                               | CUSIP: 29001JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      390000 | PA      | $391228.11    | 0.02%             | 2037-07-17      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                              | Neuberger Berman Loan Advisers CLO 32 Ltd                                        | CUSIP: 64132DAL2<br>LEI: 5493007YBEOXQIHH3C54 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250128.25    | 0.01%             | 2032-01-20      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                      | CIFC Funding 2021-IV Ltd                                                         | CUSIP: 12547DAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1380000 | PA      | $1382777.94   | 0.05%             | 2037-07-23      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| UK Logisitics                                         | UK Logistics 2025-1 DAC                                                          | CUSIP: 000000000<br>LEI: 635400LLQ82YFJBFFU27 | Long             | ABS-MBS          | CORP              | GB        |      803000 | PA      | $1102231.08   | 0.04%             | 2035-05-17      | Floating      | 8.46%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                | BRTREETG8                                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | US        |      105000 | OU      | $17955.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates     | First Franklin Mortgage Loan Trust 2006-FF16                                     | CUSIP: 320275AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3496176 | PA      | $1406304.33   | 0.05%             | 2036-12-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                           | PURCHASED NGN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | NG        |           1 | NC      | $-196.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | FSWP: OIS 4.287500 17-SEP-2025 FED                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   944372220 | OU      | $32085.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36181FEB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      165809 | PA      | $154570.51    | 0.01%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140J8ZR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      709777 | PA      | $690852.11    | 0.03%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                        | 280 Park Avenue 2017-280P Mortgage Trust                                         | CUSIP: 90205FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      500000 | PA      | $486250.00    | 0.02%             | 2034-09-15      | Floating      | 6.15%                 | Yes           |                  2 | On Loan: No      |
| VEDANTA RESOURCES                                     | Vedanta Resources Finance II PLC                                                 | CUSIP: 000000000<br>LEI: 8945002DGA3BBXO3N634 | Long             | DBT              | CORP              | GB        |      927000 | PA      | $960007.69    | 0.04%             | 2029-09-17      | Fixed         | 10.88%                | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2291665 | PA      | $42267.02     | 0.00%             | 2052-02-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                   | Citigroup Commercial Mortgage Trust 2020-420K                                    | CUSIP: 17328QAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7730000 | PA      | $280459.09    | 0.01%             | 2042-11-10      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                                 | Mineral Resources Ltd                                                            | CUSIP: 603051AD5<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |       56000 | PA      | $55722.96     | 0.00%             | 2030-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                | PURCHASED USD / SOLD NGN                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |           1 | NC      | $-13706.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank Of Nova Scotia NY Agency                         | Bank Of Nova Scotia NY Agency                                                    | CUSIP: 000000000<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | RA               | CORP              | US        |     1000000 | PA      | $1000000.00   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                 | Duke Energy Carolinas LLC                                                        | CUSIP: 26442CAZ7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     1643000 | PA      | $1110103.68   | 0.04%             | 2049-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XAY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1836313 | PA      | $1732093.58   | 0.07%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                              | Vistra Operations Co LLC                                                         | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     3087000 | PA      | $3143488.67   | 0.12%             | 2034-12-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DM2W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      177225 | PA      | $144187.22    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31391T6C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      152546 | PA      | $155867.80    | 0.01%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VOLCAN CIA MINERA SAA-CM                              | Volcan Cia Minera SAA                                                            | CUSIP: 92863UAC0<br>LEI: 549300XKJ91C4SZLG750 | Long             | DBT              | CORP              | PE        |       30000 | PA      | $29802.30     | 0.00%             | 2030-01-24      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| CF Secured LLC                                        | CF Secured LLC                                                                   | CUSIP: 000000000<br>LEI: 254900OXTV81I73FAT50 | Long             | RA               | CORP              | US        |      500000 | PA      | $500000.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                    | Expand Energy Corp                                                               | CUSIP: 845467AR0<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     2423000 | PA      | $2425255.04   | 0.09%             | 2029-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WJEP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       76792 | PA      | $73906.81     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                              | Sabine Pass Liquefaction LLC                                                     | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     4763000 | PA      | $4755031.69   | 0.18%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| BALTIMORE GAS & ELECTRIC                              | Baltimore Gas and Electric Co                                                    | CUSIP: 059165EL0<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |      192000 | PA      | $130183.99    | 0.01%             | 2049-09-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1117000 | PA      | $47379.90     | 0.00%             | 2052-02-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138XTDQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       90562 | PA      | $89284.71     | 0.00%             | 2029-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9628000 | PA      | $5985908.13   | 0.23%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTIL FIN                                 | Thames Water Utilities Finance PLC                                               | CUSIP: 000000000<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |      400000 | PA      | $382580.70    | 0.01%             | 2027-06-19      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DM2S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      936684 | PA      | $752950.98    | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      599000 | PA      | $518827.20    | 0.02%             | 2032-01-27      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| WEEKLEY HOMES LLC/ FINAN                              | Weekley Homes LLC / Weekley Finance Corp                                         | CUSIP: 948565AD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      177000 | PA      | $171438.82    | 0.01%             | 2028-09-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140J5EJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27917 | PA      | $26861.36     | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Park Blue CLO Ltd                                     | Park Blue CLO 2024-VI Ltd                                                        | CUSIP: 70019KAA5<br>LEI: 213800RLFYTJFPXOL592 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250624.75    | 0.01%             | 2038-01-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2022-NQM3 Trust                                                             | CUSIP: 12661NAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      560000 | PA      | $546743.18    | 0.02%             | 2067-03-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                   | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1065000 | PA      | $1106226.94   | 0.04%             | 2030-04-18      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                          | AGL CLO 32 Ltd                                                                   | CUSIP: 00121BAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250783.75    | 0.01%             | 2037-07-21      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                              | OZLM XXII Ltd                                                                    | CUSIP: 67111VAC0<br>LEI: 549300SDDOLWC85Q9Q65 | Long             | ABS-CBDO         | CORP              | KY        |       32466 | PA      | $32470.28     | 0.00%             | 2031-01-17      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140HHWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       83039 | PA      | $78588.35     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36202FEH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       20277 | PA      | $20119.38     | 0.00%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 31335BAA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       58137 | PA      | $56124.28     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                    | Meta Platforms Inc                                                               | CUSIP: 30303M8K1<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     2410000 | PA      | $2031506.66   | 0.08%             | 2062-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                           | OCP Clo 2019-17 Ltd                                                              | CUSIP: 67113LAW6<br>LEI: 2549003HLFPQ7ATPYA23 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250754.25    | 0.01%             | 2037-07-20      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138XCY30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      448603 | PA      | $441080.27    | 0.02%             | 2028-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DQQ58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1268076 | PA      | $1300610.78   | 0.05%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | BYDDDPHA3 BLACKROCK SWAPTION 4.35 PUT USD 20270113                               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |      736505 | NC      | $15429.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                | CHL Mortgage Pass-Through Trust 2007-4                                           | CUSIP: 12544RBY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2823521 | PA      | $1215253.12   | 0.05%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust     | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-OA4/DE                 | CUSIP: 25151XAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      248932 | PA      | $227294.31    | 0.01%             | 2047-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                             | Nelnet Student Loan Trust 2021-C                                                 | CUSIP: 64035GAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2102119 | PA      | $1832667.49   | 0.07%             | 2062-04-20      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Palladyne AI Corp                                     | Palladyne AI Corp                                                                | CUSIP: 80359A114<br>LEI: N/A                  | N/A              | DE               |  | US        |      102425 | NS      | $39126.35     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     9013088 | PA      | $7341991.62   | 0.28%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| EMBRAER NETHERLANDS FINA                              | Embraer Netherlands Finance BV                                                   | CUSIP: 29082HAE2<br>LEI: 724500PBR8LR26XBSP67 | Long             | DBT              | CORP              | NL        |      580000 | PA      | $597864.00    | 0.02%             | 2035-02-11      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36241KXQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       78083 | PA      | $79034.45     | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31417C3C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13826 | PA      | $13579.62     | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Euro Galaxy CLO DAC                                   | Euro-Galaxy III CLO DAC                                                          | CUSIP: 000000000<br>LEI: 635400H1W7SGWXGQOB43 | Long             | ABS-CBDO         | CORP              | IE        |      290000 | PA      | $339694.40    | 0.01%             | 2034-04-24      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                 | Wells Fargo & Co                                                                 | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      897000 | PA      | $897174.38    | 0.03%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                                 | Sixth Street CLO XX Ltd                                                          | CUSIP: 83012QAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250000.00    | 0.01%             | 2034-10-20      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QRXY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      371108 | PA      | $380638.40    | 0.01%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Noria                                                 | Noria DE 2024                                                                    | CUSIP: 000000000<br>LEI: 9695003DRUTU793B4N34 | Long             | ABS-O            | CORP              | FR        |      100000 | PA      | $117788.82    | 0.00%             | 2043-02-25      | Floating      | 3.54%                 | Yes           |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                             | Nelnet Student Loan Trust 2021-A                                                 | CUSIP: 64035DAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      374000 | PA      | $333182.01    | 0.01%             | 2062-04-20      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31416BMP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      513734 | PA      | $526136.86    | 0.02%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN TITAN FIN LTD                              | Transocean Titan Financing Ltd                                                   | CUSIP: 89386MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |       99524 | PA      | $101092.54    | 0.00%             | 2028-02-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Flowco Holdings Inc                                   | Flowco Holdings Inc                                                              | CUSIP: 342909108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       19901 | NS      | $354436.81    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| EXPAND ENERGY CORP                                    | Expand Energy Corp                                                               | CUSIP: 165167DG9<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |      531000 | PA      | $533135.15    | 0.02%             | 2029-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                         | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     2133000 | PA      | $1443736.75   | 0.06%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132J72F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      814047 | PA      | $736825.44    | 0.03%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RESORT CMNTYS LOANCO LP                               | RESORT CMNTYS LOANCO LP                                                          | CUSIP: 76125UAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     4335291 | PA      | $4362603.33   | 0.17%             | 2028-11-21      | Fixed         | 12.00%                | No            |                  3 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XFAD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      774091 | PA      | $689960.51    | 0.03%             | 2036-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      898000 | PA      | $874252.11    | 0.03%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAG                        | WELLS FARGO COMMERCIAL MORTGAG                                                   | CUSIP: 95004AAC7<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |     5050000 | PA      | $44111.75     | 0.00%             | 2043-07-15      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175CR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      719000 | PA      | $767142.65    | 0.03%             | 2034-06-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                             | Amgen Inc                                                                        | CUSIP: 031162DU1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      570000 | PA      | $554148.25    | 0.02%             | 2063-03-02      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                             | CUSIP: 06051GJZ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      126000 | PA      | $118103.68    | 0.00%             | 2029-06-14      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                          | Atrium Hotel Portfolio Trust 2024-ATRM                                           | CUSIP: 04963XAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $102500.19    | 0.00%             | 2029-11-10      | Variable      | 9.52%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                             | Amgen Inc                                                                        | CUSIP: 031162DC1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     1116000 | PA      | $716525.37    | 0.03%             | 2052-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO, LTD                | Goldentree Loan Management US Clo 11 Ltd                                         | CUSIP: 38138KAL4<br>LEI: 549300TMEEKUOKVHYV65 | Long             | ABS-CBDO         | CORP              | KY        |      910000 | PA      | $909036.31    | 0.04%             | 2034-10-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810RX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6579700 | PA      | $4927321.45   | 0.19%             | 2047-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                      | CUSIP: 68389XDB8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     2269000 | PA      | $2265176.51   | 0.09%             | 2055-08-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                              | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5030000 | PA      | $4644497.68   | 0.18%             | 2028-08-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31417F4H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      325581 | PA      | $293854.04    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LIBERTY COSTA RICA SR SF                              | Liberty Costa Rica Senior Secured Finance                                        | CUSIP: 000000000<br>LEI: 549300W6O2PHTPCYQ751 | Long             | DBT              | CORP              | KY        |      200000 | PA      | $212700.00    | 0.01%             | 2031-01-15      | Fixed         | 10.88%                | Yes           |                  2 | On Loan: No      |
| LCH Ltd.                                              | FSWP: OIS 4.276500 17-SEP-2025 FED                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    90190000 | OU      | $1726.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                              | Cheniere Energy Partners LP                                                      | CUSIP: 16411QAS0<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     2365000 | PA      | $2428785.02   | 0.09%             | 2034-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       56540 | PA      | $58765.41     | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INSIGHT M INC SERIES D                                | INSIGHT M INC SERIES D                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      481839 | NS      | $109618.37    | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| LCM Ltd Partnership                                   | LCM 29 Ltd                                                                       | CUSIP: 50201MAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      138106 | PA      | $138161.25    | 0.01%             | 2031-04-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                 | CWABS Asset-Backed Certificates Trust 2006-25                                    | CUSIP: 12668HAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      884210 | PA      | $765662.59    | 0.03%             | 2037-06-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31416TL49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       47971 | PA      | $47861.93     | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                    | Chase Mortgage Finance Trust Series 2007-S6                                      | CUSIP: 161636AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6202552 | PA      | $2495083.35   | 0.10%             | 2037-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                          | Voya CLO 2019-2 Ltd                                                              | CUSIP: 92917RAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1156334 | PA      | $1155769.46   | 0.04%             | 2032-07-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                | Lendmark Funding Trust 2024-2                                                    | CUSIP: 52590AAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $100805.76    | 0.00%             | 2034-02-21      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Sixth Street CLO LTD.                                 | Sixth Street CLO IX Ltd                                                          | CUSIP: 83012CAC9<br>LEI: 549300T5OQR4UD880D68 | Long             | ABS-CBDO         | CORP              | KY        |      300000 | PA      | $300678.90    | 0.01%             | 2037-07-21      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36179DEK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      281952 | PA      | $263889.98    | 0.01%             | 2042-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AEP Transmission Co LLC                               | AEP Transmission Co LLC                                                          | CUSIP: 00115AAJ8<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |      169000 | PA      | $135361.71    | 0.01%             | 2048-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                       | CFCRE Commercial Mortgage Trust 2016-C4                                          | CUSIP: 12531YAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2370000 | PA      | $12674.52     | 0.00%             | 2058-05-10      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae                                                                       | CUSIP: 21H062677<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5185000 | PA      | $5322555.98   | 0.21%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138XQF30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      143000 | PA      | $139206.95    | 0.01%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Olympic Tower Mortgage Trust                          | Olympic Tower 2017-OT Mortgage Trust                                             | CUSIP: 68162MAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1049000 | PA      | $787546.72    | 0.03%             | 2039-05-10      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133KNDA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1797593 | PA      | $1521307.01   | 0.06%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138E2GK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40467 | PA      | $40953.56     | 0.00%             | 2042-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WJC71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      176554 | PA      | $169826.01    | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133L8GG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1419273 | PA      | $1311208.86   | 0.05%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31418DTP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2095915 | PA      | $1577303.28   | 0.06%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                              | CUSIP: 46647PEX0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1619000 | PA      | $1677839.82   | 0.06%             | 2036-04-22      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO                                  | Diameter Capital Clo 1 Ltd                                                       | CUSIP: 25255DAL4<br>LEI: 25490018I1ROE4V49X69 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250678.75    | 0.01%             | 2037-10-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2005-11CB                                                 | CUSIP: 12667GJJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       67027 | PA      | $53857.03     | 0.00%             | 2025-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Regatta 31 Funding Ltd.                               | Regatta 31 Funding Ltd                                                           | CUSIP: 758962AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      270000 | PA      | $270093.15    | 0.01%             | 2038-03-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| TTAN                                                  | TTAN 2021-MHC                                                                    | CUSIP: 87303TAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      507569 | PA      | $508045.21    | 0.02%             | 2038-03-15      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LTD                       | Golub Capital Partners CLO 41B-R Ltd                                             | CUSIP: 38178AAA1<br>LEI: 2549005QZPXI5WPU4V74 | Long             | ABS-CBDO         | CORP              | KY        |      390000 | PA      | $390190.32    | 0.02%             | 2034-01-20      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140J5YR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      262788 | PA      | $248870.68    | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140H3H82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       69040 | PA      | $68006.90     | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DMKH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      646206 | PA      | $610794.73    | 0.02%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey               | PORT AUTH OF NEW YORK & NEW JERSEY NY                                            | CUSIP: 73358WRP1<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |     1350000 | PA      | $1268635.23   | 0.05%             | 2046-08-01      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179XQR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1578870 | PA      | $1342071.19   | 0.05%             | 2053-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179MG87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      104618 | PA      | $105518.12    | 0.00%             | 2042-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31416WHU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       55072 | PA      | $54884.09     | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                     | Cedar Funding II CLO Ltd                                                         | CUSIP: 15032TBE5<br>LEI: 254900Q56WTD2BRLBE32 | Long             | ABS-CBDO         | CORP              | KY        |      535000 | PA      | $536284.54    | 0.02%             | 2034-04-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| TURKISH AIRLN 15-1 A PTT                              | Turkish Airlines 2015-1 Class A Pass Through Trust                               | CUSIP: 10010YAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | TR        |      370706 | PA      | $358881.13    | 0.01%             | 2027-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DNAY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5584678 | PA      | $4691688.82   | 0.18%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QSA76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1180368 | PA      | $1210703.81   | 0.05%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138EJCD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5933 | PA      | $5919.65      | 0.00%             | 2026-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                              | Benchmark 2019-B9 Mortgage Trust                                                 | CUSIP: 08160JAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3334126 | PA      | $100017.11    | 0.00%             | 2052-03-15      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DVMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    13972431 | PA      | $12231230.80  | 0.47%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                | Residential Asset Securitization Trust 2006-A14CB                                | CUSIP: 76114BAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3552239 | PA      | $2474011.82   | 0.10%             | 2036-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Mortgage Loan Resecuritization Trust                  | Mortgage Loan Resecuritization Trust                                             | CUSIP: 61914WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      499810 | PA      | $490319.18    | 0.02%             | 2036-04-16      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                              | CUSIP: 91282CCE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    14508000 | PA      | $13534377.11  | 0.52%             | 2028-05-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F022477<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2796000 | PA      | $2609962.77   | 0.10%             | 2039-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WFG26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      199789 | PA      | $193213.94    | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                                      | Flatiron CLO 20 Ltd                                                              | CUSIP: 33883MAL8<br>LEI: 25490077CXFU133A8B24 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250258.25    | 0.01%             | 2036-05-20      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Trust 2021-LBA                                                                | CUSIP: 05609BBK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      672188 | PA      | $667567.01    | 0.03%             | 2036-02-15      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175CC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3423000 | PA      | $2400158.86   | 0.09%             | 2061-12-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                        | Option One Mortgage Loan Trust 2007-CP1                                          | CUSIP: 68402YAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      930000 | PA      | $801403.69    | 0.03%             | 2037-03-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY INC                                   | Cheniere Energy Inc                                                              | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |     6151000 | PA      | $6299728.97   | 0.24%             | 2034-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: —       |
| JPMorgan Chase Bank NA                                | SWAP/CDSWAP/SCDS: (UBS)                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | DE        |     1000000 | OU      | $-23481.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2006-6CB                                                  | CUSIP: 12668BSQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1254835 | PA      | $471592.05    | 0.02%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QNE40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      563976 | PA      | $477953.69    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3129414T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       77212 | PA      | $74649.78     | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| 522 Funding CLO LTD                                   | ASSURANT CLO II LTD                                                              | CUSIP: 04623TAA3<br>LEI: 6354003JXBM4LA5YCP98 | Long             | ABS-CBDO         | CORP              | KY        |       66814 | PA      | $66808.70     | 0.00%             | 2031-04-20      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                             | Nelnet Student Loan Trust 2021-D                                                 | CUSIP: 64034YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $85610.73     | 0.00%             | 2062-04-20      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 31335BCH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      279576 | PA      | $273012.16    | 0.01%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31417MBY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       76215 | PA      | $78250.22     | 0.00%             | 2039-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust            | Bear Stearns Asset Backed Securities I Trust 2006-HE5                            | CUSIP: 07388CAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      390033 | PA      | $379884.80    | 0.01%             | 2036-06-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Philippines Government International Bonds            | Philippines Government International Bonds                                       | CUSIP: 718286CP0<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     2044000 | PA      | $1439339.83   | 0.06%             | 2046-07-06      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WJC97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       82197 | PA      | $79142.49     | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FIVE POINT OP CO LP/FIVE                              | Five Point Operating Co LP / Five Point Capital Corp                             | CUSIP: 33834YAB4<br>LEI: N/A                  | Long             | SN               | CORP              | US        |      394604 | PA      | $401454.72    | 0.02%             | 2028-01-15      | Variable      | 10.50%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138X54U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      219503 | PA      | $212590.60    | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | SWP: EUR 2.428700 19-JUN-2054 EUR                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      792000 | OU      | $61989.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XMEK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1565345 | PA      | $1634443.68   | 0.06%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GE Vernova Inc                                        | GE Vernova Inc                                                                   | CUSIP: 36828A101<br>LEI: 254900DP080RU6OK2553 | Long             | EC               | CORP              | US        |         810 | NS      | $428611.50    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                | NXP BV / NXP Funding LLC / NXP USA Inc                                           | CUSIP: 62954HAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      285000 | PA      | $248026.65    | 0.01%             | 2032-02-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: —       |
| Sycamore Tree CLO Ltd                                 | Sycamore Tree CLO 2024-5 Ltd                                                     | CUSIP: 87122YAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      320000 | PA      | $320377.60    | 0.01%             | 2036-04-20      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2109901 | PA      | $1793444.93   | 0.07%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 3617ALXR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       48237 | PA      | $47096.84     | 0.00%             | 2047-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                     | Citigroup Mortgage Loan Trust 2007-AHL2                                          | CUSIP: 17312TAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      687823 | PA      | $449233.55    | 0.02%             | 2037-05-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WHFF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       21707 | PA      | $19342.71     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LSTAR Commercial Mortgage Trust                       | LSTAR Commercial Mortgage Trust 2017-5                                           | CUSIP: 54910TBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      587560 | PA      | $5641.87      | 0.00%             | 2050-03-10      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138ERA91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26315 | PA      | $23643.59     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DM7D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2747642 | PA      | $2213885.62   | 0.09%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Commercial Mortgage Trust 2021-NWM                                            | CUSIP: 12434AAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1466417 | PA      | $1463033.09   | 0.06%             | 2033-02-15      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5198347 | PA      | $4419790.81   | 0.17%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31418CLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      402435 | PA      | $382600.96    | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LATAM AIRLINES GROUP SA                               | Latam Airlines Group SA                                                          | CUSIP: 51817RAE6<br>LEI: 549300HX3UUDPEFTG707 | Long             | DBT              | CORP              | CL        |      979000 | PA      | $982671.25    | 0.04%             | 2031-01-07      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138Y4UY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33831 | PA      | $32962.31     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PCL Funding                                           | PCL Funding IX PLC                                                               | CUSIP: 000000000<br>LEI: 213800OC928ETRJNHM43 | Long             | ABS-O            | CORP              | GB        |      100000 | PA      | $136889.41    | 0.01%             | 2029-07-16      | Floating      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS          | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-AR1 Trust | CUSIP: 93934FHC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1635151 | PA      | $1440007.17   | 0.06%             | 2035-12-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY INC                                      | Viper Energy Inc                                                                 | CUSIP: 92763MAB1<br>LEI: 5299009LINL232255G03 | Long             | DBT              | CORP              | US        |     5831000 | PA      | $6187187.57   | 0.24%             | 2031-11-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| SURA ASSET MANAGEMENT                                 | SURA Asset Management SA                                                         | CUSIP: 78486LAB8<br>LEI: 549300013ETMS1C0EA22 | Long             | DBT              | CORP              | CO        |      562000 | PA      | $590718.20    | 0.02%             | 2032-05-13      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                  | Bank of America Corp                                                             | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     4749000 | PA      | $4676101.47   | 0.18%             | 2028-07-21      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DV6T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2016544 | PA      | $1518075.39   | 0.06%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Origen Manufactured Housing                           | Origen Manufactured Housing Contract Trust 2007-B                                | CUSIP: 68620KAA0<br>LEI: 5493005G5GFEQWMCSY59 | Long             | ABS-O            | CORP              | US        |       52986 | PA      | $52656.70     | 0.00%             | 2037-10-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA RESOURCES CRP                              | California Resources Corp                                                        | CUSIP: 13057QAK3<br>LEI: 5493003Q8F0T4F4YMR48 | Long             | DBT              | CORP              | US        |      179000 | PA      | $183739.38    | 0.01%             | 2029-06-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                   | COMM 2024-WCL1 MORTGAGE TRUST                                                    | CUSIP: 20047DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1220000 | PA      | $1219618.26   | 0.05%             | 2041-06-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| FREEWIRE EQUITY                                       | FREEWIRE EQUITY                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |          25 | NS      | $0.00         | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3142GTNA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3260947 | PA      | $3282734.84   | 0.13%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36177U6C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       20563 | PA      | $19596.68     | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138EQA51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      191251 | PA      | $186964.49    | 0.01%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                          | Saxon Asset Securities Trust 2004-2                                              | CUSIP: 805564QE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      164114 | PA      | $124127.11    | 0.00%             | 2035-08-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                           | Southern Co/The                                                                  | CUSIP: 842587EA1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     1219000 | PA      | $1191649.38   | 0.05%             | 2035-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: —       |
| Invesco Euro CLO                                      | Invesco Euro CLO V DAC                                                           | CUSIP: 000000000<br>LEI: 5493004UWK07M4U35L23 | Long             | ABS-CBDO         | CORP              | IE        |      100000 | PA      | $117610.48    | 0.00%             | 2034-01-15      | Floating      | 6.08%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                        | BYDGPJ8Z2 BLACKROCK SWAPTION 4.0 PUT USD 20270329                                | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | US        |      634000 | NC      | $20931.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140L6U44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      892083 | PA      | $717453.97    | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31402TTQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      241314 | PA      | $237021.22    | 0.01%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                | US ULTRA BOND CBT SEP25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -89 | NC      | $-128695.17   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179RJE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       24592 | PA      | $22885.61     | 0.00%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Bank                                | WASHINGTON MUTUAL BANK                                                           | CUSIP: 939MMIBD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      250000 | PA      | $0.03         | 0.00%             | 2049-09-19      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36183AF47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       72869 | PA      | $68958.63     | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                                 | Mineral Resources Ltd                                                            | CUSIP: 603051AE3<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |      125000 | PA      | $127926.00    | 0.00%             | 2028-10-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: —       |
| Vasco Finance                                         | TAGUS-Sociedade de Titularizacao de Creditos SA/Vasco Finance No. 2              | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | PT        |      100000 | PA      | $118648.25    | 0.00%             | 2042-10-27      | Floating      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| LCH Ltd.                                              | SWP: IFS 2.687500 15-APR-2028 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     4014500 | OU      | $6811.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2021-D                                                  | CUSIP: 009723AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2438608 | PA      | $2441191.56   | 0.09%             | 2060-03-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    14868800 | PA      | $10732834.22  | 0.41%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Allied Universal Holdco LLC                           | Allied Universal Holdco LLC 2021 USD Incremental Term Loan B                     | CUSIP: 01957TAH0<br>LEI: 98450038B4549046D794 | Long             | LON              | CORP              | US        |      595787 | PA      | $599082.65    | 0.02%             | 2028-05-12      | Floating      | 8.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140KKX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      419157 | PA      | $334711.13    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Trust 2024-VLT4                                                               | CUSIP: 05612TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2434000 | PA      | $2433239.38   | 0.09%             | 2029-07-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                           | Equinix Inc                                                                      | CUSIP: 29444UBS4<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              |  | US        |     3607000 | PA      | $3195735.16   | 0.12%             | 2031-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                           | OCP CLO 2019-16 Ltd                                                              | CUSIP: 67570QAK7<br>LEI: 254900XAI48J82ID5O83 | Long             | ABS-CBDO         | CORP              | KY        |      217329 | PA      | $217556.57    | 0.01%             | 2033-04-10      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Commercial Mortgage Trust 2024-XL4                                            | CUSIP: 05611VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3229166 | PA      | $3238248.11   | 0.13%             | 2039-02-15      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC RR 2014-1                               | Union Pacific Railroad Co 2014-1 Pass Through Trust                              | CUSIP: 907825AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      517795 | PA      | $511606.74    | 0.02%             | 2026-05-14      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4335988 | PA      | $3685635.05   | 0.14%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140J8GB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1069261 | PA      | $1033672.14   | 0.04%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                             | Anchorage Capital CLO 7 Ltd                                                      | CUSIP: 03328TBS3<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |      830000 | PA      | $832414.47    | 0.03%             | 2037-04-28      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Consumo Santander                                     | FTA Consumo Santander                                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | ES        |       86311 | PA      | $101943.16    | 0.00%             | 2038-07-20      | Floating      | 3.91%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd                                      | CIFC Funding 2020-III Ltd                                                        | CUSIP: 12560EAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1190000 | PA      | $1191190.00   | 0.05%             | 2034-10-20      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                   | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     3018000 | PA      | $2613429.89   | 0.10%             | 2032-07-21      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                             | Nelnet Student Loan Trust 2023-PL1                                               | CUSIP: 64034UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      426732 | PA      | $433165.25    | 0.02%             | 2053-11-25      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                              | CUSIP: 91282CEW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    37217000 | PA      | $36884082.40  | 1.43%             | 2027-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AES PANAMA GENERATION HL                              | AES Panama Generation Holdings SRL                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | PA        |      188168 | PA      | $172188.42    | 0.01%             | 2030-05-31      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140GW4M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       38300 | PA      | $37246.32     | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GB60<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      775000 | PA      | $777327.76    | 0.03%             | 2030-10-23      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                             | BXP Trust 2017-CC                                                                | CUSIP: 05607CAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      500000 | PA      | $401227.40    | 0.02%             | 2037-08-13      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                    | Morgan Stanley Mortgage Loan Trust 2006-12XS                                     | CUSIP: 61749EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      266900 | PA      | $58321.12     | 0.00%             | 2036-10-25      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities                | Natixis Commercial Mortgage Securities Trust 2018-SOX                            | CUSIP: 63874NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      265000 | PA      | $260759.31    | 0.01%             | 2038-06-17      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| IREN Ltd                                              | IREN Ltd                                                                         | CUSIP: 000000000<br>LEI: 254900FZF02RB3NNGB71 | Long             | EC               | CORP              | AU        |       12326 | NS      | $179589.82    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Nomura Asset Acceptance Corporation                   | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-S5               | CUSIP: 65538AAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       44140 | PA      | $56011.75     | 0.00%             | 2036-10-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust            | Bear Stearns Asset Backed Securities I Trust 2006-AC1                            | CUSIP: 07387UCF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1352996 | PA      | $1393789.09   | 0.05%             | 2036-02-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132KEXZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       60679 | PA      | $59497.32     | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                      | SMB Private Education Loan Trust 2024-C                                          | CUSIP: 83206EAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      526668 | PA      | $522896.30    | 0.02%             | 2052-06-17      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 3622A24Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      369716 | PA      | $336399.25    | 0.01%             | 2045-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                     | Battalion CLO VIII Ltd                                                           | CUSIP: 07132ACE1<br>LEI: 549300WH2OE0BGHQQP83 | Long             | ABS-CBDO         | CORP              | KY        |      642000 | PA      | $642511.03    | 0.02%             | 2030-07-18      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae                                                                       | CUSIP: 21H030674<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1081000 | PA      | $955992.39    | 0.04%             | 2054-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31416WLG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      111017 | PA      | $110707.70    | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XFUY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      293008 | PA      | $239514.30    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132KFAD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      343003 | PA      | $331747.78    | 0.01%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                          | CUSIP: 404119CC1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      290000 | PA      | $252409.37    | 0.01%             | 2031-07-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Brignole CO                                           | Brignole Co                                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IT        |       65750 | PA      | $78377.46     | 0.00%             | 2042-02-24      | Floating      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac REMICS                                                               | CUSIP: 3137HKBM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    18065520 | PA      | $18110611.97  | 0.70%             | 2055-03-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XJXF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2816912 | PA      | $2663456.45   | 0.10%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Cordatus CLO PLC                                      | CVC Cordatus Loan Fund IV DAC                                                    | CUSIP: 000000000<br>LEI: 2138005AFEIY5AMT4165 | Long             | ABS-CBDO         | CORP              | IE        |      250000 | PA      | $292586.16    | 0.01%             | 2034-02-22      | Floating      | 3.36%                 | Yes           |                  2 | On Loan: No      |
| Octagon Investment Partners Ltd                       | Octagon Investment Partners 18-R Ltd                                             | CUSIP: 67576FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      648333 | PA      | $648293.63    | 0.03%             | 2031-04-16      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                   | Synchrony Financial                                                              | CUSIP: 87165BAW3<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     5211000 | PA      | $5256433.09   | 0.20%             | 2031-03-06      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2006-OA17                                                 | CUSIP: 12668PAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3180180 | PA      | $2794734.83   | 0.11%             | 2046-12-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3192759 | PA      | $2540547.71   | 0.10%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Apidos CLO Ltd                                        | Apidos CLO XXII                                                                  | CUSIP: 03765XAJ5<br>LEI: 5493003SQW0Q40KVFQ19 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250452.00    | 0.01%             | 2031-04-20      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                              | EQT Corp                                                                         | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     1887000 | PA      | $1902990.04   | 0.07%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DQGA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1654877 | PA      | $1669152.53   | 0.06%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                  | BlueMountain CLO XXVIII Ltd                                                      | CUSIP: 09630PAA1<br>LEI: 5493001GLQHON6UV2U40 | Long             | ABS-CBDO         | CORP              | KY        |      100000 | PA      | $100106.90    | 0.00%             | 2034-04-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust                        | MSWF Commercial Mortgage Trust 2023-2                                            | CUSIP: 55361AAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8238800 | PA      | $486036.46    | 0.02%             | 2056-12-15      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Braccan Mortgage Funding                              | Braccan Mortgage Funding 2024-1 PLC                                              | CUSIP: 000000000<br>LEI: 635400RGKRFPCFMYJF13 | Long             | ABS-MBS          | CORP              | GB        |      458754 | PA      | $632456.96    | 0.02%             | 2067-02-15      | Floating      | 8.58%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale                                      | Societe Generale                                                                 | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | RA               | CORP              | US        |      500000 | PA      | $500000.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                      | CUSIP: 694308JQ1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      913894 | PA      | $761509.89    | 0.03%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                  | Cross 2025-H1 Mortgage Trust                                                     | CUSIP: 22758NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      745982 | PA      | $749530.10    | 0.03%             | 2070-02-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31402RDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      659746 | PA      | $683173.02    | 0.03%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS Europe SE                                         | BYDG3PYN0 BLACKROCK FXVAN PUT EUR USD 1.0200000                                  | CUSIP: 000000000<br>LEI: 5299007QVIQ7IO64NX37 | N/A              | DFE              |  | US        |     -900000 | OU      | $-1.06        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                              | CUSIP: 46647PEG7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      727000 | PA      | $754885.44    | 0.03%             | 2030-04-22      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                      | Paramount Global                                                                 | CUSIP: 124857AR4<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     2661000 | PA      | $2590109.28   | 0.10%             | 2027-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                             | Anchorage Capital CLO 8 Ltd                                                      | CUSIP: 03329KBC6<br>LEI: 549300PKM3N9LK4JM015 | Long             | ABS-CBDO         | CORP              | KY        |     1050000 | PA      | $1053831.45   | 0.04%             | 2034-10-27      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                        | Option One Mortgage Loan Trust 2007-FXD1                                         | CUSIP: 68402VAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20691 | PA      | $20186.19     | 0.00%             | 2037-01-25      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                  | ACE Securities Corp Home Equity Loan Trust Series 2007-HE4                       | CUSIP: 00442LAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      970980 | PA      | $152561.87    | 0.01%             | 2037-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810QD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      898000 | PA      | $880285.55    | 0.03%             | 2039-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust         | JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11                   | CUSIP: 46639YAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3280054 | PA      | $9954.64      | 0.00%             | 2046-04-15      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities        | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10                    | CUSIP: 225470FK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      407217 | PA      | $86512.00     | 0.00%             | 2035-11-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DMSG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1918870 | PA      | $1697044.86   | 0.07%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                           | Oracle Corp                                                                      | CUSIP: 68389XDC6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     5080000 | PA      | $5085119.78   | 0.20%             | 2065-08-03      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36180DVB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       44216 | PA      | $41218.03     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2007-OA3                                                  | CUSIP: 02150TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      353245 | PA      | $324211.17    | 0.01%             | 2047-04-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                    | Japan Government Thirty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  1025050000 | PA      | $6390608.93   | 0.25%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                      | BAT Capital Corp                                                                 | CUSIP: 054989AC2<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     3182000 | PA      | $3504574.52   | 0.14%             | 2043-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QMMP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2086455 | PA      | $1830143.96   | 0.07%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                    | Tricon Residential 2021-SFR1 Trust                                               | CUSIP: 89614YAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      639000 | PA      | $622455.84    | 0.02%             | 2038-07-17      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                        | Mariner Finance Issuance Trust 2021-B                                            | CUSIP: 56847JAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      400000 | PA      | $367773.40    | 0.01%             | 2036-11-20      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138XX3E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       45417 | PA      | $44696.84     | 0.00%             | 2029-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133KQKR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1014393 | PA      | $1004848.45   | 0.04%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140NGT26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      206632 | PA      | $211941.03    | 0.01%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Trust 2021-LBA                                                                | CUSIP: 05609BAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      209120 | PA      | $206506.00    | 0.01%             | 2036-02-15      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QDSX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      398926 | PA      | $368211.06    | 0.01%             | 2035-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138XQXV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      119354 | PA      | $117448.62    | 0.00%             | 2029-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 312942H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       90183 | PA      | $87302.59     | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      289647 | PA      | $269555.86    | 0.01%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                      | CIFC Funding 2017-I Ltd                                                          | CUSIP: 17181PAC3<br>LEI: 549300X1SKS4LNS5LQ62 | Long             | ABS-CBDO         | CORP              | KY        |     1170000 | PA      | $1173838.77   | 0.05%             | 2037-04-21      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132KFAC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      180997 | PA      | $174974.93    | 0.01%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| U.K. Gilts                                            | U.K. Gilts                                                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     3185527 | PA      | $3787557.05   | 0.15%             | 2054-07-31      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9628000 | PA      | $5923100.44   | 0.23%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3128MAAK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      372015 | PA      | $371586.68    | 0.01%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                       | OHA Credit Funding 9 Ltd                                                         | CUSIP: 67690AAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      350000 | PA      | $350753.20    | 0.01%             | 2037-10-19      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31416YVG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       47314 | PA      | $47031.78     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION                              | FirstEnergy Transmission LLC                                                     | CUSIP: 33767BAA7<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |      965000 | PA      | $919617.73    | 0.04%             | 2044-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                | Venture Global LNG Inc                                                           | CUSIP: 92332YAF8<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      254000 | PA      | $246938.50    | 0.01%             | 2029-09-30      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| STL HOLDING CO LLC                                    | STL Holding Co LLC                                                               | CUSIP: 861036AB7<br>LEI: 984500BC2I63E7F48656 | Long             | DBT              | CORP              | US        |      178000 | PA      | $185961.41    | 0.01%             | 2029-02-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DMR56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2606905 | PA      | $2413856.61   | 0.09%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XHHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2544058 | PA      | $2017984.06   | 0.08%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QEBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2125362 | PA      | $1792128.85   | 0.07%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                             | College Ave Student Loans 2021-B LLC                                             | CUSIP: 19425AAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       64059 | PA      | $59021.29     | 0.00%             | 2052-06-25      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Securitization Corp.      | BCMSC Trust 2000-A                                                               | CUSIP: 09774XBP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1178847 | PA      | $85120.62     | 0.00%             | 2030-06-15      | Variable      | 7.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140J6D46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1391168 | PA      | $1367406.02   | 0.05%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRIME INVTS LTD PARTNERSHIP                           | PRIME INVTS LTD PARTNERSHIP                                                      | CUSIP: 74167YAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      692000 | PA      | $690654.48    | 0.03%             | 2030-05-01      | Fixed         | 11.00%                | No            |                  3 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138X55B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      280309 | PA      | $271713.11    | 0.01%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F020471<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -4006000 | PA      | $-3659704.41  | -0.14%            | 2039-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 312938YY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       39482 | PA      | $39799.53     | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Mill City Solar Loan 2019-2 Ltd.                      | Mill City Solar Loan 2019-2 Ltd                                                  | CUSIP: 59982VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |      811922 | PA      | $713869.76    | 0.03%             | 2043-07-20      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                              | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3772300 | PA      | $3594294.59   | 0.14%             | 2029-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      131000 | PA      | $134060.83    | 0.01%             | 2055-10-23      | Fixed         | 6.83%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                           | BYDHJK4D7 BLACKROCK SWAPTION 4.045 PUT USD 2027041                               | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |      601300 | NC      | $19324.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Euro Parfums Fze                                      | Euro Parfums Fze Term Loan B                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |      174970 | PA      | $178696.86    | 0.01%             | 2028-06-23      | Floating      | 10.99%                | No            |                  3 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179TG33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      644501 | PA      | $576880.53    | 0.02%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TELECOM ARGENTINA SA                                  | Telecom Argentina SA                                                             | CUSIP: 879273AV2<br>LEI: 549300MKPIRSJD8SB782 | Long             | DBT              | CORP              | AR        |      938115 | PA      | $954644.59    | 0.04%             | 2033-05-28      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Alabama Power Co                                      | Alabama Power Co                                                                 | CUSIP: 010392FB9<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |      167000 | PA      | $179161.61    | 0.01%             | 2039-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                  | FREMF 2019-KW08 Mortgage Trust                                                   | CUSIP: 30297YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    24573491 | PA      | $64704.46     | 0.00%             | 2029-01-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |           1 | NC      | $26457.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | SWAP/CDSWAP/SCDS: (BA)                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |      700000 | OU      | $-9754.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36197MRS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       48258 | PA      | $46996.26     | 0.00%             | 2047-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                   | BYDJ1ADX0 BLACKROCK PUT USD CAD 1.3350000 20250724                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | KY        |       49000 | OU      | $5199.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                 | CUSIP: 87264ABY0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      558000 | PA      | $372070.67    | 0.01%             | 2060-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                     | CUSIP: 11135FCG4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     1517000 | PA      | $1559961.82   | 0.06%             | 2032-04-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DM2T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1136772 | PA      | $916387.59    | 0.04%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138LQ2K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       84594 | PA      | $79409.74     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc             | Structured Asset Mortgage Investments II Trust 2006-AR4                          | CUSIP: 86360QAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      688756 | PA      | $598276.62    | 0.02%             | 2036-06-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Aurora Innovation Inc                                 | Aurora Innovation Inc                                                            | CUSIP: 051774115<br>LEI: N/A                  | N/A              | DE               |  | US        |        2636 | NS      | $2292.79      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AT&T REIGN II LB PTT                                  | AT&T Reign II Multi-Property Lease-Backed Pass-Through Trust                     | CUSIP: 046912AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2750000 | PA      | $2751497.38   | 0.11%             | 2044-12-15      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1274 | PA      | $1263.85      | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      510087 | PA      | $434545.72    | 0.02%             | 2052-02-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                           | SWAP/CDSWAP/SCDS: (D)                                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |     2879000 | OU      | $-82120.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO, LTD                       | Golub Capital Partners CLO 77 B Ltd                                              | CUSIP: 38180QAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      298333 | PA      | $298697.56    | 0.01%             | 2038-01-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                      | BAT Capital Corp                                                                 | CUSIP: 05526DBT1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      343000 | PA      | $270753.59    | 0.01%             | 2040-09-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133L8FQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      463752 | PA      | $414709.31    | 0.02%             | 2036-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                              | CUSIP: 91282CHE4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7232700 | PA      | $7217443.49   | 0.28%             | 2028-05-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F030678<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -3087300 | PA      | $-2670948.39  | -0.10%            | 2054-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS Europe SE                                         | BYDG30ZZ7 BLACKROCK FXVAN PUT EUR USD 1.0550000                                  | CUSIP: 000000000<br>LEI: 5299007QVIQ7IO64NX37 | N/A              | DFE              |  | US        |      600000 | OU      | $0.71         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140NAYE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      480690 | PA      | $482711.70    | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY OHIO INC                                  | Duke Energy Ohio Inc                                                             | CUSIP: 26442EAH3<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |     1153000 | PA      | $1038157.16   | 0.04%             | 2030-06-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Commercial Mortgage Trust 2024-XL4                                            | CUSIP: 05611VAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1912878 | PA      | $1860886.71   | 0.07%             | 2039-02-15      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Commercial Mortgage Trust 2024-XL4                                            | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1070076 | PA      | $1071409.84   | 0.04%             | 2039-02-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                      | Bain Capital Credit CLO 2021-3 Ltd                                               | CUSIP: 05683NAG7<br>LEI: 254900XV68IP5ZAT0548 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249441.25    | 0.01%             | 2034-07-24      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| Dowson                                                | Dowson 2024-1 PLC                                                                | CUSIP: 000000000<br>LEI: 635400IRBWDPWKGK1C24 | Long             | ABS-O            | CORP              | GB        |      500000 | PA      | $682547.31    | 0.03%             | 2031-08-20      | Floating      | 11.17%                | Yes           |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      393000 | PA      | $390759.68    | 0.02%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12024800 | PA      | $8859835.12   | 0.34%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DMR23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      927435 | PA      | $881421.86    | 0.03%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                | Merrill Lynch Mortgage Investors Trust Series 2006-A3                            | CUSIP: 59023CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      358856 | PA      | $234787.62    | 0.01%             | 2036-05-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    13969318 | PA      | $11124400.41  | 0.43%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                         | CUSIP: 38382QQP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1364696 | PA      | $232523.77    | 0.01%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138YAVZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      174812 | PA      | $169127.41    | 0.01%             | 2030-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                        | Bayview Commercial Asset Trust 2006-3                                            | CUSIP: 07324NAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       54365 | PA      | $52004.58     | 0.00%             | 2036-10-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                | Velocity Commercial Capital Loan Trust 2021-4                                    | CUSIP: 92258DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1998894 | PA      | $1780635.58   | 0.07%             | 2051-12-26      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    17887000 | PA      | $12719333.91  | 0.49%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                  | Glencore Funding LLC                                                             | CUSIP: 378272BG2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      473000 | PA      | $415222.21    | 0.02%             | 2031-09-23      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                      | Crown Castle Inc                                                                 | CUSIP: 22822VAY7<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |      125000 | PA      | $109072.00    | 0.00%             | 2031-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan Ltd.                               | Loanpal Solar Loan 2020-2 Ltd                                                    | CUSIP: 53948KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      738326 | PA      | $623175.89    | 0.02%             | 2047-07-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DVL78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      268876 | PA      | $236938.96    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                | PURCHASED EGP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | EG        |           1 | NC      | $10506.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QSAX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2003085 | PA      | $2020365.30   | 0.08%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan Trust                    | CWHEQ Revolving Home Equity Loan Trust Series 2006-H                             | CUSIP: 126686AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       65580 | PA      | $64168.93     | 0.00%             | 2036-11-15      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                          | CD 2017-CD3 Mortgage Trust                                                       | CUSIP: 12515GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      350000 | PA      | $336874.90    | 0.01%             | 2050-02-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                | US 10YR NOTE (CBT)SEP25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -131 | NC      | $-165059.30   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Asset-Backed Certificates                 | CWABS Asset-Backed Certificates Trust 2006-7                                     | CUSIP: 232422AF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      512291 | PA      | $394180.25    | 0.02%             | 2046-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                   | BWAY 2013-1515 Mortgage Trust                                                    | CUSIP: 05604FAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      600000 | PA      | $542507.82    | 0.02%             | 2033-03-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3128MEK91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      244054 | PA      | $238766.47    | 0.01%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XFG21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      246571 | PA      | $227562.52    | 0.01%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133KNQV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      379451 | PA      | $304276.24    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                      | CIFC Funding 2024-III Ltd                                                        | CUSIP: 12575WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1090000 | PA      | $1092864.52   | 0.04%             | 2037-07-21      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                                   | Synchrony Financial                                                              | CUSIP: 87165BAM5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |      262000 | PA      | $257631.05    | 0.01%             | 2027-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO Ltd                                      | Whitebox Clo I Ltd                                                               | CUSIP: 96467CAG2<br>LEI: 549300E4AC0513DYO913 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $249336.76    | 0.01%             | 2036-07-24      | Floating      | 10.03%                | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                       | OHA Credit Funding 3 LTD                                                         | CUSIP: 67112RBC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      300000 | PA      | $301190.40    | 0.01%             | 2038-01-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| One Market Plaza Trust                                | One Market Plaza Trust 2017-1MKT                                                 | CUSIP: 68245HAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3507742 | PA      | $6394.61      | 0.00%             | 2032-02-10      | Variable      | 0.22%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                              | CUSIP: 46647PEE2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1954000 | PA      | $1994096.29   | 0.08%             | 2028-04-22      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                   | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     3604000 | PA      | $3679499.69   | 0.14%             | 2030-01-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                | CHL Mortgage Pass-Through Trust 2007-9                                           | CUSIP: 12544XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      189880 | PA      | $88819.80     | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138XWXG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      209763 | PA      | $206527.66    | 0.01%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AEP Texas Inc                                         | AEP Texas Inc                                                                    | CUSIP: 00108WAJ9<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |      172000 | PA      | $130250.01    | 0.01%             | 2049-05-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                              | Angel Oak Mortgage Trust 2025-2                                                  | CUSIP: 03466QAA1<br>LEI: 254900DKH168ZWJSMI96 | Long             | ABS-MBS          | CORP              | US        |      914674 | PA      | $917227.76    | 0.04%             | 2070-02-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GA87<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      522000 | PA      | $543378.08    | 0.02%             | 2030-04-25      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XFKC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1308522 | PA      | $1054841.32   | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ORBIA ADVANCE CORP SAB                                | Orbia Advance Corp SAB de CV                                                     | CUSIP: 68560EAC2<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |     1173000 | PA      | $1198806.00   | 0.05%             | 2030-05-13      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                | Venture Global LNG Inc                                                           | CUSIP: 92332YAE1<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |       56000 | PA      | $56611.13     | 0.00%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                    | CUSIP: 172967PZ8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     3893000 | PA      | $3903318.86   | 0.15%             | 2028-05-07      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DMUR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1767011 | PA      | $1577800.25   | 0.06%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                | Rockford Tower CLO 2017-2 Ltd                                                    | CUSIP: 77340GAL5<br>LEI: 549300G18KVCW7VUKI86 | Long             | ABS-CBDO         | CORP              | KY        |     1781000 | PA      | $1785368.79   | 0.07%             | 2029-10-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                    | VICI Properties LP                                                               | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |     4039000 | PA      | $4062628.63   | 0.16%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                  | OneMain Finance Corp                                                             | CUSIP: 682691AG5<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |       10000 | PA      | $10404.75     | 0.00%             | 2031-11-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: —       |
| Miltonia Mortgage Finance                             | Miltonia Mortgage Finance Srl                                                    | CUSIP: 000000000<br>LEI: 815600BC278905BA4594 | Long             | ABS-MBS          | CORP              | IT        |      258000 | PA      | $299630.06    | 0.01%             | 2062-04-28      | Floating      | 3.46%                 | Yes           |                  2 | On Loan: No      |
| Hilton USA Trust                                      | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                          | CUSIP: 403956AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1203000 | PA      | $1202248.13   | 0.05%             | 2037-05-15      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust               | DBJPM 16-C1 Mortgage Trust                                                       | CUSIP: 23312LAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      240000 | PA      | $236521.18    | 0.01%             | 2049-05-10      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138XC4K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      127471 | PA      | $125191.51    | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                            | Progress Residential 2021-SFR4                                                   | CUSIP: 74333EAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1340000 | PA      | $1313344.85   | 0.05%             | 2038-05-17      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                    | SWAP/CDSWAP/SCDS: (AEP)                                                          | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              |  | US        |     5854000 | OU      | $-168165.37   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                              | Service Properties Trust                                                         | CUSIP: 81761LAE2<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              |  | US        |      899000 | PA      | $924403.94    | 0.04%             | 2032-06-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: —       |
| BX Trust                                              | BX Trust 2023-DELC                                                               | CUSIP: 05610DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5434000 | PA      | $5467889.68   | 0.21%             | 2038-05-15      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6418100 | PA      | $5060521.41   | 0.20%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                         | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |           1 | NC      | $-16871.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1177781 | PA      | $1013844.47   | 0.04%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Clover Holdings SPV III LLC                           | Clover Holdings SPV III LLC 2024 USD Term Loan                                   | CUSIP: 000000000<br>LEI: 549300RFUWCPWS8FQ104 | Long             | LON              | CORP              | US        |        5187 | PA      | $5204.05      | 0.00%             | 2027-12-09      | Fixed         | 15.00%                | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                           | Rad CLO 7 Ltd                                                                    | CUSIP: 74936GAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      460000 | PA      | $460288.88    | 0.02%             | 2036-04-17      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XCUV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      346204 | PA      | $317437.28    | 0.01%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QDS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      198622 | PA      | $183513.36    | 0.01%             | 2035-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                                | Conseco Finance Corp                                                             | CUSIP: 393505F64<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      934502 | PA      | $950197.64    | 0.04%             | 2030-04-01      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140GUMN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      393499 | PA      | $382945.92    | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                             | BPR 2023-STON Mortgage Trust                                                     | CUSIP: 05593GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $1041344.80   | 0.04%             | 2039-12-05      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                              | Florida Power & Light Co                                                         | CUSIP: 341081GZ4<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |      128000 | PA      | $129784.36    | 0.01%             | 2065-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ELM Trust 2024                                        | ELM Trust 2024-ELM                                                               | CUSIP: 26860XBG5<br>LEI: 254900IIXJ23M1M8Y987 | Long             | ABS-MBS          | CORP              | US        |      924000 | PA      | $926517.16    | 0.04%             | 2039-06-10      | Variable      | 8.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 31335BKV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      596098 | PA      | $553643.38    | 0.02%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ZAYO GROUP HOLDINGS INC                               | Zayo Group Holdings Inc                                                          | CUSIP: 98919VAA3<br>LEI: 529900Z6OTS7RT0V0I47 | Long             | DBT              | CORP              | US        |       71000 | PA      | $66582.13     | 0.00%             | 2027-03-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                    | CUSIP: 17308CC53<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     1590000 | PA      | $1487539.35   | 0.06%             | 2030-11-05      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                    | Morgan Stanley Mortgage Loan Trust 2007-3XS                                      | CUSIP: 61752RAK8<br>LEI: 549300SRGEL7X4RBPX12 | Long             | ABS-MBS          | CORP              | US        |     3103667 | PA      | $1078429.00   | 0.04%             | 2047-01-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| Bank                                                  | BANK 2019-BNK20                                                                  | CUSIP: 06540AAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8619000 | PA      | $123035.36    | 0.00%             | 2062-09-15      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QLN36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      552990 | PA      | $438586.30    | 0.02%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                           | OCP CLO 2020-18 Ltd                                                              | CUSIP: 671078AW3<br>LEI: 254900MN6N176YEZLX15 | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $500745.00    | 0.02%             | 2037-07-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                     | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-9676.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | SWP: IFS 2.429000 15-APR-2030 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3673250 | OU      | $4167.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      444000 | PA      | $295752.99    | 0.01%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 312943WD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       60419 | PA      | $58476.54     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WFYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      139564 | PA      | $134651.21    | 0.01%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                         | PURCHASED USD / SOLD CZK                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |           1 | NC      | $-15277.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DPR34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      281935 | PA      | $279373.58    | 0.01%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 312944SL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       52843 | PA      | $51166.85     | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133KYWN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      391591 | PA      | $335311.46    | 0.01%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO Ltd                                      | Whitebox Clo I Ltd                                                               | CUSIP: 96467FAU4<br>LEI: 549300E4AC0513DYO913 | Long             | ABS-CBDO         | CORP              | KY        |      253000 | PA      | $253086.78    | 0.01%             | 2036-07-24      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                           | RCKT Mortgage Trust 2024-CES2                                                    | CUSIP: 74938PAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      116000 | PA      | $121566.15    | 0.00%             | 2044-04-25      | Variable      | 9.89%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates     | First Franklin Mortgage Loan Trust 2006-FF17                                     | CUSIP: 32028KAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1248724 | PA      | $1071890.47   | 0.04%             | 2036-12-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Hermitage Plc                                         | Hermitage 2024 PLC                                                               | CUSIP: 000000000<br>LEI: 635400OUUMGTAI2EJA52 | Long             | ABS-O            | CORP              | GB        |       65390 | PA      | $90522.98     | 0.00%             | 2033-04-21      | Floating      | 6.57%                 | Yes           |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                   | Mastr Asset Backed Securities Trust 2006-AM2                                     | CUSIP: 57645FAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      286771 | PA      | $266678.69    | 0.01%             | 2036-06-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTL GROUP                                   | American International Group Inc                                                 | CUSIP: 026874DP9<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |      214000 | PA      | $179106.12    | 0.01%             | 2050-06-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd                                  | OHA Loan Funding 2015-1 Ltd                                                      | CUSIP: 67109BDC5<br>LEI: 25490072LQI0R2J4XC93 | Long             | ABS-CBDO         | CORP              | KY        |      310000 | PA      | $310190.96    | 0.01%             | 2037-01-19      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                              | CUSIP: 91282CHM6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12977300 | PA      | $13045608.22  | 0.50%             | 2026-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Solaris Energy Infrastructure LLC                     | Solaris Energy Infrastructure LLC Term Loan                                      | CUSIP: 83418UAB1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     1604000 | PA      | $1604000.00   | 0.06%             | 2029-09-11      | Floating      | 10.30%                | No            |                  3 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QRBU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2751343 | PA      | $2718207.89   | 0.11%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      375000 | PA      | $363098.16    | 0.01%             | 2027-10-21      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140J5XZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       18766 | PA      | $18365.03     | 0.00%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                         | Boeing Co/The                                                                    | CUSIP: 097023DU6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      858000 | PA      | $942381.78    | 0.04%             | 2064-05-01      | Fixed         | 7.01%                 | No            |                  2 | On Loan: No      |
| Gracie Point International Funding                    | GRACIE POINT INTERNATIONAL FUNDING 2023-1                                        | CUSIP: 383931AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      339076 | PA      | $339627.81    | 0.01%             | 2026-09-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DMQ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      206397 | PA      | $198922.36    | 0.01%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132GTPY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       17047 | PA      | $16018.43     | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                 | Northrop Grumman Corp                                                            | CUSIP: 666807CM2<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |      308000 | PA      | $286976.45    | 0.01%             | 2054-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133A8RR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      281055 | PA      | $225669.82    | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                        | Home Partners of America 2021-2 Trust                                            | CUSIP: 43732VAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1359241 | PA      | $1309086.21   | 0.05%             | 2026-12-17      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Commercial Mortgage Trust 2021-VIV5                                           | CUSIP: 05605VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      204000 | PA      | $184150.39    | 0.01%             | 2044-03-09      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| VALE OVERSEAS LIMITED                                 | Vale Overseas Ltd                                                                | CUSIP: 91911TAS2<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |     1211000 | PA      | $1190133.14   | 0.05%             | 2054-06-28      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 312943JY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       36943 | PA      | $35751.61     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust         | Bankers Healthcare Group Securitization Trust 2020-A                             | CUSIP: 06616PAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      100000 | PA      | $99815.83     | 0.00%             | 2031-09-17      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31412MJ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       56060 | PA      | $57630.34     | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QRB85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      350826 | PA      | $353852.60    | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Blackstone Mortgage Trust Inc                         | Blackstone Mortgage Trust Inc                                                    | CUSIP: 09257W100<br>LEI: 549300OLDJ20R2Y2UW20 | Long             | EC               |  | US        |       78544 | NS      | $1511972.00   | 0.06%             |  |  |  | No            |                  1 | On Loan: —       |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138X5EH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       48247 | PA      | $47503.45     | 0.00%             | 2028-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                | SWAP/CDSWAP/SCDS: (DB)                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | DE        |      600000 | OU      | $-10742.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31418MGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       49806 | PA      | $52213.30     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XBKH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      484392 | PA      | $447519.98    | 0.02%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| REGIONAL MGMT ISSUANCE                                | REGIONAL MGMT ISSUANCE                                                           | CUSIP: 75907WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3710000 | PA      | $3552325.00   | 0.14%             | 2033-10-17      | Fixed         | 3.88%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132GVGT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      371759 | PA      | $349410.39    | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SCC POWER PLC                                         | SCC Power PLC                                                                    | CUSIP: 78397YAB8<br>LEI: 529900IYGYC6VSDSDF37 | Long             | DBT              | CORP              | GB        |      437329 | PA      | $283170.53    | 0.01%             | 2028-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                              | OZLM XVIII Ltd                                                                   | CUSIP: 67112GAA6<br>LEI: 5493002SZMQH8ZTTHX49 | Long             | ABS-CBDO         | CORP              | KY        |      118868 | PA      | $118886.63    | 0.00%             | 2031-04-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust         | J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-MFP                  | CUSIP: 46651MAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      570000 | PA      | $542217.23    | 0.02%             | 2036-07-15      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| MIDWEST GMNG BOR/MWG FIN                              | Midwest Gaming Borrower LLC / Midwest Gaming Finance Corp                        | CUSIP: 59833DAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      232000 | PA      | $223477.80    | 0.01%             | 2029-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133KJVE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      676685 | PA      | $594191.54    | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                     | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17313JAM6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-O            | CORP              | US        |     4602562 | PA      | $4109689.28   | 0.16%             | 2037-07-25      | Floating      | 8.18%                 | No            |                  2 | On Loan: No      |
| Bally's Corporation                                   | Bally's Corporation 2021 Term Loan B                                             | CUSIP: 05875CAB0<br>LEI: 549300NS4D5IK406VT62 | Long             | LON              | CORP              | US        |     1294567 | PA      | $1150142.13   | 0.04%             | 2028-10-02      | Floating      | 7.78%                 | No            |                  2 | On Loan: No      |
| Winchester PLC                                        | Winchester 1 PLC                                                                 | CUSIP: 000000000<br>LEI: 213800AWJGG72JJNBW66 | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $136900.53    | 0.01%             | 2056-10-21      | Floating      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| KONDOR FINANCE PLC (NAK)                              | NAK Naftogaz Ukraine via Kondor Finance PLC                                      | CUSIP: 50050MAB1<br>LEI: 213800PUC1T9GI6EIO63 | Long             | DBT              | CORP              | GB        |      442505 | PA      | $347366.60    | 0.01%             | 2028-11-08      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                     | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-8332.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FirstEnergy Corp                                      | FirstEnergy Corp                                                                 | CUSIP: 337932AJ6<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     1914000 | PA      | $1626371.91   | 0.06%             | 2047-07-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137HBC77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      341000 | PA      | $349287.53    | 0.01%             | 2031-10-25      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                           | FSWP: OIS 3.814000 16-MAY-2026 SOF                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    36611000 | OU      | $42964.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DM7F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2008871 | PA      | $1621421.49   | 0.06%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                   | BWAY 2013-1515 Mortgage Trust                                                    | CUSIP: 05604FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1184203 | PA      | $1126009.47   | 0.04%             | 2033-03-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Commercial Mortgage Trust 2024-GPA3                                           | CUSIP: 123910AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      656400 | PA      | $657015.18    | 0.03%             | 2039-12-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                       | Benefit Street Partners CLO XVI Ltd                                              | CUSIP: 08181VAY1<br>LEI: 2549001UGYKGM9DWMY60 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250493.50    | 0.01%             | 2038-01-17      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                 | Mexico Government International Bonds                                            | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     3275000 | PA      | $2832875.00   | 0.11%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31418CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      396533 | PA      | $364555.75    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                      | CIFC Funding 2017-I Ltd                                                          | CUSIP: 17181PAE9<br>LEI: 549300X1SKS4LNS5LQ62 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250379.50    | 0.01%             | 2037-04-21      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                | PURCHASED HUF / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | HU        |           1 | NC      | $1772.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140FMDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      256989 | PA      | $243295.73    | 0.01%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                     | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |           1 | NC      | $5487.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates               | WaMu Mortgage Pass-Through Certificates Series 2007-OA5 Trust                    | CUSIP: 93364BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1228245 | PA      | $1019400.91   | 0.04%             | 2047-06-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       73111 | PA      | $74278.88     | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XVI LTD                   | Octagon Investment Partners XVI Ltd                                              | CUSIP: 67590BAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1366794 | PA      | $1367309.20   | 0.05%             | 2030-07-17      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                    | Expand Energy Corp                                                               | CUSIP: 165167DH7<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     6132000 | PA      | $6219436.19   | 0.24%             | 2035-01-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                           | Oracle Corp                                                                      | CUSIP: 68389XBJ3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      421000 | PA      | $324696.42    | 0.01%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31418CPF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22638 | PA      | $21435.17     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138YTRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       25469 | PA      | $24670.15     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132D6NY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      858902 | PA      | $791146.92    | 0.03%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                          | CSMC 2020-FACT                                                                   | CUSIP: 126395AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      423000 | PA      | $391204.36    | 0.02%             | 2037-10-15      | Floating      | 9.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138M8YB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10724 | PA      | $10533.45     | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                                | Canyon CLO 2018-1 Ltd                                                            | CUSIP: 13877BAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      464111 | PA      | $464307.25    | 0.02%             | 2031-07-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2006-OA21                                                 | CUSIP: 23245QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      721997 | PA      | $619389.48    | 0.02%             | 2047-03-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| USAVFLOW II LTD                                       | USAVFLOW II Ltd Term Loan B                                                      | CUSIP: 000000000<br>LEI: 254900MV3KWOGGVL7L93 | Long             | LON              | CORP              | KY        |      295000 | PA      | $295737.50    | 0.01%             | 2029-08-16      | Floating      | 10.81%                | Yes           |                  3 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3443000 | PA      | $2768790.67   | 0.11%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                      | Paramount Global                                                                 | CUSIP: 124857AK9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      152000 | PA      | $117241.97    | 0.00%             | 2044-08-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                         | AppLovin Corp                                                                    | CUSIP: 03831WAE8<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |     2623000 | PA      | $2561704.06   | 0.10%             | 2054-12-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ANTERO RESOURCES CORP                                 | Antero Resources Corp                                                            | CUSIP: 03674XAQ9<br>LEI: APVBKPOULHUX7YZLKU17 | Long             | DBT              | CORP              | US        |      545000 | PA      | $559514.44    | 0.02%             | 2029-02-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Rakuten Group Inc                                     | Rakuten Group Inc                                                                | CUSIP: 000000000<br>LEI: 529900IMXUCQKUL1H943 | Long             | EC               | CORP              | JP        |       42394 | NS      | $233337.06    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Hermitage Plc                                         | Hermitage 2024 PLC                                                               | CUSIP: 000000000<br>LEI: 635400OUUMGTAI2EJA52 | Long             | ABS-O            | CORP              | GB        |       74544 | PA      | $102616.83    | 0.00%             | 2033-04-21      | Floating      | 5.82%                 | Yes           |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                | Residential Asset Securitization Trust 2007-A9                                   | CUSIP: 761143AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11364644 | PA      | $1256020.51   | 0.05%             | 2037-09-25      | Floating      | 2.02%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                       | CSAIL 2019-C17 Commercial Mortgage Trust                                         | CUSIP: 12597BAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2847496 | PA      | $118742.01    | 0.00%             | 2052-09-15      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| SCF Rahoituspalvelut DAC                              | SCF Rahoituspalvelut XIII DAC                                                    | CUSIP: 000000000<br>LEI: 875500BJTX1DZ2QIPK23 | Long             | ABS-O            | CORP              | IE        |      100000 | PA      | $117788.70    | 0.00%             | 2034-06-25      | Floating      | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WFAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14484 | PA      | $14000.79     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ANTERO RESOURCES CORP                                 | Antero Resources Corp                                                            | CUSIP: 03674XAS5<br>LEI: APVBKPOULHUX7YZLKU17 | Long             | DBT              | CORP              | US        |     6454000 | PA      | $6495292.69   | 0.25%             | 2030-03-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: —       |
| Cedar Funding Ltd                                     | Cedar Funding V CLO Ltd                                                          | CUSIP: 15032AAN7<br>LEI: 635400NWFWJ92O7QGD64 | Long             | ABS-CBDO         | CORP              | KY        |      436734 | PA      | $436963.51    | 0.02%             | 2031-07-17      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WJET1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      214560 | PA      | $206571.22    | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                              | EQT Corp                                                                         | CUSIP: 26884LAQ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     2928000 | PA      | $3011796.23   | 0.12%             | 2028-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    22156000 | PA      | $22031372.50  | 0.85%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                   | PETROLEOS MEXICANOS                                                              | CUSIP: 000000000<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     2965000 | PA      | $2916818.75   | 0.11%             | 2026-03-31      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Taubman Centers Commercial Mortgage Trust             | TCO Commercial Mortgage Trust 2024-DPM                                           | CUSIP: 87231EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1329000 | PA      | $1328584.69   | 0.05%             | 2039-12-15      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FLOURISHING TRADE + INVT LTD                          | FLOURISHING TRADE + INVT LTD                                                     | CUSIP: 343427AA8<br>LEI: 894500SZ5TN63ZJ0Y632 | Long             | DBT              | CORP              | MU        |     2195000 | PA      | $2238900.00   | 0.09%             | 2028-04-02      | Variable      | 11.04%                | No            |                  3 | On Loan: No      |
| BXP Trust                                             | BXP Trust 2021-601L                                                              | CUSIP: 05607TAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      327000 | PA      | $255898.07    | 0.01%             | 2044-01-15      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WJ4W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      562356 | PA      | $500792.12    | 0.02%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hess Corp                                             | Hess Corp                                                                        | CUSIP: 023551AJ3<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |      498000 | PA      | $564808.55    | 0.02%             | 2031-08-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36180DPF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      129889 | PA      | $121125.60    | 0.00%             | 2043-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| D.R. HORTON INC                                       | DR Horton Inc                                                                    | CUSIP: 23331ABS7<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |      666000 | PA      | $658437.21    | 0.03%             | 2034-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| BankAmerica Manufactured Housing Contract Trust       | BankAmerica Manufactured Housing Contract Trust                                  | CUSIP: 06606FAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      470000 | PA      | $48367.89     | 0.00%             | 2022-02-10      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| DREYFUS TREASURY & AGENCY LEX                         | DREYFUS TREASURY & AGENCY LEX                                                    | CUSIP: 261908107<br>LEI: N/A                  | Long             | STIV             | RF                | US        |      600000 | NS      | $600000.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XDS49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1179932 | PA      | $951179.81    | 0.04%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                   | BWAY 2013-1515 Mortgage Trust                                                    | CUSIP: 05604FAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1495000 | PA      | $1367343.59   | 0.05%             | 2033-03-10      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                 | Wells Fargo Commercial Mortgage Trust 2016-BNK1                                  | CUSIP: 95000GAA2<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |     1430000 | PA      | $17405.23     | 0.00%             | 2049-08-15      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138A5V66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       87854 | PA      | $89815.40     | 0.00%             | 2041-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                          | Voya CLO 2019-1 Ltd                                                              | CUSIP: 92917NAW8<br>LEI: 549300KSCKXTOBY0IP86 | Long             | ABS-CBDO         | CORP              | KY        |     1990000 | PA      | $1993522.30   | 0.08%             | 2037-10-15      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                        | Bayview Commercial Asset Trust 2007-6                                            | CUSIP: 07326FAE8<br>LEI: 5493003DOWFR7J1QCW02 | Long             | ABS-MBS          | CORP              | US        |      732264 | PA      | $646384.69    | 0.02%             | 2037-12-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31416WSC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      282662 | PA      | $281961.31    | 0.01%             | 2039-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION                              | FirstEnergy Transmission LLC                                                     | CUSIP: 33767BAC3<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     1440000 | PA      | $1220549.59   | 0.05%             | 2049-04-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                  | Glencore Funding LLC                                                             | CUSIP: 378272BZ0<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      262000 | PA      | $267120.09    | 0.01%             | 2030-04-01      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| KONDOR FINANCE PLC (NAK)                              | NAK Naftogaz Ukraine via Kondor Finance PLC                                      | CUSIP: 000000000<br>LEI: 213800PUC1T9GI6EIO63 | Long             | DBT              | CORP              | GB        |      468881 | PA      | $477064.76    | 0.02%             | 2026-07-19      | Fixed         | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                        | Bayview Commercial Asset Trust 2006-1                                            | CUSIP: 07324SDF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       48835 | PA      | $45658.59     | 0.00%             | 2036-04-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                              | Targa Resources Partners LP / Targa Resources Partners Finance Corp              | CUSIP: 87612BBU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      102000 | PA      | $95062.81     | 0.00%             | 2032-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS          | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-8 Trust   | CUSIP: 93935EAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      850174 | PA      | $285759.46    | 0.01%             | 2036-10-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3047857 | PA      | $2586343.98   | 0.10%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.                            | Impac Secured Assets Trust 2006-3                                                | CUSIP: 45255RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      118799 | PA      | $107873.68    | 0.00%             | 2036-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2681000 | PA      | $1321858.69   | 0.05%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| SOFI PERS LN TR 2024 1                                | SOFI PERS LN TR 2024 1                                                           | CUSIP: 83407R105<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       23003 | PA      | $648246.62    | 0.03%             | 2031-02-12      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                      | Georgia Power Co                                                                 | CUSIP: 373334LA7<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |      421000 | PA      | $430133.66    | 0.02%             | 2031-03-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QNFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      367999 | PA      | $312842.66    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                    | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      252000 | PA      | $225215.23    | 0.01%             | 2033-01-25      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31391JQR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11323 | PA      | $11513.67     | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| J&J Ventures Gaming, LLC                              | J&J Ventures Gaming LLC 2025 Repriced Term Loan B                                | CUSIP: 46604BAH1<br>LEI: 549300BYPH8FLKS5ZS70 | Long             | LON              | CORP              | US        |      312561 | PA      | $309093.65    | 0.01%             | 2030-04-26      | Floating      | 7.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Government National Mortgage Association                                         | CUSIP: 38382TBX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1576613 | PA      | $266152.85    | 0.01%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc          | BAMLL Trust 2025-ASHF                                                            | CUSIP: 05494CAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      585000 | PA      | $581246.99    | 0.02%             | 2042-02-15      | Floating      | 9.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132M57A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      333487 | PA      | $314327.03    | 0.01%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                              | Duke Energy Progress LLC                                                         | CUSIP: 26442UAR5<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |      391000 | PA      | $371802.04    | 0.01%             | 2053-03-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                   | Petroleos Mexicanos                                                              | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |       69800 | PA      | $72315.49     | 0.00%             | 2029-06-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                                 | Silver Point Clo 8 Ltd                                                           | CUSIP: 827918AA1<br>LEI: 254900U97WKD6RJ07L38 | Long             | ABS-CBDO         | CORP              | KY        |      770000 | PA      | $768863.48    | 0.03%             | 2038-04-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Bank                                | WASHINGTON MUTUAL INC COMMON                                                     | CUSIP: 939ESCAZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3780000 | PA      | $0.38         | 0.00%             | 2049-09-21      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 31335BEU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      320096 | PA      | $312448.64    | 0.01%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                           | PURCHASED USD / SOLD EGP                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-10608.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TURK TELEKOMUNIKASYON AS                              | Turk Telekomunikasyon AS                                                         | CUSIP: 000000000<br>LEI: 789000A2TXOI10JZLF90 | Long             | DBT              | CORP              | TR        |      940000 | PA      | $958452.20    | 0.04%             | 2029-05-20      | Fixed         | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Pony                                                  | Pony SA                                                                          | CUSIP: 000000000<br>LEI: 2221001FWHVHKUW4NQ77 | Long             | ABS-O            | CORP              | LU        |      100000 | PA      | $118096.27    | 0.00%             | 2033-01-14      | Floating      | 3.54%                 | Yes           |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                | Diamondback Energy Inc                                                           | CUSIP: 25278XAR0<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     5682000 | PA      | $5204399.94   | 0.20%             | 2031-03-24      | Fixed         | 3.12%                 | No            |                  2 | On Loan: —       |
| JP Morgan Chase Commercial Mortgage Sec Trust         | JP Morgan Chase Commercial Mortgage Securities Trust 2021-MHC                    | CUSIP: 466330AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      959000 | PA      | $959599.38    | 0.04%             | 2038-04-15      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31390MJS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1216 | PA      | $1232.21      | 0.00%             | 2032-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO                                        | PECO Energy Co                                                                   | CUSIP: 693304BD8<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |      643000 | PA      | $549942.94    | 0.02%             | 2052-05-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138A5WW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4714 | PA      | $4661.74      | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132QSGT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      390547 | PA      | $374108.11    | 0.01%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WJEN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      148162 | PA      | $142456.27    | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                            | Navient Private Education Refi Loan Trust 2024-A                                 | CUSIP: 63943CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1896362 | PA      | $1920854.35   | 0.07%             | 2072-10-15      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                | RR 32 LTD /old                                                                   | CUSIP: 74988CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1860000 | PA      | $1863571.20   | 0.07%             | 2039-10-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| WILLIAM CARTER                                        | William Carter Co/The                                                            | CUSIP: 96926JAC1<br>LEI: TGI2A0HXEYNQPU7TYV27 | Long             | DBT              | CORP              | US        |       21000 | PA      | $20869.46     | 0.00%             | 2027-03-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132WJTW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      374850 | PA      | $334359.38    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                   | BYDGRNYA7 BLACKROCK SWAPTION 3.93 PUT USD 20270329                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |     2150400 | NC      | $75967.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                      | CIFC Funding 2021-I Ltd                                                          | CUSIP: 12563EAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      730000 | PA      | $732717.79    | 0.03%             | 2037-07-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                    | Chase Mortgage Finance Trust Series 2007-A1                                      | CUSIP: 161630AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1132842 | PA      | $1122626.34   | 0.04%             | 2037-02-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                              | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1552500 | PA      | $1448555.28   | 0.06%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31410G4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      127434 | PA      | $133595.48    | 0.01%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31371KWH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39484 | PA      | $40814.58     | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138EP4Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      144065 | PA      | $140752.96    | 0.01%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | FSWP: JPY 0.685000 21-APR-2027 FTO                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  3296037736 | OU      | $28979.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WKLB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      110083 | PA      | $105552.30    | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Commercial Mortgage Trust 2024-MDHS                                           | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1874423 | PA      | $1876766.42   | 0.07%             | 2041-05-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140KYYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1510110 | PA      | $1202097.06   | 0.05%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F040479<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       51000 | PA      | $49879.07     | 0.00%             | 2039-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                | GSAA Home Equity Trust 2006-18                                                   | CUSIP: 3622ELAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      155098 | PA      | $42472.75     | 0.00%             | 2036-11-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QNNT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1179517 | PA      | $949071.43    | 0.04%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140X8MY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      378861 | PA      | $322078.18    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                | US LONG BOND(CBT) SEP25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         445 | NC      | $1157649.69   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| AEP TRANSMISSION CO LLC                               | AEP Transmission Co LLC                                                          | CUSIP: 00115AAS8<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |      190000 | PA      | $194134.39    | 0.01%             | 2035-06-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| BX Trust                                              | BX Trust 2021-LBA                                                                | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      162000 | PA      | $161898.75    | 0.01%             | 2036-02-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                              | Vistra Operations Co LLC                                                         | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     3336000 | PA      | $3464302.56   | 0.13%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| GS Mortgage Securities Trust                          | GS Mortgage Securities Corp Trust 2017-GPTX                                      | CUSIP: 36257CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      602464 | PA      | $524751.05    | 0.02%             | 2034-05-10      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138M5G37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      277880 | PA      | $276476.70    | 0.01%             | 2042-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36177YDZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      162506 | PA      | $151641.53    | 0.01%             | 2042-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MATTAMY GROUP CORP                                    | Mattamy Group Corp                                                               | CUSIP: 57701RAM4<br>LEI: 5493008TNY7A82WCXU31 | Long             | DBT              | CORP              | CA        |      337000 | PA      | $323904.72    | 0.01%             | 2030-03-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36197MQM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       61007 | PA      | $59317.76     | 0.00%             | 2047-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Maverick Gaming LLC                                   | Maverick Gaming LLC 2024 PIK Term Loan                                           | CUSIP: 57770JAD8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      267246 | PA      | $243862.41    | 0.01%             | 2028-06-03      | Floating      | 13.78%                | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140N8U97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      472915 | PA      | $468619.52    | 0.02%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Securitizations Corp.                 | Conseco Finance Securitizations Corp                                             | CUSIP: 20846QBP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      586391 | PA      | $80028.33     | 0.00%             | 2029-09-01      | Variable      | 8.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140NGTP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      400913 | PA      | $403721.25    | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DVMA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     7780483 | PA      | $6848312.24   | 0.26%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                 | Wells Fargo Commercial Mortgage Trust 2024-BPRC                                  | CUSIP: 95004AAJ2<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |      170000 | PA      | $172266.27    | 0.01%             | 2043-07-15      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179NJB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       54330 | PA      | $51801.46     | 0.00%             | 2043-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                       | CSAIL 2019-C16 Commercial Mortgage Trust                                         | CUSIP: 12596WAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6872558 | PA      | $335756.05    | 0.01%             | 2052-06-15      | Variable      | 1.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132HNDN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       28392 | PA      | $26754.00     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 3620ARHV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5745 | PA      | $5767.44      | 0.00%             | 2040-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                                      | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                          | CUSIP: 403956AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      815000 | PA      | $813471.88    | 0.03%             | 2037-05-15      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| Point Broadband Funding LLC                           | Point Broadband Funding LLC                                                      | CUSIP: 73052AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1276000 | PA      | $1276000.00   | 0.05%             | 2055-07-20      | Fixed         | 8.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XDQE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      531766 | PA      | $428676.91    | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                      | Onemain Financial Issuance Trust 2024-1                                          | CUSIP: 68269NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2497000 | PA      | $2612927.97   | 0.10%             | 2041-05-14      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                              | Discovery Communications LLC                                                     | CUSIP: 25470DAL3<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |      177000 | PA      | $176713.26    | 0.01%             | 2026-03-11      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                              | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6100000 | PA      | $6123351.53   | 0.24%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31418ELX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      391545 | PA      | $386046.37    | 0.01%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bombardier Capital Mortgage Securitization Corp.      | BCMSC Trust 2000-A                                                               | CUSIP: 09774XBN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1270292 | PA      | $88835.11     | 0.00%             | 2030-06-15      | Variable      | 7.58%                 | No            |                  2 | On Loan: No      |
| UWM HOLDINGS LLC                                      | UWM Holdings LLC                                                                 | CUSIP: 903522AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      196000 | PA      | $196202.56    | 0.01%             | 2030-02-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QM4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2453678 | PA      | $2069964.90   | 0.08%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2007-5CB                                                  | CUSIP: 02150EBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      509716 | PA      | $234027.07    | 0.01%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                              | CUSIP: 912828X88<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    13530500 | PA      | $13195937.28  | 0.51%             | 2027-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Bryant Park Funding Ltd                               | Bryant Park Funding 2023-19 Ltd                                                  | CUSIP: 11765AAQ2<br>LEI: 5493004CTFWJSWYD8564 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $248507.50    | 0.01%             | 2038-04-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179RQ28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       63034 | PA      | $58660.56     | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132QTAC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       60619 | PA      | $56073.54     | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                       | SWAP/CDSWAP/ICE: (CDX.NA.HY.44.V1)                                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   113402105 | OU      | $8511848.60   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                              | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1211000 | PA      | $1088484.23   | 0.04%             | 2033-01-25      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138YNTH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22281 | PA      | $21450.25     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179N2J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      626506 | PA      | $584857.03    | 0.02%             | 2044-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                | General Motors Financial Co Inc                                                  | CUSIP: 37045XFC5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      123000 | PA      | $123652.53    | 0.00%             | 2035-01-07      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                                   | PURCHASED SEK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | SE        |           1 | NC      | $-592.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.      | Freddie Mac Multifamily Structured Pass Through Certificates                     | CUSIP: 3137FMUR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     5863549 | PA      | $130042.97    | 0.01%             | 2029-05-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    12401723 | PA      | $9887668.84   | 0.38%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                | Diamondback Energy Inc                                                           | CUSIP: 25278XAT6<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |      303000 | PA      | $228000.22    | 0.01%             | 2052-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| Royal Bank of Canada                                  | PURCHASED CAD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | CA        |           1 | NC      | $-5553.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 312941KX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       25083 | PA      | $25033.15     | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                | SWAP/CDSWAP/SCDS: (UBS)                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | DE        |       37000 | OU      | $-868.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                      | Cifc Funding 2023-III Ltd                                                        | CUSIP: 12598YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      390000 | PA      | $391092.00    | 0.02%             | 2037-01-20      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                              | OCP SA                                                                           | CUSIP: 67091TAF2<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |      200000 | PA      | $207158.20    | 0.01%             | 2034-05-02      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36179F7F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      123108 | PA      | $114761.24    | 0.00%             | 2043-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| XHR LP                                                | XHR LP                                                                           | CUSIP: 98372MAC9<br>LEI: 549300M88BPT83ZL2164 | Long             | DBT              |  | US        |       52000 | PA      | $50395.98     | 0.00%             | 2029-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                        | Solventum Corp                                                                   | CUSIP: 83444MAP6<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |      423000 | PA      | $435590.86    | 0.02%             | 2029-03-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      852000 | PA      | $778049.06    | 0.03%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                              | CUSIP: 91282CKE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10412300 | PA      | $10491205.66  | 0.41%             | 2027-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140X7CB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      896289 | PA      | $845262.82    | 0.03%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                      | SMB Private Education Loan Trust 2015-B                                          | CUSIP: 78448QAE8<br>LEI: 549300ZLJ4U248VKSJ66 | Long             | ABS-O            | CORP              | US        |      321576 | PA      | $319567.03    | 0.01%             | 2040-12-17      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      321409 | PA      | $300544.53    | 0.01%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Products Inc.                 | Bear Stearns Structured Products Trust 2007-EMX1                                 | CUSIP: 07402LAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      553330 | PA      | $549770.77    | 0.02%             | 2037-03-25      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                    | JP Morgan Alternative Loan Trust 2007-A1                                         | CUSIP: 466287AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      386140 | PA      | $319637.17    | 0.01%             | 2037-03-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DPF86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1620530 | PA      | $1605810.39   | 0.06%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WCK85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      235403 | PA      | $229238.28    | 0.01%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DM6P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      329595 | PA      | $311844.46    | 0.01%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                  | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | N/A              | DFE              |  | US        |           1 | NC      | $729.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140X82Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      428527 | PA      | $381045.29    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WFZF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      175636 | PA      | $169533.43    | 0.01%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                      | Bain Capital Credit CLO 2018-2                                                   | CUSIP: 05682VAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250348.50    | 0.01%             | 2031-07-19      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                | RR 19 Ltd                                                                        | CUSIP: 74983AAL7<br>LEI: 549300RJ4N2AJDFNE876 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250510.00    | 0.01%             | 2040-04-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                      | CUSIP: 694308KJ5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      794000 | PA      | $817783.87    | 0.03%             | 2033-01-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                        | Bayview Commercial Asset Trust 2005-4                                            | CUSIP: 07324SCT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       32950 | PA      | $31130.26     | 0.00%             | 2036-01-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| CIVITAS RESOURCES INC                                 | Civitas Resources Inc                                                            | CUSIP: 17888HAA1<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |      268000 | PA      | $274408.15    | 0.01%             | 2028-07-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138XJDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      160422 | PA      | $157994.73    | 0.01%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138XLUU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      321584 | PA      | $317069.48    | 0.01%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                           | Gartner Inc                                                                      | CUSIP: 366651AG2<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |     1505000 | PA      | $1430907.19   | 0.06%             | 2029-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                       | Benefit Street Partners CLO XX Ltd                                               | CUSIP: 08182KAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250031.25    | 0.01%             | 2034-07-15      | Floating      | 11.27%                | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |           1 | NC      | $-276602.77   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QM4E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2017314 | PA      | $1706618.11   | 0.07%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4005525 | PA      | $113656.36    | 0.00%             | 2052-02-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                  | Glencore Funding LLC                                                             | CUSIP: 378272BS6<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      354000 | PA      | $362968.98    | 0.01%             | 2029-04-04      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                          | Ecopetrol SA                                                                     | CUSIP: 279158AW9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      953000 | PA      | $936562.72    | 0.04%             | 2032-02-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | FSWP: OIS 4.307000 17-SEP-2025 FED                                               | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   987216000 | OU      | $59491.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 312934WB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      222652 | PA      | $220607.17    | 0.01%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                         | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     1589000 | PA      | $1066066.68   | 0.04%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36198QTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       91435 | PA      | $86527.43     | 0.00%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F020679<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2700000 | PA      | $2136746.52   | 0.08%             | 2054-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                | CCO Holdings LLC / CCO Holdings Capital Corp                                     | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       29000 | PA      | $27507.28     | 0.00%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| Bay Area Toll Authority                               | BAY AREA CA TOLL AUTH TOLL BRIDGE REVENUE                                        | CUSIP: 072024NV0<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |     1215000 | PA      | $1377102.63   | 0.05%             | 2050-04-01      | Fixed         | 7.04%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12026300 | PA      | $8935634.83   | 0.35%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                              | EQT Corp                                                                         | CUSIP: 26884LAR0<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     4046000 | PA      | $4183432.22   | 0.16%             | 2034-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31418CXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33814 | PA      | $32003.92     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Whitebox CLO Ltd                                      | Whitebox Clo II Ltd                                                              | CUSIP: 96466CAW8<br>LEI: 549300C89ZJ5IWOT1F21 | Long             | ABS-CBDO         | CORP              | KY        |      981000 | PA      | $983181.74    | 0.04%             | 2037-10-24      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QNEJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      769482 | PA      | $621726.11    | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UBS Europe SE                                         | BYDJFDDZ4 BLACKROCK FXVAN PUT EUR USD 1.0550000                                  | CUSIP: 000000000<br>LEI: 5299007QVIQ7IO64NX37 | N/A              | DFE              |  | US        |     -600000 | OU      | $-0.71        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority                 | MET TRANSPRTN AUTH NY REVENUE                                                    | CUSIP: 59259YGF0<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |      210000 | PA      | $227779.73    | 0.01%             | 2040-11-15      | Fixed         | 6.81%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F042475<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3697000 | PA      | $3673138.38   | 0.14%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Battalion CLO LTD                                     | Battalion CLO 18 Ltd                                                             | CUSIP: 07134QAQ9<br>LEI: 549300WYAEH0STKIKE49 | Long             | ABS-CBDO         | CORP              | KY        |      298000 | PA      | $298183.27    | 0.01%             | 2036-10-15      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Fin Square Govt Fd                      | Goldman Sachs Fin Square Govt Fd                                                 | CUSIP: 38141W273<br>LEI: N/A                  | Long             | STIV             | RF                | US        |      600000 | NS      | $600000.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3582800 | PA      | $3282320.63   | 0.13%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                          | CUSIP: 404119CB3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      137000 | PA      | $90752.22     | 0.00%             | 2051-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fortuna Consumer Loan ABS                             | Fortuna Consumer Loan Abs 2024-2 DAC                                             | CUSIP: 000000000<br>LEI: 635400WJJIABFKEPEL72 | Long             | ABS-O            | CORP              | IE        |      300000 | PA      | $357613.45    | 0.01%             | 2034-10-18      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                  | BlueMountain CLO 2018-3 Ltd                                                      | CUSIP: 09630AAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      970000 | PA      | $972667.50    | 0.04%             | 2030-10-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F042673<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -25530000 | PA      | $-24417440.38 | -0.94%            | 2054-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                 | Palmer Square CLO 2019-1 Ltd                                                     | CUSIP: 69700GAJ1<br>LEI: 549300Y43K78UTRMTN21 | Long             | ABS-CBDO         | CORP              | KY        |      550000 | PA      | $550387.20    | 0.02%             | 2034-11-14      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DNHX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      459929 | PA      | $434873.72    | 0.02%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                      | CIFC Funding 2020-III Ltd                                                        | CUSIP: 12560EAQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250994.00    | 0.01%             | 2034-10-20      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 31335BFU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      282603 | PA      | $275967.98    | 0.01%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                               | Dryden 65 CLO Ltd                                                                | CUSIP: 26251YAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250377.50    | 0.01%             | 2030-07-18      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                           | 3 MONTH SOFR OPT  OCT25P 96 EXP 10/10/2025                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |       -1074 | NC      | $-120825.00   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2006-OA16                                                 | CUSIP: 23242GAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      481583 | PA      | $447883.15    | 0.02%             | 2046-10-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138ECKY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33073 | PA      | $31042.93     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36202DZX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      205970 | PA      | $207448.63    | 0.01%             | 2033-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ORL TRUST                                             | ORL Trust 2024-GLKS                                                              | CUSIP: 67120DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2560000 | PA      | $2559200.00   | 0.10%             | 2039-12-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORP CHRISTI HD                              | Cheniere Corpus Christi Holdings LLC                                             | CUSIP: 16412XAG0<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |     3045000 | PA      | $3073544.16   | 0.12%             | 2027-06-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      134270 | PA      | $125738.74    | 0.00%             | 2047-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       88354 | PA      | $71866.70     | 0.00%             | 2052-02-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                       | Benefit Street Partners CLO VIII Ltd                                             | CUSIP: 08180XAN2<br>LEI: 549300D98ZLKNSI8CN63 | Long             | ABS-CBDO         | CORP              | KY        |      451599 | PA      | $451677.86    | 0.02%             | 2031-01-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Voya Euro CLO                                         | Voya Euro CLO V DAC                                                              | CUSIP: 000000000<br>LEI: 549300IGE7MPYA8F0423 | Long             | ABS-CBDO         | CORP              | IE        |      340000 | PA      | $400556.49    | 0.02%             | 2035-04-15      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Aimco                                                 | AIMCO CLO 21 Ltd                                                                 | CUSIP: 00901WAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |      250000 | PA      | $250905.75    | 0.01%             | 2037-04-18      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 29 Ltd                                    | Elmwood CLO 29 Ltd                                                               | CUSIP: 289913AC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      730000 | PA      | $731825.00    | 0.03%             | 2037-04-20      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| American Tower Corp                                   | American Tower Corp                                                              | CUSIP: 03027XAU4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |      599000 | PA      | $586386.80    | 0.02%             | 2029-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QNEK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1776335 | PA      | $1431936.81   | 0.06%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                     | Citigroup Mortgage Loan Trust 2007-AHL3                                          | CUSIP: 17312GAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      509622 | PA      | $352351.35    | 0.01%             | 2045-07-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132G0B58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       39572 | PA      | $39033.60     | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                     | EURO-BUXL 30Y BND SEP25                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -62 | NC      | $118161.74    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| RR Ltd                                                | RR 38 Ltd                                                                        | CUSIP: 74988FAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1620000 | PA      | $1618130.52   | 0.06%             | 2040-04-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Panama Government International Bonds                 | Panama Government International Bonds                                            | CUSIP: 698299BM5<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     1811000 | PA      | $1171608.29   | 0.05%             | 2056-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QHPS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      363167 | PA      | $333842.44    | 0.01%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ELP 2021-ELP                                          | ELP Commercial Mortgage Trust 2021-ELP                                           | CUSIP: 26863LAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      411663 | PA      | $411148.25    | 0.02%             | 2038-11-15      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| Edenbrook Mortgage Funding Plc                        | Edenbrook Mortgage Funding PLC                                                   | CUSIP: 000000000<br>LEI: 635400URO7UOS6PWLH17 | Long             | ABS-MBS          | CORP              | GB        |      138924 | PA      | $191538.12    | 0.01%             | 2057-03-22      | Floating      | 6.79%                 | Yes           |                  2 | On Loan: No      |
| Chicago Board of Trade                                | US 5YR NOTE (CBT) SEP25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        1525 | NC      | $1743011.56   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Nelnet Student Loan Trust                             | Nelnet Student Loan Trust 2021-D                                                 | CUSIP: 64034YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      170000 | PA      | $145938.18    | 0.01%             | 2062-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                              | AT&T Inc                                                                         | CUSIP: 00206RKB7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     1211000 | PA      | $846752.77    | 0.03%             | 2060-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      703000 | PA      | $624863.64    | 0.02%             | 2032-04-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| ARES Commercial Mortgage Trust                        | ARES1 2024-IND2                                                                  | CUSIP: 04021EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1120000 | PA      | $1121047.65   | 0.04%             | 2034-10-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9665200 | PA      | $9628955.50   | 0.37%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2007-9T1                                                  | CUSIP: 02150JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1938276 | PA      | $884887.16    | 0.03%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                             | BXP Trust 2017-CC                                                                | CUSIP: 05607CAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      260000 | PA      | $217153.33    | 0.01%             | 2037-08-13      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Coreweave Compute Acquisition Co II LLC               | Coreweave Compute Acquisition Co II LLC Delayed Draw Term Loan                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     1946800 | PA      | $1929862.86   | 0.07%             | 2028-07-31      | Floating      | 17.53%                | Yes           |                  3 | On Loan: No      |
| Bluemountain CLO Ltd                                  | BlueMountain CLO 2018-2 Ltd                                                      | CUSIP: 09629VAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250482.50    | 0.01%             | 2031-08-15      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Inflation-Indexed Notes                                            | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1631056 | PA      | $1651074.02   | 0.06%             | 2029-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                                      | HILT COMMERCIAL MORTGAGE TRUST 2024-ORL                                          | CUSIP: 403956AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1946000 | PA      | $1947216.25   | 0.08%             | 2037-05-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                           | SWAP/CDSWAP/SCDS: (AXP)                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |     3000000 | OU      | $-89296.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                             | Anchorage Capital Clo 17 Ltd                                                     | CUSIP: 03332PAN7<br>LEI: 549300UNU854VTZYQ112 | Long             | ABS-CBDO         | CORP              | KY        |     1890000 | PA      | $1888939.71   | 0.07%             | 2038-02-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                   | LCM 26 Ltd                                                                       | CUSIP: 50200FAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      229251 | PA      | $229223.03    | 0.01%             | 2031-01-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132KFAE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       12263 | PA      | $11865.14     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                                  | Pilgrim's Pride Corp                                                             | CUSIP: 72147KAK4<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |      436000 | PA      | $460974.08    | 0.02%             | 2033-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                        | Morgan Stanley                                                                   | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      280000 | PA      | $245198.83    | 0.01%             | 2032-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| SONDER COMMON 5 YR WARRANTS                           | SONDER COMMON 5 YR WARRANTS                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |       43128 | NS      | $63398.07     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| Morgan Stanley Capital Services LLC                   | BYDGRNY90 BLACKROCK SWAPTION 3.93 CALL USD 2027032                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |     2150400 | NC      | $94288.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132CWS47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      597566 | PA      | $549469.62    | 0.02%             | 2035-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                          | Broadcom Inc                                                                     | CUSIP: 11135FBH3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      143000 | PA      | $127869.86    | 0.00%             | 2031-02-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Bridge Street CLO Ltd                                 | Bridge Street CLO II Ltd                                                         | CUSIP: 10806JAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250173.75    | 0.01%             | 2034-07-20      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                             | Anchorage Capital CLO 15 Ltd                                                     | CUSIP: 03329FAW4<br>LEI: 549300H5Q0HJ2EHSSX26 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250000.00    | 0.01%             | 2038-07-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36196FZE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       98890 | PA      | $91174.44     | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QM3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1562378 | PA      | $1259479.49   | 0.05%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                             | Anchorage Capital CLO 7 Ltd                                                      | CUSIP: 03328TBY0<br>LEI: 54930014PVHLSZJQK139 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $251882.25    | 0.01%             | 2037-04-28      | Floating      | 8.08%                 | No            |                  2 | On Loan: No      |
| TOUCAN FINCO LTD/CAN/US                               | Toucan FinCo Ltd/Toucan FinCo Can Inc/Toucan FinCo US LLC                        | CUSIP: 89157UAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      502000 | PA      | $513153.30    | 0.02%             | 2030-05-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| SONDER BRIDGE NOTES                                   | SONDER BRIDGE NOTES                                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      205012 | PA      | $175797.51    | 0.01%             | 2027-12-10      | Fixed         | 7.00%                 | Yes           |                  3 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                              | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1622000 | PA      | $1297710.73   | 0.05%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138EH3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      828366 | PA      | $866904.28    | 0.03%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179XND4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4251953 | PA      | $3990671.96   | 0.15%             | 2052-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QNNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      824824 | PA      | $664902.15    | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9628000 | PA      | $6133712.94   | 0.24%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                              | Ajax Mortgage Loan Trust 2021-E                                                  | CUSIP: 009740AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      449000 | PA      | $287904.23    | 0.01%             | 2060-12-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140H8AS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       48805 | PA      | $47528.33     | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                                | Canyon CLO 2020-3 Ltd                                                            | CUSIP: 13876RAS3<br>LEI: 25490032WO5XW3V7KL43 | Long             | ABS-CBDO         | CORP              | KY        |      290000 | PA      | $291053.28    | 0.01%             | 2037-10-15      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3128M9ZF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      190082 | PA      | $192682.06    | 0.01%             | 2041-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                              | CUSIP: 46647PCJ3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     2545000 | PA      | $2387018.57   | 0.09%             | 2029-06-01      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                              | Warnermedia Holdings Inc                                                         | CUSIP: 55903VBL6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     2286000 | PA      | $2230770.24   | 0.09%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132G5AU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       27852 | PA      | $27449.53     | 0.00%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KEY BANK NA                                           | KeyBank NA/Cleveland OH                                                          | CUSIP: 49327M3H5<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |     1910000 | PA      | $1884773.81   | 0.07%             | 2033-01-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mortimer BTL Plc                                      | Mortimer 2024-Mix PLC                                                            | CUSIP: 000000000<br>LEI: 213800F12CZ391USLI51 | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $137653.84    | 0.01%             | 2067-09-22      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                    | CUSIP: 17327CAT0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     1120000 | PA      | $1114923.22   | 0.04%             | 2030-09-19      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                | Rockford Tower CLO 2017-1 Ltd                                                    | CUSIP: 77340EAW6<br>LEI: 5493007GXSFXDXOXG741 | Long             | ABS-CBDO         | CORP              | KY        |      856000 | PA      | $858062.10    | 0.03%             | 2034-04-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133BMN27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       37814 | PA      | $37331.17     | 0.00%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WTV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29093 | PA      | $28563.58     | 0.00%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae                                                                       | CUSIP: 21H050672<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    13898000 | PA      | $13649882.06  | 0.53%             | 2054-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XFGB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1917968 | PA      | $1607686.10   | 0.06%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                             | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F050676<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    36014000 | PA      | $35290124.36  | 1.36%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31417F4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      329117 | PA      | $296908.64    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd                                        | Romark WM-R Ltd                                                                  | CUSIP: 77587AAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      226207 | PA      | $226263.16    | 0.01%             | 2031-04-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                               | Dryden 77 CLO Ltd                                                                | CUSIP: 26252VAS0<br>LEI: 254900XGNUOV0Y3IBA68 | Long             | ABS-CBDO         | CORP              | KY        |      610000 | PA      | $610228.14    | 0.02%             | 2034-05-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| CFK Trust                                             | CFK Trust 2019-FAX                                                               | CUSIP: 12528XAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      728000 | PA      | $678995.19    | 0.03%             | 2039-01-15      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      147202 | PA      | $140762.95    | 0.01%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NEWDAY FUNDING                                        | Newday Funding Master Issuer PLC - Series 2024-2                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |      246000 | PA      | $340651.78    | 0.01%             | 2032-07-15      | Floating      | 6.87%                 | Yes           |                  2 | On Loan: No      |
| CRSO TR 2023 BRND                                     | CRSO TR 2023 BRND                                                                | CUSIP: 228925AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5522122 | PA      | $5793486.81   | 0.22%             | 2040-07-10      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31412RHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16038 | PA      | $15991.55     | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1956200 | PA      | $1747360.37   | 0.07%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Asimi Funding Holdings Limited                        | Asimi Funding 2024-1 PLC                                                         | CUSIP: 000000000<br>LEI: 635400ED9TX8KJO28Q39 | Long             | ABS-O            | CORP              | GB        |      100000 | PA      | $137667.43    | 0.01%             | 2031-09-16      | Floating      | 6.17%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140J6DA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15530 | PA      | $14948.44     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140X8XE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1449043 | PA      | $1165656.23   | 0.05%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                   | Mastr Asset Backed Securities Trust 2007-HE1                                     | CUSIP: 576457AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      621846 | PA      | $525808.29    | 0.02%             | 2037-05-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO Ltd.                                  | Birch Grove CLO 3 Ltd                                                            | CUSIP: 09076VAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      910000 | PA      | $911170.26    | 0.04%             | 2038-01-19      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                   | JPMorgan Chase & Co                                                              | CUSIP: 46625H100<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EC               | CORP              | US        |        6929 | NS      | $2008786.39   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| T-MOBILE USA INC                                      | T-Mobile USA Inc                                                                 | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     3380000 | PA      | $3282716.16   | 0.13%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                               | BYDK1BZK9 BLACKROCK SWAPTION 4.025 PUT USD 2025081                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  -138195000 | NC      | $-28135.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WOM CHILE HOLDCO SPA                                  | WOM Chile Holdco SpA                                                             | CUSIP: 97810KAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | CL        |      546844 | PA      | $540363.90    | 0.02%             | 2032-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HR OTTAWA LP                                          | HR Ottawa LP                                                                     | CUSIP: 44331MAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     3772000 | PA      | $3706976.00   | 0.14%             | 2031-03-31      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| OCEANA A 4 YEAR                                       | OCEANA A 4 YEAR                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |      759000 | PA      | $523913.36    | 0.02%             | 2027-07-31      | Fixed         | 12.50%                | Yes           |                  3 | On Loan: No      |
| Vericrest Opportunity Loan Transferee                 | VOLT CVI LLC                                                                     | CUSIP: 92873KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1020682 | PA      | $1017516.91   | 0.04%             | 2051-12-26      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138XPHS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      124989 | PA      | $123238.98    | 0.00%             | 2029-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc                                  | SCG Commercial Mortgage Trust 2025-DLFN                                          | CUSIP: 78398EAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      581000 | PA      | $585841.76    | 0.02%             | 2035-03-15      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XGPR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      768856 | PA      | $704396.72    | 0.03%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31412TMY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       38919 | PA      | $39570.86     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                        | Morgan Stanley                                                                   | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     3364000 | PA      | $3315972.27   | 0.13%             | 2029-01-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| HCA INC                                               | HCA Inc                                                                          | CUSIP: 404119BZ1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      252000 | PA      | $223866.60    | 0.01%             | 2049-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                        | BYDGPJ908 BR AIS SWAPTION 4.0 CALL USD 20270329                                  | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | US        |      634000 | NC      | $29820.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OCEANA A 2 YEAR                                       | OCEANA A 2 YEAR                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AU        |      304000 | PA      | $200337.76    | 0.01%             | 2025-07-31      | Fixed         | 12.00%                | Yes           |                  3 | On Loan: No      |
| New York City Municipal Water Finance Authority       | NEW YORK CITY NY MUNI WTR FIN AUTH WTR & SWR SYS REVENUE                         | CUSIP: 64972FY34<br>LEI: 549300Q2EHQ6RJPQKP05 | Long             | DBT              | MUN               | US        |      270000 | PA      | $273687.66    | 0.01%             | 2044-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XHWU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      306131 | PA      | $303821.03    | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FULL HOUSE RESORTS INC                                | Full House Resorts Inc                                                           | CUSIP: 359678AC3<br>LEI: 5493009DKIWW0H901Y82 | Long             | DBT              | CORP              | US        |       97000 | PA      | $94252.40     | 0.00%             | 2028-02-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: —       |
| LCH Ltd.                                              | SWP: IFS 2.833750 15-APR-2028 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     8078000 | OU      | $-46191.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                 | CWHEQ Home Equity Loan Trust Series 2006-S5                                      | CUSIP: 126683AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       25993 | PA      | $40078.02     | 0.00%             | 2035-06-25      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                              | Madison Park Funding LXII Ltd                                                    | CUSIP: 55817HAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250344.75    | 0.01%             | 2036-07-17      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133KMW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3705311 | PA      | $2958784.73   | 0.11%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31417FR75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2283355 | PA      | $2054268.05   | 0.08%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corp                                 | Northrop Grumman Corp                                                            | CUSIP: 666807BP6<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |      200000 | PA      | $159468.27    | 0.01%             | 2047-10-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132HNMK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       79115 | PA      | $74384.18     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                      | BRT7MBEL4                                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | GB        |        2619 | OU      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                        | Long Beach Mortgage Loan Trust 2006-7                                            | CUSIP: 54251TAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      487437 | PA      | $194672.60    | 0.01%             | 2036-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                      | CIFC Funding 2021-VI Ltd                                                         | CUSIP: 12553SAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250652.00    | 0.01%             | 2034-10-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       33551 | PA      | $31230.27     | 0.00%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | SWP: IFS 2.561500 15-APR-2029 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     6490000 | OU      | $1133.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                | CHL Mortgage Pass-Through Trust 2006-OA4                                         | CUSIP: 126694E95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3102930 | PA      | $843991.90    | 0.03%             | 2046-04-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                | PURCHASED NGN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | NG        |           1 | NC      | $1795.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      588376 | PA      | $550181.86    | 0.02%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140J7X91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11494 | PA      | $11216.68     | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140J5JU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      554782 | PA      | $512001.29    | 0.02%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                               | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      136000 | PA      | $132083.38    | 0.01%             | 2028-02-24      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                    | Alternative Loan Trust 2006-OA9                                                  | CUSIP: 02146YAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1164023 | PA      | $986486.41    | 0.04%             | 2046-07-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                | US 10YR ULTRA FUT SEP25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -2204 | NC      | $-5280959.07  | -0.20%            |  |  |  | No            |                  1 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                              | Duke Energy Progress LLC                                                         | CUSIP: 26442UAV6<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |      469000 | PA      | $458417.19    | 0.02%             | 2055-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XCGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2650756 | PA      | $2125018.47   | 0.08%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                           | Equinix Inc                                                                      | CUSIP: 29444UBU9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              |  | US        |     2006000 | PA      | $1899927.76   | 0.07%             | 2032-04-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Port of Beaumont Navigation District                  | PORT BEAUMONT TX NAV DIST DOCK& WHARF FAC REVENUE                                | CUSIP: 73360CAS3<br>LEI: 549300G8PKBXALUKJY33 | Long             | DBT              | MUN               | US        |     1475000 | PA      | $1490217.72   | 0.06%             | 2026-07-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Philippines Government International Bonds            | Philippines Government International Bonds                                       | CUSIP: 718286CC9<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     1834000 | PA      | $1771095.32   | 0.07%             | 2028-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WFKW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      136571 | PA      | $134906.95    | 0.01%             | 2030-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Notes                                                              | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8864000 | PA      | $8771551.23   | 0.34%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PINNACLE WEST CAPITAL                                 | Pinnacle West Capital Corp                                                       | CUSIP: 723484AN1<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |     2572000 | PA      | $2632901.15   | 0.10%             | 2030-05-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                         | Citigroup Inc                                                                    | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     4700000 | PA      | $4393441.33   | 0.17%             | 2033-03-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                | Pacific Gas and Electric Co                                                      | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      855000 | PA      | $860254.31    | 0.03%             | 2053-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                        | Mariner Finance issuance Trust 2024-B                                            | CUSIP: 56847GAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      183000 | PA      | $186535.80    | 0.01%             | 2038-11-20      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| Thunder Logistics                                     | Thunder Logistics 2024-1 DAC                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |       71578 | PA      | $84525.78     | 0.00%             | 2036-11-17      | Floating      | 4.68%                 | Yes           |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust             | GoodLeap Home Improvement Solutions Trust 2024-1                                 | CUSIP: 381935AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      232687 | PA      | $235334.80    | 0.01%             | 2046-10-20      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | SWP: IFS 2.641000 15-APR-2029 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     6462000 | OU      | $-23909.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Regatta XXIV Funding Ltd.                             | Regatta XXIV Funding Ltd                                                         | CUSIP: 75889HAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250710.00    | 0.01%             | 2038-01-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140EW4R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       71185 | PA      | $68420.54     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                   | JPMorgan Chase & Co                                                              | CUSIP: 46647PEL6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     4143000 | PA      | $4196126.43   | 0.16%             | 2028-07-22      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| MP Clo III, LTD                                       | MP CLO III LTD                                                                   | CUSIP: 553205AC9<br>LEI: 549300FWSFBNCWDD1P18 | Long             | ABS-CBDO         | CORP              | KY        |       18019 | PA      | $18021.62     | 0.00%             | 2030-10-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Golub Capital Partners CLO 52(B)-R, Ltd.              | Golub Capital Partners CLO 52 B R Ltd                                            | CUSIP: 381945AC8<br>LEI: 254900GLBB9HMWF4NZ09 | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250655.25    | 0.01%             | 2037-04-20      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                      | Trinitas CLO XIV Ltd                                                             | CUSIP: 89641QAS9<br>LEI: 549300095MXHZZMH2053 | Long             | ABS-CBDO         | CORP              | KY        |      560000 | PA      | $560264.32    | 0.02%             | 2034-01-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Henley CLO                                            | Henley CLO IV DAC                                                                | CUSIP: 000000000<br>LEI: 6354009HFM8XXW6PPK55 | Long             | ABS-CBDO         | CORP              | IE        |      100000 | PA      | $117149.08    | 0.00%             | 2034-04-25      | Floating      | 3.51%                 | Yes           |                  2 | On Loan: No      |
| Invitation Homes Inc                                  | Invitation Homes Inc                                                             | CUSIP: 46187W107<br>LEI: N/A                  | Long             | EC               |  | US        |       20048 | NS      | $657574.40    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140XLEP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      468342 | PA      | $480370.68    | 0.02%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                | Velocity Commercial Capital Loan Trust 2017-2                                    | CUSIP: 92258VAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       39173 | PA      | $35271.87     | 0.00%             | 2047-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       36435 | PA      | $27835.96     | 0.00%             | 2052-02-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust 2021-INV7                                             | CUSIP: 46654CAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      119324 | PA      | $100574.19    | 0.00%             | 2052-02-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179RLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       33323 | PA      | $31011.17     | 0.00%             | 2045-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                | Velocity Commercial Capital Loan Trust 2025-1                                    | CUSIP: 922955AK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      313598 | PA      | $316063.80    | 0.01%             | 2055-02-25      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                           | Legacy Mortgage Asset Trust 2021-GS2                                             | CUSIP: 52476DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2281960 | PA      | $2281429.63   | 0.09%             | 2061-04-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust                | Banc of America Alternative Loan Trust 2003-8                                    | CUSIP: 05948XTV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      532460 | PA      | $536254.88    | 0.02%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Edenbrook Mortgage Funding Plc                        | Edenbrook Mortgage Funding PLC                                                   | CUSIP: 000000000<br>LEI: 635400URO7UOS6PWLH17 | Long             | ABS-MBS          | CORP              | GB        |      241132 | PA      | $331230.46    | 0.01%             | 2057-03-22      | Floating      | 6.19%                 | Yes           |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                              | Targa Resources Partners LP / Targa Resources Partners Finance Corp              | CUSIP: 87612BBQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2294000 | PA      | $2328130.54   | 0.09%             | 2030-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                  | Bank of America Corp                                                             | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      131000 | PA      | $127329.22    | 0.00%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                                    | Ohio Power Co                                                                    | CUSIP: 677415CS8<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |      946000 | PA      | $870774.36    | 0.03%             | 2030-04-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: —       |
| Benefit Street Partners CLO Ltd                       | Benefit Street Partners CLO XX Ltd                                               | CUSIP: 08182FAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      310000 | PA      | $310384.09    | 0.01%             | 2034-07-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 3617BFTR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      202536 | PA      | $196293.74    | 0.01%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                      | CARLYLE US CLO 2023-1 LTD                                                        | CUSIP: 14318RAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $250000.00    | 0.01%             | 2035-07-20      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Indonesia Government International Bonds              | Indonesia Government International Bonds                                         | CUSIP: 455780CW4<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     1965000 | PA      | $1292571.03   | 0.05%             | 2051-03-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QM4T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1126796 | PA      | $951528.07    | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                            | Progress Residential 2021-SFR10 Trust                                            | CUSIP: 74333WAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      296418 | PA      | $281091.45    | 0.01%             | 2040-12-17      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                              | SWP: IFS 2.869500 15-APR-2028 USC                                                | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     8078000 | OU      | $-60885.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                     | PRPM 2020-4 LLC                                                                  | CUSIP: 69359XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      772060 | PA      | $771566.17    | 0.03%             | 2025-10-25      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                                | Argent Securities Trust 2006-M1                                                  | CUSIP: 04012MAQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      525035 | PA      | $140098.32    | 0.01%             | 2036-07-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 31402RA58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       55732 | PA      | $56933.19     | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36197MRR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       78792 | PA      | $76569.67     | 0.00%             | 2047-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       95844 | PA      | $90730.87     | 0.00%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Gold Pool                                                            | CUSIP: 3132XWBS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      124602 | PA      | $115236.58    | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Mortimer BTL Plc                                      | Mortimer 2024-Mix PLC                                                            | CUSIP: 000000000<br>LEI: 213800F12CZ391USLI51 | Long             | ABS-MBS          | CORP              | GB        |      100000 | PA      | $137533.87    | 0.01%             | 2067-09-22      | Floating      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust            | Bear Stearns Asset Backed Securities I Trust 2004-HE7                            | CUSIP: 073879EV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1726 | PA      | $1702.16      | 0.00%             | 2034-08-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140Q9ZW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1300357 | PA      | $1296298.81   | 0.05%             | 2033-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae I Pool                                                                | CUSIP: 36177Q6Y4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       68136 | PA      | $63773.16     | 0.00%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      796154 | PA      | $777491.84    | 0.03%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                          | Comcast Corp                                                                     | CUSIP: 20030NDQ1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      443000 | PA      | $231564.97    | 0.01%             | 2062-08-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| YPF SOCIEDAD ANONIMA                                  | YPF SA                                                                           | CUSIP: 984245AX8<br>LEI: 5493003N7447U18U5U53 | Long             | DBT              | CORP              | AR        |      146000 | PA      | $153816.11    | 0.01%             | 2031-01-17      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Panama Government International Bonds                 | Panama Government International Bonds                                            | CUSIP: 698299BF0<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     1279000 | PA      | $1235066.35   | 0.05%             | 2028-03-17      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3140QGSZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      302713 | PA      | $286931.90    | 0.01%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3133KYWH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1341244 | PA      | $1143319.66   | 0.04%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Prodigy Finance Designated Activity Co                | Prodigy Finance CM2021-1 DAC                                                     | CUSIP: 742855AA7<br>LEI: 635400HTAZNW3LYYMQ40 | Long             | ABS-O            | CORP              | IE        |      206419 | PA      | $206221.09    | 0.01%             | 2051-07-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36189MS74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       29483 | PA      | $27555.20     | 0.00%             | 2046-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                           | Freddie Mac Pool                                                                 | CUSIP: 3132DMRG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      253992 | PA      | $231657.19    | 0.01%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                        | Bayview Commercial Asset Trust 2005-4                                            | CUSIP: 07324SCR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       44261 | PA      | $41704.23     | 0.00%             | 2036-01-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                | BRTBK0ZP9                                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | US        |       15687 | OU      | $-10.46       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association              | Ginnie Mae II Pool                                                               | CUSIP: 36196FZF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      123100 | PA      | $113345.51    | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                | U.S. Treasury Bonds                                                              | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3942300 | PA      | $2076945.33   | 0.08%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138LSK41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      106996 | PA      | $103062.40    | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1B PTT                                | Air Canada 2017-1 Class B Pass Through Trust                                     | CUSIP: 00908PAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |        3638 | PA      | $3593.55      | 0.00%             | 2026-01-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $-8392.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                      | Georgia Power Co                                                                 | CUSIP: 373334KP5<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |      747000 | PA      | $512104.12    | 0.02%             | 2051-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                              | Vistra Operations Co LLC                                                         | CUSIP: 92840VAQ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     3038000 | PA      | $3335982.23   | 0.13%             | 2033-10-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                  | Targa Resources Corp                                                             | CUSIP: 87612GAE1<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     1427000 | PA      | $1500709.74   | 0.06%             | 2029-03-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Canyon Capital CLO Ltd                                | Canyon CLO 2023-2 Ltd                                                            | CUSIP: 13887AAE8<br>LEI: 254900FXDN97BW4YMK55 | Long             | ABS-CBDO         | CORP              | JE        |      660000 | PA      | $662329.14    | 0.03%             | 2037-05-15      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS                               | Frontier Communications Holdings LLC                                             | CUSIP: 35908MAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1267400 | PA      | $1280048.65   | 0.05%             | 2029-11-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| HLTN Commercial Mortgage Trust 2024-DPLO              | HLTN Commercial Mortgage Trust 2024-DPLO                                         | CUSIP: 40424UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2918633 | PA      | $2920457.15   | 0.11%             | 2041-06-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                            | Fannie Mae Pool                                                                  | CUSIP: 3138WJH27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      256266 | PA      | $241416.15    | 0.01%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SCG Hotel Issuer Inc                                  | SCG Commercial Mortgage Trust 2025-DLFN                                          | CUSIP: 78398EAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100000 | PA      | $98752.30     | 0.00%             | 2035-03-15      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-30

**Name of Applicant:** Brighthouse Funds Trust II

**Signature:** Alan Otis

**Name of Signer:** Alan Otis

**Title:** Treasurer