# EDGAR Filing Document

**Accession Number:** 0001126087
**File Stem:** 0001752724-25-207198
**Filing Date:** 2025-8
**Character Count:** 428768
**Document Hash:** 78b73bc97dae01ddc01504a8b75bc49d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-207198.hdr.sgml**: 20250827

**ACCESSION NUMBER**: 0001752724-25-207198

**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 I
- **CENTRAL INDEX KEY:** 0001126087

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-10183
- **FILM NUMBER:** 251260916

**BUSINESS ADDRESS:**
- **STREET 1:** BRIGHTHOUSE INVESTMENT ADVISERS, LLC
- **STREET 2:** 11225 NORTH COMMUNITY HOUSE RD
- **CITY:** CHARLOTTE
- **STATE:** NC
- **ZIP:** 28277
- **BUSINESS PHONE:** 9809495121

**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:** MET INVESTORS SERIES TRUST
- **DATE OF NAME CHANGE:** 20001010

## Series and Classes Contracts Data

### JPMorgan Core Bond Portfolio (Series ID: S000011093)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000030600 | Class A      |  |
| C000030601 | Class B      |  |

## 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 I

- **b. Investment Company Act file number:** 811-10183

- **c. CIK number of Registrant:** 0001126087

- **d. LEI of Registrant:** 549300LQX1AREJYGF247

- **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:** JPMorgan Core Bond Portfolio

- **b. EDGAR series identifier (if any):** S000011093

- **c. LEI of Series:** 549300RFR6ICLKM2UT36

**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:** $1225757051.57

**Total Liabilities:** $10426612.99

**Net Assets:** $1215330438.58

**Delayed Delivery Securities:** $4024429.94

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -985.65000000 | **1-Year:** -23781.31000000 | **5-Year:** -71139.89000000 | **10-Year:** -94699.23000000 | **30-Year:** -48329.27000000

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

- **3-Month:** -414.05000000 | **1-Year:** -4185.06000000 | **5-Year:** -8275.73000000 | **10-Year:** -11337.36000000 | **30-Year:** -5159.38000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000030600 | 0.22%                | -0.65%               | 1.58%                |
| Class ID C000030601 | 0.22%                | -0.76%               | 1.54%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1197879.25             | $284846.98                                 |
| Month 2  | $2116407.42              | $-14534118.60                              |
| Month 3  | $-57993.86               | $14937598.53                               |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| AMERICAN WATER CAPITAL C                          | American Water Capital Corp                                                     | CUSIP: 03040WAW5<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    750000 | PA      | $696809.65    | 0.06%             | 2030-05-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: —       |
| Southwest Gas Corp                                | Southwest Gas Corp                                                              | CUSIP: 844895AX0<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |    332000 | PA      | $243623.22    | 0.02%             | 2046-09-29      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                          | Capital One Financial Corp                                                      | CUSIP: 14040HCJ2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    735000 | PA      | $641713.89    | 0.05%             | 2032-11-02      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7HU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    551247 | PA      | $537164.31    | 0.04%             | 2033-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                                | Analog Devices Inc                                                              | CUSIP: 032654AW5<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |    722000 | PA      | $525363.70    | 0.04%             | 2041-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: —       |
| Bastion Funding LLC                               | Bastion Funding I LLC                                                           | CUSIP: 07030UAA0<br>LEI: 549300NX3WVP5ASDEU57 | Long             | ABS-O            | CORP              | US        |   1160301 | PA      | $1166452.95   | 0.10%             | 2038-04-25      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                               | American Tower Corp                                                             | CUSIP: 03027XBJ8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    965000 | PA      | $898792.45    | 0.07%             | 2028-01-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                    | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    465000 | PA      | $385480.56    | 0.03%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2018-1 A PTT                           | United Airlines 2018-1 Class A Pass Through Trust                               | CUSIP: 90931VAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    833355 | PA      | $776966.33    | 0.06%             | 2030-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912833XX3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6300000 | PA      | $5270705.50   | 0.43%             | 2030-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HOLDINGS                           | Duquesne Light Holdings Inc                                                     | CUSIP: 266233AJ4<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    280000 | PA      | $241438.60    | 0.02%             | 2032-01-07      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                               | American Tower Corp                                                             | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    470000 | PA      | $417403.26    | 0.03%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                      | Comcast Corp                                                                    | CUSIP: 20030NBM2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    556000 | PA      | $525415.76    | 0.04%             | 2034-08-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375BH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       145 | PA      | $143.64       | 0.00%             | 2062-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    528000 | PA      | $253605.00    | 0.02%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| NASDAQ INC                                        | Nasdaq Inc                                                                      | CUSIP: 63111XAJ0<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |    262000 | PA      | $272969.76    | 0.02%             | 2034-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                            | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822BU7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   1020000 | PA      | $905846.90    | 0.07%             | 2030-07-17      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                   | CUSIP: 097023CH6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    360000 | PA      | $355215.63    | 0.03%             | 2026-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                    | Home Depot Inc/The                                                              | CUSIP: 437076CQ3<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    705000 | PA      | $513153.29    | 0.04%             | 2052-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust             | OneMain Direct Auto Receivables Trust 2023-1                                    | CUSIP: 682685AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1838000 | PA      | $1928353.87   | 0.16%             | 2033-02-14      | Fixed         | 7.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 31397PBU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    213440 | PA      | $213345.97    | 0.02%             | 2037-11-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                   | Cameron LNG LLC                                                                 | CUSIP: 133434AD2<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |    769000 | PA      | $655871.03    | 0.05%             | 2039-01-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                       | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A                       | CUSIP: 59020UAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67012 | PA      | $61900.16     | 0.01%             | 2029-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8000000 | PA      | $5701875.04   | 0.47%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                | Banco Santander SA                                                              | CUSIP: 05964HAU9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1600000 | PA      | $1652856.24   | 0.14%             | 2028-08-08      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| FW ENERGY ASSET ISSUER LLC                        | FW ENERGY ASSET ISSUER LLC                                                      | CUSIP: 302704AB7<br>LEI: 254900YOL2L2C8PFZR08 | Long             | ABS-O            | CORP              | US        |    594105 | PA      | $604802.06    | 0.05%             | 2044-08-25      | Fixed         | 8.11%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                       | Southern Co/The                                                                 | CUSIP: 842587DR5<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    712000 | PA      | $724421.99    | 0.06%             | 2033-06-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                               | American Tower Corp                                                             | CUSIP: 03027XAY6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    665000 | PA      | $485975.38    | 0.04%             | 2049-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                | Regional Management Issuance Trust 2021-1                                       | CUSIP: 75907VAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3409000 | PA      | $3365802.86   | 0.28%             | 2031-03-17      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38376CR35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    687642 | PA      | $692292.10    | 0.06%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                          | Enterprise Products Operating LLC                                               | CUSIP: 29379VBF9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    179000 | PA      | $156400.76    | 0.01%             | 2054-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5772564 | PA      | $5393783.19   | 0.44%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                           | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1609292.22   | 0.13%             | 2035-02-15      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Brookfield Finance Inc                            | Brookfield Finance Inc                                                          | CUSIP: 11271LAB8<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |     84000 | PA      | $71385.33     | 0.01%             | 2047-09-20      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Tampa Electric Co                                 | Tampa Electric Co                                                               | CUSIP: 875127BF8<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |    500000 | PA      | $410929.38    | 0.03%             | 2049-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                           | Southern Co Gas Capital Corp                                                    | CUSIP: 001192AK9<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    375000 | PA      | $314642.51    | 0.03%             | 2043-06-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                   | Cigna Group/The                                                                 | CUSIP: 125523CF5<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    156000 | PA      | $135714.85    | 0.01%             | 2046-07-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                        | Intel Corp                                                                      | CUSIP: 458140CJ7<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    200000 | PA      | $186127.70    | 0.02%             | 2053-02-10      | Fixed         | 5.70%                 | No            |                  2 | On Loan: —       |
| DUQUESNE LIGHT HOLDINGS                           | Duquesne Light Holdings Inc                                                     | CUSIP: 266233AH8<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    450000 | PA      | $397788.40    | 0.03%             | 2030-10-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2207764 | PA      | $1876639.05   | 0.15%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                          | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAU5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    645000 | PA      | $662590.76    | 0.05%             | 2029-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Texas Natural Gas Securitization Finance Corp     | TEXAS NATURAL GAS SECURITIZTN FIN CORP REVENUE                                  | CUSIP: 88258MAB1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    720000 | PA      | $727275.67    | 0.06%             | 2041-04-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                          | Duke Energy Progress LLC                                                        | CUSIP: 144141DD7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    200000 | PA      | $164936.98    | 0.01%             | 2043-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust             | Westlake Automobile Receivables Trust 2023-1                                    | CUSIP: 96042XAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2105000 | PA      | $2117959.85   | 0.17%             | 2028-08-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                | Banco Santander SA                                                              | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $193195.45    | 0.02%             | 2027-09-14      | Fixed         | 1.72%                 | No            |                  2 | On Loan: —       |
| SOUTH BOW USA INFRA HLDS                          | South Bow USA Infrastructure Holdings LLC                                       | CUSIP: 83007CAA0<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    195000 | PA      | $196251.28    | 0.02%             | 2027-09-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    745000 | PA      | $757370.20    | 0.06%             | 2030-07-23      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138NXRT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1329844 | PA      | $1199430.04   | 0.10%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes            | NRZ Excess Spread-Collateralized Notes                                          | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    753223 | PA      | $729791.30    | 0.06%             | 2026-11-25      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| FORD FOUNDATION/THE                               | Ford Foundation/The                                                             | CUSIP: 34531XAC8<br>LEI: 54930013YZ3DULPNNT44 | Long             | DBT              | CORP              | US        |    275000 | PA      | $153363.99    | 0.01%             | 2070-06-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                        | AMSR 2022-SFR1 Trust                                                            | CUSIP: 00179WAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2934786.00   | 0.24%             | 2039-03-17      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                        | AbbVie Inc                                                                      | CUSIP: 00287YAM1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    600000 | PA      | $527555.92    | 0.04%             | 2042-11-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                          | Duke Energy Progress LLC                                                        | CUSIP: 26442RAB7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    247000 | PA      | $209196.01    | 0.02%             | 2044-03-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KNNT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2567672 | PA      | $2223056.07   | 0.18%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136BPHK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2600000 | PA      | $2497691.04   | 0.21%             | 2032-08-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| MASCO CORP                                        | Masco Corp                                                                      | CUSIP: 574599BP0<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |    260000 | PA      | $225688.26    | 0.02%             | 2030-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 31397QW95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1329853 | PA      | $164068.49    | 0.01%             | 2041-01-25      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| Renew Financial                                   | Renew 2017-1                                                                    | CUSIP: 75973LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    240560 | PA      | $223115.59    | 0.02%             | 2052-09-20      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136AVYL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    637654 | PA      | $621806.58    | 0.05%             | 2026-12-25      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                         | Kroger Co/The                                                                   | CUSIP: 501044DW8<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    210000 | PA      | $199342.94    | 0.02%             | 2054-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2024-2                   | CUSIP: 35563PX46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3247603 | PA      | $2810373.89   | 0.23%             | 2064-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES 2020-AA                           | Delta Air Lines 2020-1 Class AA Pass Through Trust                              | CUSIP: 247361ZV3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    290227 | PA      | $273172.32    | 0.02%             | 2028-06-10      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                    | CUSIP: 06738ECZ6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    415000 | PA      | $424166.45    | 0.03%             | 2036-02-25      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                    | S&P Global Inc                                                                  | CUSIP: 78409VBK9<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |    581000 | PA      | $528194.10    | 0.04%             | 2032-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XLG69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4185397 | PA      | $3526122.34   | 0.29%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308KX4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1665000 | PA      | $1683676.32   | 0.14%             | 2035-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                            | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RBU0<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    620000 | PA      | $682726.72    | 0.06%             | 2034-10-25      | Fixed         | 6.47%                 | No            |                  2 | On Loan: No      |
| Halliburton Co                                    | Halliburton Co                                                                  | CUSIP: 406216BJ9<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    270000 | PA      | $259863.74    | 0.02%             | 2035-11-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375BQ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60392 | PA      | $60436.23     | 0.00%             | 2063-03-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                          | RTX Corp                                                                        | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    550000 | PA      | $486818.32    | 0.04%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                  | BAT Capital Corp                                                                | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    363000 | PA      | $293239.41    | 0.02%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                    | CUSIP: 225401AZ1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    262000 | PA      | $284973.89    | 0.02%             | 2033-08-12      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 31395W5Z6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1159992 | PA      | $1234722.47   | 0.10%             | 2035-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                        | AMSR 2021-SFR3 Trust                                                            | CUSIP: 00180UAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1694000 | PA      | $1626472.25   | 0.13%             | 2038-10-17      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                      | QUALCOMM Inc                                                                    | CUSIP: 747525BR3<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |    460000 | PA      | $389496.05    | 0.03%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                   | CUSIP: 842400GJ6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    500000 | PA      | $486118.06    | 0.04%             | 2028-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                    | Amazon.com Inc                                                                  | CUSIP: 023135CJ3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   1270000 | PA      | $1002193.96   | 0.08%             | 2052-04-13      | Fixed         | 3.95%                 | No            |                  2 | On Loan: —       |
| Diversified ABS Phase VI LLC                      | Diversified Abs Phase VI LLC                                                    | CUSIP: 25512VAA7<br>LEI: 549300N7EGAMCATEDO05 | Long             | ABS-O            | CORP              | US        |   1059651 | PA      | $1050495.81   | 0.09%             | 2039-11-28      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Constellation Brands Inc                          | Constellation Brands Inc                                                        | CUSIP: 21036PBD9<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    180000 | PA      | $165291.09    | 0.01%             | 2048-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                              | Royal Bank of Canada                                                            | CUSIP: 78017FZT3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    950000 | PA      | $951668.27    | 0.08%             | 2030-10-18      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                | Banco Santander SA                                                              | CUSIP: 05964HAY1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1000000 | PA      | $1066709.51   | 0.09%             | 2028-11-07      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                       | Cencora Inc                                                                     | CUSIP: 03073EAY1<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1119419.08   | 0.09%             | 2035-02-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417YWB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    235336 | PA      | $233595.51    | 0.02%             | 2031-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375UNP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    343896 | PA      | $344548.34    | 0.03%             | 2064-07-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QM6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2435975 | PA      | $2109037.87   | 0.17%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375UFT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2445127 | PA      | $2453370.94   | 0.20%             | 2064-04-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KL2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2075400 | PA      | $1736116.88   | 0.14%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EIDP INC                                          | EIDP Inc                                                                        | CUSIP: 263534CS6<br>LEI: GLU7INWNWH88J9XBXD45 | Long             | DBT              | CORP              | US        |    935000 | PA      | $953457.88    | 0.08%             | 2032-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                               | Global Payments Inc                                                             | CUSIP: 37940XAH5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    404000 | PA      | $357327.78    | 0.03%             | 2031-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: —       |
| American Homes 4 Rent                             | American Homes 4 Rent 2015-SFR2 Trust                                           | CUSIP: 02666BAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1900000 | PA      | $1894353.58   | 0.16%             | 2052-10-17      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| PIEDMONT HEALTHCARE INC                           | Piedmont Healthcare Inc                                                         | CUSIP: 72014TAE9<br>LEI: 254900D1I6W7J0DSAY11 | Long             | DBT              | CORP              | US        |    620000 | PA      | $377993.55    | 0.03%             | 2052-01-01      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    840000 | PA      | $891043.62    | 0.07%             | 2029-10-24      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QDKQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3144489 | PA      | $2644265.48   | 0.22%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H9JG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2100000 | PA      | $2019812.97   | 0.17%             | 2032-10-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                      | Comcast Corp                                                                    | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1131000 | PA      | $688300.80    | 0.06%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| TVA PRIN STRIP                                    | Tennessee Valley Authority Principal Strip                                      | CUSIP: 88059FBM2<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    750000 | PA      | $469009.82    | 0.04%             | 2035-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Academic Loan Funding Trust                       | Academic Loan Funding Trust 2013-1                                              | CUSIP: 00389VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    301767 | PA      | $291463.07    | 0.02%             | 2044-12-26      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                          | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MDS6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   1000000 | PA      | $1029980.67   | 0.08%             | 2030-04-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: —       |
| NATWEST GROUP PLC                                 | NatWest Group PLC                                                               | CUSIP: 639057AV0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    945000 | PA      | $960464.07    | 0.08%             | 2031-05-23      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust               | Thornburg Mortgage Securities Trust 2005-1                                      | CUSIP: 885220HB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    301592 | PA      | $295231.13    | 0.02%             | 2045-04-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                            | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2955000 | PA      | $3035785.42   | 0.25%             | 2035-01-23      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-2 A PTT                           | United Airlines 2016-2 Class A Pass Through Trust                               | CUSIP: 90932DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    601796 | PA      | $560835.62    | 0.05%             | 2028-10-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE INSURANCE                           | New York Life Insurance Co                                                      | CUSIP: 64952GAQ1<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |    625000 | PA      | $486478.82    | 0.04%             | 2069-05-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                          | Duke Energy Progress LLC                                                        | CUSIP: 26442UAM6<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    470000 | PA      | $292124.45    | 0.02%             | 2051-08-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| THE CAMPBELLS COMPANY                             | The Campbell's Company                                                          | CUSIP: 134429BK4<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |    287000 | PA      | $186317.03    | 0.02%             | 2050-04-24      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| MOLSON COORS BEVERAGE                             | Molson Coors Beverage Co                                                        | CUSIP: 60871RAH3<br>LEI: 54930073LBBH6ZCBE225 | Long             | DBT              | CORP              | US        |    249000 | PA      | $198654.37    | 0.02%             | 2046-07-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137A6L67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23504 | PA      | $23369.57     | 0.00%             | 2026-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912833XU9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    700000 | PA      | $579642.98    | 0.05%             | 2030-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                          | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAQ8<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    680000 | PA      | $660520.29    | 0.05%             | 2027-06-14      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                        | AbbVie Inc                                                                      | CUSIP: 00287YAW9<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    220000 | PA      | $189371.91    | 0.02%             | 2046-05-14      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                          | Electricite de France SA                                                        | CUSIP: 268317AZ7<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |    580000 | PA      | $604227.37    | 0.05%             | 2034-04-22      | Fixed         | 5.95%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140FXHG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1628241 | PA      | $1679443.04   | 0.14%             | 2058-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                    | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1685000 | PA      | $1421195.07   | 0.12%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                          | RTX Corp                                                                        | CUSIP: 75513ECL3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   1260000 | PA      | $778427.07    | 0.06%             | 2051-09-01      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2614000 | PA      | $2576843.98   | 0.21%             | 2028-06-05      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                        | Flagship Credit Auto Trust 2021-4                                               | CUSIP: 33845AAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3165938 | PA      | $3137027.19   | 0.26%             | 2027-12-15      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136BLW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7400000 | PA      | $6304682.34   | 0.52%             | 2031-11-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810QA9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7063500 | PA      | $6377843.87   | 0.52%             | 2039-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                  | CUSIP: 61747YFS9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    465000 | PA      | $472900.11    | 0.04%             | 2030-07-19      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140JBGA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8199500 | PA      | $6769185.67   | 0.56%             | 2032-11-01      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LFM43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2872093 | PA      | $2644911.89   | 0.22%             | 2030-06-01      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2022-SFR1 Trust                                            | CUSIP: 74333YAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3150000 | PA      | $2963124.36   | 0.24%             | 2041-02-17      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                            | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1492064.49   | 0.12%             | 2029-04-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                  | Bank of Montreal                                                                | CUSIP: 06368L8L3<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    413000 | PA      | $416419.22    | 0.03%             | 2030-09-10      | Fixed         | 4.64%                 | No            |                  2 | On Loan: —       |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2006-A2                                                | CUSIP: 466247K51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26012 | PA      | $26505.45     | 0.00%             | 2034-08-25      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                               | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    630000 | PA      | $586911.94    | 0.05%             | 2029-08-17      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corp                             | Northrop Grumman Corp                                                           | CUSIP: 666807BJ0<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    182000 | PA      | $143560.62    | 0.01%             | 2045-04-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| EQT Corp                                          | EQT Corp                                                                        | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    150000 | PA      | $148011.66    | 0.01%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4600000 | PA      | $4196601.57   | 0.35%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                          | Alexandria Real Estate Equities Inc                                             | CUSIP: 015271AS8<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              |  | US        |    566000 | PA      | $416568.11    | 0.03%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KNK69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3856147 | PA      | $3232821.81   | 0.27%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8840000 | PA      | $4917940.58   | 0.40%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                              | Bank of America Corp                                                            | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    382000 | PA      | $377773.79    | 0.03%             | 2029-03-05      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                               | Global Payments Inc                                                             | CUSIP: 37940XAN2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    272000 | PA      | $276912.55    | 0.02%             | 2029-08-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CX5<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    150000 | PA      | $151135.83    | 0.01%             | 2030-09-11      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140M7X55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1323595 | PA      | $1202012.50   | 0.10%             | 2051-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7HJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    676132 | PA      | $658685.20    | 0.05%             | 2033-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AGZE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    653889 | PA      | $648699.58    | 0.05%             | 2043-10-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Trust                            | Invitation Homes 2024-SFR1 Trust                                                | CUSIP: 46188DAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1845000 | PA      | $1755953.29   | 0.14%             | 2041-09-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee             | VOLT XCIV LLC                                                                   | CUSIP: 92873AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    184907 | PA      | $184829.60    | 0.02%             | 2051-02-27      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                             | Truist Financial Corp                                                           | CUSIP: 89788MAQ5<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   1070000 | PA      | $1157405.26   | 0.10%             | 2029-10-30      | Fixed         | 7.16%                 | No            |                  2 | On Loan: No      |
| Aetna Inc                                         | Aetna Inc                                                                       | CUSIP: 00817YAF5<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |    297000 | PA      | $318738.92    | 0.03%             | 2036-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                         | CUSIP: 44891ABP1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    400000 | PA      | $380346.84    | 0.03%             | 2027-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2023-P4                                          | CUSIP: 14687NAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1430000 | PA      | $1485519.75   | 0.12%             | 2029-09-10      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                           | MPLX LP                                                                         | CUSIP: 55336VBY5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    495000 | PA      | $491444.47    | 0.04%             | 2035-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     55000 | PA      | $49865.51     | 0.00%             | 2054-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit Risk                | Freddie Mac Multifamily Structured Credit Risk                                  | CUSIP: 35563JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    410139 | PA      | $402756.70    | 0.03%             | 2041-07-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6750000 | PA      | $4751894.57   | 0.39%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138L95U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2750000 | PA      | $2590897.10   | 0.21%             | 2030-06-01      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Ladder Capital Commercial Mortgage Securities LLC | Ladder Capital Commercial Mortgage 2013-GCP Mortgage Trust                      | CUSIP: 50184BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    768000 | PA      | $726923.14    | 0.06%             | 2036-02-15      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAP INTL                            | TotalEnergies Capital International SA                                          | CUSIP: 89153VAX7<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |    900000 | PA      | $663438.20    | 0.05%             | 2041-06-29      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FKZZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    397000 | PA      | $392081.41    | 0.03%             | 2029-01-25      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38374BLE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    262495 | PA      | $2386.05      | 0.00%             | 2033-07-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                             | Entergy Louisiana LLC                                                           | CUSIP: 29364WBQ0<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    525000 | PA      | $525060.65    | 0.04%             | 2055-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                          | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    990000 | PA      | $964533.73    | 0.08%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                    | Solventum Corp                                                                  | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    821000 | PA      | $844928.67    | 0.07%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust     | Bridgecrest Lending Auto Securitization Trust 2024-1                            | CUSIP: 107933AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1441000 | PA      | $1450075.85   | 0.12%             | 2029-04-16      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                            | NXP BV / NXP Funding LLC / NXP USA Inc                                          | CUSIP: 62954HAU2<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   1115000 | PA      | $820053.28    | 0.07%             | 2041-05-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138LEGP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2719567 | PA      | $2610299.41   | 0.21%             | 2028-07-01      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2018-1 AA PTT                          | United Airlines 2018-1 Class AA Pass Through Trust                              | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    606818 | PA      | $571694.78    | 0.05%             | 2030-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                            | Standard Chartered PLC                                                          | CUSIP: 85325C2A9<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    355000 | PA      | $358643.95    | 0.03%             | 2030-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| UNITED AIR 2018-1 B PTT                           | United Airlines 2018-1 Class B Pass Through Trust                               | CUSIP: 90932NAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    331275 | PA      | $327169.67    | 0.03%             | 2026-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                   | Danske Bank A/S                                                                 | CUSIP: 23636ABK6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    660000 | PA      | $667479.86    | 0.05%             | 2031-03-04      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                          | Virginia Electric and Power Co                                                  | CUSIP: 927804FR0<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    126000 | PA      | $107040.22    | 0.01%             | 2044-02-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QEXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2626168 | PA      | $2212794.16   | 0.18%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB37<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1570000 | PA      | $1583649.97   | 0.13%             | 2035-07-23      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    435000 | PA      | $389392.97    | 0.03%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                       | Aker BP ASA                                                                     | CUSIP: 00973RAP8<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    185000 | PA      | $168652.27    | 0.01%             | 2054-10-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                      | WP Carey Inc                                                                    | CUSIP: 92936UAH2<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              |  | US        |    845000 | PA      | $688949.92    | 0.06%             | 2033-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                       | Oracle Corp                                                                     | CUSIP: 68389XBH7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    124000 | PA      | $109180.35    | 0.01%             | 2036-07-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5127000 | PA      | $3010510.31   | 0.25%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                           | HCA Inc                                                                         | CUSIP: 404119BY4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    565000 | PA      | $531370.86    | 0.04%             | 2039-06-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 31394VES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    775400 | PA      | $795391.92    | 0.07%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee             | VOLT XCVII LLC                                                                  | CUSIP: 91835EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    293923 | PA      | $293632.28    | 0.02%             | 2051-04-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                           | SCF Equipment Leasing 2024-1 LLC                                                | CUSIP: 783896AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1290000 | PA      | $1329192.14   | 0.11%             | 2032-04-20      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| JM SMUCKER CO                                     | J M Smucker Co/The                                                              | CUSIP: 832696AX6<br>LEI: 5493000WDH6A0LHDJD55 | Long             | DBT              | CORP              | US        |    325000 | PA      | $348819.32    | 0.03%             | 2033-11-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Accelerated Assets                                | Accelerated 2021-1H LLC                                                         | CUSIP: 00439KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    576505 | PA      | $537596.89    | 0.04%             | 2040-10-20      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                            | NXP BV / NXP Funding LLC / NXP USA Inc                                          | CUSIP: 62954HBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   1085000 | PA      | $958223.12    | 0.08%             | 2031-05-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                          | Capital One Financial Corp                                                      | CUSIP: 14040HCH6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    324000 | PA      | $312963.70    | 0.03%             | 2027-11-02      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 31397RVD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $621212.10    | 0.05%             | 2038-03-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6537000 | PA      | $4282501.07   | 0.35%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| KBC GROUP NV                                      | KBC Group NV                                                                    | CUSIP: 48241FAD6<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |    550000 | PA      | $556301.29    | 0.05%             | 2030-10-16      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                            | Galaxy Pipeline Assets Bidco Ltd                                                | CUSIP: 36321PAE0<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |    706592 | PA      | $578805.61    | 0.05%             | 2040-09-30      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                   | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    915000 | PA      | $810615.73    | 0.07%             | 2032-05-01      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140MNVG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2555171 | PA      | $2381229.38   | 0.20%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                    | CUSIP: 06738ECY9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    435000 | PA      | $444346.64    | 0.04%             | 2031-02-25      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co                                   | DTE Electric Co                                                                 | CUSIP: 250847EA4<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    300000 | PA      | $312311.04    | 0.03%             | 2037-10-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375B7K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67133 | PA      | $67291.24     | 0.01%             | 2063-07-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| MACQUARIE AIRFINANCE HLD                          | Macquarie Airfinance Holdings Ltd                                               | CUSIP: 55609NAE8<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |    895000 | PA      | $894398.56    | 0.07%             | 2030-03-17      | Fixed         | 5.15%                 | No            |                  2 | On Loan: —       |
| TYSON FOODS INC                                   | Tyson Foods Inc                                                                 | CUSIP: 902494BM4<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |    520000 | PA      | $538325.78    | 0.04%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2022-SFR3 Trust                                            | CUSIP: 74331UAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2435000 | PA      | $2412673.49   | 0.20%             | 2039-04-17      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2024-1 AA PTT                          | United Airlines 2024-1 Class AA Pass Through Trust                              | CUSIP: 90932WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    732569 | PA      | $739323.04    | 0.06%             | 2037-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS INC                          | Duke Energy Progress LLC                                                        | CUSIP: 144141CV8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    360000 | PA      | $372828.70    | 0.03%             | 2035-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                   | BAE Systems PLC                                                                 | CUSIP: 05523RAF4<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    720000 | PA      | $625628.30    | 0.05%             | 2031-02-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| HCA INC                                           | HCA Inc                                                                         | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    242000 | PA      | $223217.35    | 0.02%             | 2032-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                        | AbbVie Inc                                                                      | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1682000 | PA      | $1474284.30   | 0.12%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                                | Ohio Power Co                                                                   | CUSIP: 677415CU3<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |    635000 | PA      | $387731.20    | 0.03%             | 2051-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                          | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAV3<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    300000 | PA      | $302358.64    | 0.02%             | 2035-10-30      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 2004-11                                                  | CUSIP: 81744FFJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130875 | PA      | $118476.15    | 0.01%             | 2034-12-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                              | Glencore Funding LLC                                                            | CUSIP: 378272BU1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    610000 | PA      | $621729.43    | 0.05%             | 2034-04-04      | Fixed         | 5.63%                 | No            |                  2 | On Loan: —       |
| BXG Receivables Note Trust                        | BXG Receivables Note Trust 2023-A                                               | CUSIP: 123919AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1241683 | PA      | $1266675.26   | 0.10%             | 2038-11-15      | Fixed         | 6.31%                 | No            |                  2 | On Loan: No      |
| Halliburton Co                                    | Halliburton Co                                                                  | CUSIP: 406216BE0<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    215000 | PA      | $186433.47    | 0.02%             | 2043-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2023-1                   | CUSIP: 35563PK73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2845971 | PA      | $2391387.83   | 0.20%             | 2062-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SAFEHOLD GL HOLDINGS LLC                          | Safehold GL Holdings LLC                                                        | CUSIP: 78646UAA7<br>LEI: 54930012UY5Z4Q8NL108 | Long             | DBT              |  | US        |   2220000 | PA      | $1986051.47   | 0.16%             | 2031-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| TD Prime Services LLC                             | TD Prime Services LLC                                                           | CUSIP: 000000000<br>LEI: 549300ZBQI1JB1844X09 | Long             | RA               | CORP              | US        |    200000 | PA      | $200000.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XPNL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4701684 | PA      | $3922895.23   | 0.32%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                  | Puget Energy Inc                                                                | CUSIP: 745310AM4<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    853000 | PA      | $805121.67    | 0.07%             | 2028-06-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375BQ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    261455 | PA      | $261863.43    | 0.02%             | 2063-03-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140M1CG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2672429 | PA      | $2228028.56   | 0.18%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD GRP/CO                          | JBS USA Holding Lux Sarl / JBS USA Foods Group Holdings Inc / JBS USA Food Co   | CUSIP: 472140AE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    810000 | PA      | $811190.70    | 0.07%             | 2036-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                      | ING Groep NV                                                                    | CUSIP: 456837BF9<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    240000 | PA      | $244408.62    | 0.02%             | 2027-09-11      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140FXVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2344459 | PA      | $1861040.18   | 0.15%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UDR INC                                           | UDR Inc                                                                         | CUSIP: 90265EAQ3<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              |  | US        |    625000 | PA      | $592207.19    | 0.05%             | 2030-01-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7EL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    371704 | PA      | $361884.23    | 0.03%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                       | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    680000 | PA      | $673253.63    | 0.06%             | 2031-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WQH88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    308816 | PA      | $300837.96    | 0.02%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DOC DR LLC                                        | DOC DR LLC                                                                      | CUSIP: 71951QAC6<br>LEI: 549300P6Q1UMT0X60U20 | Long             | DBT              |  | US        |    405000 | PA      | $357310.91    | 0.03%             | 2031-11-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                            | Roper Technologies Inc                                                          | CUSIP: 776696AH9<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    380000 | PA      | $380666.24    | 0.03%             | 2032-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617XVX57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2566435 | PA      | $2397251.92   | 0.20%             | 2052-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WSPZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    399218 | PA      | $391388.28    | 0.03%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128334W7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $284155.16    | 0.02%             | 2033-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                             | Texas Instruments Inc                                                           | CUSIP: 882926AA6<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |    681000 | PA      | $624457.22    | 0.05%             | 2063-05-18      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3622AAHY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1527758 | PA      | $1463124.20   | 0.12%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                    | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    905000 | PA      | $891033.30    | 0.07%             | 2029-01-12      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| UNIV SOUTHERN CALIFORNIA                          | University of Southern California                                               | CUSIP: 914886AD8<br>LEI: 0GMCSQ6M60R4T46U5511 | Long             | DBT              | CORP              | US        |    440000 | PA      | $251318.17    | 0.02%             | 2120-10-01      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Amgen Inc                                         | Amgen Inc                                                                       | CUSIP: 031162CF5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    347000 | PA      | $297082.43    | 0.02%             | 2051-06-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140FXU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2801536 | PA      | $2478026.30   | 0.20%             | 2062-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7D28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    336279 | PA      | $332178.60    | 0.03%             | 2032-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13028900 | PA      | $7318577.42   | 0.60%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                    | NRG Energy Inc                                                                  | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    625000 | PA      | $593194.41    | 0.05%             | 2027-12-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                          | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAJ0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1840000 | PA      | $1793570.47   | 0.15%             | 2027-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE OKLAHOMA                           | Public Service Co of Oklahoma                                                   | CUSIP: 744533BJ8<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    600000 | PA      | $652177.12    | 0.05%             | 2037-11-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                   | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    335000 | PA      | $337495.63    | 0.03%             | 2027-05-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| MID-ATLANTIC INTERSTATE                           | Mid-Atlantic Interstate Transmission LLC                                        | CUSIP: 59524QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    340000 | PA      | $337476.00    | 0.03%             | 2028-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                 | NatWest Group PLC                                                               | CUSIP: 639057AK4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    570000 | PA      | $591966.26    | 0.05%             | 2029-09-13      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                       | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G                       | CUSIP: 5899295W4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74212 | PA      | $72831.79     | 0.01%             | 2029-01-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375BL75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19019 | PA      | $18806.20     | 0.00%             | 2062-02-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                  | Societe Generale SA                                                             | CUSIP: 83368RBZ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    705000 | PA      | $712092.09    | 0.06%             | 2027-02-19      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MYMICHIGAN HEALTH                                 | MyMichigan Health                                                               | CUSIP: 597861AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    245000 | PA      | $172760.48    | 0.01%             | 2050-06-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6050000 | PA      | $5204890.63   | 0.43%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| AstraZeneca PLC                                   | AstraZeneca PLC                                                                 | CUSIP: 046353AD0<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |    350000 | PA      | $393166.92    | 0.03%             | 2037-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                  | Duke Energy Corp                                                                | CUSIP: 26441CCA1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    660000 | PA      | $671277.00    | 0.06%             | 2053-09-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: —       |
| SOUTHERN CALIF GAS CO                             | Southern California Gas Co                                                      | CUSIP: 842434CU4<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    829000 | PA      | $761563.46    | 0.06%             | 2030-02-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| TENN VAL AUTH CPN STRIP                           | Tennessee Valley Authority Generic Strip                                        | CUSIP: 88059E5J9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   1000000 | PA      | $747838.27    | 0.06%             | 2032-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140FXRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2275917 | PA      | $1959001.31   | 0.16%             | 2060-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| The Bank Of Nova Scotia, Toronto                  | The Bank Of Nova Scotia, Toronto                                                | CUSIP: 000000000<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | RA               | CORP              | US        |    500000 | PA      | $500000.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential Trust                                                      | CUSIP: 74333HAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2535000 | PA      | $2466999.89   | 0.20%             | 2038-07-17      | Fixed         | 2.42%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                    | CUSIP: 902613BL1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    725000 | PA      | $752823.98    | 0.06%             | 2030-09-13      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                  | OneMain Financial Issuance Trust 2020-2                                         | CUSIP: 682696AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2145000 | PA      | $2041988.95   | 0.17%             | 2035-09-14      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 31359T3Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16521 | PA      | $16697.10     | 0.00%             | 2028-07-18      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SBNA Auto Lease Trust                             | SBNA Auto Lease Trust 2024-B                                                    | CUSIP: 78437VAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1469000 | PA      | $1490848.58   | 0.12%             | 2028-12-20      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375UPU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    411647 | PA      | $412173.43    | 0.03%             | 2064-09-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| HCA INC                                           | HCA Inc                                                                         | CUSIP: 404121AK1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    515000 | PA      | $519456.97    | 0.04%             | 2034-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H9C98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3035000 | PA      | $2905297.15   | 0.24%             | 2032-09-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| JONAH 7.8 10NOV37 144A                            | JONAH 7.8 10NOV37 144A                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1364435 | PA      | $1376987.59   | 0.11%             | 2037-11-10      | Fixed         | 7.80%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                          | KGS-Alpha SBA COOF Trust                                                        | CUSIP: 48247NAA9<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    784090 | PA      | $8507.37      | 0.00%             | 2039-05-25      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LJWP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2934777.03   | 0.24%             | 2033-04-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                       | Oracle Corp                                                                     | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    580000 | PA      | $405618.75    | 0.03%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                              | CUSIP: 86765BAK5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    500000 | PA      | $492290.61    | 0.04%             | 2042-02-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7JV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    387446 | PA      | $377336.30    | 0.03%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137ATGA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1420391 | PA      | $1401768.72   | 0.12%             | 2042-08-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                         | Kroger Co/The                                                                   | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    270000 | PA      | $268068.95    | 0.02%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                        | Intel Corp                                                                      | CUSIP: 458140BJ8<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    205000 | PA      | $129837.43    | 0.01%             | 2049-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617F5YU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2793768 | PA      | $2921995.48   | 0.24%             | 2072-04-20      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| American Tower Corp                               | American Tower Corp                                                             | CUSIP: 03027XAK6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    287000 | PA      | $283331.51    | 0.02%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                    | NRG Energy Inc                                                                  | CUSIP: 629377CN0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    560000 | PA      | $551829.15    | 0.05%             | 2025-12-02      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES PWR-MINN                          | Northern States Power Co/MN                                                     | CUSIP: 665772BQ1<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |    628000 | PA      | $661454.20    | 0.05%             | 2028-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7MJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    430353 | PA      | $418393.66    | 0.03%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KEYCORP                                           | KeyCorp                                                                         | CUSIP: 49326EEN9<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    170000 | PA      | $165726.91    | 0.01%             | 2033-06-01      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                          | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    405000 | PA      | $405777.36    | 0.03%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810QK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5950000 | PA      | $5473767.59   | 0.45%             | 2040-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                 | NatWest Group PLC                                                               | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    290000 | PA      | $292902.77    | 0.02%             | 2029-05-18      | Fixed         | 4.89%                 | No            |                  2 | On Loan: —       |
| MORGAN STANLEY                                    | Morgan Stanley                                                                  | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    625000 | PA      | $632629.74    | 0.05%             | 2035-07-19      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Parker-Hannifin Corp                              | Parker-Hannifin Corp                                                            | CUSIP: 70109HAN5<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |    333000 | PA      | $286839.29    | 0.02%             | 2044-11-21      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| HCA INC                                           | HCA Inc                                                                         | CUSIP: 404119CW7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    640000 | PA      | $624130.78    | 0.05%             | 2064-04-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     27000 | PA      | $19381.99     | 0.00%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TR 2013                          | CVS Pass-Through Trust Series 2013                                              | CUSIP: 12665UAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    547210 | PA      | $524212.81    | 0.04%             | 2036-01-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust            | Santander Drive Auto Receivables Trust 2022-6                                   | CUSIP: 802918AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3400000 | PA      | $3434364.82   | 0.28%             | 2031-02-18      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| ONEOK Partners LP                                 | ONEOK Partners LP                                                               | CUSIP: 68268NAC7<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |    950000 | PA      | $1020636.77   | 0.08%             | 2036-10-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| ACCENTURE CAPITAL INC                             | Accenture Capital Inc                                                           | CUSIP: 00440KAD5<br>LEI: 254900FRO0P7RIINYT25 | Long             | DBT              | CORP              | US        |    400000 | PA      | $389285.66    | 0.03%             | 2034-10-04      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LKC92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1956072.48   | 0.16%             | 2033-04-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| UDR INC                                           | UDR Inc                                                                         | CUSIP: 90265EAT7<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              |  | US        |    470000 | PA      | $389277.11    | 0.03%             | 2032-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LDRU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3484000 | PA      | $2878121.50   | 0.24%             | 2033-10-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                          | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    540000 | PA      | $536745.11    | 0.04%             | 2026-05-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                         | CUSIP: 05571AAZ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    525000 | PA      | $544576.22    | 0.04%             | 2031-01-14      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                | Credit Agricole SA                                                              | CUSIP: 22535WAK3<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    637000 | PA      | $651616.82    | 0.05%             | 2030-01-10      | Fixed         | 5.33%                 | No            |                  2 | On Loan: —       |
| Credit Acceptance Auto Loan Trust                 | Credit Acceptance Auto Loan Trust 2023-3                                        | CUSIP: 224936AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1600000 | PA      | $1614064.64   | 0.13%             | 2033-08-15      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                          | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    945000 | PA      | $856160.37    | 0.07%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                          | KGS-Alpha SBA COOF Trust 2013-2                                                 | CUSIP: 48248XAA6<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    526263 | PA      | $15010.60     | 0.00%             | 2039-03-25      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                              | FirstKey Homes 2020-SFR2 Trust                                                  | CUSIP: 33767JAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3700000 | PA      | $3657920.27   | 0.30%             | 2037-10-19      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC          | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RHY3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1608000 | PA      | $1649872.48   | 0.14%             | 2030-06-20      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912833XY1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3925000 | PA      | $3214333.30   | 0.26%             | 2030-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                      | NiSource Inc                                                                    | CUSIP: 65473PAL9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    570000 | PA      | $488023.73    | 0.04%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | PRET 2024-RPL2 Trust                                                            | CUSIP: 69392CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1985275 | PA      | $1892491.94   | 0.16%             | 2064-06-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                          | Volkswagen Group of America Finance LLC                                         | CUSIP: 928668BN1<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    300000 | PA      | $279180.02    | 0.02%             | 2027-11-24      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                           | Southern Co Gas Capital Corp                                                    | CUSIP: 8426EPAB4<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    212000 | PA      | $162935.49    | 0.01%             | 2046-10-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138AP2X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16038 | PA      | $15898.17     | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140JBZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5031534 | PA      | $4299058.64   | 0.35%             | 2032-03-01      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                           | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    577000 | PA      | $483526.00    | 0.04%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                               | CommonSpirit Health                                                             | CUSIP: 20268JAE3<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    435000 | PA      | $431463.15    | 0.04%             | 2025-10-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| VM DEBT 2019 1 TR                                 | VM DEBT 2019 1 TR                                                               | CUSIP: 91834VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3998352 | PA      | $3803408.69   | 0.31%             | 2027-07-18      | Fixed         | 7.46%                 | No            |                  2 | On Loan: No      |
| Hartford Insurance Group Inc/The                  | Hartford Insurance Group Inc/The                                                | CUSIP: 416515BB9<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | DBT              | CORP              | US        |    400000 | PA      | $337144.11    | 0.03%             | 2043-04-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                               | Fifth Third Bancorp                                                             | CUSIP: 316773CH1<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |    200000 | PA      | $239543.25    | 0.02%             | 2038-03-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38378U8D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    321537 | PA      | $322104.86    | 0.03%             | 2064-07-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                        | US Bancorp                                                                      | CUSIP: 91159HJV3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    690000 | PA      | $703828.66    | 0.06%             | 2031-05-15      | Fixed         | 5.08%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QM4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2507139 | PA      | $2104980.14   | 0.17%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                          | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAU9<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    550000 | PA      | $549277.42    | 0.05%             | 2030-09-11      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                        | Intel Corp                                                                      | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    205000 | PA      | $121787.87    | 0.01%             | 2051-08-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7FU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    322253 | PA      | $314441.53    | 0.03%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CNA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21905000 | PA      | $21932381.25  | 1.80%             | 2032-04-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| CHILDREN'S HOSPITAL CORP                          | Children's Hospital Corp/The                                                    | CUSIP: 16876BAB8<br>LEI: 549300NXFO6BISJLOS32 | Long             | DBT              | CORP              | US        |    430000 | PA      | $258559.26    | 0.02%             | 2050-02-01      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138MDZ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57168 | PA      | $56430.04     | 0.00%             | 2032-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                   | CUSIP: 097023BX2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    659000 | PA      | $636472.72    | 0.05%             | 2028-03-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375UCP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66548 | PA      | $66814.52     | 0.01%             | 2064-01-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Brookfield Finance Inc                            | Brookfield Finance Inc                                                          | CUSIP: 11271LAD4<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |    485000 | PA      | $489443.88    | 0.04%             | 2029-03-29      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust               | Thornburg Mortgage Securities Trust 2004-4                                      | CUSIP: 885220GF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160202 | PA      | $154543.24    | 0.01%             | 2044-12-25      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| Sprint Capital Corp                               | Sprint Capital Corp                                                             | CUSIP: 852060AD4<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |    362000 | PA      | $388620.46    | 0.03%             | 2028-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138L8K60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1460404.62   | 0.12%             | 2030-02-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSAS LLC                              | Entergy Arkansas LLC                                                            | CUSIP: 29366MAB4<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |    285000 | PA      | $166780.74    | 0.01%             | 2051-06-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments Trust 2002-AR5                            | CUSIP: 86358HRF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    166840 | PA      | $160771.09    | 0.01%             | 2033-05-19      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                           | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                     | CUSIP: 03522AAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1103000 | PA      | $1076252.06   | 0.09%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Capital Automotive LP                             | Cars Net Lease Mortgage Notes Series 2020-1                                     | CUSIP: 14576AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    586500 | PA      | $552495.73    | 0.05%             | 2050-12-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                | Credit Agricole SA                                                              | CUSIP: 22535WAP2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    713000 | PA      | $724595.21    | 0.06%             | 2029-01-09      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                            | Cox Communications Inc                                                          | CUSIP: 224044CM7<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    630000 | PA      | $357700.51    | 0.03%             | 2050-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                           | Bristol-Myers Squibb Co                                                         | CUSIP: 110122EL8<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    555000 | PA      | $538853.26    | 0.04%             | 2064-02-22      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| TD Prime Services LLC                             | TD Prime Services LLC                                                           | CUSIP: 000000000<br>LEI: 549300ZBQI1JB1844X09 | Long             | RA               | CORP              | US        |    100000 | PA      | $100000.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133LWAP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3107166 | PA      | $2828541.81   | 0.23%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANQUE FED CRED MUTUEL                            | Banque Federative du Credit Mutuel SA                                           | CUSIP: 06675FBB2<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    855000 | PA      | $887444.71    | 0.07%             | 2028-07-13      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                             | Bank of Ireland Group PLC                                                       | CUSIP: 06279JAD1<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    425000 | PA      | $437948.05    | 0.04%             | 2030-03-20      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    510000 | PA      | $388536.33    | 0.03%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VMWARE LLC                                        | VMware LLC                                                                      | CUSIP: 928563AE5<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    425000 | PA      | $427479.36    | 0.04%             | 2027-05-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                   | BAE Systems PLC                                                                 | CUSIP: 05523RAE7<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    332000 | PA      | $216514.15    | 0.02%             | 2050-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                          | KGS-Alpha SBA COOF Trust 2012-2                                                 | CUSIP: 48247KAA5<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    551666 | PA      | $9895.23      | 0.00%             | 2038-08-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617Y9AU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    475514 | PA      | $434897.75    | 0.04%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                              | CUSIP: 3132HTSS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    291929 | PA      | $223523.04    | 0.02%             | 2043-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7C37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    427318 | PA      | $422581.15    | 0.03%             | 2032-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes            | NRZ Excess Spread-Collateralized Notes Series 2020-PLS1                         | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    717401 | PA      | $710191.42    | 0.06%             | 2025-12-25      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                          | Cooperatieve Rabobank UA                                                        | CUSIP: 21684AAF3<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    513000 | PA      | $508873.72    | 0.04%             | 2026-07-21      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                            | PNC Financial Services Group Inc/The                                            | CUSIP: 693475CA1<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    600000 | PA      | $601379.60    | 0.05%             | 2032-10-21      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                      | Comcast Corp                                                                    | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     42000 | PA      | $23616.16     | 0.00%             | 2063-11-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| DP Lion Holdco LLC                                | DP Lion Holdco LLC                                                              | CUSIP: 23359MAA8<br>LEI: 254900327YUW2NAXPW14 | Long             | ABS-O            | CORP              | US        |    913935 | PA      | $939116.01    | 0.08%             | 2043-11-30      | Fixed         | 8.24%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                  | ABN AMRO Bank NV                                                                | CUSIP: 00084DAW0<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $186504.80    | 0.02%             | 2029-12-13      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| ACCENTURE CAPITAL INC                             | Accenture Capital Inc                                                           | CUSIP: 00440KAC7<br>LEI: 254900FRO0P7RIINYT25 | Long             | DBT              | CORP              | US        |    585000 | PA      | $579531.64    | 0.05%             | 2031-10-04      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Intel Corp                                        | Intel Corp                                                                      | CUSIP: 458140BG4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    255000 | PA      | $179897.69    | 0.01%             | 2047-12-08      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LHLD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2463120 | PA      | $2348752.51   | 0.19%             | 2032-10-01      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132FCFU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1191352 | PA      | $1129413.05   | 0.09%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Indiana LLC                           | Duke Energy Indiana LLC                                                         | CUSIP: 26443TAA4<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |    350000 | PA      | $265096.25    | 0.02%             | 2046-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QKXC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3368240 | PA      | $2821459.32   | 0.23%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WW Grainger Inc                                   | WW Grainger Inc                                                                 | CUSIP: 384802AB0<br>LEI: 549300TWZSP6O1IH2V34 | Long             | DBT              | CORP              | US        |    190000 | PA      | $168125.47    | 0.01%             | 2045-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                             | Entergy Louisiana LLC                                                           | CUSIP: 29364WAX6<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    195000 | PA      | $179627.87    | 0.01%             | 2031-06-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp                             | Norfolk Southern Corp                                                           | CUSIP: 655844BX5<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    219000 | PA      | $171625.32    | 0.01%             | 2047-11-01      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22641000 | PA      | $18482484.96  | 1.52%             | 2053-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp                                   | McDonald's Corp                                                                 | CUSIP: 58013MEC4<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    152000 | PA      | $166449.46    | 0.01%             | 2037-10-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2013-CCRE9 Mortgage Trust                                                  | CUSIP: 12625UAA1<br>LEI: 549300C72XVZH4MIKU63 | Long             | ABS-MBS          | CORP              | US        |  26468670 | PA      | $39517.72     | 0.00%             | 2045-07-10      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LJAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2486740 | PA      | $2582175.76   | 0.21%             | 2032-12-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                         | CUSIP: 44891ADG9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    500000 | PA      | $495540.46    | 0.04%             | 2029-09-26      | Fixed         | 4.55%                 | No            |                  2 | On Loan: —       |
| Mexico Government International Bonds             | Mexico Government International Bonds                                           | CUSIP: 91087BAB6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    228000 | PA      | $163989.00    | 0.01%             | 2047-01-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                              | Enel Finance International NV                                                   | CUSIP: 29278GAF5<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    465000 | PA      | $453438.09    | 0.04%             | 2028-04-06      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CAE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1850000 | PA      | $1577775.39   | 0.13%             | 2030-08-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXA7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    445000 | PA      | $401168.10    | 0.03%             | 2039-04-23      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                   | Impac CMB Trust Series 2004-7                                                   | CUSIP: 45254NKF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    318115 | PA      | $314386.10    | 0.03%             | 2034-11-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                          | Constellation Energy Generation LLC                                             | CUSIP: 30161MAG8<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    160000 | PA      | $170804.07    | 0.01%             | 2039-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                 | Credit Acceptance Auto Loan Trust 2024-1                                        | CUSIP: 22537GAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2370000 | PA      | $2443728.09   | 0.20%             | 2034-07-17      | Fixed         | 6.71%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    755000 | PA      | $789210.58    | 0.06%             | 2033-06-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FJEH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3170000 | PA      | $3155596.47   | 0.26%             | 2028-08-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                   | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    550000 | PA      | $543366.29    | 0.04%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                   | Goodgreen 2017-2 Trust                                                          | CUSIP: 38218QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    863093 | PA      | $770931.52    | 0.06%             | 2053-10-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QFA41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1939105 | PA      | $1642577.70   | 0.14%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                          | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MBP4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   1020000 | PA      | $966805.36    | 0.08%             | 2029-07-16      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Jonah Energy LLC                                  | Jonah Energy Abs I LLC                                                          | CUSIP: 47987EAC1<br>LEI: 2549003KXV9PPFRCPA79 | Long             | ABS-O            | CORP              | US        |    878652 | PA      | $883601.36    | 0.07%             | 2037-12-10      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                            | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BM6<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    964000 | PA      | $968797.47    | 0.08%             | 2034-01-24      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                             | Time Warner Cable LLC                                                           | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $909268.35    | 0.07%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136B1XJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1486385 | PA      | $1447634.15   | 0.12%             | 2028-03-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                     | Citigroup Inc                                                                   | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1294000 | PA      | $1295241.90   | 0.11%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                   | CUSIP: 842400EZ2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    500000 | PA      | $488929.03    | 0.04%             | 2036-01-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON & CO                             | Becton Dickinson & Co                                                           | CUSIP: 075887CK3<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    103000 | PA      | $76733.97     | 0.01%             | 2050-05-20      | Fixed         | 3.79%                 | No            |                  2 | On Loan: —       |
| Suncor Energy Inc                                 | Suncor Energy Inc                                                               | CUSIP: 71644EAE2<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |    544000 | PA      | $561241.75    | 0.05%             | 2026-06-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LJGG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3100000 | PA      | $3126740.76   | 0.26%             | 2033-02-01      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                  | Societe Generale SA                                                             | CUSIP: 83368RCG5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   2404000 | PA      | $2451607.69   | 0.20%             | 2031-05-22      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                           | MPLX LP                                                                         | CUSIP: 55336VBZ2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    300000 | PA      | $285742.13    | 0.02%             | 2055-04-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| RT FIN 2023 LLC                                   | RT FIN 2023 LLC                                                                 | CUSIP: 74983KAA9<br>LEI: 2549000QL0MZ8X7VL058 | Long             | ABS-O            | CORP              | US        |   1322772 | PA      | $1346584.75   | 0.11%             | 2043-10-15      | Fixed         | 7.85%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                               | Global Payments Inc                                                             | CUSIP: 37940XAB8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   1437000 | PA      | $1358850.24   | 0.11%             | 2029-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: —       |
| SANTANDER HOLDINGS USA                            | Santander Holdings USA Inc                                                      | CUSIP: 80282KBJ4<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    900000 | PA      | $936704.47    | 0.08%             | 2030-01-09      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                  | Puget Energy Inc                                                                | CUSIP: 745310AP7<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    275000 | PA      | $276646.66    | 0.02%             | 2035-03-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                         | CUSIP: 05571AAY1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1175000 | PA      | $1204008.48   | 0.10%             | 2035-05-30      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138LFBJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1328092 | PA      | $1228973.69   | 0.10%             | 2031-09-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XCLS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3241583 | PA      | $2689263.07   | 0.22%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7FP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31490 | PA      | $31199.51     | 0.00%             | 2033-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                | HERO Funding Trust 2016-3                                                       | CUSIP: 42770XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    145521 | PA      | $132492.84    | 0.01%             | 2042-09-20      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                     | Boeing Co/The                                                                   | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    540000 | PA      | $586725.35    | 0.05%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                            | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    445000 | PA      | $391009.58    | 0.03%             | 2031-07-23      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136BMXZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4327640.00   | 0.36%             | 2032-01-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XF6U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3476426 | PA      | $2926798.63   | 0.24%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY                            | PG&E Wildfire Recovery Funding LLC                                              | CUSIP: 693342AJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    360000 | PA      | $341165.61    | 0.03%             | 2047-12-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617Y9AT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1405080 | PA      | $1285607.20   | 0.11%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617XXCC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2980350 | PA      | $3120383.96   | 0.26%             | 2071-12-20      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417YVA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64368 | PA      | $61639.48     | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                           | CUSIP: 91087BAD2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    200000 | PA      | $148330.00    | 0.01%             | 2048-02-10      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AGGA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    494916 | PA      | $372050.08    | 0.03%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                          | Burlington Northern Santa Fe LLC                                                | CUSIP: 12189LBE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    233000 | PA      | $171383.93    | 0.01%             | 2050-02-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    312000 | PA      | $302724.99    | 0.02%             | 2027-11-16      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| NYU LANGONE HOSPITALS                             | NYU Langone Hospitals                                                           | CUSIP: 62954RAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    410000 | PA      | $275818.09    | 0.02%             | 2055-07-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138MDV25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84260 | PA      | $83121.59     | 0.01%             | 2032-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                         | Kroger Co/The                                                                   | CUSIP: 501044BV2<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    610000 | PA      | $688991.55    | 0.06%             | 2029-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XJR47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2585126 | PA      | $2360147.81   | 0.19%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DTE ELECT SECUR FND II                            | DTE Electric Securitization Funding II LLC                                      | CUSIP: 23346TAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    600000 | PA      | $647795.77    | 0.05%             | 2037-09-01      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375UMD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    211154 | PA      | $211476.78    | 0.02%             | 2064-07-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                | Coterra Energy Inc                                                              | CUSIP: 127097AM5<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    590000 | PA      | $584025.15    | 0.05%             | 2035-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                         | CUSIP: 05583JAJ1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    415000 | PA      | $359080.75    | 0.03%             | 2032-01-20      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                               | Elevance Health Inc                                                             | CUSIP: 94973VBK2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    324000 | PA      | $281561.52    | 0.02%             | 2044-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128337Q7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $2317237.35   | 0.19%             | 2031-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                    | CUSIP: 06738ECJ2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1655000 | PA      | $1691727.51   | 0.14%             | 2027-09-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128337U8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $701486.68    | 0.06%             | 2033-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KEYCORP                                           | KeyCorp                                                                         | CUSIP: 49326EEQ2<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    670000 | PA      | $677997.03    | 0.06%             | 2031-04-04      | Fixed         | 5.12%                 | No            |                  2 | On Loan: —       |
| Fannie Mae Benchmark REMIC                        | Fannie Mae Benchmark REMIC                                                      | CUSIP: 31396V2L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226581 | PA      | $236497.59    | 0.02%             | 2037-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                     | Corevest American Finance 2019-3 Trust                                          | CUSIP: 21872NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    178241 | PA      | $177076.62    | 0.01%             | 2052-10-15      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                      | AutoZone Inc                                                                    | CUSIP: 053332BA9<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    530000 | PA      | $453813.33    | 0.04%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38378TTL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    814495 | PA      | $784760.07    | 0.06%             | 2043-04-20      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                         | CUSIP: 05571AAV7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    370000 | PA      | $380939.76    | 0.03%             | 2030-01-18      | Fixed         | 5.72%                 | No            |                  2 | On Loan: —       |
| Mexico Government International Bonds             | Mexico Government International Bonds                                           | CUSIP: 91087BBB5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    498000 | PA      | $514932.00    | 0.04%             | 2030-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1105000 | PA      | $999938.68    | 0.08%             | 2030-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                               | American Tower Corp                                                             | CUSIP: 03027XBD1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    390000 | PA      | $255749.47    | 0.02%             | 2050-06-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: —       |
| HCA INC                                           | HCA Inc                                                                         | CUSIP: 404119DB2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    578000 | PA      | $594399.71    | 0.05%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418AHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    444210 | PA      | $426467.01    | 0.04%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                             | FMC GMSR Issuer Trust                                                           | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3300000 | PA      | $3125674.20   | 0.26%             | 2026-07-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7DX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51028 | PA      | $49692.90     | 0.00%             | 2032-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PFIZER INVESTMENT ENTER                           | Pfizer Investment Enterprises Pte Ltd                                           | CUSIP: 716973AG7<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |   1265000 | PA      | $1194171.74   | 0.10%             | 2053-05-19      | Fixed         | 5.30%                 | No            |                  2 | On Loan: —       |
| FORTIS INC                                        | Fortis Inc/Canada                                                               | CUSIP: 349553AM9<br>LEI: 549300MQYQ9Y065XPR71 | Long             | DBT              | CORP              | CA        |    636000 | PA      | $624666.84    | 0.05%             | 2026-10-04      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                           | Jersey Central Power & Light Co                                                 | CUSIP: 476556CX1<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    200000 | PA      | $212615.30    | 0.02%             | 2037-06-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LLKV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3102141 | PA      | $3115045.04   | 0.26%             | 2033-09-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes            | NRZ Excess Spread-Collateralized Notes                                          | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1595985 | PA      | $1557853.40   | 0.13%             | 2026-07-25      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| AIG SUNAMER GLOB FIN X                            | AIG SunAmerica Global Financing X                                               | CUSIP: 00139PAA6<br>LEI: 549300Q3UB1GMKCGGR05 | Long             | DBT              | CORP              | US        |    500000 | PA      | $551049.51    | 0.05%             | 2032-03-15      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                      | Synopsys Inc                                                                    | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    645000 | PA      | $641296.65    | 0.05%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 31397T6Z0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    213916 | PA      | $229847.42    | 0.02%             | 2037-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                           | Bristol-Myers Squibb Co                                                         | CUSIP: 110122CQ9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    527000 | PA      | $468977.45    | 0.04%             | 2039-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Nevada Power Co                                   | Nevada Power Co                                                                 | CUSIP: 641423BP2<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    360000 | PA      | $396999.58    | 0.03%             | 2036-04-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                        | Leidos Inc                                                                      | CUSIP: 52532XAH8<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    365000 | PA      | $319375.69    | 0.03%             | 2031-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp                                   | McDonald's Corp                                                                 | CUSIP: 58013MFC3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    180000 | PA      | $152131.19    | 0.01%             | 2047-03-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities Inc.                     | Deutsche Bank Securities Inc.                                                   | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | Long             | RA               | CORP              | US        |    759773 | PA      | $759772.80    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QMDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3440008 | PA      | $2878672.44   | 0.24%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1220000 | PA      | $1259720.30   | 0.10%             | 2029-07-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                          | Constellation Energy Generation LLC                                             | CUSIP: 210385AC4<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    174000 | PA      | $183989.05    | 0.02%             | 2033-03-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: —       |
| Credit Suisse Mortgage Trust                      | CSMC 2014-USA OA LLC                                                            | CUSIP: 12649AAN9<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $756450.00    | 0.06%             | 2037-09-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140FXWT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1886197 | PA      | $1804179.31   | 0.15%             | 2062-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140MHLM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1764637 | PA      | $1590845.93   | 0.13%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128334T4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12900000 | PA      | $9847092.19   | 0.81%             | 2032-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                           | Bristol-Myers Squibb Co                                                         | CUSIP: 110122EK0<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     61000 | PA      | $59510.97     | 0.00%             | 2054-02-22      | Fixed         | 5.55%                 | No            |                  2 | On Loan: —       |
| CREDIT AGRICOLE SA                                | Credit Agricole SA                                                              | CUSIP: 22535WAR8<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    715000 | PA      | $728332.93    | 0.06%             | 2031-05-27      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Masco Corp                                        | Masco Corp                                                                      | CUSIP: 574599AY2<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |    720000 | PA      | $766606.35    | 0.06%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                  | BAT Capital Corp                                                                | CUSIP: 05526DBR5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    465000 | PA      | $439940.48    | 0.04%             | 2028-03-25      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    170000 | PA      | $106641.80    | 0.01%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                          | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    885000 | PA      | $879861.58    | 0.07%             | 2026-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                  | CUSIP: 61747YFL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    448000 | PA      | $458326.47    | 0.04%             | 2035-01-18      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                          | Corebridge Financial Inc                                                        | CUSIP: 21871XAF6<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    390000 | PA      | $382122.79    | 0.03%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                  | CUSIP: 09659W2W3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1279000 | PA      | $1313299.08   | 0.11%             | 2030-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MEMORIAL HEALTH SERVICES                          | Memorial Health Services                                                        | CUSIP: 58601VAC6<br>LEI: 549300FTIZOMIONZZ882 | Long             | DBT              | CORP              | US        |    995000 | PA      | $708465.13    | 0.06%             | 2049-11-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                  | Altria Group Inc                                                                | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    485000 | PA      | $418301.67    | 0.03%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12370000 | PA      | $8983712.50   | 0.74%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                      | AES Corp/The                                                                    | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    725000 | PA      | $736074.14    | 0.06%             | 2032-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: —       |
| DT Auto Owner Trust                               | DT Auto Owner Trust 2023-2                                                      | CUSIP: 23346CAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2391000 | PA      | $2402240.33   | 0.20%             | 2029-02-15      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2021-SAVE                                 | CUSIP: 95003LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    444899 | PA      | $444648.81    | 0.04%             | 2040-02-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 31398MLT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1455314 | PA      | $1489993.83   | 0.12%             | 2040-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                          | Capital One Financial Corp                                                      | CUSIP: 14040HCZ6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    570000 | PA      | $598328.61    | 0.05%             | 2029-06-08      | Fixed         | 6.31%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                             | Bank of Ireland Group PLC                                                       | CUSIP: 06279JAB5<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    655000 | PA      | $634431.66    | 0.05%             | 2027-09-30      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| BIOGEN INC                                        | Biogen Inc                                                                      | CUSIP: 09062XAL7<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |    480000 | PA      | $494312.78    | 0.04%             | 2035-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 31396JRJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    920239 | PA      | $975131.74    | 0.08%             | 2036-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132H7EG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    952549 | PA      | $903850.28    | 0.07%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                               | CUSIP: 404280CK3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    890000 | PA      | $790425.87    | 0.07%             | 2031-08-18      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust 2017-4                          | CUSIP: 35563PDB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2666222 | PA      | $2441186.03   | 0.20%             | 2057-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132H7BV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    673401 | PA      | $627512.00    | 0.05%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38378J4C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    885069 | PA      | $907021.99    | 0.07%             | 2040-06-20      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136ASVZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1052548 | PA      | $1034195.56   | 0.09%             | 2026-05-25      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| COTTAGE HEALTH SYSTEM                             | Cottage Health Obligated Group                                                  | CUSIP: 22170QAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $346321.39    | 0.03%             | 2049-11-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| GOODMAN US FINANCE SIX                            | Goodman US Finance Six LLC                                                      | CUSIP: 38239EAC6<br>LEI: N/A                  | Long             | DBT              |  | US        |    270000 | PA      | $269117.30    | 0.02%             | 2034-10-07      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                         | CUSIP: 056121AA4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    910000 | PA      | $926600.95    | 0.08%             | 2031-05-28      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                            | Williams Cos Inc/The                                                            | CUSIP: 969457CP3<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    455000 | PA      | $467714.35    | 0.04%             | 2035-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 31397KTW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1135218 | PA      | $101589.21    | 0.01%             | 2037-10-15      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DV7A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3306458 | PA      | $2776531.55   | 0.23%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Progress Energy Inc                               | Progress Energy Inc                                                             | CUSIP: 743263AG0<br>LEI: 549300FBMTW0JYWMNB26 | Long             | DBT              | CORP              | US        |    200000 | PA      | $225868.84    | 0.02%             | 2031-10-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                  | WFRBS Commercial Mortgage Trust 2013-C11                                        | CUSIP: 92937EAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $253813.08    | 0.02%             | 2045-03-15      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 31392DWV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159924 | PA      | $161445.98    | 0.01%             | 2032-08-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                   | Goodgreen 2019-2                                                                | CUSIP: 38218EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    801370 | PA      | $689144.39    | 0.06%             | 2055-04-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAP INTL                            | TotalEnergies Capital International SA                                          | CUSIP: 89153VAU3<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |    660000 | PA      | $467750.58    | 0.04%             | 2049-07-12      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                  | CUSIP: 09659W2Z6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1615000 | PA      | $1645783.06   | 0.14%             | 2030-11-19      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| APA INFRASTRUCTURE LTD                            | APA Infrastructure Ltd                                                          | CUSIP: 00188LAA5<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |   1041000 | PA      | $1020883.22   | 0.08%             | 2034-09-16      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                        | GLS Auto Receivables Issuer Trust 2021-3                                        | CUSIP: 36263LAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2629051 | PA      | $2593742.36   | 0.21%             | 2027-07-15      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38374VUX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21034 | PA      | $21033.01     | 0.00%             | 2039-06-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    245000 | PA      | $174655.57    | 0.01%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                    | Morgan Stanley                                                                  | CUSIP: 61747YDY8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    400000 | PA      | $340944.44    | 0.03%             | 2045-01-27      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                      | Comcast Corp                                                                    | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    663000 | PA      | $389281.25    | 0.03%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                              | CUSIP: 292480AM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    308000 | PA      | $303421.10    | 0.02%             | 2029-09-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128P7RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    228965 | PA      | $224651.59    | 0.02%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    578000 | PA      | $592549.10    | 0.05%             | 2031-04-23      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                             | Truist Financial Corp                                                           | CUSIP: 89788MAS1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    480000 | PA      | $497544.03    | 0.04%             | 2035-01-24      | Fixed         | 5.71%                 | No            |                  2 | On Loan: —       |
| RTX CORP                                          | RTX Corp                                                                        | CUSIP: 75513ECK5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    133000 | PA      | $110495.30    | 0.01%             | 2047-04-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                           | CUSIP: 91086QBF4<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    959000 | PA      | $722692.81    | 0.06%             | 2046-01-23      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                          | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MCW8<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    960000 | PA      | $1007128.53   | 0.08%             | 2030-01-13      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                     | Boeing Co/The                                                                   | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    330000 | PA      | $354649.11    | 0.03%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust               | Exeter Automobile Receivables Trust 2023-3                                      | CUSIP: 301989AE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1600000 | PA      | $1610922.40   | 0.13%             | 2028-06-15      | Fixed         | 6.21%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                  | CUSIP: 61747YFD2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1215000 | PA      | $1238814.18   | 0.10%             | 2029-04-20      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| CLEVELAND ELECTRIC ILLUM                          | Cleveland Electric Illuminating Co/The                                          | CUSIP: 186108CL8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    250000 | PA      | $245726.11    | 0.02%             | 2030-11-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617XVY72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3151417 | PA      | $2931709.43   | 0.24%             | 2052-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TOLEDO EDISON COMPANY                             | Toledo Edison Co/The                                                            | CUSIP: 889175BD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | PA      | $432346.38    | 0.04%             | 2037-05-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                           | Southern Co Gas Capital Corp                                                    | CUSIP: 001192AD5<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1045265.44   | 0.09%             | 2034-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2024-RTL1                                   | CUSIP: 64831PAA3<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |   2450000 | PA      | $2468798.61   | 0.20%             | 2039-03-25      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| CGI INC                                           | CGI Inc                                                                         | CUSIP: 12532HAF1<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |   1184000 | PA      | $1023597.96   | 0.08%             | 2031-09-14      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-1                   | CUSIP: 35563PEL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2848923 | PA      | $2614423.92   | 0.22%             | 2057-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 18-1 A PTT                            | British Airways 2018-1 Class A Pass Through Trust                               | CUSIP: 11043HAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    460492 | PA      | $440345.05    | 0.04%             | 2031-09-20      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                            | ConocoPhillips Co                                                               | CUSIP: 20826FBM7<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    760000 | PA      | $721102.39    | 0.06%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36225FC80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94624 | PA      | $96201.36     | 0.01%             | 2041-04-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                         | Apple Inc                                                                       | CUSIP: 037833EK2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    965000 | PA      | $603604.20    | 0.05%             | 2051-08-05      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1265000 | PA      | $1327904.10   | 0.11%             | 2030-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BROOKLYN UNION GAS CO                             | Brooklyn Union Gas Co/The                                                       | CUSIP: 114259AQ7<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |    500000 | PA      | $384098.35    | 0.03%             | 2048-03-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DUY76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1087152 | PA      | $1108701.19   | 0.09%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QEEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1890848 | PA      | $1721019.18   | 0.14%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3622AAXX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2266394 | PA      | $2033434.80   | 0.17%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FELLS POINT FUNDING TR                            | Fells Point Funding Trust                                                       | CUSIP: 314382AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1895000 | PA      | $1853913.35   | 0.15%             | 2027-01-31      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| BOARDWALK PIPELINES LP                            | Boardwalk Pipelines LP                                                          | CUSIP: 096630AH1<br>LEI: 549300W6AQ2GHHCGL606 | Long             | DBT              | CORP              | US        |    630000 | PA      | $581957.88    | 0.05%             | 2031-02-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                           | AEP Transmission Co LLC                                                         | CUSIP: 00115AAL3<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |    225000 | PA      | $150066.92    | 0.01%             | 2049-09-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                   | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    905000 | PA      | $890875.00    | 0.07%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                          | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAM3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    445000 | PA      | $436779.80    | 0.04%             | 2026-02-21      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                       | Oracle Corp                                                                     | CUSIP: 68389XBP9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    900000 | PA      | $770433.53    | 0.06%             | 2037-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 19-1 AA PTT                           | British Airways 2019-1 Class AA Pass Through Trust                              | CUSIP: 11043XAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    423104 | PA      | $393112.19    | 0.03%             | 2032-12-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Emera US Finance LP                               | Emera US Finance LP                                                             | CUSIP: 29103DAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $415701.50    | 0.03%             | 2046-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                   | Goodgreen 2023-1                                                                | CUSIP: 38217DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1598966 | PA      | $1516818.83   | 0.12%             | 2061-01-17      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                              | FREMF 2016-K59 Mortgage Trust                                                   | CUSIP: 30295RAS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1700000 | PA      | $1670822.39   | 0.14%             | 2049-11-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                            | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822DK7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $204748.84    | 0.02%             | 2031-04-24      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    215000 | PA      | $192038.67    | 0.02%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Texas Health Resources                            | Texas Health Resources                                                          | CUSIP: 882484AA6<br>LEI: 54930008C10TUBW7Z611 | Long             | DBT              | CORP              | US        |    250000 | PA      | $203270.72    | 0.02%             | 2055-11-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617ULWC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1450601 | PA      | $1283659.04   | 0.11%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2021-R1                                               | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4021768 | PA      | $3501689.41   | 0.29%             | 2060-11-30      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                | CUSIP: 95000U3T8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    580000 | PA      | $588115.86    | 0.05%             | 2029-04-23      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                          | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   5211000 | PA      | $4953497.91   | 0.41%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3                   | CUSIP: 35563PLJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1347586 | PA      | $1098920.17   | 0.09%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                              | CUSIP: 86765BAM1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    394000 | PA      | $336038.45    | 0.03%             | 2043-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| YALE-NEW HAVEN HLTH SRVC                          | Yale-New Haven Health Services Corp                                             | CUSIP: 98459HAA0<br>LEI: 549300AVJD56IH6OKW11 | Long             | DBT              | CORP              | US        |    580000 | PA      | $334020.61    | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WRUE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    285777 | PA      | $278683.98    | 0.02%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308KR7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1168000 | PA      | $1167764.29   | 0.10%             | 2034-05-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10675000 | PA      | $10422719.75  | 0.86%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                               | Bank of Nova Scotia/The                                                         | CUSIP: 06417XAP6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   1040000 | PA      | $1059755.96   | 0.09%             | 2030-02-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: —       |
| Carvana Auto Receivables Trust                    | Carvana Auto Receivables Trust 2023-N1                                          | CUSIP: 14688FAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1805000 | PA      | $1819870.13   | 0.15%             | 2029-07-10      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                       | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B                       | CUSIP: 59020UBU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111155 | PA      | $107744.77    | 0.01%             | 2029-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4475000 | PA      | $2878159.17   | 0.24%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-1                   | CUSIP: 35563PJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2561050 | PA      | $2287750.00   | 0.19%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FMC GMSR ISSUER TRUST                             | FMC GMSR Issuer Trust                                                           | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3100000 | PA      | $3028773.47   | 0.25%             | 2026-01-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LKCD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3350000 | PA      | $3350295.87   | 0.28%             | 2033-04-01      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                    | Morgan Stanley                                                                  | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1157000 | PA      | $1155373.35   | 0.10%             | 2030-01-23      | Fixed         | 4.43%                 | No            |                  2 | On Loan: —       |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                              | CUSIP: 29278NAE3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    270000 | PA      | $259270.22    | 0.02%             | 2048-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                           | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JBR4<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    670000 | PA      | $438986.30    | 0.04%             | 2049-09-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    425000 | PA      | $438611.67    | 0.04%             | 2034-07-25      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XMUL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3403932 | PA      | $2858758.05   | 0.24%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                        | FIXED INC CLEARING CORP.REPO                                                    | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |  29968033 | PA      | $29968032.76  | 2.47%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $1085760.13   | 0.09%             | 2030-01-23      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2013-1 A PTT                           | United Airlines 2013-1 Class A Pass Through Trust                               | CUSIP: 909319AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    399033 | PA      | $398550.27    | 0.03%             | 2025-08-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                           | HCA Inc                                                                         | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    445000 | PA      | $413520.98    | 0.03%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                    | CUSIP: 06738ECG8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $212271.10    | 0.02%             | 2034-05-09      | Fixed         | 6.22%                 | No            |                  2 | On Loan: —       |
| Freddiemac Strip                                  | Freddie Mac Strips                                                              | CUSIP: 3132HTJV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    903652 | PA      | $828546.91    | 0.07%             | 2043-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UDR INC                                           | UDR Inc                                                                         | CUSIP: 90265EAR1<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              |  | US        |     95000 | PA      | $86284.73     | 0.01%             | 2031-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                           | CUSIP: 91087BAN0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    625000 | PA      | $367968.75    | 0.03%             | 2061-05-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    276000 | PA      | $207204.84    | 0.02%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2908000 | PA      | $2540865.00   | 0.21%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust            | Santander Drive Auto Receivables Trust 2024-3                                   | CUSIP: 80287LAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3040000 | PA      | $3124123.18   | 0.26%             | 2031-10-15      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    420000 | PA      | $317009.43    | 0.03%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                          | Baltimore Gas and Electric Co                                                   | CUSIP: 059165DX5<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |   1510000 | PA      | $1494382.73   | 0.12%             | 2033-06-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136BDXP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10177 | PA      | $10146.10     | 0.00%             | 2033-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                        | ROCK Trust 2024-CNTR                                                            | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1022985.20   | 0.08%             | 2041-11-13      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                           | Honeywell International Inc                                                     | CUSIP: 438516CT1<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |    690000 | PA      | $654588.41    | 0.05%             | 2054-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375BE99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10471 | PA      | $10413.47     | 0.00%             | 2063-01-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                            | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1051000 | PA      | $1063612.00   | 0.09%             | 2032-07-02      | Fixed         | 5.85%                 | 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        |    775000 | PA      | $552612.60    | 0.05%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375UFZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    218603 | PA      | $219551.15    | 0.02%             | 2064-04-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FW ENERGY ASSET ISSUER LLC                        | FW ENERGY ASSET ISSUER LLC                                                      | CUSIP: 302704AA9<br>LEI: 254900YOL2L2C8PFZR08 | Long             | ABS-O            | CORP              | US        |   1898602 | PA      | $1929646.47   | 0.16%             | 2044-08-25      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3675000 | PA      | $2118723.64   | 0.17%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GRENE ENERGY SENIO 11.0 17JAN6                    | GRENE ENERGY SENIO 11.0 17JAN6                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    111328 | PA      | $91589.82     | 0.01%             | 2061-01-17      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7GT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93728 | PA      | $92683.23     | 0.01%             | 2033-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                      | CaixaBank SA                                                                    | CUSIP: 12803RAM6<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    970000 | PA      | $979949.29    | 0.08%             | 2036-07-03      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128337N4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5425000 | PA      | $4391493.83   | 0.36%             | 2030-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Conagra Brands Inc                                | Conagra Brands Inc                                                              | CUSIP: 205887CD2<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    205000 | PA      | $196199.83    | 0.02%             | 2038-11-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                          | Enterprise Products Operating LLC                                               | CUSIP: 29379VBC6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    200000 | PA      | $185827.51    | 0.02%             | 2045-02-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                           | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    740000 | PA      | $771302.00    | 0.06%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS CORP                                 | ITC Holdings Corp                                                               | CUSIP: 465685AQ8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    330000 | PA      | $306896.60    | 0.03%             | 2030-05-14      | Fixed         | 2.95%                 | No            |                  2 | On Loan: —       |
| COMM Mortgage Trust                               | COMM 2018-HOME Mortgage Trust                                                   | CUSIP: 20048JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1450000 | PA      | $1407230.80   | 0.12%             | 2033-04-10      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38378MRL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2620655 | PA      | $2680797.34   | 0.22%             | 2042-11-20      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140JB2H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2750002 | PA      | $2366947.07   | 0.19%             | 2061-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STEEL DYNAMICS INC                                | Steel Dynamics Inc                                                              | CUSIP: 858119BN9<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |    630000 | PA      | $593779.64    | 0.05%             | 2027-10-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| BG BETA I LTD                                     | BG BETA I LTD                                                                   | CUSIP: 05593PAD8<br>LEI: 254900Z3OU5JTNX05R08 | Long             | ABS-O            | CORP              | KY        |   1576000 | PA      | $1609655.48   | 0.13%             | 2054-07-16      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                              | FREMF 2018-KW05 Trust                                                           | CUSIP: 30307MAS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3100000 | PA      | $2935045.28   | 0.24%             | 2028-04-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL                             | Takeda Pharmaceutical Co Ltd                                                    | CUSIP: 874060AZ9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    927000 | PA      | $607079.80    | 0.05%             | 2050-07-09      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                             | Entergy Louisiana LLC                                                           | CUSIP: 29364WBD9<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    390000 | PA      | $241151.57    | 0.02%             | 2051-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617XXDC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2998892 | PA      | $3137978.33   | 0.26%             | 2072-03-20      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  38980000 | PA      | $40216396.88  | 3.31%             | 2035-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                          | BHP Billiton Finance USA Ltd                                                    | CUSIP: 055451BK3<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |    495000 | PA      | $506819.81    | 0.04%             | 2032-02-21      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                   | CUSIP: 842400HX4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    713000 | PA      | $650816.19    | 0.05%             | 2053-12-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| PG&E RECOVERY FND LLC                             | PG&E Recovery Funding LLC                                                       | CUSIP: 71710TAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    590000 | PA      | $580630.25    | 0.05%             | 2049-06-01      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                            | Verizon Communications Inc                                                      | CUSIP: 92343VGY4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    346000 | PA      | $337073.00    | 0.03%             | 2035-02-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3133TDVT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33726 | PA      | $34110.47     | 0.00%             | 2028-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                               | Oportun Issuance Trust 2022-3                                                   | CUSIP: 68378NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    605280 | PA      | $605032.17    | 0.05%             | 2031-06-09      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                       | CUSIP: 31300LUY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    197916 | PA      | $204113.55    | 0.02%             | 2040-07-01      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                          | AT&T Inc                                                                        | CUSIP: 00206RKA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   2795000 | PA      | $1985687.29   | 0.16%             | 2051-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                     | Citigroup Inc                                                                   | CUSIP: 172967JC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    750000 | PA      | $748917.80    | 0.06%             | 2026-11-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                               | CUSIP: 404280DM8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    930000 | PA      | $986779.46    | 0.08%             | 2037-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375BL26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    349385 | PA      | $349688.18    | 0.03%             | 2063-02-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2024-RTL2                                   | CUSIP: 64831WAA8<br>LEI: 213800H34ZKQ2LAZZL53 | Long             | ABS-MBS          | CORP              | US        |   1900000 | PA      | $1902065.87   | 0.16%             | 2039-09-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                           | Fannie Mae Grantor Trust 2017-T1                                                | CUSIP: 3136AV6R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3890000 | PA      | $3784431.22   | 0.31%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CFIN 2022-RTL1 ISSUER LLC                         | CFIN 2022-RTL1 Issuer LLC                                                       | CUSIP: 12531CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    535291 | PA      | $531864.36    | 0.04%             | 2026-02-16      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2024-SFR4 Trust                                            | CUSIP: 74334JAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1229000 | PA      | $1143978.89   | 0.09%             | 2041-07-17      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136ACGA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1087476 | PA      | $1032779.98   | 0.08%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust             | Westlake Automobile Receivables Trust 2023-4                                    | CUSIP: 96041AAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1620000 | PA      | $1656676.15   | 0.14%             | 2028-11-15      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                              | CUSIP: 86765BAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    200000 | PA      | $179143.26    | 0.01%             | 2044-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                                | Vodafone Group PLC                                                              | CUSIP: 92857WAQ3<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    178000 | PA      | $191055.19    | 0.02%             | 2037-02-27      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                             | FMC GMSR Issuer Trust                                                           | CUSIP: 30259RAR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3375000 | PA      | $3407741.21   | 0.28%             | 2027-03-26      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                    | Morgan Stanley                                                                  | CUSIP: 61744YAR9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    850000 | PA      | $788129.27    | 0.06%             | 2039-04-22      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| COCA-COLA FEMSA SAB CV                            | Coca-Cola Femsa SAB de CV                                                       | CUSIP: 191241AJ7<br>LEI: 5493008KEVFYPMGTXO33 | Long             | DBT              | CORP              | MX        |    515000 | PA      | $421512.20    | 0.03%             | 2032-09-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| HALEON US CAPITAL LLC                             | Haleon US Capital LLC                                                           | CUSIP: 36264FAL5<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    780000 | PA      | $754260.67    | 0.06%             | 2029-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                          | Foundation Finance Trust 2023-2                                                 | CUSIP: 35042RAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1919259 | PA      | $2050773.40   | 0.17%             | 2049-06-15      | Fixed         | 9.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138NY3S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    754176 | PA      | $737245.28    | 0.06%             | 2033-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                  | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    275000 | PA      | $282823.98    | 0.02%             | 2029-07-20      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CY3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    150000 | PA      | $149165.89    | 0.01%             | 2035-09-11      | Fixed         | 5.40%                 | No            |                  2 | On Loan: —       |
| COMMONSPIRIT HEALTH                               | CommonSpirit Health                                                             | CUSIP: 20268JAG8<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    425000 | PA      | $314662.61    | 0.03%             | 2050-10-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                   | Danske Bank A/S                                                                 | CUSIP: 23636ABH3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    920000 | PA      | $954527.86    | 0.08%             | 2030-03-01      | Fixed         | 5.71%                 | 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        |    600000 | PA      | $600000.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                            | BP Capital Markets America Inc                                                  | CUSIP: 10373QBP4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |   1260000 | PA      | $790721.00    | 0.07%             | 2051-06-04      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140MFY56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3625339 | PA      | $3142859.51   | 0.26%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                          | Vistra Operations Co LLC                                                        | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    230000 | PA      | $234208.74    | 0.02%             | 2034-12-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                             | Uber Technologies Inc                                                           | CUSIP: 90353TAP5<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    370000 | PA      | $363427.47    | 0.03%             | 2034-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                          | Alexandria Real Estate Equities Inc                                             | CUSIP: 015271AW9<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              |  | US        |    710000 | PA      | $589477.02    | 0.05%             | 2032-05-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                       | Oracle Corp                                                                     | CUSIP: 68389XBE4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    106000 | PA      | $95635.92     | 0.01%             | 2035-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: —       |
| CF Secured LLC                                    | CF Secured LLC                                                                  | CUSIP: 000000000<br>LEI: 254900OXTV81I73FAT50 | Long             | RA               | CORP              | US        |    700000 | PA      | $700000.00    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERG                          | Berkshire Hathaway Energy Co                                                    | CUSIP: 59562VAM9<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |    325000 | PA      | $349535.65    | 0.03%             | 2036-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    555000 | PA      | $345053.91    | 0.03%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617VUD53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2965743 | PA      | $3108034.48   | 0.26%             | 2071-08-20      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                            | CVS Pass-Through Trust                                                          | CUSIP: 126650BV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    484472 | PA      | $488296.27    | 0.04%             | 2033-01-10      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133A7RS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5674007 | PA      | $4716099.70   | 0.39%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    950000 | PA      | $822847.82    | 0.07%             | 2032-01-27      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| Nevada Power Co                                   | Nevada Power Co                                                                 | CUSIP: 641423BZ0<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    223000 | PA      | $223655.15    | 0.02%             | 2040-09-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                             | Aon North America Inc                                                           | CUSIP: 03740MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1027188.95   | 0.08%             | 2034-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375UET3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    140289 | PA      | $140837.51    | 0.01%             | 2064-03-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2004-3                                           | CUSIP: 41161PEC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216071 | PA      | $206787.96    | 0.02%             | 2034-05-19      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| CVS PASS THRU TR 2009                             | CVS Pass-Through Trust Series 2009                                              | CUSIP: 126659AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     92790 | PA      | $100684.16    | 0.01%             | 2031-07-10      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FIN US INC                             | Stellantis Finance US Inc                                                       | CUSIP: 85855CAB6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    606000 | PA      | $512138.20    | 0.04%             | 2031-09-15      | Fixed         | 2.69%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38374EZN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    295446 | PA      | $294676.23    | 0.02%             | 2033-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133BBPW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    496074 | PA      | $464225.25    | 0.04%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                 | NatWest Group PLC                                                               | CUSIP: 78009PEH0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    565000 | PA      | $573274.02    | 0.05%             | 2030-01-27      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                               | Global Payments Inc                                                             | CUSIP: 37940XAD4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    211000 | PA      | $193991.35    | 0.02%             | 2030-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| VODAFONE GROUP PLC                                | Vodafone Group PLC                                                              | CUSIP: 92857WBY5<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    275000 | PA      | $259449.09    | 0.02%             | 2053-02-10      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                               | CUSIP: 404280DW6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    370000 | PA      | $397169.87    | 0.03%             | 2044-03-09      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 2003-1                                                   | CUSIP: 81743PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    117012 | PA      | $110057.37    | 0.01%             | 2033-04-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE / IRELAND DAC                           | Aircastle Ltd / Aircastle Ireland DAC                                           | CUSIP: 00929JAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    530000 | PA      | $534366.96    | 0.04%             | 2030-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust               | Thornburg Mortgage Securities Trust 2003-4                                      | CUSIP: 885220DW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    131292 | PA      | $129961.35    | 0.01%             | 2043-09-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Diversified ABS VIII LLC                          | Diversified ABS Phase VIII LLC                                                  | CUSIP: 255123AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2527763 | PA      | $2554208.84   | 0.21%             | 2044-05-30      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                  | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    380000 | PA      | $386632.96    | 0.03%             | 2029-02-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE HOLDCO                          | Columbia Pipelines Holding Co LLC                                               | CUSIP: 19828AAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    252000 | PA      | $253092.82    | 0.02%             | 2031-10-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2850000 | PA      | $2774630.87   | 0.23%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                | Essex Portfolio LP                                                              | CUSIP: 29717PAV9<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              |  | US        |    565000 | PA      | $493090.86    | 0.04%             | 2032-03-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Nomura Securities International Inc               | Nomura Securities International Inc                                             | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Long             | RA               | CORP              | US        |    600000 | PA      | $600000.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO NACIONAL DE PANAMA                          | Banco Nacional de Panama                                                        | CUSIP: 059626AC5<br>LEI: 529900H2Q7WMDKKIW109 | Long             | DBT              | CORP              | PA        |    950000 | PA      | $793998.60    | 0.07%             | 2030-08-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                          | Occidental Petroleum Corp                                                       | CUSIP: 674599EJ0<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    275000 | PA      | $275884.40    | 0.02%             | 2029-08-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                          | Virginia Electric and Power Co                                                  | CUSIP: 927804FB5<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    685000 | PA      | $720165.08    | 0.06%             | 2037-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                            | CUSIP: 06051GJZ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1018000 | PA      | $954202.71    | 0.08%             | 2029-06-14      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                 | Credit Acceptance Auto Loan Trust 2024-3                                        | CUSIP: 22535LAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2720000 | PA      | $2749940.67   | 0.23%             | 2035-01-16      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                            | Standard Chartered PLC                                                          | CUSIP: 853254DB3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    354000 | PA      | $361096.12    | 0.03%             | 2028-05-14      | Fixed         | 5.69%                 | No            |                  2 | On Loan: —       |
| MARS INC                                          | Mars Inc                                                                        | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   1055000 | PA      | $1057551.30   | 0.09%             | 2045-05-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: —       |
| Vericrest Opportunity Loan Transferee             | VOLT XCV LLC                                                                    | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    178045 | PA      | $177917.26    | 0.01%             | 2051-03-27      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AHNE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    520497 | PA      | $380340.59    | 0.03%             | 2043-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Suncor Energy Inc                                 | Suncor Energy Inc                                                               | CUSIP: 867229AD8<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |    668000 | PA      | $692983.33    | 0.06%             | 2034-12-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                      | ING Groep NV                                                                    | CUSIP: 456837AV5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    285000 | PA      | $279148.04    | 0.02%             | 2027-04-01      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                               | CUSIP: 404280EN5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    525000 | PA      | $536325.09    | 0.04%             | 2030-11-19      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                | Coterra Energy Inc                                                              | CUSIP: 127097AG8<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    710000 | PA      | $701102.02    | 0.06%             | 2027-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| ANCHOR MTG TR 2024 RTL1                           | ANCHOR MTG TR 2024 RTL1                                                         | CUSIP: 03332JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2032717.80   | 0.17%             | 2031-03-25      | Variable      | 8.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140MREL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4125585 | PA      | $3845166.29   | 0.32%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HP ENTERPRISE CO                                  | Hewlett Packard Enterprise Co                                                   | CUSIP: 42824CBV0<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |   1040000 | PA      | $1008819.13   | 0.08%             | 2034-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY                            | PG&E Wildfire Recovery Funding LLC                                              | CUSIP: 693342AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    465000 | PA      | $438218.33    | 0.04%             | 2036-06-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                  | CUSIP: 09659W2U7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    586000 | PA      | $521617.97    | 0.04%             | 2033-01-20      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                          | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                      | CUSIP: 47214BAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    845000 | PA      | $922456.93    | 0.08%             | 2034-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROP LP                              | COPT Defense Properties LP                                                      | CUSIP: 22003BAM8<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              |  | US        |   1153000 | PA      | $1019819.71   | 0.08%             | 2031-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                               | CommonSpirit Health                                                             | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    430000 | PA      | $393640.96    | 0.03%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| MACQUARIE AIRFINANCE HLD                          | Macquarie Airfinance Holdings Ltd                                               | CUSIP: 55609NAF5<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |    840000 | PA      | $849360.12    | 0.07%             | 2028-03-27      | Fixed         | 5.20%                 | No            |                  2 | On Loan: —       |
| Multifamily Structured Credit Risk                | Freddie Mac Multifamily Structured Credit Risk                                  | CUSIP: 35563HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1307304 | PA      | $1329497.69   | 0.11%             | 2052-05-25      | Floating      | 8.55%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc      | BAMLL Commercial Mortgage Securities Trust 2014-520M                            | CUSIP: 05525MAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $823740.72    | 0.07%             | 2046-08-15      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140FXS45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1272167 | PA      | $1125229.34   | 0.09%             | 2061-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617VUE60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3489644 | PA      | $3648343.67   | 0.30%             | 2071-11-20      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                  | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    815000 | PA      | $847847.70    | 0.07%             | 2033-01-13      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LLML2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3145000 | PA      | $3238722.92   | 0.27%             | 2032-02-01      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| CADENCE DESIGN SYS INC                            | Cadence Design Systems Inc                                                      | CUSIP: 127387AP3<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | DBT              | CORP              | US        |    953000 | PA      | $941501.55    | 0.08%             | 2034-09-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: —       |
| DNB BANK ASA                                      | DNB Bank ASA                                                                    | CUSIP: 23341CAE3<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |    590000 | PA      | $596597.44    | 0.05%             | 2030-11-05      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1A PTT                            | Air Canada 2017-1 Class A Pass Through Trust                                    | CUSIP: 00908PAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    484387 | PA      | $452670.30    | 0.04%             | 2030-01-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140MREP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3184584 | PA      | $2968110.26   | 0.24%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10400000 | PA      | $6352531.22   | 0.52%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375UAL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50700 | PA      | $50888.80     | 0.00%             | 2063-09-20      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31407N5P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246396 | PA      | $249748.00    | 0.02%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2280000 | PA      | $1604550.00   | 0.13%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| MRCD Mortgage Trust                               | MRCD 2019-MARK Mortgage Trust                                                   | CUSIP: 55348UAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1997000 | PA      | $1453017.20   | 0.12%             | 2036-12-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                    | CUSIP: 06738ECU7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    285000 | PA      | $287124.81    | 0.02%             | 2030-09-10      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                        | Flagship Credit Auto Trust 2020-4                                               | CUSIP: 33845XAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    340670 | PA      | $338194.87    | 0.03%             | 2027-02-16      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LJKJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2700000 | PA      | $2671403.87   | 0.22%             | 2033-01-01      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4325000 | PA      | $3702774.40   | 0.30%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Global Mortgage Securitization Ltd                | Global Mortgage Securitization Ltd                                              | CUSIP: 378961AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     36585 | PA      | $36062.48     | 0.00%             | 2032-11-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| ERAC USA Finance LLC                              | ERAC USA Finance LLC                                                            | CUSIP: 26882PBE1<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    500000 | PA      | $573790.59    | 0.05%             | 2037-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                        | AbbVie Inc                                                                      | CUSIP: 00287YDU0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1115000 | PA      | $1135251.31   | 0.09%             | 2034-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                          | CUSIP: 91324PEF5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    900000 | PA      | $596968.82    | 0.05%             | 2051-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 312935BK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    436450 | PA      | $442416.80    | 0.04%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138LFHK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1095506 | PA      | $1021775.70   | 0.08%             | 2036-09-01      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526DA4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1520000 | PA      | $1543743.19   | 0.13%             | 2031-05-09      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer LLC                               | DataBank Issuer                                                                 | CUSIP: 23802WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1950000 | PA      | $1907467.38   | 0.16%             | 2051-02-27      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                               | American Tower Corp                                                             | CUSIP: 03027XBG4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    845000 | PA      | $734503.08    | 0.06%             | 2030-10-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                          | AT&T Inc                                                                        | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    396000 | PA      | $267200.15    | 0.02%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LEAN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4300000 | PA      | $3720963.08   | 0.31%             | 2031-11-01      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31419AQX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97162 | PA      | $101853.41    | 0.01%             | 2039-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                          | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                      | CUSIP: 46590XAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    760000 | PA      | $707174.45    | 0.06%             | 2031-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                    | CUSIP: 902613BJ6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    258000 | PA      | $264965.88    | 0.02%             | 2030-02-08      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617VUEL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2987659 | PA      | $3128083.74   | 0.26%             | 2071-09-20      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38374VZX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    663686 | PA      | $669332.50    | 0.06%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale                                  | Societe Generale                                                                | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | RA               | CORP              | US        |   1000000 | PA      | $1000000.00   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                           | Bristol-Myers Squibb Co                                                         | CUSIP: 110122DW5<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    380000 | PA      | $276833.40    | 0.02%             | 2052-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136A8Q52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172133 | PA      | $170164.53    | 0.01%             | 2042-10-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| KLA CORP                                          | KLA Corp                                                                        | CUSIP: 482480AJ9<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    610000 | PA      | $422616.69    | 0.03%             | 2050-03-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                          | Lloyds Banking Group PLC                                                        | CUSIP: 53944YAZ6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    730000 | PA      | $739891.59    | 0.06%             | 2028-01-05      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7065000 | PA      | $6732724.22   | 0.55%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375BS52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    627193 | PA      | $628693.13    | 0.05%             | 2063-04-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                               | CUSIP: 404280EW5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    430000 | PA      | $437820.54    | 0.04%             | 2031-05-13      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136B32G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1852857 | PA      | $1787992.53   | 0.15%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NY STATE ELECTRIC & GAS                           | New York State Electric & Gas Corp                                              | CUSIP: 649840CQ6<br>LEI: 549300GEC6J0YHUXA160 | Long             | DBT              | CORP              | US        |    434000 | PA      | $427872.10    | 0.04%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| HACKENSACK MERIDIAN HLTH                          | Hackensack Meridian Health Inc                                                  | CUSIP: 404530AD9<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |    700000 | PA      | $438522.00    | 0.04%             | 2050-09-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132HLNL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    795006 | PA      | $768044.38    | 0.06%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY PENN ELECTRI                          | FirstEnergy Pennsylvania Electric Co                                            | CUSIP: 708696BY4<br>LEI: O1PLQWO3TX952VMBJ146 | Long             | DBT              | CORP              | US        |    113000 | PA      | $109605.19    | 0.01%             | 2028-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138M4H21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214988 | PA      | $202466.82    | 0.02%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp                                   | McDonald's Corp                                                                 | CUSIP: 58013MEZ3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     84000 | PA      | $81927.48     | 0.01%             | 2035-12-09      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375BD74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    263028 | PA      | $262914.27    | 0.02%             | 2062-12-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                            | Williams Cos Inc/The                                                            | CUSIP: 969457CQ1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    120000 | PA      | $119829.22    | 0.01%             | 2055-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136B2HA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3646152 | PA      | $3575850.44   | 0.29%             | 2028-07-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140MHLE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2087838 | PA      | $1884566.30   | 0.16%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                     | UniCredit SpA                                                                   | CUSIP: 904678AW9<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    345000 | PA      | $336485.32    | 0.03%             | 2027-06-03      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810PW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    720000 | PA      | $719184.38    | 0.06%             | 2038-02-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PG&E RECOVERY FND LLC                             | PG&E Recovery Funding LLC                                                       | CUSIP: 71710TAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    630000 | PA      | $611144.12    | 0.05%             | 2047-07-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                               | Quanta Services Inc                                                             | CUSIP: 74762EAF9<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1023264.54   | 0.08%             | 2030-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                | Credit Agricole SA                                                              | CUSIP: 22535WAN7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    795000 | PA      | $824110.13    | 0.07%             | 2036-01-09      | Fixed         | 5.86%                 | 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        |    400000 | PA      | $409346.06    | 0.03%             | 2055-10-23      | Fixed         | 6.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617YLKH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2768650 | PA      | $2697454.12   | 0.22%             | 2052-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SIGECO SECURITIZATION I                           | Sigeco Securitization I LLC                                                     | CUSIP: 82655KAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    549210 | PA      | $553476.11    | 0.05%             | 2036-11-15      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H7ZB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3100000 | PA      | $2833082.56   | 0.23%             | 2032-06-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132JM4A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1200190 | PA      | $1157503.32   | 0.10%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSX Corp                                          | CSX Corp                                                                        | CUSIP: 126408HN6<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    404000 | PA      | $358154.65    | 0.03%             | 2048-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                            | Verizon Communications Inc                                                      | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    779000 | PA      | $549561.75    | 0.05%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                | CUSIP: 87264ABY0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    385000 | PA      | $256715.43    | 0.02%             | 2060-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132GHFX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160599 | PA      | $158790.60    | 0.01%             | 2032-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                | Hero Funding 2017-3                                                             | CUSIP: 42771AAB2<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |    572782 | PA      | $517785.94    | 0.04%             | 2048-09-20      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL                             | Takeda Pharmaceutical Co Ltd                                                    | CUSIP: 874060BL9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    228000 | PA      | $226948.84    | 0.02%             | 2044-07-05      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Southern Power Co                                 | Southern Power Co                                                               | CUSIP: 843646AH3<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |    400000 | PA      | $378301.99    | 0.03%             | 2041-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10865000 | PA      | $11079329.07  | 0.91%             | 2030-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7JJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    805961 | PA      | $791157.46    | 0.07%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AGZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    286770 | PA      | $208931.44    | 0.02%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                            | Brixmor Operating Partnership LP                                                | CUSIP: 11120VAL7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              |  | US        |    325000 | PA      | $283240.35    | 0.02%             | 2031-08-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: —       |
| CHILDREN'S HOSPITAL/DC                            | Children's Hospital/DC                                                          | CUSIP: 16876DAA6<br>LEI: 549300C1PQZDYQ6KZS51 | Long             | DBT              | CORP              | US        |    540000 | PA      | $337789.31    | 0.03%             | 2050-07-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31371NXY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28643 | PA      | $29102.08     | 0.00%             | 2028-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                          | Canadian Pacific Railway Co                                                     | CUSIP: 13648TAF4<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    597000 | PA      | $526567.81    | 0.04%             | 2048-05-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128334X5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1383924.98   | 0.11%             | 2034-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp                                | Union Pacific Corp                                                              | CUSIP: 907818ER5<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    200000 | PA      | $147872.49    | 0.01%             | 2067-09-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 2004-9                                                   | CUSIP: 81744FDV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    263231 | PA      | $241349.39    | 0.02%             | 2034-10-20      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                | Meta Platforms Inc                                                              | CUSIP: 30303M8V7<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    365000 | PA      | $355963.07    | 0.03%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust               | Exeter Automobile Receivables Trust 2022-4                                      | CUSIP: 30166BAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2800000 | PA      | $2816446.64   | 0.23%             | 2028-12-15      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                        | GLS Auto Receivables Issuer Trust 2023-3                                        | CUSIP: 36267PAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1251000 | PA      | $1262862.61   | 0.10%             | 2029-05-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| COOF Securitization Trust                         | COOF Securitization Trust 2014-1 Ltd                                            | CUSIP: 12631UAA3<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    168972 | PA      | $11155.50     | 0.00%             | 2040-06-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| EASTERN ENERGY GAS                                | Eastern Energy Gas Holdings LLC                                                 | CUSIP: 27636AAC6<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |    325000 | PA      | $335849.86    | 0.03%             | 2055-01-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| HARTFORD HEALTHCARE CORP                          | Hartford HealthCare Corp                                                        | CUSIP: 41652PAC3<br>LEI: 549300W3L482NUDOFF24 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $761329.05    | 0.06%             | 2054-07-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                      | Bridge 2022-SFR1 Trust                                                          | CUSIP: 10805VAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2257000 | PA      | $2241887.58   | 0.18%             | 2037-11-17      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                      | Comcast Corp                                                                    | CUSIP: 20030NCJ8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    591000 | PA      | $514015.48    | 0.04%             | 2038-03-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| TEXAS HEALTH RESOURCES                            | Texas Health Resources                                                          | CUSIP: 882484AC2<br>LEI: 54930008C10TUBW7Z611 | Long             | DBT              | CORP              | US        |    340000 | PA      | $190782.86    | 0.02%             | 2050-11-15      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132XGNV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3500000 | PA      | $3339315.46   | 0.27%             | 2032-08-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                                  | SLG Office Trust 2021-OVA                                                       | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3090000 | PA      | $2710222.62   | 0.22%             | 2041-07-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7FD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88673 | PA      | $86301.87     | 0.01%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810RJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    238000 | PA      | $183269.30    | 0.02%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7K46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    745369 | PA      | $727450.28    | 0.06%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                   | CVS Health Corp                                                                 | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    179000 | PA      | $178265.51    | 0.01%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: —       |
| CAIXABANK SA                                      | CaixaBank SA                                                                    | CUSIP: 12803RAB0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    930000 | PA      | $952429.66    | 0.08%             | 2027-09-13      | Fixed         | 6.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140FXQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1791462 | PA      | $1600484.94   | 0.13%             | 2060-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                   | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    675000 | PA      | $687217.18    | 0.06%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375UDJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    235706 | PA      | $236728.16    | 0.02%             | 2064-02-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136BCGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    841890 | PA      | $797310.17    | 0.07%             | 2030-10-25      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140GTFZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    450602 | PA      | $426806.09    | 0.04%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3618AWYK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2537163 | PA      | $2552964.20   | 0.21%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                    | CUSIP: 25160PAQ0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    405000 | PA      | $412109.17    | 0.03%             | 2029-01-10      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                           | MPLX LP                                                                         | CUSIP: 55336VBX7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    960000 | PA      | $963902.25    | 0.08%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| JERSEY CENTRAL PWR & LT                           | Jersey Central Power & Light Co                                                 | CUSIP: 476556DF9<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    220000 | PA      | $219349.62    | 0.02%             | 2035-01-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LGR53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4357000 | PA      | $4091342.47   | 0.34%             | 2032-06-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                            | Brixmor Operating Partnership LP                                                | CUSIP: 11120VAK9<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              |  | US        |    600000 | PA      | $567555.69    | 0.05%             | 2028-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                               | Gilead Sciences Inc                                                             | CUSIP: 375558BS1<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |   1760000 | PA      | $1262740.55   | 0.10%             | 2040-10-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                            | PNC Financial Services Group Inc/The                                            | CUSIP: 693475CD5<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    690000 | PA      | $698763.88    | 0.06%             | 2031-05-13      | Fixed         | 4.90%                 | 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        |    840000 | PA      | $559532.69    | 0.05%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                     | CUSIP: 68389XCP8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    820000 | PA      | $822194.11    | 0.07%             | 2033-02-06      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                 | Credit Acceptance Auto Loan Trust 2023-5                                        | CUSIP: 22535PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2370000 | PA      | $2399717.19   | 0.20%             | 2033-12-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES                             | Huntington Bancshares Inc/OH                                                    | CUSIP: 446150BE3<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |    450000 | PA      | $461068.65    | 0.04%             | 2031-01-15      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                           | SCF Equipment Leasing 2023-1 LLC                                                | CUSIP: 784024AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2385000 | PA      | $2477828.97   | 0.20%             | 2033-08-22      | Fixed         | 6.77%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    781000 | PA      | $756212.43    | 0.06%             | 2027-10-21      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                 | Credit Acceptance Auto Loan Trust 2022-3                                        | CUSIP: 22534QAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2600000 | PA      | $2641267.20   | 0.22%             | 2033-02-15      | Fixed         | 8.45%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                            | Mizuho Financial Group Inc                                                      | CUSIP: 60687YBA6<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    539000 | PA      | $503831.62    | 0.04%             | 2030-09-13      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| NEW ENGLAND POWER CO                              | New England Power Co                                                            | CUSIP: 644188BF0<br>LEI: 549300DTVRGN9GYD5U85 | Long             | DBT              | CORP              | US        |    280000 | PA      | $214233.14    | 0.02%             | 2047-12-05      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LLFY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1300000 | PA      | $1299307.53   | 0.11%             | 2033-10-01      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust        | Mercury Financial Credit Card Master Trust                                      | CUSIP: 58940BAZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2455000 | PA      | $2476619.96   | 0.20%             | 2029-07-20      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD GRP/CO                          | JBS USA Holding Lux Sarl / JBS USA Foods Group Holdings Inc / JBS USA Food Co   | CUSIP: 472140AJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    905000 | PA      | $911669.85    | 0.08%             | 2066-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                     | Boeing Co/The                                                                   | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    580000 | PA      | $613147.89    | 0.05%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: —       |
| MLCC Mortgage Investors Inc                       | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E                       | CUSIP: 589929Y36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73274 | PA      | $69719.84     | 0.01%             | 2028-10-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LVMQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4049777 | PA      | $3208826.67   | 0.26%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MACQUARIE BANK LTD                                | Macquarie Bank Ltd                                                              | CUSIP: 556079AD3<br>LEI: 4ZHCHI4KYZG2WVRT8631 | Long             | DBT              | CORP              | AU        |    825000 | PA      | $731944.79    | 0.06%             | 2036-03-03      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                           | Dell International LLC / EMC Corp                                               | CUSIP: 24703TAN6<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |   1425000 | PA      | $1456501.92   | 0.12%             | 2032-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: —       |
| Dupont De Nemours Inc                             | DuPont de Nemours Inc                                                           | CUSIP: 26078JAE0<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |   2025000 | PA      | $2096159.53   | 0.17%             | 2038-11-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                               | American Tower Corp                                                             | CUSIP: 03027XBK5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    255000 | PA      | $161456.47    | 0.01%             | 2051-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: —       |
| Firstkey Homes Trust                              | FirstKey Homes 2022-SFR1 Trust                                                  | CUSIP: 33768NAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1320000 | PA      | $1320805.20   | 0.11%             | 2039-05-19      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                           | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    848000 | PA      | $733520.00    | 0.06%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375BR95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49986 | PA      | $47966.75     | 0.00%             | 2063-04-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375BK84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18602 | PA      | $17533.20     | 0.00%             | 2063-02-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER                              | Niagara Mohawk Power Corp                                                       | CUSIP: 65364UAN6<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    700000 | PA      | $617972.58    | 0.05%             | 2030-06-27      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                              | Glencore Funding LLC                                                            | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   1165000 | PA      | $1049707.51   | 0.09%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                            | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    855000 | PA      | $753563.70    | 0.06%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128334Y3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2600000 | PA      | $1752160.54   | 0.14%             | 2034-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                         | CUSIP: 056121AB2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1175000 | PA      | $1210424.33   | 0.10%             | 2036-05-28      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1160000 | PA      | $932848.44    | 0.08%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HOLDINGS                           | Duquesne Light Holdings Inc                                                     | CUSIP: 266233AG0<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $1017496.81   | 0.08%             | 2027-08-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Baxalta Inc                                       | Baxalta Inc                                                                     | CUSIP: 07177MAN3<br>LEI: 5493000JW8DCO3T45R55 | Long             | DBT              | CORP              | US        |     27000 | PA      | $25209.99     | 0.00%             | 2045-06-23      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LFB94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4050000 | PA      | $3523139.23   | 0.29%             | 2032-01-01      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136BCGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13166401 | PA      | $549803.88    | 0.05%             | 2030-10-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LKCX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2930638.38   | 0.24%             | 2033-05-01      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                          | Lloyds Banking Group PLC                                                        | CUSIP: 53944YAX1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    795000 | PA      | $816062.49    | 0.07%             | 2035-01-05      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QNHF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2390445 | PA      | $2086911.73   | 0.17%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DREYFUS TREASURY & AGENCY LEX                     | DREYFUS TREASURY & AGENCY LEX                                                   | CUSIP: 261908107<br>LEI: N/A                  | Long             | STIV             | RF                | US        |    200000 | NS      | $200000.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132XHSM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3248365 | PA      | $3050948.52   | 0.25%             | 2034-06-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5720000 | PA      | $5738768.75   | 0.47%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-2                   | CUSIP: 35563PFP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2084601 | PA      | $1955635.24   | 0.16%             | 2057-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAP INTL                            | TotalEnergies Capital International SA                                          | CUSIP: 89153VAV1<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |    870000 | PA      | $573943.09    | 0.05%             | 2050-05-29      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                     | AIB Group PLC                                                                   | CUSIP: 00135TAF1<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |    955000 | PA      | $971751.89    | 0.08%             | 2031-05-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                           | Exxon Mobil Corp                                                                | CUSIP: 30231GAY8<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    690000 | PA      | $537345.32    | 0.04%             | 2039-08-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    380000 | PA      | $187357.81    | 0.02%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| PG&E RECOVERY FND LLC                             | PG&E Recovery Funding LLC                                                       | CUSIP: 71710TAH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    495000 | PA      | $490825.07    | 0.04%             | 2042-06-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                   | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    677000 | PA      | $605042.50    | 0.05%             | 2033-01-25      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| WELLTOWER OP LLC                                  | Welltower OP LLC                                                                | CUSIP: 42217KAX4<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              |  | US        |    225000 | PA      | $248088.49    | 0.02%             | 2041-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                               | Nomura Holdings Inc                                                             | CUSIP: 65535HAS8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    540000 | PA      | $489895.19    | 0.04%             | 2030-07-16      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                        | Fiserv Inc                                                                      | CUSIP: 337738AV0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    295000 | PA      | $241512.31    | 0.02%             | 2049-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LFW91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3150000 | PA      | $2893374.41   | 0.24%             | 2030-10-01      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| Consumers Energy Co                               | Consumers Energy Co                                                             | CUSIP: 210518CX2<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |    191000 | PA      | $148560.70    | 0.01%             | 2064-08-31      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| CODELCO INC                                       | Corp Nacional del Cobre de Chile                                                | CUSIP: 21987BBK3<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |    528000 | PA      | $552306.33    | 0.05%             | 2036-01-26      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                 | NatWest Group PLC                                                               | CUSIP: 639057AN8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    555000 | PA      | $576338.09    | 0.05%             | 2035-03-01      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE CHILDREN HOSP                          | Nationwide Children's Hospital Inc                                              | CUSIP: 63861UAA7<br>LEI: 549300P18KU1WR8JWZ05 | Long             | DBT              | CORP              | US        |    181000 | PA      | $154284.15    | 0.01%             | 2052-11-01      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                         | Amgen Inc                                                                       | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    865000 | PA      | $844582.48    | 0.07%             | 2053-03-02      | Fixed         | 5.65%                 | No            |                  2 | On Loan: —       |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912833XZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12775000 | PA      | $10217050.00  | 0.84%             | 2031-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140NMGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3793410 | PA      | $3724866.10   | 0.31%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LFT CRE LLC                                       | LFT CRE 2021-FL1 Ltd                                                            | CUSIP: 50203JAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3280000 | PA      | $3260956.32   | 0.27%             | 2039-06-15      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                          | KGS-Alpha SBA COOF Trust 2014-2                                                 | CUSIP: 48249GAA2<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |     98209 | PA      | $5636.49      | 0.00%             | 2040-04-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2004-AR1                         | CUSIP: 86359LAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    274333 | PA      | $258502.98    | 0.02%             | 2034-03-19      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418AVA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    865450 | PA      | $805446.21    | 0.07%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1795000 | PA      | $1674819.15   | 0.14%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LHBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3411180 | PA      | $3268482.15   | 0.27%             | 2032-09-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                 | Kinder Morgan Inc                                                               | CUSIP: 49456BAJ0<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    250000 | PA      | $220668.59    | 0.02%             | 2046-02-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                               | Quanta Services Inc                                                             | CUSIP: 74762EAH5<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    855000 | PA      | $736105.90    | 0.06%             | 2032-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                          | Vistra Operations Co LLC                                                        | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     90000 | PA      | $93461.40     | 0.01%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                | Meta Platforms Inc                                                              | CUSIP: 30303M8Q8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    835000 | PA      | $834989.48    | 0.07%             | 2053-05-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136BDXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6420981 | PA      | $426809.02    | 0.04%             | 2033-11-25      | Variable      | 2.02%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee             | VOLT C LLC                                                                      | CUSIP: 91835DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    485087 | PA      | $484394.47    | 0.04%             | 2051-05-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                           | Bristol-Myers Squibb Co                                                         | CUSIP: 110122DL9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    427000 | PA      | $367135.81    | 0.03%             | 2048-02-20      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                         | CUSIP: 05571ABA2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    685000 | PA      | $719369.51    | 0.06%             | 2036-01-14      | Fixed         | 6.29%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation           | Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-34A        | CUSIP: 86359A5B5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70840 | PA      | $70411.61     | 0.01%             | 2033-11-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E                                   | San Diego Gas & Electric Co                                                     | CUSIP: 797440CA0<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    635000 | PA      | $399548.80    | 0.03%             | 2051-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co                          | Florida Power & Light Co                                                        | CUSIP: 341081EQ6<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1322044.50   | 0.11%             | 2034-04-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617Y9AV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    763342 | PA      | $697551.79    | 0.06%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                  | CUSIP: 05581KAH4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1305000 | PA      | $1332210.02   | 0.11%             | 2030-01-09      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| ENTERGY MISSISSIPPI LLC                           | Entergy Mississippi LLC                                                         | CUSIP: 29366WAE6<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |    320000 | PA      | $320724.65    | 0.03%             | 2054-06-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 31397CP60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    557732 | PA      | $48356.52     | 0.00%             | 2036-11-15      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| SCE RECOVERY FUNDING LLC                          | SCE Recovery Funding LLC                                                        | CUSIP: 78433LAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    585785 | PA      | $569448.33    | 0.05%             | 2040-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Anchor Mortgage Trust                             | Anchor Mortgage Trust 2025-RTL1                                                 | CUSIP: 03290CAA4<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1299973.87   | 0.11%             | 2040-05-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| BIMBO BAKERIES USA INC                            | Bimbo Bakeries USA Inc                                                          | CUSIP: 09031WAE3<br>LEI: 549300HOXXHHT7926W92 | Long             | DBT              | CORP              | US        |    200000 | PA      | $197603.76    | 0.02%             | 2036-01-09      | Fixed         | 5.38%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375LGP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70595 | PA      | $70192.17     | 0.01%             | 2037-09-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 31395XZV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    459436 | PA      | $471299.76    | 0.04%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                   | GOODGREEN 2017 R1                                                               | CUSIP: 38218AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     72668 | PA      | $70741.27     | 0.01%             | 2051-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  53815000 | PA      | $47273114.06  | 3.89%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10415000 | PA      | $8027279.91   | 0.66%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| KeySpan Gas East Corp                             | KeySpan Gas East Corp                                                           | CUSIP: 49338CAB9<br>LEI: K8TS3HOE1568DUBUJL44 | Long             | DBT              | CORP              | US        |    345000 | PA      | $337468.19    | 0.03%             | 2026-08-15      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | PRET 2021-RN4 LLC                                                               | CUSIP: 69359QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3077019 | PA      | $3074548.51   | 0.25%             | 2051-10-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                      | Enbridge Inc                                                                    | CUSIP: 29250NCC7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    705000 | PA      | $724327.67    | 0.06%             | 2034-04-05      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| JBS USA SARL/FOOD/GRP                             | JBS USA LUX Sarl / JBS USA Food Co / JBS USA Foods Group                        | CUSIP: 472140AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    135000 | PA      | $139857.30    | 0.01%             | 2035-04-20      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                             | Tennessee Valley Authority                                                      | CUSIP: 880591CS9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   1600000 | PA      | $1768922.26   | 0.15%             | 2036-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-1 AA PTT                          | United Airlines 2019-1 Class AA Pass Through Trust                              | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    920617 | PA      | $881688.66    | 0.07%             | 2031-08-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                        | GLS Auto Receivables Issuer Trust 2021-1                                        | CUSIP: 36261AAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44193 | PA      | $44137.55     | 0.00%             | 2027-01-15      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| GOODMAN US FIN THREE                              | Goodman US Finance Three LLC                                                    | CUSIP: 38239JAA9<br>LEI: N/A                  | Long             | DBT              |  | US        |    387000 | PA      | $379336.19    | 0.03%             | 2028-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375UKC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1573478 | PA      | $1576474.80   | 0.13%             | 2064-06-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2014-1 A PTT                           | United Airlines 2014-1 Class A Pass Through Trust                               | CUSIP: 90932PAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    272727 | PA      | $270325.03    | 0.02%             | 2026-04-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL                             | Takeda Pharmaceutical Co Ltd                                                    | CUSIP: 874060AY2<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    945000 | PA      | $706633.03    | 0.06%             | 2040-07-09      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust               | Exeter Automobile Receivables Trust 2024-2                                      | CUSIP: 30166DAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2540000 | PA      | $2588226.22   | 0.21%             | 2030-02-15      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375BF64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        44 | PA      | $43.48        | 0.00%             | 2060-08-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                         | Amgen Inc                                                                       | CUSIP: 031162DS6<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    731000 | PA      | $725161.71    | 0.06%             | 2043-03-02      | Fixed         | 5.60%                 | No            |                  2 | On Loan: —       |
| AMERICAN EXPRESS CO                               | American Express Co                                                             | CUSIP: 025816DZ9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    635000 | PA      | $648212.71    | 0.05%             | 2036-01-30      | Fixed         | 5.44%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AHPA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    620816 | PA      | $621504.23    | 0.05%             | 2043-12-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1580000 | PA      | $1173952.34   | 0.10%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT                          | Element Fleet Management Corp                                                   | CUSIP: 286181AP7<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |    740000 | PA      | $746503.08    | 0.06%             | 2030-03-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: —       |
| Goodgreen Trust                                   | Goodgreen 2017-1 Trust                                                          | CUSIP: 38217VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    180482 | PA      | $166182.32    | 0.01%             | 2052-10-15      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2003-AR4                         | CUSIP: 86359LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320183 | PA      | $304509.29    | 0.03%             | 2034-01-19      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                          | Devon Energy Corp                                                               | CUSIP: 25179MBH5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    685000 | PA      | $616691.85    | 0.05%             | 2054-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Chile Government International Bonds              | Chile Government International Bonds                                            | CUSIP: 168863DN5<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    394000 | PA      | $346207.80    | 0.03%             | 2032-01-27      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| APA INFRASTRUCTURE LTD                            | APA Infrastructure Ltd                                                          | CUSIP: 00205GAD9<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |    687000 | PA      | $683859.78    | 0.06%             | 2027-07-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                          | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    990000 | PA      | $1011969.74   | 0.08%             | 2027-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| HCA INC                                           | HCA Inc                                                                         | CUSIP: 404119CB3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    397000 | PA      | $262982.71    | 0.02%             | 2051-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                          | Constellation Energy Generation LLC                                             | CUSIP: 30161MAJ2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |   1260000 | PA      | $1259922.85   | 0.10%             | 2041-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| IDENTITY DIGITAL CAP LLC                          | IDENTITY DIGITAL CAP LLC                                                        | CUSIP: 45175XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2500000.00   | 0.21%             | 2065-03-20      | Fixed         | 6.79%                 | No            |                  3 | On Loan: No      |
| Oracle Corp                                       | Oracle Corp                                                                     | CUSIP: 68389XAV7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    103000 | PA      | $97825.66     | 0.01%             | 2034-07-08      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Dominion Energy Inc                               | Dominion Energy Inc                                                             | CUSIP: 25746UCK3<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    183000 | PA      | $179862.10    | 0.01%             | 2026-08-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FINANCE CORP                            | Bunge Ltd Finance Corp                                                          | CUSIP: 120568BF6<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |    730000 | PA      | $708295.72    | 0.06%             | 2034-09-17      | Fixed         | 4.65%                 | No            |                  2 | On Loan: —       |
| Mexico Government International Bonds             | Mexico Government International Bonds                                           | CUSIP: 91086QAZ1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    500000 | PA      | $393250.00    | 0.03%             | 2110-10-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375BS37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    469653 | PA      | $470178.71    | 0.04%             | 2063-04-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK OP LLC                                 | Healthpeak OP LLC                                                               | CUSIP: 40414LAR0<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              |  | US        |    600000 | PA      | $579231.74    | 0.05%             | 2029-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418NXW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135444 | PA      | $135094.70    | 0.01%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136AW7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2151923 | PA      | $2110631.51   | 0.17%             | 2027-05-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Entergy Corp                                      | Entergy Corp                                                                    | CUSIP: 29364GAJ2<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |    194000 | PA      | $190777.20    | 0.02%             | 2026-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140MNVJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2132812 | PA      | $1987610.71   | 0.16%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 31394UN32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390214 | PA      | $405340.71    | 0.03%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HACKENSACK MERIDIAN HLTH                          | Hackensack Meridian Health Inc                                                  | CUSIP: 404530AC1<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |   1180000 | PA      | $821773.62    | 0.07%             | 2041-09-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFE INSURANCE C                          | Pacific Life Insurance Co                                                       | CUSIP: 69448FAA9<br>LEI: 8WC3XYHE06SQFW7CQK10 | Long             | DBT              | CORP              | US        |    200000 | PA      | $156761.12    | 0.01%             | 2067-10-24      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| F&G ANNUITIES & LIFE INC                          | F&G Annuities & Life Inc                                                        | CUSIP: 30190AAF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    330000 | PA      | $340255.81    | 0.03%             | 2029-06-04      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1AA PTT                           | Air Canada 2017-1 Class AA Pass Through Trust                                   | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    341606 | PA      | $319473.52    | 0.03%             | 2030-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PEPPERDINE UNIV                                   | Pepperdine University                                                           | CUSIP: 71338QAC0<br>LEI: 549300G0RVHY0VSFWD76 | Long             | DBT              | CORP              | US        |    450000 | PA      | $277901.10    | 0.02%             | 2059-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                             | Toronto-Dominion Bank/The                                                       | CUSIP: 89115A3G5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    635000 | PA      | $651705.43    | 0.05%             | 2032-01-30      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Barclays Capital Inc                              | Barclays Capital Inc                                                            | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | Long             | RA               | CORP              | US        |    700000 | PA      | $700000.00    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                           | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1085000 | PA      | $1040410.70   | 0.09%             | 2055-02-15      | Fixed         | 5.96%                 | No            |                  2 | 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        |    935000 | PA      | $748063.83    | 0.06%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                   | CUSIP: 172967PL9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1021430.60   | 0.08%             | 2035-06-11      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                | HERO Funding Trust 2017-1A                                                      | CUSIP: 42771XAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    477886 | PA      | $441216.67    | 0.04%             | 2047-09-20      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW USA INFRA HLDS                          | South Bow USA Infrastructure Holdings LLC                                       | CUSIP: 83007CAC6<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    225000 | PA      | $225725.83    | 0.02%             | 2029-10-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                   | CUSIP: 17327CAT0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    988000 | PA      | $983521.55    | 0.08%             | 2030-09-19      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7D51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    712814 | PA      | $695523.70    | 0.06%             | 2032-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd                                       | Nutrien Ltd                                                                     | CUSIP: 67077MAN8<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    620000 | PA      | $564380.58    | 0.05%             | 2035-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136B1LF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1139979 | PA      | $1091574.01   | 0.09%             | 2030-02-25      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375BR61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        64 | PA      | $63.64        | 0.00%             | 2062-04-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                       | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-F                       | CUSIP: 5899292M9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74536 | PA      | $70526.00     | 0.01%             | 2028-10-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38376RN28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    404760 | PA      | $406830.60    | 0.03%             | 2066-12-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| CSX Corp                                          | CSX Corp                                                                        | CUSIP: 126408GH0<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    300000 | PA      | $322039.19    | 0.03%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                          | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAV7<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    505000 | PA      | $520869.56    | 0.04%             | 2031-04-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617VUET0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3238560 | PA      | $3379970.07   | 0.28%             | 2071-10-20      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Reynolds American Inc                             | Reynolds American Inc                                                           | CUSIP: 761713BW5<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    570000 | PA      | $595100.81    | 0.05%             | 2041-08-04      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CK3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1600000 | PA      | $1435375.78   | 0.12%             | 2032-05-28      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3640000 | PA      | $3210309.36   | 0.26%             | 2031-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                  | Societe Generale SA                                                             | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    720000 | PA      | $700805.66    | 0.06%             | 2027-06-09      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                   | Danske Bank A/S                                                                 | CUSIP: 23636ABJ9<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    440000 | PA      | $438201.88    | 0.04%             | 2030-10-02      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                    | Morgan Stanley                                                                  | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    278000 | PA      | $274031.00    | 0.02%             | 2029-01-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                    | CUSIP: 11135FBX8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1433626.12   | 0.12%             | 2029-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                      | Bridge 2022-SFR1 Trust                                                          | CUSIP: 10805VAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1496470.65   | 0.12%             | 2037-11-17      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LH3Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2025000 | PA      | $1941416.89   | 0.16%             | 2032-11-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTERN                          | Graphic Packaging International LLC                                             | CUSIP: 38869PAP9<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |    894000 | PA      | $870636.30    | 0.07%             | 2026-04-15      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                            | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664DB4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    620000 | PA      | $479761.18    | 0.04%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                        | Zoetis Inc                                                                      | CUSIP: 98978VAS2<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    590000 | PA      | $530238.84    | 0.04%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN PUBLIC SERV                          | Southwestern Public Service Co                                                  | CUSIP: 845743BN2<br>LEI: OL6FE7QD5EQ3DOYEO258 | Long             | DBT              | CORP              | US        |    250000 | PA      | $215586.32    | 0.02%             | 2041-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DELMARVA PWR & LIGHT CO                           | Delmarva Power & Light Co                                                       | CUSIP: 247109BT7<br>LEI: NJ98T8DDD027ZFXUDB24 | Long             | DBT              | CORP              | US        |    500000 | PA      | $410517.48    | 0.03%             | 2045-05-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                           | Nationwide Building Society                                                     | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   1450000 | PA      | $1415813.29   | 0.12%             | 2028-02-16      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XPTF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2673690 | PA      | $2341386.68   | 0.19%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                         | CUSIP: 44891ABT3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    635000 | PA      | $591802.33    | 0.05%             | 2028-01-10      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LJWD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3450000 | PA      | $3311249.18   | 0.27%             | 2033-02-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                   | CUSIP: 842400JH7<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    185000 | PA      | $169157.21    | 0.01%             | 2055-03-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FLEX INTERMEDIATE HOLDCO                          | Flex Intermediate Holdco LLC                                                    | CUSIP: 33939HAB5<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |    425000 | PA      | $334163.26    | 0.03%             | 2039-12-30      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| GUARDIAN LIFE INSURANCE                           | Guardian Life Insurance Co of America/The                                       | CUSIP: 401378AC8<br>LEI: N1YIDVMMKBHFYCCAIX69 | Long             | DBT              | CORP              | US        |    156000 | PA      | $129507.06    | 0.01%             | 2077-01-24      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp                                 | Atmos Energy Corp                                                               | CUSIP: 049560AL9<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    460000 | PA      | $385815.51    | 0.03%             | 2043-01-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 2003-8                                                   | CUSIP: 81743PDX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     91533 | PA      | $88448.16     | 0.01%             | 2034-01-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                        | GLS Auto Receivables Issuer Trust 2021-2                                        | CUSIP: 36261XAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    757056 | PA      | $750324.95    | 0.06%             | 2027-04-15      | Fixed         | 1.42%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    920000 | PA      | $893505.25    | 0.07%             | 2028-02-24      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LKMU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1577778 | PA      | $1579574.95   | 0.13%             | 2033-06-01      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FG6Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1790000 | PA      | $1751393.10   | 0.14%             | 2028-04-25      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810QQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1200000 | PA      | $1162921.87   | 0.10%             | 2041-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     40000 | PA      | $40245.82     | 0.00%             | 2053-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                          | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAT2<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   1300000 | PA      | $1356835.36   | 0.11%             | 2029-01-10      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                      | Enbridge Inc                                                                    | CUSIP: 29250NBR5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    680000 | PA      | $705012.73    | 0.06%             | 2033-03-08      | Fixed         | 5.70%                 | No            |                  2 | On Loan: —       |
| CRH America Finance Inc                           | CRH America Finance Inc                                                         | CUSIP: 12636YAA0<br>LEI: 549300WEVUODRJ4CWK56 | Long             | DBT              | CORP              | US        |    214000 | PA      | $210427.69    | 0.02%             | 2027-05-09      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY                            | PG&E Wildfire Recovery Funding LLC                                              | CUSIP: 693342AK3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    675000 | PA      | $622565.03    | 0.05%             | 2052-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2022-1                   | CUSIP: 35563P7E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2118908 | PA      | $1822606.65   | 0.15%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                    | CUSIP: 06738EBV6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    460000 | PA      | $407116.36    | 0.03%             | 2032-11-24      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11600000 | PA      | $8439000.00   | 0.69%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                          | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAK7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1140000 | PA      | $1141751.64   | 0.09%             | 2026-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                | Banco Santander SA                                                              | CUSIP: 05964HBJ3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    400000 | PA      | $415309.43    | 0.03%             | 2030-01-17      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810QY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9475000 | PA      | $7217655.25   | 0.59%             | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 31396YWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72581 | PA      | $73015.07     | 0.01%             | 2038-03-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 31283NB84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80930 | PA      | $81510.02     | 0.01%             | 2034-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee             | VOLT CI LLC                                                                     | CUSIP: 92873EAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    286129 | PA      | $285654.36    | 0.02%             | 2051-05-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR4                                                  | CUSIP: 74333EAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1960000 | PA      | $1923170.42   | 0.16%             | 2038-05-17      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                             | FMC GMSR Issuer Trust                                                           | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2680000 | PA      | $2548550.29   | 0.21%             | 2026-10-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                 | PRPM 2023-RCF2 LLC                                                              | CUSIP: 69380RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    662702 | PA      | $650119.43    | 0.05%             | 2053-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS ELECTRIC                            | Massachusetts Electric Co                                                       | CUSIP: 575634AT7<br>LEI: 549300XN8GZY5U5O1B96 | Long             | DBT              | CORP              | US        |    402000 | PA      | $318015.96    | 0.03%             | 2046-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                          | Saudi Government International Bond                                             | CUSIP: 80413TAV1<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    490000 | PA      | $410943.20    | 0.03%             | 2033-02-02      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 18-1 AA PTT                           | British Airways 2018-1 Class AA Pass Through Trust                              | CUSIP: 11042TAA1<br>LEI: 2549007HITOHPGVGUX03 | Long             | DBT              | CORP              | US        |    341668 | PA      | $330492.76    | 0.03%             | 2031-09-20      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                            | Aviation Capital Group LLC                                                      | CUSIP: 05369AAS0<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    505000 | PA      | $509769.37    | 0.04%             | 2030-04-10      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| MNR ABS ISSUER I LLC                              | MNR ABS ISSUER I LLC                                                            | CUSIP: 55317XAB5<br>LEI: 254900P5PAYARXBH9O74 | Long             | ABS-O            | CORP              | US        |   1109764 | PA      | $1136062.82   | 0.09%             | 2038-12-15      | Fixed         | 8.95%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC                          | FHF Issuer Trust 2024-1                                                         | CUSIP: 31568AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1909378 | PA      | $1928758.32   | 0.16%             | 2030-02-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132JNH42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    126978 | PA      | $122566.99    | 0.01%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                           | HCA Inc                                                                         | CUSIP: 404121AL9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    300000 | PA      | $291557.16    | 0.02%             | 2054-09-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128337R5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    800000 | PA      | $604279.19    | 0.05%             | 2032-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT                          | Element Fleet Management Corp                                                   | CUSIP: 286181AK8<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |    610000 | PA      | $643143.64    | 0.05%             | 2028-12-04      | Fixed         | 6.32%                 | No            |                  2 | On Loan: —       |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136AX7E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1885156 | PA      | $1846787.30   | 0.15%             | 2027-06-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7EJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    412302 | PA      | $401187.36    | 0.03%             | 2033-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6800000 | PA      | $3582484.39   | 0.29%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138LSH29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    687682 | PA      | $645470.74    | 0.05%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375UAN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101669 | PA      | $102049.07    | 0.01%             | 2063-09-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 2003-3                                                   | CUSIP: 81743PAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    193616 | PA      | $180137.80    | 0.01%             | 2033-07-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375UDS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    443444 | PA      | $445141.69    | 0.04%             | 2064-02-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                  | Societe Generale SA                                                             | CUSIP: 83368RBD3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1670000 | PA      | $1472980.21   | 0.12%             | 2032-06-09      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136AWWF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1467353 | PA      | $1417364.08   | 0.12%             | 2029-04-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31377U2W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4674532 | PA      | $4464446.17   | 0.37%             | 2033-08-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-15

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

**Signature:** Alan Otis

**Name of Signer:** Alan Otis

**Title:** Treasurer