# EDGAR Filing Document

**Accession Number:** 0000035315
**File Stem:** 0001752724-23-014683
**Filing Date:** 2023-1
**Character Count:** 266419
**Document Hash:** 3b0c86c9d51616dd5ce4a46a3c483e7f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-014683.hdr.sgml**: 20230126

**ACCESSION NUMBER**: 0001752724-23-014683

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230126

**DATE AS OF CHANGE**: 20230126

**PERIOD START**: 20230831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY SALEM STREET TRUST
- **CENTRAL INDEX KEY:** 0000035315
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02105
- **FILM NUMBER:** 23556532

**BUSINESS ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210
- **BUSINESS PHONE:** 617-563-7000

**MAIL ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY FIXED INCOME TRUST
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY FLEXIBLE BOND FUND
- **DATE OF NAME CHANGE:** 19860904

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY CORPORATE BOND FUND INC
- **DATE OF NAME CHANGE:** 19851225

## Series and Classes Contracts Data

### Fidelity Short-Term Bond Fund (Series ID: S000007007)

| Class ID   | Class Name                                     | Ticker Symbol   |
|:---|:---|:---|
| C000019128 | Fidelity Short-Term Bond Fund                  | FSHBX           |
| C000171437 | Fidelity Advisor Short-Term Bond Fund: Class A | FBNAX           |
| C000171438 | Fidelity Advisor Short-Term Bond Fund: Class M | FBNTX           |
| C000171439 | Fidelity Advisor Short-Term Bond Fund: Class C | FANCX           |
| C000171440 | Fidelity Advisor Short-Term Bond Fund: Class I | FBNIX           |
| C000205020 | Fidelity Advisor Short-Term Bond Fund: Class Z | FIKTX           |

## Nport-Ex

**Quarterly Holdings Report**

**for**

**Fidelity**<sup>®</sup> **Short-Term Bond Fund**

**November 30, 2022**

STP-NPRT1-0123

1.813036.118 ---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Nonconvertible Bonds - 48.8%** | &nbsp;&nbsp;**Nonconvertible Bonds - 48.8%** | &nbsp;&nbsp;**Nonconvertible Bonds - 48.8%** |
|  | Principal<br> Amount (a)<br> (000s) <br>| Value ($)<br> (000s) <br>|
| COMMUNICATION SERVICES - 1.6%  |  |  |
| Diversified Telecommunication Services - 1.1% |  |  |
| AT&T, Inc. 0.9% 3/25/24  | 10610 | 10072 |
| NTT Finance Corp.: |  |  |
|  0.373% 3/3/23 (b) | 8340  | 8243  |
|  0.583% 3/1/24 (b) | 3469  | 3284  |
| Verizon Communications, Inc.: |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.500% 3.8058% 3/22/24 (c)(d) | 5170  | 5136  |
|  0.75% 3/22/24  | 3860  | 3670  |
|  |  | 30405 |
| Media - 0.1% |  |  |
| Magallanes, Inc.: |  |  |
|  3.428% 3/15/24 (b) | 1645  | 1597  |
|  3.638% 3/15/25 (b) | 901  | 860  |
|  |  | 2457 |
| Wireless Telecommunication Services - 0.4% |  |  |
| Rogers Communications, Inc. 2.95% 3/15/25 (b) | 4725 | 4485 |
| T-Mobile U.S.A., Inc. 3.5% 4/15/25  | 7030 | 6806 |
|  |  | 11291 |
| TOTAL COMMUNICATION SERVICES |  | 44153 |
| CONSUMER DISCRETIONARY - 3.1%  |  |  |
| Automobiles - 2.6% |  |  |
| BMW U.S. Capital LLC: |  |  |
|  3.25% 4/1/25 (b) | 8000  | 7737  |
|  3.45% 4/12/23 (b) | 12171  | 12109  |
| Daimler Finance North America LLC: |  |  |
|  0.75% 3/1/24 (b) | 8516  | 8061  |
|  5.5% 11/27/24 (b) | 5640  | 5679  |
| General Motors Financial Co., Inc.: |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.200% 5.0026% 11/17/23 (c)(d) | 10000  | 9957  |
|  1.05% 3/8/24  | 1943  | 1838  |
|  1.25% 1/8/26  | 6779  | 5941  |
|  4.15% 6/19/23  | 4200  | 4172  |
| Volkswagen Group of America Finance LLC: |  |  |
|  0.875% 11/22/23 (b) | 8525  | 8159  |
|  3.125% 5/12/23 (b) | 5897  | 5842  |
|  3.95% 6/6/25 (b) | 2950  | 2867  |
|  |  | 72362 |
| Distributors - 0.2% |  |  |
| Genuine Parts Co. 1.75% 2/1/25  | 4784 | 4465 |
| Multiline Retail - 0.2% |  |  |
| Dollar General Corp. 4.25% 9/20/24  | 6347 | 6253 |
| Specialty Retail - 0.1% |  |  |
| Lowe's Companies, Inc. 4.4% 9/8/25  | 3318 | 3294 |
| TOTAL CONSUMER DISCRETIONARY |  | 86374 |
| CONSUMER STAPLES - 2.8%  |  |  |
| Beverages - 0.4% |  |  |
| Constellation Brands, Inc. 3.6% 5/9/24  | 7000 | 6862 |
| Dr. Pepper Snapple Group, Inc. 0.75% 3/15/24  | 5000 | 4733 |
|  |  | 11595 |
| Food & Staples Retailing - 0.4% |  |  |
| 7-Eleven, Inc.: |  |  |
|  0.625% 2/10/23 (b) | 1562  | 1548  |
|  0.8% 2/10/24 (b) | 1912  | 1814  |
| Mondelez International Holdings Netherlands BV 0.75% 9/24/24 (b) | 7661 | 7068 |
|  |  | 10430 |
| Food Products - 0.7% |  |  |
| Conagra Brands, Inc. 0.5% 8/11/23  | 5758 | 5572 |
| JDE Peet's BV 0.8% 9/24/24 (b) | 6779 | 6182 |
| Mondelez International, Inc. 2.125% 3/17/24  | 7500 | 7230 |
|  |  | 18984 |
| Tobacco - 1.3% |  |  |
| Altria Group, Inc. 2.35% 5/6/25  | 1269 | 1190 |
| BAT Capital Corp. 3.222% 8/15/24  | 10014 | 9658 |
| BAT International Finance PLC 1.668% 3/25/26  | 6714 | 5951 |
| Imperial Tobacco Finance PLC 3.125% 7/26/24 (b) | 7381 | 7039 |
| Philip Morris International, Inc.: |  |  |
|  2.875% 5/1/24  | 6658  | 6459  |
|  5% 11/17/25  | 5425  | 5421  |
|  |  | 35718 |
| TOTAL CONSUMER STAPLES |  | 76727 |
| ENERGY - 2.8%  |  |  |
| Energy Equipment & Services - 0.0% |  |  |
| Baker Hughes Co. 1.231% 12/15/23  | 1575 | 1516 |
| Oil, Gas & Consumable Fuels - 2.8% |  |  |
| Canadian Natural Resources Ltd. 2.05% 7/15/25  | 4512 | 4211 |
| ConocoPhillips Co. 2.4% 3/7/25  | 2991 | 2843 |
| Enbridge, Inc.: |  |  |
|  0.55% 10/4/23  | 10000  | 9612  |
|  2.15% 2/16/24  | 1167  | 1125  |
|  2.5% 2/14/25  | 1218  | 1152  |
| Energy Transfer LP: |  |  |
|  3.6% 2/1/23  | 3816  | 3804  |
|  4.2% 9/15/23  | 1944  | 1930  |
|  4.25% 3/15/23  | 5208  | 5191  |
| EQT Corp. 5.678% 10/1/25  | 5225 | 5211 |
| Equinor ASA 1.75% 1/22/26  | 1409 | 1292 |
| Kinder Morgan Energy Partners LP 3.5% 9/1/23  | 3732 | 3682 |
| MPLX LP: |  |  |
|  1.75% 3/1/26  | 10071  | 8990  |
|  4.5% 7/15/23  | 1148  | 1141  |
| Occidental Petroleum Corp. 2.9% 8/15/24  | 2755 | 2645 |
| Phillips 66 Co.: |  |  |
|  0.9% 2/15/24  | 8080  | 7700  |
|  3.85% 4/9/25  | 8057  | 7879  |
| Pioneer Natural Resources Co. 0.55% 5/15/23  | 6522 | 6394 |
| Western Gas Partners LP 3 month U.S. LIBOR + 1.100% 5.0407% 1/13/23 (c)(d) | 2561 | 2556 |
|  |  | 77358 |
| TOTAL ENERGY |  | 78874 |
| FINANCIALS - 29.5%  |  |  |
| Banks - 16.6% |  |  |
| Bank of America Corp.: |  |  |
|  0.81% 10/24/24 (c) | 7030  | 6715  |
|  0.976% 4/22/25 (c) | 8000  | 7473  |
|  1.843% 2/4/25 (c) | 10000  | 9550  |
|  3.841% 4/25/25 (c) | 7500  | 7314  |
|  4.827% 7/22/26 (c) | 5015  | 4950  |
| Bank of Montreal 4.25% 9/14/24  | 7000 | 6911 |
| Bank of Nova Scotia 0.8% 6/15/23  | 11078 | 10814 |
| Banque Federative du Credit Mutuel SA 4.524% 7/13/25 (b) | 5542 | 5453 |
| Barclays PLC: |  |  |
|  1.007% 12/10/24 (c) | 4487  | 4243  |
|  2.852% 5/7/26 (c) | 4878  | 4498  |
|  4.338% 5/16/24 (c) | 7085  | 7020  |
|  5.304% 8/9/26 (c) | 2578  | 2535  |
| BNP Paribas SA 3.5% 3/1/23 (b) | 5640 | 5612 |
| BPCE SA 1.625% 1/14/25 (b) | 9500 | 8822 |
| Canadian Imperial Bank of Commerce: |  |  |
|  0.45% 6/22/23  | 7225  | 7048  |
|  0.95% 6/23/23  | 16765  | 16397  |
|  3.945% 8/4/25  | 6059  | 5894  |
| Citigroup, Inc.: |  |  |
|  0.981% 5/1/25 (c) | 4488  | 4187  |
|  2.014% 1/25/26 (c) | 8000  | 7428  |
|  3.106% 4/8/26 (c) | 6714  | 6368  |
|  4.14% 5/24/25 (c) | 7000  | 6870  |
|  5.61% 9/29/26 (c) | 5000  | 5018  |
| Danske Bank A/S 3.875% 9/12/23 (b) | 7592 | 7480 |
| DNB Bank ASA 0.856% 9/30/25 (b)(c) | 10000 | 9177 |
| HSBC Holdings PLC: |  |  |
|  0.976% 5/24/25 (c) | 8400  | 7727  |
|  1.162% 11/22/24 (c) | 8100  | 7669  |
|  1.645% 4/18/26 (c) | 6806  | 6116  |
|  3.95% 5/18/24 (c) | 5000  | 4941  |
| Huntington National Bank 5.699% 11/18/25 (c) | 5500 | 5509 |
| Intesa Sanpaolo SpA: |  |  |
|  3.25% 9/23/24 (b) | 10000  | 9411  |
|  3.375% 1/12/23 (b) | 5000  | 4985  |
| JPMorgan Chase & Co.: |  |  |
|  0.824% 6/1/25 (c) | 6568  | 6108  |
|  1.514% 6/1/24 (c) | 13972  | 13709  |
|  3.845% 6/14/25 (c) | 7500  | 7365  |
| KeyBank NA 4.15% 8/8/25  | 2003 | 1960 |
| KeyCorp 3.878% 5/23/25 (c) | 2344 | 2298 |
| Lloyds Banking Group PLC: |  |  |
|  0.695% 5/11/24 (c) | 5464  | 5332  |
|  4.716% 8/11/26 (c) | 7515  | 7291  |
| Mitsubishi UFJ Financial Group, Inc.: |  |  |
|  0.848% 9/15/24 (c) | 8059  | 7747  |
|  0.953% 7/19/25 (c) | 7000  | 6492  |
|  0.962% 10/11/25 (c) | 8775  | 8053  |
|  2.193% 2/25/25  | 9124  | 8569  |
|  4.788% 7/18/25 (c) | 4000  | 3958  |
| Mizuho Financial Group, Inc.: |  |  |
|  0.849% 9/8/24 (c) | 4265  | 4097  |
|  2.651% 5/22/26 (c) | 6307  | 5844  |
| National Bank of Canada 0.55% 11/15/24 (c) | 3356 | 3201 |
| NatWest Group PLC: |  |  |
|  2.359% 5/22/24 (c) | 5310  | 5208  |
|  3.875% 9/12/23  | 14202  | 14031  |
| NatWest Markets PLC 0.8% 8/12/24 (b) | 4320 | 3986 |
| PNC Bank NA 2.5% 8/27/24  | 6217 | 5970 |
| Rabobank Nederland New York Branch 3.875% 8/22/24  | 7890 | 7756 |
| Regions Financial Corp. 2.25% 5/18/25  | 3950 | 3697 |
| Royal Bank of Canada 2.55% 7/16/24  | 8572 | 8248 |
| Santander Holdings U.S.A., Inc.: |  |  |
|  3.5% 6/7/24  | 7230  | 7015  |
|  5.807% 9/9/26 (c) | 3956  | 3939  |
| Societe Generale: |  |  |
|  2.226% 1/21/26 (b)(c) | 10000  | 9157  |
|  2.625% 10/16/24 (b) | 1249  | 1177  |
|  3.875% 3/28/24 (b) | 4871  | 4758  |
|  4.351% 6/13/25 (b) | 4500  | 4402  |
| Sumitomo Mitsui Financial Group, Inc. 0.508% 1/12/24  | 804 | 764 |
| Svenska Handelsbanken AB 0.625% 6/30/23 (b) | 10340 | 10069 |
| The Toronto-Dominion Bank: |  |  |
|  0.75% 6/12/23  | 10785  | 10554  |
|  2.35% 3/8/24  | 7500  | 7258  |
| Truist Financial Corp.: |  |  |
|  4.26% 7/28/26 (c) | 5500  | 5400  |
|  5.9% 10/28/26 (c) | 7375  | 7487  |
| U.S. Bancorp 5.727% 10/21/26 (c) | 6750 | 6896 |
| Wells Fargo & Co.: |  |  |
|  1.654% 6/2/24 (c) | 8218  | 8069  |
|  2.164% 2/11/26 (c) | 20142  | 18779  |
|  |  | 460779 |
| Capital Markets - 5.4% |  |  |
| Credit Suisse AG: |  |  |
|  0.495% 2/2/24  | 8000  | 7307  |
|  0.52% 8/9/23  | 7000  | 6670  |
| Credit Suisse Group AG 6.373% 7/15/26 (b)(c) | 4600 | 4266 |
| Deutsche Bank AG New York Branch: |  |  |
|  0.898% 5/28/24  | 2427  | 2270  |
|  0.962% 11/8/23  | 5352  | 5124  |
|  1.447% 4/1/25 (c) | 5743  | 5298  |
|  2.129% 11/24/26 (c) | 5000  | 4376  |
|  2.222% 9/18/24 (c) | 20476  | 19645  |
| Goldman Sachs Group, Inc.: |  |  |
|  0.657% 9/10/24 (c) | 10000  | 9584  |
|  1.757% 1/24/25 (c) | 10000  | 9532  |
|  5.7% 11/1/24  | 5500  | 5566  |
| Intercontinental Exchange, Inc. 3.65% 5/23/25  | 4172 | 4089 |
| Morgan Stanley: |  |  |
|  0.731% 4/5/24 (c) | 7335  | 7189  |
|  0.79% 5/30/25 (c) | 8500  | 7876  |
|  3.62% 4/17/25 (c) | 5750  | 5604  |
|  3.737% 4/24/24 (c) | 7548  | 7496  |
|  4% 7/23/25  | 6714  | 6576  |
|  4.679% 7/17/26 (c) | 4223  | 4175  |
| UBS AG London Branch: |  |  |
|  0.375% 6/1/23 (b) | 7843  | 7662  |
|  1.375% 1/13/25 (b) | 5623  | 5205  |
| UBS Group AG: |  |  |
|  1.008% 7/30/24 (b)(c) | 8398  | 8140  |
|  4.49% 8/5/25 (b)(c) | 7500  | 7346  |
|  |  | 150996 |
| Consumer Finance - 4.0% |  |  |
| AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.680% 4.0414% 9/29/23 (c)(d) | 7000  | 6854  |
|  1.15% 10/29/23  | 7000  | 6689  |
|  1.65% 10/29/24  | 7750  | 7131  |
|  1.75% 1/30/26  | 5724  | 5050  |
|  4.125% 7/3/23  | 2487  | 2465  |
|  4.875% 1/16/24  | 2014  | 1986  |
| Ally Financial, Inc.: |  |  |
|  3.05% 6/5/23  | 5730  | 5653  |
|  5.125% 9/30/24  | 6284  | 6234  |
| American Express Co.: |  |  |
|  2.25% 3/4/25  | 3469  | 3277  |
|  3.375% 5/3/24  | 6000  | 5882  |
| Capital One Financial Corp.: |  |  |
|  1.343% 12/6/24 (c) | 6500  | 6202  |
|  2.6% 5/11/23  | 4486  | 4437  |
|  4.166% 5/9/25 (c) | 10090  | 9816  |
|  4.985% 7/24/26 (c) | 2457  | 2436  |
| Hyundai Capital America 1% 9/17/24 (b) | 7995 | 7343 |
| John Deere Capital Corp. 3.4% 6/6/25  | 4589 | 4477 |
| Synchrony Financial: |  |  |
|  4.25% 8/15/24  | 9435  | 9203  |
|  4.375% 3/19/24  | 8076  | 7932  |
| Toyota Motor Credit Corp. 5.4% 11/10/25  | 6500 | 6610 |
|  |  | 109677 |
| Diversified Financial Services - 1.6% |  |  |
| Athene Global Funding: |  |  |
|  0.95% 1/8/24 (b) | 7220  | 6845  |
|  1% 4/16/24 (b) | 7000  | 6547  |
|  1.716% 1/7/25 (b) | 6500  | 6020  |
| Blackstone Private Credit Fund 4.7% 3/24/25  | 7096 | 6935 |
| Corebridge Financial, Inc. 3.5% 4/4/25 (b) | 812 | 778 |
| GA Global Funding Trust 1.25% 12/8/23 (b) | 8200 | 7842 |
| Jackson Financial, Inc. 1.125% 11/22/23  | 8613 | 8259 |
|  |  | 43226 |
| Insurance - 1.9% |  |  |
| American International Group, Inc. 2.5% 6/30/25  | 4476 | 4226 |
| Equitable Financial Life Global Funding: |  |  |
|  0.5% 11/17/23 (b) | 10000  | 9555  |
|  1.1% 11/12/24 (b) | 8150  | 7523  |
| Great-West Lifeco U.S. Finance 2020 LP 0.904% 8/12/25 (b) | 3527 | 3135 |
| MassMutual Global Funding II 4.15% 8/26/25 (b) | 5651 | 5547 |
| Metropolitan Life Global Funding I 0.9% 6/8/23 (b) | 5675 | 5552 |
| Pacific Life Global Funding II 1.2% 6/24/25 (b) | 5535 | 5030 |
| Principal Life Global Funding II U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.450% 3.8755% 4/12/24 (b)(c)(d) | 3616 | 3588 |
| Protective Life Global Funding: |  |  |
|  0.502% 4/12/23 (b) | 8500  | 8359  |
|  3.218% 3/28/25 (b) | 1703  | 1621  |
|  |  | 54136 |
| TOTAL FINANCIALS |  | 818814 |
| HEALTH CARE - 2.2%  |  |  |
| Health Care Providers & Services - 0.7% |  |  |
| Cigna Corp. 0.613% 3/15/24  | 1965 | 1859 |
| Elevance Health, Inc. 0.45% 3/15/23  | 9394 | 9277 |
| Humana, Inc. 0.65% 8/3/23  | 8872 | 8610 |
|  |  | 19746 |
| Life Sciences Tools & Services - 0.6% |  |  |
| PerkinElmer, Inc. 0.85% 9/15/24  | 8310 | 7679 |
| Thermo Fisher Scientific, Inc. 1.215% 10/18/24  | 8500 | 7953 |
|  |  | 15632 |
| Pharmaceuticals - 0.9% |  |  |
| AstraZeneca Finance LLC 0.7% 5/28/24  | 6275 | 5908 |
| Bayer U.S. Finance II LLC 4.25% 12/15/25 (b) | 6748 | 6544 |
| GSK Consumer Healthcare Capital 3.125% 3/24/25  | 7390 | 7080 |
| Mylan NV 3.125% 1/15/23 (b) | 6478 | 6456 |
|  |  | 25988 |
| TOTAL HEALTH CARE |  | 61366 |
| INDUSTRIALS - 2.2%  |  |  |
| Aerospace & Defense - 0.5% |  |  |
| The Boeing Co.: |  |  |
|  1.167% 2/4/23  | 5877  | 5833  |
|  1.95% 2/1/24  | 3500  | 3367  |
|  4.875% 5/1/25  | 4713  | 4669  |
|  |  | 13869 |
| Airlines - 0.3% |  |  |
| Delta Air Lines, Inc. 2.9% 10/28/24  | 7598 | 7203 |
| Commercial Services & Supplies - 0.3% |  |  |
| Republic Services, Inc. 0.875% 11/15/25  | 10000 | 8948 |
| Industrial Conglomerates - 0.2% |  |  |
| Siemens Financieringsmaatschappij NV 0.65% 3/11/24 (b) | 5142 | 4873 |
| Machinery - 0.3% |  |  |
| Daimler Trucks Finance North America LLC 1.625% 12/13/24 (b) | 2657 | 2470 |
| Parker Hannifin Corp. 3.65% 6/15/24  | 7000 | 6843 |
|  |  | 9313 |
| Road & Rail - 0.4% |  |  |
| Canadian Pacific Railway Co. 1.35% 12/2/24  | 12296 | 11450 |
| Trading Companies & Distributors - 0.2% |  |  |
| Air Lease Corp.: |  |  |
|  0.7% 2/15/24  | 2930  | 2759  |
|  0.8% 8/18/24  | 3717  | 3419  |
|  |  | 6178 |
| TOTAL INDUSTRIALS |  | 61834 |
| INFORMATION TECHNOLOGY - 1.4%  |  |  |
| Electronic Equipment & Components - 0.1% |  |  |
| Dell International LLC/EMC Corp. 5.45% 6/15/23  | 2804 | 2806 |
| IT Services - 0.3% |  |  |
| The Western Union Co.: |  |  |
|  2.85% 1/10/25  | 1585  | 1508  |
|  4.25% 6/9/23  | 6025  | 5984  |
|  |  | 7492 |
| Semiconductors & Semiconductor Equipment - 0.3% |  |  |
| Analog Devices, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.250% 3.6231% 10/1/24 (c)(d) | 4150 | 4093 |
| Microchip Technology, Inc. 0.983% 9/1/24  | 4231 | 3912 |
|  |  | 8005 |
| Software - 0.7% |  |  |
| Oracle Corp. 5.8% 11/10/25  | 7000 | 7170 |
| VMware, Inc.: |  |  |
|  0.6% 8/15/23  | 8000  | 7747  |
|  1% 8/15/24  | 5608  | 5222  |
|  |  | 20139 |
| TOTAL INFORMATION TECHNOLOGY |  | 38442 |
| MATERIALS - 0.4%  |  |  |
| Chemicals - 0.4% |  |  |
| Celanese U.S. Holdings LLC 5.9% 7/5/24  | 7100 | 7057 |
| Nutrien Ltd. 5.9% 11/7/24  | 3720 | 3763 |
|  |  | 10820 |
| REAL ESTATE - 0.2%  |  |  |
| Equity Real Estate Investment Trusts (REITs) - 0.2% |  |  |
| American Tower Corp. 1.3% 9/15/25  | 2980 | 2680 |
| Crown Castle International Corp. 1.35% 7/15/25  | 700 | 637 |
| Welltower, Inc. 3.625% 3/15/24  | 3276 | 3209 |
|  |  | 6526 |
| UTILITIES - 2.6%  |  |  |
| Electric Utilities - 1.4% |  |  |
| Duke Energy Corp. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.250% 3.4091% 6/10/23 (c)(d) | 6139 | 6111 |
| FirstEnergy Corp.: |  |  |
|  1.6% 1/15/26  | 747  | 660  |
|  2.05% 3/1/25  | 4143  | 3823  |
| Florida Power & Light Co. 2.85% 4/1/25  | 1893 | 1817 |
| NextEra Energy Capital Holdings, Inc. 3 month U.S. LIBOR + 0.270% 4.9349% 2/22/23 (c)(d) | 10375 | 10373 |
| PPL Electric Utilities Corp. 3 month U.S. LIBOR + 0.250% 3.8909% 9/28/23 (c)(d) | 3666 | 3652 |
| Southern Co.: |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.370% 4.1681% 5/10/23 (c)(d) | 6389  | 6369  |
|  0.6% 2/26/24  | 3086  | 2919  |
| Tampa Electric Co. 3.875% 7/12/24  | 4057 | 3963 |
|  |  | 39687 |
| Gas Utilities - 0.3% |  |  |
| CenterPoint Energy Resources Corp. 3 month U.S. LIBOR + 0.500% 3.5997% 3/2/23 (c)(d) | 4082 | 4079 |
| Dominion Gas Holdings LLC 2.5% 11/15/24  | 1475 | 1402 |
| ONE Gas, Inc. 0.85% 3/11/23  | 2502 | 2496 |
|  |  | 7977 |
| Independent Power and Renewable Electricity Producers - 0.1% |  |  |
| Emera U.S. Finance LP 0.833% 6/15/24  | 3897 | 3612 |
| Multi-Utilities - 0.8% |  |  |
| CenterPoint Energy, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.650% 4.4485% 5/13/24 (c)(d) | 5926 | 5841 |
| DTE Energy Co. 4.22% 11/1/24  | 7490 | 7375 |
| NiSource, Inc. 0.95% 8/15/25  | 2976 | 2684 |
| Sempra Energy 3.3% 4/1/25  | 2834 | 2734 |
| WEC Energy Group, Inc. 5% 9/27/25  | 2638 | 2649 |
|  |  | 21283 |
| TOTAL UTILITIES |  | 72559 |
| <br> **TOTAL NONCONVERTIBLE BONDS**<br> (Cost $1,413,892) |  | <br> **1356489** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 26.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 26.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 26.5%** |
|  | Principal<br> Amount (a)<br> (000s) <br>| Value ($)<br> (000s) <br>|
| U.S. Treasury Notes: |  |  |
|  0.25% 7/31/25 (e) | 528737 | 477482 |
|  0.25% 10/31/25  | 101409 | 90888 |
|  4.125% 10/31/27  | 45000 | 45573 |
|  4.25% 9/30/24  | 30257 | 30166 |
|  4.5% 11/15/25  | 90000 | 91013 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $755,490) |  | **735122** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 0.3%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 0.3%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 0.3%** |
|  | Principal<br> Amount (a)<br> (000s) <br>| Value ($)<br> (000s) <br>|
| Fannie Mae - 0.3%  |  |  |
| 4.5% 3/1/39 to 9/1/49  | 6266 | 6230 |
| 5.5% 11/1/34  | 1222 | 1253 |
| 7.5% 11/1/31  | 0 | 0 |
| TOTAL FANNIE MAE |  | 7483 |
| Freddie Mac - 0.0%  |  |  |
| 8.5% 5/1/26 to 7/1/28  | 12 | 12 |
| Ginnie Mae - 0.0%  |  |  |
| 7% to 7% 1/15/25 to 8/15/32  | 146 | 151 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $8,159) |  | <br> **7646** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 15.5%** | &nbsp;&nbsp;**Asset-Backed Securities - 15.5%** | &nbsp;&nbsp;**Asset-Backed Securities - 15.5%** |
|  | Principal<br> Amount (a)<br> (000s) <br>| Value ($)<br> (000s) <br>|
| Aimco: |  |  |
|  Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.060% 5.3846% 7/22/32 (b)(c)(d) | 8770 | 8554 |
|  Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 5.1791% 1/15/32 (b)(c)(d) | 8883 | 8708 |
| AIMCO CLO Ltd. Series 2022-12A Class AR, CME TERM SOFR 3 MONTH INDEX + 1.170% 5.0336% 1/17/32 (b)(c)(d) | 5000 | 4906 |
| American Express Credit Account Master Trust: |  |  |
|  Series 2021-1 Class A, 0.9% 11/15/26  | 9780 | 9037 |
|  Series 2022-2 Class A, 3.39% 5/15/27  | 8500 | 8207 |
|  Series 2022-3 Class A, 3.75% 8/15/27  | 7000 | 6805 |
|  Series 2022-4 Class A, 4.95% 10/15/27  | 4492 | 4510 |
| AmeriCredit Automobile Receivables Trust Series 2021-3 Class A3, 0.76% 8/18/26  | 7993 | 7565 |
| Ares LII CLO Ltd. Series 2021-52A Class A1R, 3 month U.S. LIBOR + 1.050% 5.3746% 4/22/31 (b)(c)(d) | 7663 | 7502 |
| Bank of America Credit Card Master Trust: |  |  |
|  Series 2020-A1 Class A1, 0.34% 5/15/26  | 4973 | 4738 |
|  Series 2021-A1 Class A1, 0.44% 9/15/26  | 9066 | 8497 |
|  Series 2022-A1 Class A1, 3.53% 11/15/27  | 7895 | 7643 |
| Capital One Multi-Asset Execution Trust: |  |  |
|  Series 2021-A3 Class A3, 1.04% 11/15/26  | 9890 | 9162 |
|  Series 2022-A1 Class A1, 2.8% 3/15/27  | 12000 | 11457 |
|  Series 2022-A2 Class A, 3.49% 5/15/27  | 7000 | 6761 |
|  Series 2022-A3 Class A, 4.95% 10/15/27  | 5420 | 5438 |
| CarMax Auto Owner Trust: |  |  |
|  Series 2020-4 Class A3, 0.5% 8/15/25  | 3732 | 3612 |
|  Series 2021-1 Class A3, 0.34% 12/15/25  | 3942 | 3807 |
| Carmax Auto Owner Trust Series 2022-4 Class A2A, 5.34% 12/15/25  | 5081 | 5073 |
| Carvana Auto Receivables Trust: |  |  |
|  Series 2021-P2 Class A3, 0.49% 3/10/26  | 6685 | 6414 |
|  Series 2021-P3 Class A3, 0.7% 11/10/26  | 6606 | 6044 |
| Cedar Funding Ltd.: |  |  |
|  Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.100% 5.3426% 10/20/32 (b)(c)(d) | 2196 | 2136 |
|  Series 2021-14A Class A, 3 month U.S. LIBOR + 1.100% 5.1791% 7/15/33 (b)(c)(d) | 9276 | 9039 |
| Cent CLO LP Series 2021-21A Class A1R3, 3 month U.S. LIBOR + 0.970% 5.328% 7/27/30 (b)(c)(d) | 8416 | 8277 |
| Chase Issuance Trust Series 2022-A1 Class A, 3.97% 9/15/27  | 6734 | 6585 |
| Countrywide Home Loans, Inc. Series 2004-2 Class 3A4, 1 month U.S. LIBOR + 0.500% 4.5436% 7/25/34 (c)(d) | 131 | 122 |
| Dell Equipment Finance Trust: |  |  |
|  Series 2020-2 Class A3, 0.57% 10/23/23 (b) | 1942 | 1916 |
|  Series 2021-1 Class A3, 0.43% 5/22/26 (b) | 3229 | 3150 |
| Discover Card Execution Note Trust: |  |  |
|  Series 2021-A1 Class A1, 0.58% 9/15/26  | 4839 | 4483 |
|  Series 2022-A1 Class A1, 1.96% 2/15/27  | 4911 | 4622 |
|  Series 2022-A2 Class A, 3.32% 5/15/27  | 7150 | 6900 |
|  Series 2022-A3 Class A3, 3.56% 7/15/27  | 6653 | 6379 |
| DLLAD LLC Series 2021-1A Class A2, 0.35% 9/20/24 (b) | 2592 | 2545 |
| Donlen Fleet Lease Funding Series 2021-2 Class A2, 0.56% 12/11/34 (b) | 2969 | 2861 |
| Eaton Vance CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 5.1791% 4/15/31 (b)(c)(d) | 8070 | 7894 |
| Enterprise Fleet Financing LLC: |  |  |
|  Series 2020-1 Class A2, 1.78% 12/22/25 (b) | 1447 | 1436 |
|  Series 2020-2 Class A2, 0.61% 7/20/26 (b) | 3433 | 3335 |
|  Series 2021-1 Class A2, 0.44% 12/21/26 (b) | 1601 | 1543 |
|  Series 2021-2 Class A2, 0.48% 5/20/27 (b) | 5466 | 5193 |
|  Series 2022-3 Class A2, 4.38% 7/20/29 (b) | 1191 | 1159 |
| Ford Credit Floorplan Master Owner Trust Series 2020-1 Class A1, 0.7% 9/15/25  | 12164 | 11718 |
| GM Financial Consumer Automobile Receivables Series 2022-2 Class A3, 3.1% 2/16/27  | 6602 | 6376 |
| GMF Floorplan Owner Revolving Trust: |  |  |
|  Series 2020-1 Class A, 0.68% 8/15/25 (b) | 3218 | 3113 |
|  Series 2020-2 Class A, 0.69% 10/15/25 (b) | 6742 | 6445 |
| Hyundai Auto Receivables Trust Series 2020-C Class A3, 0.38% 5/15/25  | 4530 | 4400 |
| Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A1R, 3 month U.S. LIBOR + 1.000% 5.3246% 1/22/31 (b)(c)(d) | 6559 | 6438 |
| Marlette Funding Trust: |  |  |
|  Series 2021-2A Class A, 0.51% 9/15/31 (b) | 272 | 271 |
|  Series 2021-3A Class A, 0.65% 12/15/31 (b) | 1070 | 1054 |
|  Series 2022-1A Class A, 1.36% 4/15/32 (b) | 2598 | 2540 |
|  Series 2022-2A Class A, 4.25% 8/15/32 (b) | 5092 | 5016 |
| MMAF Equipment Finance LLC: |  |  |
|  Series 2019-B Class A3, 2.01% 12/12/24 (b) | 2785 | 2729 |
|  Series 2022-B Class A2, 5.57% 9/9/25 (b) | 4064 | 4065 |
| Niagara Park CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.000% 5.0791% 7/17/32 (b)(c)(d) | 8390 | 8173 |
| OneMain Direct Auto Receivables Trust Series 2021-1A Class A, 0.87% 7/14/28 (b) | 8012 | 7358 |
| Palmer Square Loan Funding, Ltd. Series 2021-2A Class A1, 3 month U.S. LIBOR + 0.800% 5.4754% 5/20/29 (b)(c)(d) | 5865 | 5783 |
| Palmer Square Loan Funding, Ltd. / Palmer Square Loan Funding LLC Series 2022-1A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.050% 4.9136% 4/15/30 (b)(c)(d) | 7087 | 6917 |
| Park Place Securities, Inc. Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.240% 5.2886% 1/25/36 (c)(d) | 163 | 158 |
| Prpm 2021-5, LLC Series 2021-5 Class A1, 1.793% 6/25/26 (b)(c) | 4631 | 4043 |
| Santander Consumer Auto Receivables Trust Series 2021-AA Class A3, 0.33% 10/15/25 (b) | 3421 | 3352 |
| Santander Drive Auto Receivables Trust Series 2022-5 Class A3, 4.11% 8/17/26  | 4564 | 4462 |
| Santander Retail Auto Lease Trust: |  |  |
|  Series 2020-B Class A3, 0.57% 4/22/24 (b) | 6627 | 6484 |
|  Series 2021-A Class A3, 0.51% 7/22/24 (b) | 4381 | 4251 |
| Symphony CLO XXI, Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.060% 5.1391% 7/15/32 (b)(c)(d) | 6342 | 6194 |
| Symphony CLO XXIII Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.020% 5.0991% 1/15/34 (b)(c)(d) | 8047 | 7880 |
| TCI-Flatiron CLO Ltd. / LLC Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.960% 5.6097% 11/18/30 (b)(c)(d) | 8844 | 8695 |
| TCI-Symphony CLO Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.920% 5.0091% 7/15/30 (b)(c)(d) | 9219 | 9051 |
| Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 4.9036% 9/25/34 (c)(d) | 140 | 132 |
| Tesla Series 2020-A Class A3, 0.68% 12/20/23 (b) | 906 | 903 |
| Tesla Auto Lease Trust Series 2021-A Class A3, 0.56% 3/20/25 (b) | 6423 | 6202 |
| Toyota Auto Loan Extended Note Trust Series 2020-1A Class A, 1.35% 5/25/33 (b) | 4906 | 4455 |
| Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 3 month U.S. LIBOR + 0.560% 4.3007% 4/6/42 (b)(c)(d) | 261 | 197 |
| Upstart Securitization Trust: |  |  |
|  Series 2021-1 Class A, 0.87% 3/20/31 (b) | 26 | 26 |
|  Series 2021-2 Class A, 0.91% 6/20/31 (b) | 1075 | 1052 |
|  Series 2021-3 Class A, 0.83% 7/20/31 (b) | 2130 | 2067 |
|  Series 2021-4 Class A, 0.84% 9/20/31 (b) | 3247 | 3134 |
|  Series 2021-5 Class A, 1.31% 11/20/31 (b) | 3995 | 3811 |
|  3.12% 3/20/32 (b) | 5267 | 5062 |
| VCAT Asset Securitization, LLC: |  |  |
|  Series 2021-NPL1 Class A1, 2.2891% 12/26/50 (b) | 1127 | 1076 |
|  Series 2021-NPL2 Class A1, 2.115% 3/27/51 (b) | 4786 | 4323 |
|  Series 2021-NPL3 Class A1, 1.743% 5/25/51 (b)(c) | 6063 | 5607 |
| Verizon Master Trust: |  |  |
|  Series 2021-1 Class A, 0.5% 5/20/27  | 6240 | 5821 |
|  Series 2021-2 Class A, 0.99% 4/20/28  | 8190 | 7585 |
|  Series 2022-5 Class A1A, 3.72% 7/20/27  | 3412 | 3348 |
| Voya CLO Ltd. Series 2021-1A Class A1R, 3 month U.S. LIBOR + 0.950% 5.0291% 4/17/30 (b)(c)(d) | 8725 | 8577 |
| Wheels SPV LLC Series 2021-1A Class A, 1 month U.S. LIBOR + 0.280% 4.2186% 8/20/29 (b)(c)(d) | 3927 | 3898 |
| World Omni Automobile Lease Securitization Trust Series 2020-B Class A3, 0.45% 2/15/24  | 2616 | 2592 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $446,977) |  | **430849** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 2.7%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 2.7%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 2.7%** |
|  | Principal<br> Amount (a)<br> (000s) <br>| Value ($)<br> (000s) <br>|
| Private Sponsor - 2.3%  |  |  |
| Ajax Mortgage Loan Trust sequential payer Series 2021-B Class A, 2.239% 6/25/66 (b)(c) | 2661 | 2434 |
| Angel Oak Mortgage Trust Series 2021-8 Class A1, 1.82% 11/25/66 (b) | 5003 | 4132 |
| Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(c) | 1148 | 1091 |
| Cascade Funding Mortgage Trust: |  |  |
|  sequential payer Series 2022-EBO2 Class A, 3.169% 7/25/54 (b) | 1507 | 1471 |
|  Series 2021-EBO1 Class A, 0.9849% 11/25/50 (b)(c) | 1560 | 1462 |
|  Series 2021-HB5 Class A, 0.8006% 2/25/31 (b) | 1270 | 1220 |
|  Series 2021-HB6 Class A, 0.8983% 6/25/36 (b) | 1586 | 1494 |
|  Series 2021-HB7 Class A, 1.1512% 10/27/31 (b) | 1979 | 1849 |
| CFMT 2022-Hb8 LLC sequential payer Series 2022-HB8 Class A, 3.75% 4/25/25 (b) | 6414 | 6173 |
| Csmc 2021-Rpl9 Trust sequential payer Series 2021-RPL9 Class A1, 2.4364% 2/25/61 (b) | 7086 | 6530 |
| Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.6948% 2/25/32 (b)(c) | 5670 | 5449 |
| GCAT Trust sequential payer Series 2021-NQM7 Class A1, 1.915% 8/25/66 (b) | 2771 | 2355 |
| Legacy Mortgage Asset Trust Series 2021-GS5 Class A1, 2.25% 7/25/67 (b)(c) | 5966 | 5031 |
| New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (b) | 2145 | 1905 |
| Oceanview Mortgage Loan Trust sequential payer Series 2020-1 Class A1A, 1.7329% 5/28/50 (b) | 2497 | 2201 |
| Oceanview Trust sequential payer Series 2021-1 Class A, 1.2187% 12/29/51 (b)(c) | 2464 | 2390 |
| Preston Ridge Partners Mortgage Trust: |  |  |
|  sequential payer Series 2021-8 Class A1, 1.743% 9/25/26 (b)(c) | 5375 | 4693 |
|  Series 2021-2 Class A1, 2.115% 3/25/26 (b) | 4245 | 3849 |
|  Series 2021-RPL1 Class A1, 1.319% 7/25/51 (b) | 932 | 827 |
|  Series 2021-RPL2 Class A1, 1.455% 10/25/51 (b)(c) | 1167 | 1021 |
| PRET LLC Series 2022-RN1 Class A1, 3.721% 7/25/51 (b) | 3715 | 3386 |
| RMF Buyout Issuance Trust sequential payer: |  |  |
|  Series 2021-HB1 Class A, 1.2586% 11/25/31 (b) | 2561 | 2425 |
|  Series 2022-HB1 Class A, 4.272% 4/25/32 (b) | 1117 | 1083 |
| Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 3.6276% 7/20/34 (c)(d) | 2 | 2 |
| TOTAL PRIVATE SPONSOR |  | 64473 |
| U.S. Government Agency - 0.4%  |  |  |
| Fannie Mae: |  |  |
|  floater Series 2015-27 Class KF, 1 month U.S. LIBOR + 0.300% 4.3161% 5/25/45 (c)(d) | 2906 | 2879 |
|  sequential payer Series 2001-40 Class Z, 6% 8/25/31  | 51 | 52 |
|  Series 2016-27:  |  |  |
| Class HK, 3% 1/25/41 <br>| 3039 | 2872 |
| Class KG, 3% 1/25/40 <br>| 1396 | 1320 |
|  Series 2016-42 Class FL, 1 month U.S. LIBOR + 0.350% 4.3661% 7/25/46 (c)(d) | 3279 | 3264 |
| Freddie Mac Series 3949 Class MK, 4.5% 10/15/34  | 323 | 321 |
| TOTAL U.S. GOVERNMENT AGENCY |  | 10708 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $81,878) |  | <br> **75181** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 5.8%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 5.8%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 5.8%** |
|  | Principal<br> Amount (a)<br> (000s) <br>| Value ($)<br> (000s) <br>|
| BAMLL Commercial Mortgage Securities Trust: |  |  |
|  floater Series 2022-DKLX Class A, CME Term SOFR 1 Month Index + 1.150% 4.945% 1/15/39 (b)(c)(d) | 1838 | 1770 |
|  sequential payer Series 2019-BPR Class ANM, 3.112% 11/5/32 (b) | 2246 | 2077 |
| Benchmark Mortgage Trust: |  |  |
|  sequential payer Series 2021-B31 Class A1, 1.357% 12/15/54  | 5769 | 5325 |
|  Series 2018-B7 Class A1, 3.436% 5/15/53  | 705 | 697 |
| BLOX Trust floater sequential payer Series 2021-BLOX Class A, 1 month U.S. LIBOR + 0.750% 4.625% 9/15/26 (b)(c)(d) | 4272 | 4021 |
| BPR Trust floater Series 2022-OANA Class A, CME Term SOFR 1 Month Index + 1.890% 5.6923% 4/15/37 (b)(c)(d) | 6214 | 6047 |
| BX Commercial Mortgage Trust floater: |  |  |
|  Series 2021-PAC Class A, 1 month U.S. LIBOR + 0.680% 4.5651% 10/15/36 (b)(c)(d) | 3704 | 3535 |
|  Series 2021-VINO Class A, 1 month U.S. LIBOR + 0.650% 4.5273% 5/15/38 (b)(c)(d) | 3400 | 3255 |
|  Series 2022-LP2 Class A, CME Term SOFR 1 Month Index + 1.010% 4.8072% 2/15/39 (b)(c)(d) | 4359 | 4182 |
| BX Trust: |  |  |
|  floater:  |  |  |
| Series 2021-ACNT Class A, 1 month U.S. LIBOR + 0.850% 4.726% 11/15/38 (b)(c)(d) <br>| 3607 | 3459 |
| Series 2021-BXMF Class A, 1 month U.S. LIBOR + 0.630% 4.5109% 10/15/26 (b)(c)(d) <br>| 3376 | 3203 |
| Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 5.9593% 10/15/39 (b)(c)(d) <br>| 1533 | 1526 |
|  floater sequential payer Series 2021-SOAR Class A, 4.546% 6/15/38 (b)(c) | 3606 | 3452 |
|  floater, sequential payer:  |  |  |
| Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 4.873% 4/15/34 (b)(c)(d) <br>| 4300 | 4185 |
| Series 2019-XL Class A, CME Term SOFR 1 Month Index + 1.030% 4.8287% 10/15/36 (b)(c)(d) <br>| 6208 | 6098 |
| CF Hippolyta Issuer LLC sequential payer: |  |  |
|  Series 2020-1 Class A1, 1.69% 7/15/60 (b) | 7569 | 6693 |
|  Series 2021-1A Class A1, 1.53% 3/15/61 (b) | 4422 | 3810 |
| CGDB Commercial Mortgage Trust floater Series 2019-MOB Class A, 1 month U.S. LIBOR + 0.950% 4.8253% 11/15/36 (b)(c)(d) | 1678 | 1629 |
| CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 4.995% 6/15/34 (b)(c)(d) | 6209 | 6087 |
| Citigroup Commercial Mortgage Trust sequential payer: |  |  |
|  Series 2014-GC21 Class AAB, 3.477% 5/10/47  | 573 | 563 |
|  Series 2016-GC36 Class AAB, 3.368% 2/10/49  | 2160 | 2072 |
| COMM Mortgage Trust sequential payer: |  |  |
|  Series 2014-CR18 Class ASB, 3.452% 7/15/47  | 1811 | 1797 |
|  Series 2020-SBX Class A, 1.67% 1/10/38 (b) | 6921 | 6072 |
| Credit Suisse Mortgage Trust: |  |  |
|  floater Series 2019-ICE4 Class A, 1 month U.S. LIBOR + 0.980% 4.855% 5/15/36 (b)(c)(d) | 8023 | 7919 |
|  sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b) | 1073 | 958 |
| CSAIL 2018-CX12 Commercial Mortgage Trust sequential payer Series 2018-CX12 Class ASB, 4.1628% 8/15/51  | 3364 | 3215 |
| CSMC Trust Series 2017-CHOP Class A, 1 month U.S. LIBOR + 0.750% 4.625% 7/15/32 (b)(c)(d) | 7508 | 7026 |
| ELP Commercial Mortgage Trust floater Series 2021-ELP Class A, 1 month U.S. LIBOR + 0.700% 4.577% 11/15/38 (b)(c)(d) | 5020 | 4789 |
| Extended Stay America Trust floater Series 2021-ESH Class A, 1 month U.S. LIBOR + 1.080% 4.956% 7/15/38 (b)(c)(d) | 1717 | 1651 |
| GS Mortgage Securities Trust: |  |  |
|  floater Series 2021-IP Class A, 1 month U.S. LIBOR + 0.950% 4.825% 10/15/36 (b)(c)(d) | 2194 | 2042 |
|  Series 2011-GC5 Class A/S, 5.209% 8/10/44 (b)(c) | 5691 | 5575 |
| JPMorgan Chase Commercial Mortgage Securities Corp. Series 2012-LC9 Class A/S, 3.3533% 12/15/47 (b) | 2273 | 2267 |
| JPMorgan Chase Commercial Mortgage Securities Trust: |  |  |
|  floater Series 2019-BKWD Class A, 1 month U.S. LIBOR + 1.250% 5.125% 9/15/29 (b)(c)(d) | 2788 | 2705 |
|  Series 2013-LC11 Class A/S, 3.216% 4/15/46  | 3949 | 3869 |
| Life Financial Services Trust floater Series 2022-BMR2 Class A1, CME Term SOFR 1 Month Index + 1.290% 5.0895% 5/15/39 (b)(c)(d) | 4992 | 4842 |
| LIFE Mortgage Trust floater Series 2021-BMR Class A, 1 month U.S. LIBOR + 0.700% 4.575% 3/15/38 (b)(c)(d) | 3374 | 3242 |
| Merit floater Series 2021-STOR Class A, 1 month U.S. LIBOR + 0.700% 4.575% 7/15/38 (b)(c)(d) | 1937 | 1852 |
| Morgan Stanley BAML Trust sequential payer Series 2016-C28: |  |  |
|  Class A3, 3.272% 1/15/49  | 1640 | 1542 |
|  Class ASB, 3.288% 1/15/49  | 1864 | 1807 |
| Morgan Stanley Capital I Trust: |  |  |
|  sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (b) | 4896 | 4544 |
|  Series 2019-H7 Class A1, 2.327% 7/15/52  | 1767 | 1713 |
| OPG Trust floater Series 2021-PORT Class A, 1 month U.S. LIBOR + 0.480% 4.359% 10/15/36 (b)(c)(d) | 5675 | 5383 |
| SREIT Trust floater Series 2021-MFP Class A, 1 month U.S. LIBOR + 0.730% 4.6061% 11/15/38 (b)(c)(d) | 3363 | 3213 |
| UBS-Barclays Commercial Mortgage Trust floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 4.6631% 4/10/46 (b)(c)(d) | 1017 | 1015 |
| Wells Fargo Commercial Mortgage Trust sequential payer: |  |  |
|  Series 2015-LC22 Class ASB, 3.571% 9/15/58  | 2803 | 2715 |
|  Series 2017-RC1 Class ASB, 3.453% 1/15/60  | 3494 | 3359 |
| WF-RBS Commercial Mortgage Trust sequential payer: |  |  |
|  Series 2013-C14 Class ASB, 2.977% 6/15/46  | 559 | 557 |
|  Series 2014-C20 Class ASB, 3.638% 5/15/47  | 548 | 539 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $168,832) |  | **159894** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 0.4%** | &nbsp;&nbsp;**Money Market Funds - 0.4%** | &nbsp;&nbsp;**Money Market Funds - 0.4%** |
|  | Shares | Value ($)<br> (000s) <br>|
| Fidelity Cash Central Fund 3.86% (f) <br>(Cost $11,935) <br>| 11932361 | **11935** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 100.0%**<br> (Cost $2,887,163)<br>| <br>**2777116** |
| **NET OTHER ASSETS (LIABILITIES) - 0.0%**  | **(298)** |
| **NET ASSETS - 100.0%** | **2776818** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br> (000s) <br>| Value ($)<br> (000s) <br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br> (000s) <br>|
| Purchased |  |  |  |  |  |
| Treasury Contracts |  |  |  |  |  |
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 766 | Mar 2023 | 157305 | 399 | 399 |
| The notional amount of futures purchased as a percentage of Net Assets is 5.7% | The notional amount of futures purchased as a percentage of Net Assets is 5.7% | The notional amount of futures purchased as a percentage of Net Assets is 5.7% | The notional amount of futures purchased as a percentage of Net Assets is 5.7% | The notional amount of futures purchased as a percentage of Net Assets is 5.7% | The notional amount of futures purchased as a percentage of Net Assets is 5.7% |

---

*Any values shown as $0 in the Schedule of Investments may reflect amounts less than $500.*

**Legend**

(a) Amount is stated in United States dollars unless otherwise noted.

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $750,301,000 or 27.0% of net assets.

(c) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(d) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $928,000.

(f) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate (Amounts in thousands) | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund 3.86% | 6183 | 159390 | 153638 | 97 | - | - | 11935 | 0.0% |
| Fidelity Securities Lending Cash Central Fund 3.86% | - | 54509 | 54509 | 2 | - | - | - | 0.0% |
| Total | 6183 | 213899 | 208147 | 99 | - | - | 11935 |  |

---

Amounts in the income column in the above table include any capital gain distributions from underlying funds.

Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.

**Investment Valuation**

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Securities transactions are accounted for as of trade date. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.

The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - Unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Nonconvertible Bonds and U.S. Treasury Obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. U.S. Government Agency - Mortgage Securities, Asset-Backed Securities, Collateralized Mortgage Obligations and Commercial Mortgage Securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.

Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.

**Derivative Instruments**

Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.

The Fund's use of derivatives increased or decreased its exposure to the following risk(s):

Interest Rate Risk - Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date.

The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.

Open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Schedule of Investments.

The Fund invests a significant portion of its assets in structured securities of issuers backed by commercial and residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.

For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.

*The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.*

*Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.*

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Fidelity Salem Street Trust

- **b. Investment Company Act file number:** 811-02105

- **c. CIK number of Registrant:** 0000035315

- **d. LEI of Registrant:** S4W85DGKOEJ24DPRB829

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

  - **Street Address 1:** 245 Summer Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

  - **Telephone number:** 1-800-FIDELITY

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

- **a. Name of Series:** Fidelity Short-Term Bond Fund

- **b. EDGAR series identifier (if any):** S000007007

- **c. LEI of Series:** HV4C3161T41A28O8LI97

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

- **a. Date of fiscal year-end:** 2023-08-31

- **b. Date as of which information is reported:** 2022-11-30

**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:** $2786355228.59

**Total Liabilities:** $4881482.33

**Net Assets:** $2781473746.26

**Cash Not Reported:** $24141.59

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 32934.39670560 | **1-Year:** 299911.54148750 | **5-Year:** 185816.73909184 | **10-Year:** 3284.63972607 | **30-Year:** 378.13181994

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

- **3-Month:** 980.74247073 | **1-Year:** 13693.34649569 | **5-Year:** 9721.80578629 | **10-Year:** 161.50496480 | **30-Year:** 0.00259095

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000171437 | -2.73%               | -1.64%               | -0.66%               |
| Class ID C000019128 | -1.23%               | -0.25%               | 1.00%                |
| Class ID C000205020 | -1.22%               | -0.24%               | 1.00%                |
| Class ID C000171438 | -2.73%               | -1.64%               | -0.66%               |
| Class ID C000171439 | -2.31%               | -1.33%               | -0.09%               |
| Class ID C000171440 | -1.23%               | -0.13%               | 0.87%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-6598670.60             | $-29819852.61                              |
| Month 2  | $-3612549.73             | $-5781301.05                               |
| Month 3  | $-718706.60              | $22216421.48                               |

**Designated Index Information**

- **Index Name:** Bloomberg US 1-3 Year Government/Credit Bond Index

- **Index Identifier:** 19808151

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CENT CLO 21 LTD/CENT CLO 21 CORP                                  | CENT CLO 21 LTD/CORP 3ML+97 07/27/2030 144A                                      | CUSIP: 15137EBN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8415792 | PA      | $8277024.14   | 0.30%             | 2030-07-27      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NATIONAL BANK OF CANADA                                           | NATIONAL BANK OF CANADA 0.55/VAR 11/15/2024                                      | CUSIP: 63307A2M6<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | DBT              | CORP              | CA        |   3356000 | PA      | $3201396.77   | 0.12%             | 2024-11-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                     | LOWES COS INC 4.4% 09/08/2025                                                    | CUSIP: 548661EK9<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   3318000 | PA      | $3294431.48   | 0.12%             | 2025-09-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SANTANDER RETAIL AUTO LEASE TR 2021-A                             | SANTANDER RETAIL AUTO LEASE TR 2021-A 0.51% 07/22/2024 144A                      | CUSIP: 80286TAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4381000 | PA      | $4250623.19   | 0.15%             | 2024-07-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 3/32 #569160                                                          | CUSIP: 36200QJD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1265 | PA      | $1330.10      | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 3/31 #549552                                                          | CUSIP: 36213BQD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       174 | PA      | $181.91       | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 7/28 #475200                                                          | CUSIP: 36209L3H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       464 | PA      | $478.03       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                       | BANK OF AMERICA CORP 0.976%/VAR 04/22/2025                                       | CUSIP: 06051GJR1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   8000000 | PA      | $7472884.40   | 0.27%             | 2025-04-22      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                       | BAMLL COML MTG SECS TR 2019 3.112% 11/05/2032 144A                               | CUSIP: 05492PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2246000 | PA      | $2077112.03   | 0.07%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                     | GOLDMAN SACHS GROUP INC (THE) 5.7% 11/01/2024                                    | CUSIP: 38141GZV9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   5500000 | PA      | $5565882.96   | 0.20%             | 2024-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                              | BARCLAYS PLC (UNGTD) 1.007%/VAR 12/10/2024                                       | CUSIP: 06738EBQ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   4487000 | PA      | $4243080.49   | 0.15%             | 2024-12-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2020-B              | WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2020-B 0.45% 02/15/2024            | CUSIP: 98163GAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2616462 | PA      | $2591713.88   | 0.09%             | 2024-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                  | T-MOBILE USA INC 3.5% 04/15/2025                                                 | CUSIP: 87264ABB0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   7030000 | PA      | $6806486.91   | 0.24%             | 2025-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TR 2020-C                                | HYUNDAI AUTO RECEIVABLES TR 2020-C 0.38% 05/15/2025                              | CUSIP: 44891RAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4529619 | PA      | $4399986.42   | 0.16%             | 2025-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                     | BX TRUST 2019-XL A 1ML+85 10/15/2036 144A                                        | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6207554 | PA      | $6098182.63   | 0.22%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 11/27 #462363                                                         | CUSIP: 36208VTU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       384 | PA      | $393.36       | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TESLA 2020-A                                                      | TESLA 2020-A 0.68% 12/20/2023 144A                                               | CUSIP: 88167HAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    906346 | PA      | $902652.27    | 0.03%             | 2023-12-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2021-B31 MORTGAGE TRUST                                 | BENCHMARK 2021-B31 MORTGAGE TRUST 1.357% 12/15/2054                              | CUSIP: 08163MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5768876 | PA      | $5324727.76   | 0.19%             | 2054-12-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                    | AIR LEASE CORP 0.7% 02/15/2024                                                   | CUSIP: 00914AAL6<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   2930000 | PA      | $2759296.30   | 0.10%             | 2024-02-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 10/28 #481353                                                         | CUSIP: 36209TWN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1216 | PA      | $1255.41      | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | MORGAN STANLEY 3.737%/VAR 04/24/2024                                             | CUSIP: 61744YAQ1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   7548000 | PA      | $7495877.59   | 0.27%             | 2024-04-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING LT                                                  | CEDAR FUNDING LT 3ML+110 07/15/2033 144A                                         | CUSIP: 15034AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9276000 | PA      | $9039499.10   | 0.32%             | 2033-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                                       | IMPERIAL BRANDS FINANCE PLC 3.125% 07/26/2024 144A                               | CUSIP: 45262BAA1<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   7381000 | PA      | $7039402.67   | 0.25%             | 2024-07-26      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TR 2021-ACNT                                                   | BX TR 2021-ACNT 1ML+85 11/15/2026 144A                                           | CUSIP: 05609QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3607000 | PA      | $3458783.68   | 0.12%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | MORGAN STANLEY SOFR 0.731%/VAR 04/05/2024                                        | CUSIP: 61772BAA1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   7335000 | PA      | $7189423.80   | 0.26%             | 2024-04-05      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 4/28 #456802                                                          | CUSIP: 36208PNT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       357 | PA      | $368.41       | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                        | FNMA 7.50% 11/31 #545304                                                         | CUSIP: 31385HX98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       242 | PA      | $256.41       | 0.00%             | 2031-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PARKER-HANNIFIN CORP                                              | PARKER-HANNIFIN CORP 3.65% 06/15/2024                                            | CUSIP: 701094AQ7<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $6842674.51   | 0.25%             | 2024-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR FRN SOFR+68 09/29/2023        | CUSIP: 00774MBA2<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   7000000 | PA      | $6854496.11   | 0.25%             | 2023-09-29      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                          | LLOYDS TSB BANK T1Y 0.695%/VAR 05/11/2024                                        | CUSIP: 53944YAN3<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   5464000 | PA      | $5332226.79   | 0.19%             | 2024-05-11      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 7/31 #781324                                                          | CUSIP: 36225BPH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4639 | PA      | $4834.11      | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX TRUST                                                          | BX TRUST 0.8% 06/15/2023 144A                                                    | CUSIP: 05608WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3605686 | PA      | $3451988.41   | 0.12%             | 2038-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2022-4                                    | CARMAX AUTO OWNER TRUST 2022-4 5.34% 12/15/2025                                  | CUSIP: 14318UAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5081000 | PA      | $5072742.87   | 0.18%             | 2025-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PRPM 2021-RPL2                                                    | PRPM 2021-RPL2 VAR 10/25/2051 144A                                               | CUSIP: 69357QAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1167171 | PA      | $1021431.01   | 0.04%             | 2051-10-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| DEERE JOHN CAPITAL CORP                                           | DEERE JOHN CAPITAL CORP 3.4% 06/06/2025                                          | CUSIP: 24422EWF2<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |   4589000 | PA      | $4477132.11   | 0.16%             | 2025-06-06      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021                                 | BX COMMERCIAL MORTGAGE TRUST 2021-VINO A 1ML+69.82 05/15/2038 144A               | CUSIP: 05608KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3400000 | PA      | $3255053.92   | 0.12%             | 2038-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                    | DEUTSCHE BANK AG NEW YORK BNCH 0.898% 05/28/2024                                 | CUSIP: 251526CJ6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |   2427000 | PA      | $2269996.42   | 0.08%             | 2024-05-28      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                         | BOEING CO 1.95% 02/01/2024                                                       | CUSIP: 097023CZ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3367345.77   | 0.12%             | 2024-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                  | SOCIETE GENERALE FRANCE 2.226%/VAR 01/21/2026 144A                               | CUSIP: 83368RBG6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |  10000000 | PA      | $9156926.90   | 0.33%             | 2026-01-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| TRAPEZA CDO XII LTD / TRAPEZA CDO XII INC                         | TRAP 2007-12A B 3ML+56 4/42                                                      | CUSIP: 89413GAG3<br>LEI: 5493000R4ICCD2N68609 | Long             | ABS-CBDO         | CORP              | KY        |    261000 | PA      | $197370.29    | 0.01%             | 2042-04-06      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPTIAL ONE MULTI-ASSET EXECUT                                    | CAPITAL ONE MULTI-ASST EXEC TR 2.8% 03/15/2027                                   | CUSIP: 14041NFZ9<br>LEI: R42WS16M9R97TJJKGU15 | Long             | ABS-CBDO         | CORP              | US        |  12000000 | PA      | $11456956.80  | 0.41%             | 2027-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| REGIONS FINL CORP NEW                                             | REGIONS FINL CORP NEW 2.25% 05/18/2025                                           | CUSIP: 7591EPAQ3<br>LEI: CW05CS5KW59QTC0DG824 | Long             | DBT              | CORP              | US        |   3950000 | PA      | $3696928.20   | 0.13%             | 2025-05-18      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                | ALLY FINL INC 3.05% 06/05/2023                                                   | CUSIP: 02005NBK5<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   5730000 | PA      | $5653320.51   | 0.20%             | 2023-06-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GENUINE PARTS CO                                                  | GENUINE PARTS CO 1.75% 02/01/2025                                                | CUSIP: 372460AB1<br>LEI: 549300D46DQVEU651W04 | Long             | DBT              | CORP              | US        |   4784000 | PA      | $4464640.73   | 0.16%             | 2025-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CSMC 2017-CHOP A                                                  | CSMC 2017-CHOP A 1ML+75 07/15/2032                                               | CUSIP: 12651QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7508000 | PA      | $7025942.85   | 0.25%             | 2032-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TR 2021-5                                  | UPSTART SECURITIZATION TR 2021-5 1.31% 11/20/2031 144A                           | CUSIP: 91679JAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3994634 | PA      | $3811397.44   | 0.14%             | 2031-11-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                     | GOLDMAN SACHS GROUP INC (THE) 1.757%/VAR 01/24/2025                              | CUSIP: 38141GZH0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9532132.00   | 0.34%             | 2025-01-24      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| AJAX MORTGAGE LOAN TRUST 2021                                     | AJAX MORTGAGE LOAN TRUST 2021-B A VAR 06/25/2066 144A                            | CUSIP: 00970LAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2661474 | PA      | $2434277.47   | 0.09%             | 2066-06-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 11/28 #469699                                                         | CUSIP: 36209EX49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       829 | PA      | $853.67       | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 6/28 #473582                                                          | CUSIP: 36209KCT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       991 | PA      | $1020.66      | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 1/29 #780951                                                          | CUSIP: 36225BBU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       699 | PA      | $719.21       | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                        | FNMA 30YR 4.5% 09/01/2049#FM1534                                                 | CUSIP: 3140X4V45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4633990 | PA      | $4604690.72   | 0.17%             | 2049-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 3/31 #544721                                                          | CUSIP: 36212VD22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       734 | PA      | $768.81       | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 9/28 #468256                                                          | CUSIP: 36209DE59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2151 | PA      | $2220.29      | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DELL EQUIPMENT FINANCE TRUST 2021-1                               | DELL EQUIPMENT FINANCE TRUST 2021-1 0.43% 05/22/2026 144A                        | CUSIP: 24703QAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3229000 | PA      | $3150394.84   | 0.11%             | 2026-05-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 1/31 #474760                                                          | CUSIP: 36209LMH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       582 | PA      | $607.09       | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                                          | MICROCHIP TECHNOLOGY INC 0.983% 09/01/2024                                       | CUSIP: 595017BC7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |   4231000 | PA      | $3911994.95   | 0.14%             | 2024-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY CO                                       | CANADIAN PAC RY CO 1.35% 12/02/2024                                              | CUSIP: 13645RBD5<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |  12296000 | PA      | $11450104.92  | 0.41%             | 2024-12-02      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TR 2021-1                                       | CARMAX AUTO OWNER TR 2021-1 A3 0.34% 12/15/2025                                  | CUSIP: 14316NAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3941543 | PA      | $3806584.95   | 0.14%             | 2025-12-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                               | AMERICAN EXPRESS CO 3.375% 05/03/2024                                            | CUSIP: 025816CV9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $5881842.72   | 0.21%             | 2024-05-03      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                     | FHLG 30YR 8.5% 08/01/2026#                                                       | CUSIP: 3128FFB47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1462 | PA      | $1506.73      | 0.00%             | 2026-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                        | CAPITAL ONE FINANCIAL CORP SOFR 1.343%/VAR 12/06/2024                            | CUSIP: 14040HCK9<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   6500000 | PA      | $6201739.05   | 0.22%             | 2024-12-06      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| VCAT 2021-NPL3                                                    | VCAT 2021-NPL3 VAR 05/25/2051 144A                                               | CUSIP: 91824MAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6063084 | PA      | $5607153.60   | 0.20%             | 2051-05-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2019-BROOK                      | J P MORGAN CHASE COML MTG SECS TR 2019-BROOK 1ML+90 09/15/2029 144A              | CUSIP: 46591JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2788432 | PA      | $2705297.11   | 0.10%             | 2029-09-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST                                    | CARVANA AUTO RECEIVABLES TRUST 0.7% 11/10/2026                                   | CUSIP: 14687JAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6606000 | PA      | $6044248.22   | 0.22%             | 2026-11-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                         | UST NOTES 4.25% 09/30/2024                                                       | CUSIP: 91282CFN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30257400 | PA      | $30166391.49  | 1.08%             | 2024-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2020-1 LLC                             | ENTERPRISE FLEET FINANCING 2020-1 LLC 1.78% 12/22/2025 144A                      | CUSIP: 29373KAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1446783 | PA      | $1436156.47   | 0.05%             | 2025-12-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MFT 2021-3A A                                                     | MFT 2021-3A A 0.65% 12/15/2031 144A                                              | CUSIP: 57108QAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1069767 | PA      | $1053509.48   | 0.04%             | 2031-12-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                | MITSUBISHI UFJ FIN GRP INC 4.788%/VAR 07/18/2025                                 | CUSIP: 606822CH5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   4000000 | PA      | $3958280.56   | 0.14%             | 2025-07-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                 | DELL INTL/EMC CORP 5.45% 06/15/2023                                              | CUSIP: 24703TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2804000 | PA      | $2805641.74   | 0.10%             | 2023-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CR ACC MST TR                                    | AMERICAN EXPRESS CR ACC MST TR 0.9% 11/15/2026                                   | CUSIP: 02582JJR2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9780000 | PA      | $9037317.56   | 0.32%             | 2026-11-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-MEAD                                 | MORGAN STANLEY CAP I TR 2019-MEAD 3.17% 11/10/2036 144A                          | CUSIP: 61771LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4895864 | PA      | $4544310.12   | 0.16%             | 2036-11-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                          | GENERAL MTRS FINL CO INC 1.25% 01/08/2026                                        | CUSIP: 37045XDD5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   6779000 | PA      | $5941070.32   | 0.21%             | 2026-01-08      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                                        | VMWARE INC 0.6% 08/15/2023                                                       | CUSIP: 928563AG0<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   8000000 | PA      | $7746946.32   | 0.28%             | 2023-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 2/28 #465912                                                          | CUSIP: 36209AR93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       130 | PA      | $133.41       | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                               | INTESA SANPAOLO SPA 3.375% 01/12/2023 144A                                       | CUSIP: 46115HBC0<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   5000000 | PA      | $4985402.95   | 0.18%             | 2023-01-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                              | CREDIT SUISSE GRP AG 6.373%/VAR 07/15/2026 144A                                  | CUSIP: 225401AY4<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   4600000 | PA      | $4265890.41   | 0.15%             | 2026-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 7/29 #488256                                                          | CUSIP: 36210CMD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2426 | PA      | $2514.72      | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SANTANDER RETAIL AUTO LEASE TR 2020-B                             | SANTANDER RETAIL AUTO LEASE TR 2020-B 0.57% 04/22/2024 144A                      | CUSIP: 80286RAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6627442 | PA      | $6484316.46   | 0.23%             | 2024-04-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXI LTD                                              | SYMPHONY CLO XXI LTD 21A AR 3ML+106 07/15/2032 144A                              | CUSIP: 87166RDE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6342000 | PA      | $6194428.00   | 0.22%             | 2032-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | MORGAN STANLEY 0.79/VAR 05/30/2025                                               | CUSIP: 61747YEA9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   8500000 | PA      | $7875966.13   | 0.28%             | 2025-05-30      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                     | FHLG 30YR 8.5% 08/01/2027#                                                       | CUSIP: 3128FQ4A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4338 | PA      | $4558.79      | 0.00%             | 2027-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST 21-3                                 | UPSTART SECURITIZATION TRUST 21-3 0.83% 07/20/2031 144A                          | CUSIP: 91679LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2130397 | PA      | $2067364.37   | 0.07%             | 2031-07-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 5/31 #558993                                                          | CUSIP: 36213M7E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4562 | PA      | $4787.45      | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                  | SOCIETE GENERALE FRANCE 2.625% 10/16/2024 144A                                   | CUSIP: 83368RAU6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1249000 | PA      | $1176536.13   | 0.04%             | 2024-10-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRPM 2021-RPL1 LLC                                                | PRPM 2021-RPL1 LLC 1.484% 07/25/2051 144A                                        | CUSIP: 69360GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    931580 | PA      | $826510.83    | 0.03%             | 2051-07-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SIEMENS FINANCIERINGSMAATSCHAPPIJ NV                              | SIEMENS FINANCIERINGSMAATSCHAPPIJ NV 0.65% 03/11/2024 144A                       | CUSIP: 82620KAX1<br>LEI: TAFO772JB70PDRN5VS48 | Long             | DBT              | CORP              | NL        |   5142000 | PA      | $4872619.88   | 0.18%             | 2024-03-11      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PERKINELMER INC                                                   | PERKINELMER INC 0.85% 09/15/2024                                                 | CUSIP: 714046AL3<br>LEI: 549300IKL1SDPFI7N655 | Long             | DBT              | CORP              | US        |   8310000 | PA      | $7679331.16   | 0.28%             | 2024-09-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE GLOBAL FUNDING                                    | PROTECTIVE LIFE GLOBAL FUNDING 3.218% 03/28/2025 144A                            | CUSIP: 74368CBL7<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |   1703000 | PA      | $1620622.35   | 0.06%             | 2025-03-28      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                       | PHILLIPS 66 0.9% 02/15/2024                                                      | CUSIP: 718546AY0<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |   8080000 | PA      | $7700446.85   | 0.28%             | 2024-02-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                        | CAPITAL ONE FINANCIAL CORP 2.6% 05/11/2023                                       | CUSIP: 14040HCD5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   4486000 | PA      | $4437350.94   | 0.16%             | 2023-05-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 1/25 #780105                                                          | CUSIP: 36225ADJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        48 | PA      | $48.03        | 0.00%             | 2025-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                  | FIRSTENERGY CORP 1.6% 01/15/2026                                                 | CUSIP: 337932AN7<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    747000 | PA      | $660472.29    | 0.02%             | 2026-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                | WELLS FARGO and CO NEW 2.164%/VAR 02/11/2026                                     | CUSIP: 95000U2K8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  20142000 | PA      | $18778666.98  | 0.68%             | 2026-02-11      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 6/32 #587698                                                          | CUSIP: 36201M3F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1025 | PA      | $1079.91      | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BA CR CARD TR                                                     | BA CR CARD TR 0.34% 05/15/2026                                                   | CUSIP: 05522RDC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4973000 | PA      | $4737516.02   | 0.17%             | 2026-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                              | LIFE 2021-BMR MTG TR 1ML+70 03/15/2038 144A                                      | CUSIP: 53218CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3373554 | PA      | $3242393.84   | 0.12%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 8/29 #477009                                                          | CUSIP: 36209N3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       358 | PA      | $369.06       | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| THE TORONTO DOMINION BANK                                         | TORONTO DOMINION BANK 0.75% 06/12/2023                                           | CUSIP: 89114QCG1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |  10785000 | PA      | $10553873.57  | 0.38%             | 2023-06-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMER FIN LLC                                     | VOLKSWAGEN GROUP AMER FIN LLC 3.95% 06/06/2025 144A                              | CUSIP: 928668BR2<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   2950000 | PA      | $2866697.96   | 0.10%             | 2025-06-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                         | BOEING CO 1.167% 02/04/2023                                                      | CUSIP: 097023DD4<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   5877000 | PA      | $5832654.51   | 0.21%             | 2023-02-04      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| VCAT 2021-NPL2 LLC                                                | VCAT 2021-NPL2 A1 LLC 2.115% 03/27/2051 144A                                     | CUSIP: 91822YAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4786384 | PA      | $4322792.47   | 0.16%             | 2051-03-27      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                    | DEUTSCHE BANK AG NEW YORK BNCH 1.447%/VAR 04/01/2025                             | CUSIP: 251526CG2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |   5743000 | PA      | $5298140.85   | 0.19%             | 2025-04-01      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| DELTA AIRLINES INC                                                | DELTA AIRLINES INC 2.9% 10/28/2024                                               | CUSIP: 247361ZU5<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |   7598000 | PA      | $7202904.00   | 0.26%             | 2024-10-28      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST 2020-HB5                           | CASCADE FUNDING MORTGAGE TRUST 2020-HB5 0.8335% 02/25/2031 144A                  | CUSIP: 12526PAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1270308 | PA      | $1219604.77   | 0.04%             | 2031-02-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG XXXII LTD / MADISON PK FDG XXXII LLC               | MADISON PK FDG XXXII LTD / MADISON PK FDG XXXII LLC 3ML+100 01/22/2031 144A      | CUSIP: 55817AAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6559000 | PA      | $6437619.15   | 0.23%             | 2031-01-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAP HLDGS INC                                      | NEXTERA ENERGY CAP HLDGS INC FRN 3ML+27 02/22/2023                               | CUSIP: 65339KBT6<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |  10375000 | PA      | $10372698.10  | 0.37%             | 2023-02-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 1/29 #457860                                                          | CUSIP: 36208QTR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3298 | PA      | $3402.26      | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE TRUST                             | PRESTON RIDGE PARTNERS MORTGAGE TRUST 2021-8 A1 VAR 12/31/2199 144A              | CUSIP: 69360MAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5374715 | PA      | $4692969.43   | 0.17%             | 2026-09-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| PRPM 2021-2                                                       | PRPM 2021-2 2.115% 03/25/2026 144A                                               | CUSIP: 69359UAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4244917 | PA      | $3849456.38   | 0.14%             | 2026-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 4/29 #487117                                                          | CUSIP: 36210BDW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1497 | PA      | $1549.38      | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2014-GC21                                   | CITIGROUP COML MTG TR 2014-GC21 3.477% 05/10/2047                                | CUSIP: 17322MAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    572728 | PA      | $562931.40    | 0.02%             | 2047-05-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 7/28 #462643                                                          | CUSIP: 36208V5C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10092 | PA      | $10390.93     | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 4/29 #471552                                                          | CUSIP: 36209GZR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       122 | PA      | $126.84       | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 9/28 #486539                                                          | CUSIP: 36210APY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4091 | PA      | $4204.27      | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                              | DUKE ENERGY CORP NEW FRN SOFR+25 06/10/2023                                      | CUSIP: 26441CBK0<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   6139000 | PA      | $6110659.86   | 0.22%             | 2023-06-10      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE CAPITAL UK PLC                            | GSK CONSUMER HEALTHCARE CAPITAL UK PLC 3.125% 03/24/2025                         | CUSIP: 36264NAB0<br>LEI: 5493004B26DRJNN0OV17 | Long             | DBT              | CORP              | GB        |   7390000 | PA      | $7079715.33   | 0.25%             | 2025-03-24      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 12/28 #780995                                                         | CUSIP: 36225BC89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       737 | PA      | $758.16       | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CR ACC MST TR                                    | AMERICAN EXPRESS CR ACC MST TR 3.39% 05/15/2027                                  | CUSIP: 02582JJT8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8500000 | PA      | $8207252.35   | 0.30%             | 2027-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                                                       | NUTRIEN LTD 5.9% 11/07/2024                                                      | CUSIP: 67077MAZ1<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |   3720000 | PA      | $3762964.88   | 0.14%             | 2024-11-07      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                         | OCCIDENTAL PETROLEUM CORP 2.9% 08/15/2024                                        | CUSIP: 674599CW3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   2755000 | PA      | $2644800.00   | 0.10%             | 2024-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRET 2022-RN1 LLC                                                 | PRET 2022-RN1 LLC 3.4747% 07/25/2051 144A                                        | CUSIP: 69363JAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3714592 | PA      | $3386488.00   | 0.12%             | 2051-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                             | JPMORGAN CHASE and CO 1.514%/VAR 06/01/2024                                      | CUSIP: 46647PBQ8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  13972000 | PA      | $13709284.62  | 0.49%             | 2024-06-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCES CO                                      | PIONEER NATURAL RESOURCES CO 0.55% 05/15/2023                                    | CUSIP: 723787AU1<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |   6522000 | PA      | $6393553.25   | 0.23%             | 2023-05-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 5/32 #552576                                                          | CUSIP: 36213E2H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1110 | PA      | $1161.07      | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                    | FNR 2001-40 Z 6% 8/31                                                            | CUSIP: 313920NH9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     51303 | PA      | $51747.54     | 0.00%             | 2031-08-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2016-C28       | MSBAM 2016-C28 ASB 3.288% 01/15/49                                               | CUSIP: 61766LBQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1864280 | PA      | $1807210.57   | 0.06%             | 2049-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                    | MAGALLANES INC 3.638% 03/15/2025 144A                                            | CUSIP: 55903VAE3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    901000 | PA      | $860311.71    | 0.03%             | 2025-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                                  | FIRSTENERGY CORP 2.05% 03/01/2025                                                | CUSIP: 337932AK3<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |   4143000 | PA      | $3822809.90   | 0.14%             | 2025-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 8/28 #475544                                                          | CUSIP: 36209MHV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1945 | PA      | $2008.32      | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OCEANVIEW MTG LN TR 2020-1                                        | OCEANVIEW MTG LN TR 2020-1 1.73291% 05/28/2050 144A                              | CUSIP: 676477AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2496672 | PA      | $2201432.72   | 0.08%             | 2050-05-28      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                    | DEUTSCHE BANK AG NEW YORK BNCH 2.129%/VAR 11/24/2026                             | CUSIP: 251526CE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4376148.20   | 0.16%             | 2026-11-24      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 2/30 #528329                                                          | CUSIP: 36212A4N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6413 | PA      | $6685.50      | 0.00%             | 2030-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 1/32 #574355                                                          | CUSIP: 36200WBY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       449 | PA      | $465.90       | 0.00%             | 2032-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| 7 ELEVEN INC                                                      | 7 ELEVEN INC 0.625% 02/10/2023 144A                                              | CUSIP: 817826AA8<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |   1562000 | PA      | $1548176.30   | 0.06%             | 2023-02-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                                | CANADIAN IMPERIAL BK OF COMM 0.45% 06/22/2023                                    | CUSIP: 13607HVC3<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |   7225000 | PA      | $7048101.66   | 0.25%             | 2023-06-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| KEYBANK NATL ASSN                                                 | KEYBANK NATL ASSN 4.15% 08/08/2025                                               | CUSIP: 49327M3E2<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |   2003000 | PA      | $1959797.93   | 0.07%             | 2025-08-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 8/32 #594252                                                          | CUSIP: 36201VEZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25018 | PA      | $26338.90     | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 4/28 #780773                                                          | CUSIP: 36225A2E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13755 | PA      | $14039.41     | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PARK PL SECS INC                                                  | PPSI 2005-WCH1 M4 1ML+83 1/36                                                    | CUSIP: 70069FFL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    162540 | PA      | $158334.58    | 0.01%             | 2036-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BA CR CARD TR                                                     | BA CR CARD TR 3.53% 11/15/2027                                                   | CUSIP: 05522RDE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7895000 | PA      | $7642939.49   | 0.27%             | 2027-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                         | ROYAL BK SCOTLND GRP PLC(UNGTD) 2.359/VAR 05/22/2024                             | CUSIP: 780097BN0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   5310000 | PA      | $5208291.73   | 0.19%             | 2024-05-22      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                         | ROGERS COMMUNICATIONS INC 2.95% 03/15/2025 144A                                  | CUSIP: 775109CA7<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |   4725000 | PA      | $4484689.24   | 0.16%             | 2025-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 2/32 #569702                                                          | CUSIP: 36200Q3K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       565 | PA      | $591.67       | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 2/31 #474763                                                          | CUSIP: 36209LML7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       363 | PA      | $378.21       | 0.00%             | 2031-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                  | SOUTHERN COMPANY 0.6% 02/26/2024                                                 | CUSIP: 842587DG9<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   3086000 | PA      | $2918724.48   | 0.10%             | 2024-02-26      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE AG NY BRNCH                                         | CREDIT SUISSE AG NY BRNCH 0.52% 08/09/2023                                       | CUSIP: 22550L2F7<br>LEI: ANGGYXNX0JLX3X63JN86 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $6669905.34   | 0.24%             | 2023-08-09      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                    | AIR LEASE CORP 0.8% 08/18/2024                                                   | CUSIP: 00914AAP7<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   3717000 | PA      | $3418809.14   | 0.12%             | 2024-08-18      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                        | FNMA 20YR 4.5% 08/01/2039#FM1353                                                 | CUSIP: 3140X4QF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    753377 | PA      | $749967.17    | 0.03%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                              | WEC ENERGY GROUP INC 5% 09/27/2025                                               | CUSIP: 92939UAH9<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |   2638000 | PA      | $2649193.90   | 0.10%             | 2025-09-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TRUST 2021                                    | RMF BUYOUT ISSUANCE TRUST 2021 1.268% 11/25/2031 144A                            | CUSIP: 74969TAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2561439 | PA      | $2425273.56   | 0.09%             | 2031-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                        | VERIZON COMMUNICATIONS INC 0.75% 03/22/2024                                      | CUSIP: 92343VGF5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   3860000 | PA      | $3669556.75   | 0.13%             | 2024-03-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON NATIONAL BANK                                          | HUNTINGTON NATL BK COLUMBUS OH 5.699%/VAR 11/18/2025                             | CUSIP: 44644MAH4<br>LEI: 2WHM8VNJH63UN14OL754 | Long             | DBT              | CORP              | US        |   5500000 | PA      | $5508819.80   | 0.20%             | 2025-11-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                     | CITIGROUP INC 5.61/VAR 09/29/2026                                                | CUSIP: 172967NX5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5017530.35   | 0.18%             | 2026-09-29      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST                                            | MARLETTE FUNDING TRUST 1.36% 04/15/2032 144A                                     | CUSIP: 57109KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | XX        |   2597848 | PA      | $2540038.69   | 0.09%             | 2032-04-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                 | HSBC HOLDINGS PLC 1.162%/VAR 11/22/2024                                          | CUSIP: 404280CW7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   8100000 | PA      | $7669441.34   | 0.28%             | 2024-11-22      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                               | AMERICAN TOWER CORP 1.3% 09/15/2025                                              | CUSIP: 03027XBB5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   2980000 | PA      | $2680118.04   | 0.10%             | 2025-09-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE AG NY BRNCH                                         | CREDIT SUISSE AG NY BRNCH 0.495% 02/02/2024                                      | CUSIP: 22550L2E0<br>LEI: ANGGYXNX0JLX3X63JN86 | Long             | DBT              | CORP              | US        |   8000000 | PA      | $7307264.16   | 0.26%             | 2024-02-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DELL EQUIPMENT FINANCE TRUST 2020-2                               | DELL EQUIPMENT FINANCE TRUST 2020-2 0.57% 10/23/2023 144A                        | CUSIP: 24704GAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1941815 | PA      | $1916172.11   | 0.07%             | 2023-10-23      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                             | JPMORGAN CHASE and CO 0.824/VAR 06/01/2025                                       | CUSIP: 46647PCH7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   6568000 | PA      | $6108177.74   | 0.22%             | 2025-06-01      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST 2020                                          | COMM MORTGAGE TRUST 2020 1.67% 01/10/2038 144A                                   | CUSIP: 12598EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6921000 | PA      | $6071600.20   | 0.22%             | 2038-01-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 4/32 #587033                                                          | CUSIP: 36201MEE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2650 | PA      | $2775.40      | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SANTANDER HLDGS USA INC                                           | SANTANDER HLDGS USA INC 3.5% 06/07/2024                                          | CUSIP: 80282KAW6<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   7230000 | PA      | $7015323.51   | 0.25%             | 2024-06-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 8/28 #464132                                                          | CUSIP: 36208XSV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6266 | PA      | $6447.78      | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FDG II                                          | MASSMUTUAL GLOBAL FDG II 4.15% 08/26/2025 144A                                   | CUSIP: 57629WDK3<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |   5651000 | PA      | $5546869.81   | 0.20%             | 2025-08-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                       | BANK OF AMERICA CORPORATION 3.841%/VAR 04/25/2025                                | CUSIP: 06051GKS7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   7500000 | PA      | $7314134.93   | 0.26%             | 2025-04-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | MORGAN STANLEY 4.679%/VAR 07/17/2026                                             | CUSIP: 61747YET8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   4223000 | PA      | $4174954.93   | 0.15%             | 2026-07-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL INC                                        | MONDELEZ INTL INC 2.125% 03/17/2024                                              | CUSIP: 609207AZ8<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |   7500000 | PA      | $7230422.48   | 0.26%             | 2024-03-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                      | UBS GROUP AG 4.49%/VAR 08/05/2025 144A                                           | CUSIP: 902613AR9<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   7500000 | PA      | $7345814.03   | 0.26%             | 2025-08-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPTIAL ONE MULTI-ASSET EXECUT                                    | CAPITAL ONE MULTI-ASST EXEC TR 1.04% 11/15/2026                                  | CUSIP: 14041NFY2<br>LEI: R42WS16M9R97TJJKGU15 | Long             | ABS-CBDO         | CORP              | US        |   9890000 | PA      | $9162326.44   | 0.33%             | 2026-11-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ONEMAIN DIRECT AUTO RECEIVABLES TR 2021-1                         | ONEMAIN DIRECT AUTO RECEIVABLES TR 2021-1 0.87% 07/14/2028 144A                  | CUSIP: 682687AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8012000 | PA      | $7357897.12   | 0.26%             | 2028-07-14      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                                | CANADIAN IMPERIAL BK OF COMM 0.95% 06/23/2023                                    | CUSIP: 13607GRK2<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |  16765000 | PA      | $16396652.66  | 0.59%             | 2023-06-23      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                        | FNMA 5.50% 11/34 #310105                                                         | CUSIP: 31374CNW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1222307 | PA      | $1253429.96   | 0.05%             | 2034-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 21-GS5                                | LEGACY MORTGAGE ASSET TRUST 21-GS5 VAR 07/25/2067 144A                           | CUSIP: 52475XAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5966408 | PA      | $5031494.56   | 0.18%             | 2067-07-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| CGDB COML MTG TR 2017-BIO                                         | CGDB COML MTG TR 2019-MOB A 1ML+100 11/15/2036 144A                              | CUSIP: 125284AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1677834 | PA      | $1629301.14   | 0.06%             | 2036-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                  | SOCIETE GENERALE FRANCE 4.351% 06/13/2025 144A                                   | CUSIP: 83368RBN1<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   4500000 | PA      | $4402456.65   | 0.16%             | 2025-06-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SANTANDER CONSUMER AUTO RECEIVABLES TRUST 2021-A                  | SANTANDER CONSUMER AUTO RECEIVABLES TRUST 2021-A 0.33% 10/15/2025 144A           | CUSIP: 80282YAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3420537 | PA      | $3351585.54   | 0.12%             | 2025-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                     | FHLG 30YR 8.5% 07/01/2027#                                                       | CUSIP: 31292GS49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       225 | PA      | $232.38       | 0.00%             | 2027-07-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                           | CF HIPPOLYTA ISSUER LLC 1.53% 03/15/2061 144A                                    | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4422450 | PA      | $3809813.83   | 0.14%             | 2061-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TESLA AUTO LEASE TR 2021-A                                        | TESLA AUTO LEASE TR 2021-A 0.56% 03/20/2025 144A                                 | CUSIP: 88161FAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6423000 | PA      | $6202488.78   | 0.22%             | 2025-03-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                           | CF HIPPOLYTA ISSUER LLC 1.69% 07/15/2060 144A                                    | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7568823 | PA      | $6693290.49   | 0.24%             | 2060-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WHEELS SPV LLC                                                    | WHEELS SPV LLC 1ML+28 08/20/2029 144A                                            | CUSIP: 96328DBX1<br>LEI: 54930087O4PHK5ODMW30 | Long             | ABS-CBDO         | CORP              | US        |   3927204 | PA      | $3897624.60   | 0.14%             | 2029-08-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B7 MTG TR                                          | BMARK 2018-B7 A1 3.436% 11/15/2051                                               | CUSIP: 08162TAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    705431 | PA      | $697422.51    | 0.03%             | 2053-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DISCOVER CARD EXECUTION NT TR                                     | DISCOVER CARD EXECUTION NT TR 0.58% 09/15/2026                                   | CUSIP: 254683CP8<br>LEI: 549300CKCX1QE4RUW216 | Long             | ABS-CBDO         | CORP              | US        |   4839000 | PA      | $4483455.93   | 0.16%             | 2026-09-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| EFF 2021-1                                                        | EFF 2021-1 0.44% 12/21/2026 144A                                                 | CUSIP: 29374EAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1601425 | PA      | $1543475.02   | 0.06%             | 2026-12-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MTG TR                                                    | SEMT 2004-6 A3B 6ML+44 7/34                                                      | CUSIP: 81744FCU9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      1677 | PA      | $1511.59      | 0.00%             | 2034-07-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                | MITSUBISHI UFJ FIN GRP INC 2.193% 02/25/2025                                     | CUSIP: 606822BN3<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   9124000 | PA      | $8568737.36   | 0.31%             | 2025-02-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                    | MAGALLANES INC 3.428% 03/15/2024 144A                                            | CUSIP: 55903VAC7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   1645000 | PA      | $1597225.32   | 0.06%             | 2024-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAKER HUGHES A GE CO LLC / BAKER HUGHES CO-OBLIGOR INC            | BAKER HUGHES A GE CO LLC / CO-OBLIGOR INC 1.231% 12/15/2023                      | CUSIP: 05724BAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1575000 | PA      | $1516472.87   | 0.05%             | 2023-12-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                             | TRUIST FINANCIAL CORP 5.9%/VAR 10/28/2026                                        | CUSIP: 89788MAJ1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   7375000 | PA      | $7487123.08   | 0.27%             | 2026-10-28      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                          | EQT CORP 5.678% 10/01/2025                                                       | CUSIP: 26884LAP4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |   5225000 | PA      | $5210683.50   | 0.19%             | 2025-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 6/32 #582173                                                          | CUSIP: 36201FXA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3020 | PA      | $3166.72      | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TR 2021-1                                  | UPSTART SECURITIZATION TR 2021-1 0.91% 06/20/2031 144A                           | CUSIP: 91680FAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1074893 | PA      | $1051903.24   | 0.04%             | 2031-06-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| DOLLAR GEN CORP NEW                                               | DOLLAR GEN CORP NEW 4.25% 09/20/2024                                             | CUSIP: 256677AJ4<br>LEI: OPX52SQVOZI8IVSWYU66 | Long             | DBT              | CORP              | US        |   6347000 | PA      | $6252715.44   | 0.22%             | 2024-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                          | CONSTELLATION BRANDS INC 3.6% 05/09/2024                                         | CUSIP: 21036PBM9<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $6862158.52   | 0.25%             | 2024-05-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 3/31 #474767                                                          | CUSIP: 36209LMQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       898 | PA      | $939.17       | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                                             | REPUBLIC SERVICES INC 0.875% 11/15/2025                                          | CUSIP: 760759AY6<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $8948115.00   | 0.32%             | 2025-11-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                     | FHLG 30YR 8.5% 06/01/2027#                                                       | CUSIP: 3128FPPS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2166 | PA      | $2272.05      | 0.00%             | 2027-06-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 6/32 #552619                                                          | CUSIP: 36213E4C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       461 | PA      | $483.41       | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 11/28 #488293                                                         | CUSIP: 36210CNJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3587 | PA      | $3700.36      | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                          | COREBRIDGE FINANCIAL INC 3.5% 04/04/2025 144A                                    | CUSIP: 21871XAA7<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    812000 | PA      | $777587.03    | 0.03%             | 2025-04-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL HOLDINGS NETHERLANDS BV                    | MONDELEZ INTL HLDGS NETH B V 0.75% 09/24/2024 144A                               | CUSIP: 60920LAQ7<br>LEI: 549300CW356R8I7N8D33 | Long             | DBT              | CORP              | NL        |   7661000 | PA      | $7068078.51   | 0.25%             | 2024-09-24      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                | BMW US CAPITAL LLC 3.45% 04/12/2023 144A                                         | CUSIP: 05565EAW5<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |  12171000 | PA      | $12108755.92  | 0.44%             | 2023-04-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2016-C28       | MSBAM 2016-C28 3.272% 01/15/49                                                   | CUSIP: 61766LBR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1640175 | PA      | $1541887.28   | 0.06%             | 2049-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TCI-SYMPHONY CLO 2017-1 LTD / TCI-SYMPHONY CLO 2017-1 LLC         | TCI-SYMPHONY CLO 2017-1 LTD / TCI-SYMPHONY CLO 2017-1 LLC 3ML+92 07/15/2030 144A | CUSIP: 87232BAF9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9218936 | PA      | $9051179.15   | 0.33%             | 2030-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                                    | BLACKSTONE PRIVATE CREDIT FUND 4.7% 03/24/2025                                   | CUSIP: 09261HAT4<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |   7096000 | PA      | $6935111.47   | 0.25%             | 2025-03-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                             | JACKSON FINANCIAL INC 1.125% 11/22/2023                                          | CUSIP: 46817MAJ6<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |   8613000 | PA      | $8258650.59   | 0.30%             | 2023-11-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                           | BAYER US FIN II LLC 4.25% 12/15/2025 144A                                        | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   6748000 | PA      | $6543929.62   | 0.24%             | 2025-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                             | TRUIST FINANCIAL CORP 4.26%/VAR 07/28/2026                                       | CUSIP: 89788MAH5<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   5500000 | PA      | $5399775.70   | 0.19%             | 2026-07-28      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 9/28 #483164                                                          | CUSIP: 36209VWZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5562 | PA      | $5749.02      | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                      | NISOURCE INC 0.95% 08/15/2025                                                    | CUSIP: 65473PAK1<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   2976000 | PA      | $2683514.23   | 0.10%             | 2025-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 8/32 #579718                                                          | CUSIP: 36201DAT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       351 | PA      | $369.29       | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 7/31 #529426                                                          | CUSIP: 36212CD73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       927 | PA      | $963.31       | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MARLETTE FDG TR 2021-2                                            | MARLETTE FDG TR 2021-2 0.51% 09/15/2031 144A                                     | CUSIP: 57108TAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    272148 | PA      | $271364.04    | 0.01%             | 2031-09-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| EASTERN ENERGY GAS HOLDINGS LLC                                   | EASTERN ENERGY GAS HOLDINGS LLC 2.5% 11/15/2024                                  | CUSIP: 257375AN5<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |   1475000 | PA      | $1401799.69   | 0.05%             | 2024-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WESTERN UNION CO/THE                                              | WESTERN UN CO 2.85% 01/10/2025                                                   | CUSIP: 959802AY5<br>LEI: 28ID94QU1140NC23S047 | Long             | DBT              | CORP              | US        |   1585000 | PA      | $1508244.03   | 0.05%             | 2025-01-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                | ALLY FINL INC 5.125% 09/30/2024                                                  | CUSIP: 02005NAV2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   6284000 | PA      | $6234367.71   | 0.22%             | 2024-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CFMT 2021-HB7 LLC                                                 | CFMT 2021-HB7 LLC 1.3034% 10/27/2031 144A                                        | CUSIP: 12530BAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1979057 | PA      | $1849179.17   | 0.07%             | 2031-10-27      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING LTD                                                 | CEDAR FUNDING LTD 3ML+110 10/20/2032 144A                                        | CUSIP: 15033XAJ5<br>LEI: 549300ZKTUZSV15HAV29 | Long             | ABS-CBDO         | CORP              | KY        |   2196000 | PA      | $2136022.85   | 0.08%             | 2032-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST                                             | TMTS 2003-4HE A 1ML+43 9/34                                                      | CUSIP: 881561BU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    140220 | PA      | $132255.51    | 0.00%             | 2034-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2021-SP1                                  | NEW YORK MORTGAGE TRUST 2021-SP1 1.6696% 08/25/2061 144A                         | CUSIP: 62955RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2144856 | PA      | $1905343.97   | 0.07%             | 2061-08-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                              | BARCLAYS PLC (UNGTD) 2.852%/VAR 05/07/2026                                       | CUSIP: 06738EBL8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   4878000 | PA      | $4497587.27   | 0.16%             | 2026-05-07      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MTG TR 2021-8                                           | ANGEL OAK MTG TR 2021-8 1.82% 12/01/2025 144A                                    | CUSIP: 03465MAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5003461 | PA      | $4132336.30   | 0.15%             | 2066-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                   | DANSKE BANK AS (UNGTD) 3.875% 09/12/2023 144A                                    | CUSIP: 23636AAP6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   7592000 | PA      | $7480465.40   | 0.27%             | 2023-09-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                               | NATWEST MARKETS PLC 0.8% 08/12/2024 144A                                         | CUSIP: 63906YAB4<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |   4320000 | PA      | $3986311.41   | 0.14%             | 2024-08-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| VCAT ASSET SECURITIZATION LLC 2021                                | VCAT ASSET SECURITIZATION LLC 2021 2.2891% 12/26/2050 144A                       | CUSIP: 91790CAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1127133 | PA      | $1075914.70   | 0.04%             | 2050-12-26      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                                  | GMF FLOORPLAN OWNER REVOLVING TR 0.68% 08/15/2025 144A                           | CUSIP: 361886CH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3218000 | PA      | $3113308.16   | 0.11%             | 2025-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2021-IP                                       | GSMS 2021-IP A 1ML+105 10/15/2036 144A                                           | CUSIP: 36262MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2194000 | PA      | $2042082.83   | 0.07%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                              | BARCLAYS BANK PLC 4.338/VAR 05/16/2024                                           | CUSIP: 06738EBB0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   7085000 | PA      | $7020025.24   | 0.25%             | 2024-05-16      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                        | MIZUHO FINL GROUP INC T1Y 2.651%/VAR 05/22/2026                                  | CUSIP: 60687YCA5<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   6307000 | PA      | $5843692.45   | 0.21%             | 2026-05-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| DONLEN FLEET LEASE FDG 2 LLC                                      | DONLEN FLEET LEASE FDG 2 LLC 0.56% 12/11/2034 144A                               | CUSIP: 257812AD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2968941 | PA      | $2860797.44   | 0.10%             | 2034-12-11      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 5/29 #499907                                                          | CUSIP: 36210RKU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1129 | PA      | $1165.75      | 0.00%             | 2029-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO LN EXTD NT TR 2020-1                                  | TOYOTA AUTO LN EXTD NT TR 2020-1 1.35% 05/25/2033 144A                           | CUSIP: 89237JAA4<br>LEI: 549300XP7ILZSI1BWP36 | Long             | ABS-CBDO         | CORP              | US        |   4906000 | PA      | $4455000.25   | 0.16%             | 2033-05-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                             | JPMORGAN CHASE and CO 3.845%/VAR 06/14/2025                                      | CUSIP: 46647PDE3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   7500000 | PA      | $7364526.45   | 0.26%             | 2025-06-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTERN UNION CO/THE                                              | WESTERN UN CO 4.25% 06/09/2023                                                   | CUSIP: 959802AX7<br>LEI: 28ID94QU1140NC23S047 | Long             | DBT              | CORP              | US        |   6025000 | PA      | $5984409.15   | 0.22%             | 2023-06-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                                            | CONOCOPHILLIPS CO 2.4% 03/07/2025                                                | CUSIP: 20826FAU0<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |   2991000 | PA      | $2843323.14   | 0.10%             | 2025-03-07      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MERCEDES BENZ RETAIL SA                                           | MERCEDES BENZ RETAIL SA 0.75% 03/01/2024 144A                                    | CUSIP: 233851EB6<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |   8516000 | PA      | $8060848.24   | 0.29%             | 2024-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2011-GC5                                           | GS MTG SECS TR 2011-GC5 5.209% 08/10/2044 144A                                   | CUSIP: 36191YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5691308 | PA      | $5574904.71   | 0.20%             | 2044-08-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX TR 2021-LGCY                                                   | BX TR 2022-GPA A TSFR1M+221.5 10/15/2039 144A                                    | CUSIP: 05608UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1533000 | PA      | $1526276.11   | 0.05%             | 2039-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DISCOVER CARD EXECUTION NT TR                                     | DISCOVER CARD EXECUTION NT TR 1.96% 02/15/2027                                   | CUSIP: 254683CR4<br>LEI: 549300CKCX1QE4RUW216 | Long             | ABS-CBDO         | CORP              | US        |   4911000 | PA      | $4621786.30   | 0.17%             | 2027-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019                                                     | BX TRUST 2019-IMC A 1ML+105 04/15/34 144A                                        | CUSIP: 05608BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4299659 | PA      | $4184724.82   | 0.15%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TR 2022-HB1                                   | RMF BUYOUT ISSUANCE TR 2022-HB1 A 0% 04/25/2032 144A                             | CUSIP: 76970HAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1116879 | PA      | $1082752.94   | 0.04%             | 2032-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE GLOBAL FUNDING                           | EQUITABLE FINANCIAL LIFE GLOBAL FUNDING 0.5% 11/17/2023 144A                     | CUSIP: 29449WAC1<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9554638.10   | 0.34%             | 2023-11-17      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                         | NATWEST GRP PLC(UNGTD) 3.875% 09/12/2023                                         | CUSIP: 780097BD2<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |  14202000 | PA      | $14030752.85  | 0.50%             | 2023-09-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                           | HYUNDAI CAP AMER 1% 09/17/2024 144A                                              | CUSIP: 44891ABY2<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   7995000 | PA      | $7342523.41   | 0.26%             | 2024-09-17      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                     | FHLG 30YR 8.5% 07/01/2028#                                                       | CUSIP: 31283HCS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       830 | PA      | $858.88       | 0.00%             | 2028-07-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| TCI-FLATIRON CLO 2016-1 LTD / TCI-FLATIRON CLO 2016-1 LLC         | TCI-FLATIRON CLO 2017-1A AR LTD/LLC 3ML+96 11/18/2030 144A                       | CUSIP: 87231BAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8844000 | PA      | $8694501.02   | 0.31%             | 2030-11-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                | WELLS FARGO and CO NEW 1.654%/VAR 06/02/2024                                     | CUSIP: 95000U2R3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   8218000 | PA      | $8069426.12   | 0.29%             | 2024-06-02      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                               | INTESA SANPAOLO SPA 3.25% 09/23/2024 144A                                        | CUSIP: 46115HBJ5<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |  10000000 | PA      | $9411192.80   | 0.34%             | 2024-09-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LIFE GLOBAL FDG II                                      | PRINCIPAL LIFE GLOBAL FDG II FRN SOFR+45 04/12/2024 144A                         | CUSIP: 74256LEM7<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |   3616000 | PA      | $3587831.36   | 0.13%             | 2024-04-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                                  | GMF FLOORPLAN OWNER REVOLVING TR 0.69% 10/15/2025 144A                           | CUSIP: 361886CM4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6742000 | PA      | $6445033.78   | 0.23%             | 2025-10-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BPR TRUST 2021-TY                                                 | BPR TRUST 2021-TY TSFR1M+174.77 04/15/2024 144A                                  | CUSIP: 05592DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6214000 | PA      | $6046562.53   | 0.22%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                | ENERGY TRANSFER LP 4.25% 03/15/2023                                              | CUSIP: 29278NAL7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   5208000 | PA      | $5191425.96   | 0.19%             | 2023-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PPL ELEC UTILS CORP                                               | PPL ELEC UTILS CORP FRN 3ML+25 09/28/2023                                        | CUSIP: 69351UAX1<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |   3666000 | PA      | $3652087.90   | 0.13%             | 2023-09-28      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ONE GAS INC                                                       | ONE GAS INC 0.85% 03/11/2023                                                     | CUSIP: 68235PAJ7<br>LEI: 549300HXDWI0LATTX840 | Long             | DBT              | CORP              | US        |   2502000 | PA      | $2496481.59   | 0.09%             | 2023-03-11      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                         | BOEING CO 4.875% 05/01/2025                                                      | CUSIP: 097023CT0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   4713000 | PA      | $4669284.24   | 0.17%             | 2025-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FINANCE OF AMERICA HECM BUYOUT 2019-AB1                           | FINANCE OF AMERICA HECM BUYOUT 2019-AB1 VAR 02/25/2032 144A                      | CUSIP: 31735JAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5669916 | PA      | $5448776.32   | 0.20%             | 2032-02-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LP                                               | EMERA US FINANCE LP 0.833% 06/15/2024                                            | CUSIP: 29103DAS5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3897000 | PA      | $3612021.98   | 0.13%             | 2024-06-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| OCEANVIEW TRUST 2021-EB01                                         | OCEANVIEW TRUST 2021-EB01 VAR 12/29/2051 144A                                    | CUSIP: 67647NAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | XX        |   2463783 | PA      | $2389867.01   | 0.09%             | 2051-12-29      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | US 2YR NOTE (CBT) FUT MAR23 TUH3                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       766 | NC      | $399449.85    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BAMLL COML MTG SECS TR 2022-DKLX                                  | BAMLL COML MTG SECS TR 2022-DKLX TSFR1M+115 01/15/2039 144A                      | CUSIP: 05530SAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1838000 | PA      | $1770477.03   | 0.06%             | 2039-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                | MITSUBISHI UFJ FIN GRP INC 0.962%/VAR 10/11/2025                                 | CUSIP: 606822CA0<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   8775000 | PA      | $8053037.84   | 0.29%             | 2025-10-11      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                     | CITIGROUP INC 0.981%/VAR 5/01/2025                                               | CUSIP: 172967MX6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   4488000 | PA      | $4186837.61   | 0.15%             | 2025-05-01      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVABLES TR 2021-3                      | AMERICREDIT AUTOMOBILE RECEIVABLES TR 2021-3 0.76% 08/18/2026                    | CUSIP: 03066JAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7993000 | PA      | $7564802.20   | 0.27%             | 2026-08-18      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FING 2020-2 LLC                                  | ENTERPRISE FLEET FING 2020-2 LLC 0.61% 07/20/2026 144A                           | CUSIP: 29375MAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3432792 | PA      | $3334827.43   | 0.12%             | 2026-07-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ELP COMMERCIAL MORTGAGE TRUST 2021-ELP                            | ELP COMMERCIAL MORTGAGE TRUST 2021-ELP 1ML+70.1 11/15/2036 144A                  | CUSIP: 26863LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5020000 | PA      | $4788820.97   | 0.17%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                    | FNR 2016-27 KG 3% 01/40                                                          | CUSIP: 3136ASBQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |   1396424 | PA      | $1320312.11   | 0.05%             | 2040-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                           | BPCE SA 1.625% 01/14/2025 144A                                                   | CUSIP: 05578AAV0<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   9500000 | PA      | $8821732.21   | 0.32%             | 2025-01-14      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FLORIDA PWR and LT CO                                             | FLORIDA PWR and LT CO 2.85% 04/01/2025                                           | CUSIP: 341081FZ5<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |   1893000 | PA      | $1816739.09   | 0.07%             | 2025-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SEMPRA ENERGY                                                     | SEMPRA ENERGY 3.3% 04/01/2025                                                    | CUSIP: 816851BN8<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |   2834000 | PA      | $2733992.16   | 0.10%             | 2025-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2017                                      | WELLS FARGO COML MTG TR 2017-RC1 ASB 3.453% 01/15/2060                           | CUSIP: 95001FAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3494072 | PA      | $3358944.43   | 0.12%             | 2060-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CFMT 2022-HB8 LLC                                                 | CFMT 2022-HB8 LLC 3.75% 04/24/2025 144A                                          | CUSIP: 12526WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6413844 | PA      | $6173324.96   | 0.22%             | 2025-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2022-2                 | GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2022-2 3.1% 02/16/2027                | CUSIP: 362585AC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6602000 | PA      | $6375534.23   | 0.23%             | 2027-02-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN LIFE GLOBAL FUNDING I                                | METROPOLITAN LIFE GLBL FDG I 0.9% 06/08/2023 144A                                | CUSIP: 59217GEH8<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |   5675000 | PA      | $5552315.41   | 0.20%             | 2023-06-08      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                       | BANK OF AMERICA CORPORATION 4.827%/VAR 07/22/2026                                | CUSIP: 06051GLA5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   5015000 | PA      | $4949525.01   | 0.18%             | 2026-07-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UBS AG LONDN BRANCH                                               | UBS AG LON BRANCH 1.375% 01/13/2025 144A                                         | CUSIP: 902674YU8<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | GB        |   5623000 | PA      | $5204891.60   | 0.19%             | 2025-01-13      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 9/28 #467219                                                          | CUSIP: 36209CAU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2742 | PA      | $2787.13      | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                         | UST NOTES 0.375% 04/30/2025                                                      | CUSIP: 912828ZL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 151699000 | PA      | $138484594.16 | 4.98%             | 2025-04-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 7/29 #472106                                                          | CUSIP: 36209HNX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       535 | PA      | $550.58       | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                | MITSUBISHI UFJ FIN GRP INC 0.848%/VAR 09/15/2024                                 | CUSIP: 606822BV5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   8059000 | PA      | $7747456.47   | 0.28%             | 2024-09-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 1/28 #468670                                                          | CUSIP: 36209DT38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       374 | PA      | $384.73       | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                  | CROWN CASTLE INC 1.35% 07/15/2025                                                | CUSIP: 22822VAS0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    700000 | PA      | $637035.25    | 0.02%             | 2025-07-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                 | HSBC HOLDINGS PLC 0.976/VAR 05/24/2025                                           | CUSIP: 404280CS6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   8400000 | PA      | $7727124.13   | 0.28%             | 2025-05-24      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BX 2021-BXMF                                                      | BX 2021-BXMF 1ML+64 10/15/2026 144A                                              | CUSIP: 05609RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3376000 | PA      | $3202969.53   | 0.12%             | 2026-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                     | FHLG 30YR 8.5% 08/01/2027#                                                       | CUSIP: 31292GTE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        36 | PA      | $37.03        | 0.00%             | 2027-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| EFF 2021-2                                                        | EFF 2021-2 0.48% 05/20/2027 144A                                                 | CUSIP: 29374YAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5466116 | PA      | $5193393.22   | 0.19%             | 2027-05-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                        | HUMANA INC 0.65% 08/03/2023                                                      | CUSIP: 444859BP6<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   8872000 | PA      | $8609524.72   | 0.31%             | 2023-08-03      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                          | GENERAL MTRS FINL CO INC FRN SOFR+120 11/17/2023                                 | CUSIP: 37045XDC7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9957497.20   | 0.36%             | 2023-11-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2015-LC22                                 | WELLS FARGO COML MTG TR 2015-LC22 3.571% 09/15/2058                              | CUSIP: 94989TBA1<br>LEI: 549300XO83D3BDYP0P62 | Long             | ABS-MBS          | CORP              | US        |   2803141 | PA      | $2715254.98   | 0.10%             | 2058-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DLLAD 2021-1A A2                                                  | DLLAD 2021-1A A2 0.35% 09/20/2024 144A                                           | CUSIP: 233262AB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2591789 | PA      | $2544727.49   | 0.09%             | 2024-09-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 7/28 #474002                                                          | CUSIP: 36209KRX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       110 | PA      | $113.55       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CFMT 2021-HB7 LLC                                                 | CFMT 2021-HB7 LLC 3.3574% 07/25/2054 144A                                        | CUSIP: 12527QAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1506525 | PA      | $1470986.02   | 0.05%             | 2054-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                | ENERGY TRANSFER LP 4.2% 09/15/2023                                               | CUSIP: 29278NAC7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1944000 | PA      | $1929801.74   | 0.07%             | 2023-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                          | GENERAL MTRS FINL CO INC 1.05% 03/08/2024                                        | CUSIP: 37045XDG8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1943000 | PA      | $1838063.74   | 0.07%             | 2024-03-08      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCKS FINANCE NORTH AMERICA LLC                          | DAIMLER TRUCKS FINANCE NORTH AMERICA LLC 1.625% 12/13/2024 144A                  | CUSIP: 233853AD2<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |   2657000 | PA      | $2469845.81   | 0.09%             | 2024-12-13      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CSAIL 2018-CX12 COML MTG TR                                       | CSAIL 2018-CX12 COML MTG TR 4.1628% 08/15/2051                                   | CUSIP: 12595XAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3364000 | PA      | $3214772.96   | 0.12%             | 2051-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TR 2021-P2                               | CARVANA AUTO RECEIVABLES TR 2021-P2 0.49% 03/10/2026                             | CUSIP: 14687TAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6685026 | PA      | $6414469.39   | 0.23%             | 2026-03-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                        | CAPITAL ONE FINANCIAL CORP SOFR 4.985%/VAR 07/24/2026                            | CUSIP: 14040HCU7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   2457000 | PA      | $2435544.94   | 0.09%             | 2026-07-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AIMCO 2019                                                        | AIMCO 2019 3ML+106 07/22/2032 144A                                               | CUSIP: 00901AAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8770000 | PA      | $8553617.79   | 0.31%             | 2032-07-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MMAF EQUIPMENT FINANCE LLC 2022-B                                 | MMAF EQUIPMENT FINANCE LLC 2022-B 5.57% 09/09/2025 144A                          | CUSIP: 606940AB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4064000 | PA      | $4064964.79   | 0.15%             | 2025-09-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                 | HSBC HOLDINGS PLC 1.645/VAR 04/18/2026                                           | CUSIP: 404280CJ6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   6806000 | PA      | $6115730.72   | 0.22%             | 2026-04-18      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                        | FNMA 20YR 4.5% 03/01/2039#FM1774                                                 | CUSIP: 3140X46L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    589499 | PA      | $586830.84    | 0.02%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                 | HSBC HOLDINGS PLC 3.95%/VAR 5/18/2024                                            | CUSIP: 404280BS7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   5000000 | PA      | $4941419.50   | 0.18%             | 2024-05-18      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TR 2021-1                                  | UPSTART SECURITIZATION TR 2021-1 0.87% 03/20/2031 144A                           | CUSIP: 91681NAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     26043 | PA      | $25905.63     | 0.00%             | 2031-03-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| VERIZON MASTER TRUST                                              | VERIZON MASTER TRUST 3.72% 07/20/2027                                            | CUSIP: 92348KAV5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3412000 | PA      | $3347651.39   | 0.12%             | 2027-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA FINANCE LLC                                           | ASTRAZENECA FINANCE LLC 0.7% 05/28/2024                                          | CUSIP: 04636NAC7<br>LEI: 549300C3HATU4Q460S18 | Long             | DBT              | CORP              | US        |   6275000 | PA      | $5907625.17   | 0.21%             | 2024-05-28      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                                | CANADIAN IMPERIAL BK OF COMM 3.945% 08/04/2025                                   | CUSIP: 13607H6M9<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |   6059000 | PA      | $5894084.74   | 0.21%             | 2025-08-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MMAF EQUIP FIN LLC 2019-B                                         | MMAF EQUIP FIN LLC 2019-B 2.01% 12/12/2024 144A                                  | CUSIP: 55316EAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2784791 | PA      | $2728918.36   | 0.10%             | 2024-12-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                         | UST NOTES 0.25% 10/31/2025                                                       | CUSIP: 91282CAT8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 101409000 | PA      | $90887816.25  | 3.27%             | 2025-10-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE GLOBAL FUNDING                                    | PROTECTIVE LIFE GLOBAL FUNDING 0.502% 04/12/2023 144A                            | CUSIP: 74368CBB9<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |   8500000 | PA      | $8358815.00   | 0.30%             | 2023-04-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CSMC 2019-ICE4                                                    | CSMC 2019-ICE4 1ML+98.535 05/15/2036 144A                                        | CUSIP: 12653VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8023000 | PA      | $7919413.44   | 0.28%             | 2036-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 3/32 #552475                                                          | CUSIP: 36213EXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2993 | PA      | $3127.85      | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHASE ISSUANCE TR                                                 | CHASE ISSUANCE TR 3.97% 09/15/2027                                               | CUSIP: 161571HS6<br>LEI: 5493008SHVCX2Y068L12 | Long             | ABS-CBDO         | CORP              | US        |   6734000 | PA      | $6585113.95   | 0.24%             | 2027-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLTOWER INC                                                     | WELLTOWER INC 3.625% 03/15/2024                                                  | CUSIP: 95040QAG9<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |   3276000 | PA      | $3209393.15   | 0.12%             | 2024-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD             | FHR 3949 MK 4.5% 10/34                                                           | CUSIP: 3137AFZS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    323083 | PA      | $320892.18    | 0.01%             | 2034-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 2/30 #477030                                                          | CUSIP: 36209N4P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3163 | PA      | $3295.99      | 0.00%             | 2030-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                    | FNR 2015-27 KF 1ML+30 05/45                                                      | CUSIP: 3136ANWT0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |   2905820 | PA      | $2879249.67   | 0.10%             | 2045-05-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                      | ENBRIDGE INC 2.5% 02/14/2025                                                     | CUSIP: 29250NBL8<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   1218000 | PA      | $1152485.94   | 0.04%             | 2025-02-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                  | BAT CAPITAL CORP 3.222% 08/15/2024                                               | CUSIP: 05526DAZ8<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   6714000 | PA      | $6475281.11   | 0.23%             | 2024-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.125% 07/03/2023             | CUSIP: 00774MAF2<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   2487000 | PA      | $2464652.24   | 0.09%             | 2023-07-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NIAGARA PARK CLO LLC                                              | NIAGARA PARK CLO LLC 3ML+100 07/17/2032 144A                                     | CUSIP: 65357LAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8390000 | PA      | $8173093.33   | 0.29%             | 2032-07-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                                            | CENTERPOINT ENERGY INC FRN SFRIX+65 05/13/2024                                   | CUSIP: 15189TAZ0<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |   5926000 | PA      | $5840956.80   | 0.21%             | 2024-05-13      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | MORGAN STANLEY 4% 07/23/2025                                                     | CUSIP: 6174468C6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   6714000 | PA      | $6576409.26   | 0.24%             | 2025-07-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                               | SYNCHRONY FINANCIAL 4.375% 03/19/2024                                            | CUSIP: 87165BAN3<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   8076000 | PA      | $7931618.64   | 0.29%             | 2024-03-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CR ACC MST TR                                    | AMERICAN EXPRESS CR ACC MST TR 3.75% 08/15/2027                                  | CUSIP: 02582JJV3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7000000 | PA      | $6804802.90   | 0.24%             | 2027-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                     | FHLG 30YR 8.5% 08/01/2027#                                                       | CUSIP: 31283G3U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       852 | PA      | $888.50       | 0.00%             | 2027-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                         | UST NOTES 0.25% 07/31/2025                                                       | CUSIP: 91282CAB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 528736600 | PA      | $477473936.97 | 17.17%            | 2025-07-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WFRBS COML MTG TR 2013-C14                                        | WFRBS 2013-C14 ASB 2.977% 6/46                                                   | CUSIP: 92890PAF1<br>LEI: 549300GADFYEKC4OLM57 | Long             | ABS-MBS          | CORP              | US        |    559305 | PA      | $556670.94    | 0.02%             | 2046-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| RABOBANK NEDERLAND NEW YORK BRH                                   | RABOBANK NEDERLAND NY BRH 3.875% 08/22/2024                                      | CUSIP: 21688AAU6<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | US        |   7890000 | PA      | $7756044.76   | 0.28%             | 2024-08-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                             | ATHENE GLOBAL FUNDING 1.716% 01/07/2025 144A                                     | CUSIP: 04685A3F6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   6500000 | PA      | $6020036.10   | 0.22%             | 2025-01-07      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PNC BANK NA PITTSBURGH PA                                         | PNC BANK NA PITTSBURGH PA 2.5% 08/27/2024                                        | CUSIP: 05552JAA7<br>LEI: AD6GFRVSDT01YPT1CS68 | Long             | DBT              | CORP              | US        |   6217000 | PA      | $5969758.74   | 0.21%             | 2024-08-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSMC 2020-NET                                                     | CSMC 2020-NET 2.2569% 08/15/2037 144A                                            | CUSIP: 126438AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1072844 | PA      | $957582.63    | 0.03%             | 2037-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                               | ELEVANCE HEALTH INC 0.45% 03/15/2023                                             | CUSIP: 036752AQ6<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   9394000 | PA      | $9276984.48   | 0.33%             | 2023-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                    | FNR 2016-27 HK 3% 01/25/2041                                                     | CUSIP: 3136ASAZ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |   3038572 | PA      | $2872407.00   | 0.10%             | 2041-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                      | ENBRIDGE INC 2.15% 02/16/2024                                                    | CUSIP: 29250NBK0<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   1167000 | PA      | $1125329.56   | 0.04%             | 2024-02-16      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                      | Fidelity Cash Central Fund                                                       | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |  11932361 | NS      | $11934747.78  | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                             | BX COMMERCIAL MORTGAGE TRUST 2021-PAC 1ML+71.21 10/15/2036 144A                  | CUSIP: 05609PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3704000 | PA      | $3534569.78   | 0.13%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CAPTIAL ONE MULTI-ASSET EXECUT                                    | CAPITAL ONE MULTI-ASST EXEC TR 4.95% 10/15/2027                                  | CUSIP: 14041NGB1<br>LEI: R42WS16M9R97TJJKGU15 | Long             | ABS-CBDO         | CORP              | US        |   5420000 | PA      | $5437696.84   | 0.20%             | 2027-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                    | DEUTSCHE BANK AG NEW YORK BNCH 2.222%/VAR 09/18/2024                             | CUSIP: 251526CC1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |  20476000 | PA      | $19644712.49  | 0.71%             | 2024-09-18      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| 7 ELEVEN INC                                                      | 7 ELEVEN INC 0.8% 02/10/2024 144A                                                | CUSIP: 817826AB6<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |   1912000 | PA      | $1813970.71   | 0.07%             | 2024-02-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GCAT 2021-NQM7 TR                                                 | GCAT 2021-NQM7 TR 1.888% 08/25/2066 144A                                         | CUSIP: 36167YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2770712 | PA      | $2354877.32   | 0.08%             | 2066-08-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CFMT 2021-EBO1 LLC                                                | CFMT 2021-EBO1 LLC 1.1581% 11/25/2050 144A                                       | CUSIP: 12530AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1559502 | PA      | $1462215.08   | 0.05%             | 2050-11-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 4.875% 01/16/2024             | CUSIP: 00774MAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   2014000 | PA      | $1985521.36   | 0.07%             | 2024-01-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 4/29 #503652                                                          | CUSIP: 36210VQD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       530 | PA      | $532.06       | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OPG TR 2021-PORT                                                  | OPG TR 2021-PORT 1ML+49.8 10/15/2036 144A                                        | CUSIP: 67118AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5674898 | PA      | $5383310.16   | 0.19%             | 2036-10-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                 | SREIT TR 2021-MFP 1ML+73.08 11/15/2038 144A                                      | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3363000 | PA      | $3213395.94   | 0.12%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                  | NTT FINANCE CORP 0.583% 03/01/2024 144A                                          | CUSIP: 62954WAB1<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |   3469000 | PA      | $3283584.55   | 0.12%             | 2024-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                     | FHLG 30YR 8.5% 08/01/2027#                                                       | CUSIP: 3128FRAG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        36 | PA      | $35.70        | 0.00%             | 2027-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| BAT INTERNATIONAL FINANCE PLC                                     | BAT INTL FINANCE PLC 1.668% 03/25/2026                                           | CUSIP: 05530QAN0<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |   6714000 | PA      | $5951483.10   | 0.21%             | 2026-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LN FDG 2022-1 LTD / PALMER SQUARE LN FDG 2022-1 LLC | PALMER SQUARE LN FDG 2022-1 LTD 22-1A A1 3M CME+105 04/15/2030 144A              | CUSIP: 69701CAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7087367 | PA      | $6916766.98   | 0.25%             | 2030-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MERCEDES BENZ RETAIL SA                                           | MERCEDES BENZ RETAIL SA 5.5% 11/27/2024 144A                                     | CUSIP: 58769JAA5<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |   5640000 | PA      | $5679021.41   | 0.20%             | 2024-11-27      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DISCOVER CARD EXECUTION NT TR                                     | DISCOVER CARD EXECUTION NT TR 3.32% 05/15/2027                                   | CUSIP: 254683CS2<br>LEI: 549300CKCX1QE4RUW216 | Long             | ABS-CBDO         | CORP              | US        |   7150000 | PA      | $6900198.31   | 0.25%             | 2027-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                | MITSUBISHI UFJ FIN GRP INC 0.953%/VAR 07/19/2025                                 | CUSIP: 606822BW3<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   7000000 | PA      | $6491887.92   | 0.23%             | 2025-07-19      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                     | INTERCONTINENTAL EXCHANGE INC 3.65% 05/23/2025                                   | CUSIP: 45866FAT1<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |   4172000 | PA      | $4089488.27   | 0.15%             | 2025-05-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                           | MPLX LP 4.5% 07/15/2023                                                          | CUSIP: 55336VAE0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   1148000 | PA      | $1141081.93   | 0.04%             | 2023-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                | ENERGY TRANSFER LP 3.6% 02/01/2023                                               | CUSIP: 29273RAS8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   3816000 | PA      | $3803894.16   | 0.14%             | 2023-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 1/28 #464672                                                          | CUSIP: 36208YFM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1710 | PA      | $1751.94      | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                        | MIZUHO FINL GROUP INC 0.849%/VAR 09/08/2024                                      | CUSIP: 60687YBJ7<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   4265000 | PA      | $4097283.65   | 0.15%             | 2024-09-08      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| COMM 14-CCRE18 MTG TR                                             | COMM 2014-CR18 ASB 3.452% 07/15/2047                                             | CUSIP: 12632QAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1811213 | PA      | $1796709.42   | 0.06%             | 2047-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JDE PEETS BV                                                      | JDE PEETS BV 0.8% 09/24/2024 144A                                                | CUSIP: 47216QAA1<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | CORP              | NL        |   6779000 | PA      | $6181620.69   | 0.22%             | 2024-09-24      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                      | ENBRIDGE INC 0.55% 10/04/2023                                                    | CUSIP: 29250NBG9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |  10000000 | PA      | $9611692.10   | 0.35%             | 2023-10-04      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                        | FNMA 20YR 4.5% 06/01/2039#FM1045                                                 | CUSIP: 3140X4ET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289400 | PA      | $288090.42    | 0.01%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMER FIN LLC                                     | VOLKSWAGEN GROUP AMER FIN LLC 3.125% 05/12/2023 144A                             | CUSIP: 928668BD3<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   5897000 | PA      | $5842358.28   | 0.21%             | 2023-05-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 6/32 #586738                                                          | CUSIP: 36201LZB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1237 | PA      | $1303.22      | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO SER 2018-B / AIMCO CLO SER 2018-B LLC                   | AIMCO CLO SER 2018-BA AR 3ML+110 01/15/2032 144A                                 | CUSIP: 00900PAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8883000 | PA      | $8708138.15   | 0.31%             | 2032-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXIII LTD                                            | SYMPHONY CLO XXIII LTD 3ML+102 01/15/2034 144A                                   | CUSIP: 87167NDC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8047000 | PA      | $7879823.58   | 0.28%             | 2034-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 12/29 #781120                                                         | CUSIP: 36225BG51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       456 | PA      | $471.45       | 0.00%             | 2029-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SVENSKA HANDELSBANKEN AB                                          | SVENSKA HANDELSBANKEN AB 0.625% 06/30/2023 144A                                  | CUSIP: 86959LAF0<br>LEI: NHBDILHZTYCNBV5UYZ31 | Long             | DBT              | CORP              | SE        |  10340000 | PA      | $10068575.00  | 0.36%             | 2023-06-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENERGY PARTNERS LP                                  | KINDER MORGAN ENERGY PTNRS LP 3.5% 09/01/2023                                    | CUSIP: 494550BQ8<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |   3732000 | PA      | $3682091.07   | 0.13%             | 2023-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                     | CITIGROUP INC SOFR 2.014%/VAR 01/25/2026                                         | CUSIP: 17327CAN3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   8000000 | PA      | $7427574.56   | 0.27%             | 2026-01-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY RES CORP                                       | CENTERPOINT ENERGY RES CORP FRN 3ML+50 03/02/2023                                | CUSIP: 15189WAN0<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |   4082000 | PA      | $4078718.73   | 0.15%             | 2023-03-02      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                      | UBS GROUP AG 1.008%/VAR 07/30/2024 144A                                          | CUSIP: 902613AB4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   8398000 | PA      | $8139665.68   | 0.29%             | 2024-07-30      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BANQUE FED CRED MUTUEL PARIS                                      | BANQUE FED CRED MUTUEL PARIS 4.524% 07/13/2025 144A                              | CUSIP: 06675DCD2<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |   5542000 | PA      | $5452813.92   | 0.20%             | 2025-07-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHC COML MTG TR 2019-CHC                                          | CHC COML MTG TR 2019-CHC A 1ML+112 06/15/2034                                    | CUSIP: 162665AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6208571 | PA      | $6087448.33   | 0.22%             | 2034-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                                | CONAGRA BRANDS INC 0.5% 08/11/2023                                               | CUSIP: 205887CG5<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |   5758000 | PA      | $5572455.94   | 0.20%             | 2023-08-11      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2012-LC9                        | J P MORGAN CHASE COML MTG SECS TR 2012-LC9 3.353% 12/15/2047 144A                | CUSIP: 46639EAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2273164 | PA      | $2267310.00   | 0.08%             | 2047-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                        | CIGNA CORP 0.613% 03/15/2024                                                     | CUSIP: 125523CN8<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   1965000 | PA      | $1859382.08   | 0.07%             | 2024-03-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                    | EXTENDED STAY AMER TR 2021-ESH A 1ML+108 07/15/2038 144A                         | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1717122 | PA      | $1651469.66   | 0.06%             | 2038-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| KEYCORP                                                           | KEYCORP 3.878%/VAR 05/23/2025                                                    | CUSIP: 49326EEL3<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |   2344000 | PA      | $2298314.06   | 0.08%             | 2025-05-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                   | PHILIP MORRIS INTL INC 2.875% 05/01/2024                                         | CUSIP: 718172CH0<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   6658000 | PA      | $6459357.30   | 0.23%             | 2024-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 1.15% 10/29/2023              | CUSIP: 00774MAT2<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   7000000 | PA      | $6689364.43   | 0.24%             | 2023-10-29      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 4/28 #467760                                                          | CUSIP: 36209CTR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1239 | PA      | $1271.21      | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| THE TORONTO DOMINION BANK                                         | TORONTO DOMINION BANK 2.35% 03/08/2024                                           | CUSIP: 89114TZR6<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   7500000 | PA      | $7258158.75   | 0.26%             | 2024-03-08      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                  | NTT FINANCE CORP 0.373% 03/03/2023 144A                                          | CUSIP: 62954WAA3<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |   8340000 | PA      | $8243089.20   | 0.30%             | 2023-03-03      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+129.524 05/15/2039 144A                | CUSIP: 53218DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4992000 | PA      | $4841854.12   | 0.17%             | 2039-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                       | PHILLIPS 66 3.85% 04/09/2025                                                     | CUSIP: 718546AV6<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |   8057000 | PA      | $7878705.44   | 0.28%             | 2025-04-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                      | AT and T INC 0.9% 03/25/2024                                                     | CUSIP: 00206RMJ8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |  10610000 | PA      | $10071543.56  | 0.36%             | 2024-03-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                           | WESTERN GAS PARTNERS LP FRN 3ML+210 01/13/2023                                   | CUSIP: 958667AD9<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |   2561000 | PA      | $2555878.00   | 0.09%             | 2023-01-13      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2019-1 LTD                                        | EATON 2019-1A AR 3ML+108 04/15/2031 144A                                         | CUSIP: 27830XAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8070000 | PA      | $7894404.87   | 0.28%             | 2031-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 6/28 #475415                                                          | CUSIP: 36209MDU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       554 | PA      | $571.79       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2019-H7                                   | MORGAN STANLEY CAP I TR 2019-H7 2.327% 07/15/2052                                | CUSIP: 61771MAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1767247 | PA      | $1713087.45   | 0.06%             | 2052-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA                                                      | DNB BANK ASA .856/VAR 09/30/2025 144A                                            | CUSIP: 25601B2A2<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |  10000000 | PA      | $9177271.10   | 0.33%             | 2025-09-30      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                          | TOYOTA MOTOR CREDIT CORP 5.4% 11/10/2025                                         | CUSIP: 89236TKK0<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |   6500000 | PA      | $6609661.18   | 0.24%             | 2025-11-10      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                             | ATHENE GLOBAL FUNDING 0.95% 01/08/2024 144A                                      | CUSIP: 04685A2S9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   7220000 | PA      | $6845137.60   | 0.25%             | 2024-01-08      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 8/32 #583152                                                          | CUSIP: 36201GZR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1385 | PA      | $1459.53      | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                     | GOLDMAN SACHS GROUP INC (THE) 0.657%/VAR 09/10/2024                              | CUSIP: 38141GYE8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9584314.60   | 0.34%             | 2024-09-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| US BANCORP DEL                                                    | US BANCORP DEL 5.727%/VAR 10/21/2026                                             | CUSIP: 91159HJH4<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   6750000 | PA      | $6896388.67   | 0.25%             | 2026-10-21      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                               | AMERICAN EXPRESS CO 2.25% 03/04/2025                                             | CUSIP: 025816CQ0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   3469000 | PA      | $3277084.93   | 0.12%             | 2025-03-04      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BRASS NO 10 PLC                                                   | BRASS NO 10 PLC VAR 04/16/2069 144A                                              | CUSIP: 10554PAA1<br>LEI: 213800UCE3NFG8SQKH09 | Long             | ABS-CBDO         | CORP              | GB        |   1148370 | PA      | $1090988.54   | 0.04%             | 2069-04-16      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                    | FNR 2016-42 FL 1ML+35 07/25/2046                                                 | CUSIP: 3136ASU95<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |   3279356 | PA      | $3264116.71   | 0.12%             | 2046-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                  | SOUTHERN COMPANY FRN SOFR+37 05/10/2023                                          | CUSIP: 842587DK0<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   6389000 | PA      | $6368544.53   | 0.23%             | 2023-05-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                              | ROYAL BANK OF CANADA 2.55% 07/16/2024                                            | CUSIP: 78013XZU5<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   8572000 | PA      | $8247709.07   | 0.30%             | 2024-07-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GREAT-WEST LIFECO FIN 20                                          | GREAT-WEST LIFECO FIN 20 0.904% 08/12/2025 144A                                  | CUSIP: 391399AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3527000 | PA      | $3135058.74   | 0.11%             | 2025-08-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 10/28 #486623                                                         | CUSIP: 36210ASL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       339 | PA      | $350.06       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                       | ORACLE CORP 5.8% 11/10/2025                                                      | CUSIP: 68389XCF0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $7170089.99   | 0.26%             | 2025-11-10      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 1.75% 01/30/2026              | CUSIP: 00774MAS4<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   5724000 | PA      | $5050071.12   | 0.18%             | 2026-01-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                     | CITIGROUP INC 3.106%/VAR 04/08/2026                                              | CUSIP: 172967MQ1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   6714000 | PA      | $6368420.01   | 0.23%             | 2026-04-08      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS BARCLAYS COML MTG TR 2013-C6                                  | UBS BARCLAYS COML MTG TR 2013-C6 A3FL 1ML+79 04/10/2046 144A                     | CUSIP: 90349GAC9<br>LEI: 549300G1IXWLFE766Q13 | Long             | ABS-MBS          | CORP              | US        |   1016604 | PA      | $1015173.83   | 0.04%             | 2046-04-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TAMPA ELECTRIC CO                                                 | TAMPA ELECTRIC CO 3.875% 07/12/2024                                              | CUSIP: 875127BK7<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |   4057000 | PA      | $3963165.97   | 0.14%             | 2024-07-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST                                    | CASCADE FUNDING MORTGAGE TRUST 0.8983% 06/25/2036 144A                           | CUSIP: 12527LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1585699 | PA      | $1493511.88   | 0.05%             | 2036-06-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FORD CR FLOORPLN MAST OWN TR A                                    | FORD CR FLOORPLN MAST OWN TR A 0.7% 09/15/2025                                   | CUSIP: 34528QHK3<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-CBDO         | CORP              | US        |  12164000 | PA      | $11718184.53  | 0.42%             | 2025-09-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021                                 | BX COMMERCIAL MORTGAGE TRUST 22-LP2 A TSFR1M+96.27 02/15/2039 144A               | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4359095 | PA      | $4181703.59   | 0.15%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                           | MPLX LP 1.75% 03/01/2026                                                         | CUSIP: 55336VBR0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |  10071000 | PA      | $8989544.80   | 0.32%             | 2026-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                               | SYNCHRONY FINANCIAL 4.25% 08/15/2024                                             | CUSIP: 87165BAD5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   9435000 | PA      | $9202856.54   | 0.33%             | 2024-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                             | ATHENE GLOBAL FUNDING 1% 04/16/2024 144A                                         | CUSIP: 04685A2W0<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $6546739.15   | 0.24%             | 2024-04-16      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| VERIZON MASTER TRUST                                              | VERIZON MASTER TRUST 2021-1 A 0.5% 05/20/2027                                    | CUSIP: 92348KAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   6240000 | PA      | $5820768.72   | 0.21%             | 2027-05-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                              | BARCLAYS PLC (UNGTD) 5.304%/VAR 08/09/2026                                       | CUSIP: 06738EBZ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   2578000 | PA      | $2535206.72   | 0.09%             | 2026-08-09      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING LTD 2021                               | PALMER SQUARE LOAN FUNDING LTD CLO 2021-2A A1 3ML+80 05/20/2029 144A             | CUSIP: 69702DAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5865146 | PA      | $5782617.57   | 0.21%             | 2029-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                     | FHLG 30YR 8.5% 05/01/2026#                                                       | CUSIP: 31283GQ59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       815 | PA      | $833.60       | 0.00%             | 2026-05-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                        | CAPITAL ONE FINANCIAL CORP 4.166%/VAR 05/09/2025                                 | CUSIP: 14040HCQ6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |  10090000 | PA      | $9815898.19   | 0.35%             | 2025-05-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | MORGAN STANLEY 3.620%/VAR 04/17/2025                                             | CUSIP: 61747YEQ4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   5750000 | PA      | $5604177.99   | 0.20%             | 2025-04-17      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 7/29 #503947                                                          | CUSIP: 36210VZL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       432 | PA      | $447.97       | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                           | BANK OF NOVA SCOTIA 0.8% 06/15/2023                                              | CUSIP: 064159VM5<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |  11078000 | PA      | $10814235.37  | 0.39%             | 2023-06-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FING 2022-3 LLC                                  | ENTERPRISE FLEET FING 2022-3 LLC 4.38% 07/20/2029 144A                           | CUSIP: 29374FAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1191000 | PA      | $1159336.43   | 0.04%             | 2029-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                  | ALTRIA GROUP INC 2.35% 05/06/2025                                                | CUSIP: 02209SBH5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   1269000 | PA      | $1190451.43   | 0.04%             | 2025-05-06      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                          | GENERAL MTRS FINL CO INC 4.15% 06/19/2023                                        | CUSIP: 37045XCL8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   4200000 | PA      | $4171868.53   | 0.15%             | 2023-06-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFE GLOBAL FUNDING II                                    | PACIFIC LIFE GF II 1.2% 06/24/2025 144A                                          | CUSIP: 6944PL2B4<br>LEI: 6354003EUPCHXTWUU869 | Long             | DBT              | CORP              | US        |   5535000 | PA      | $5029703.26   | 0.18%             | 2025-06-24      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE GLOBAL FUNDING                           | EQUITABLE FINANCIAL LIFE GLOBAL FUNDING 1.1% 11/12/2024 144A                     | CUSIP: 29449WAK3<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |   8150000 | PA      | $7523481.95   | 0.27%             | 2024-11-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BLOX 2021-BLOX                                                    | BLOX 2021-BLOX A 1ML+80 09/15/2026 144A                                          | CUSIP: 055522AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4272000 | PA      | $4020890.13   | 0.14%             | 2026-09-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL QUE                                              | BANK OF MONTREAL QUE 4.25% 09/14/2024                                            | CUSIP: 06368LAP1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   7000000 | PA      | $6910584.59   | 0.25%             | 2024-09-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS AG LONDN BRANCH                                               | UBS AG LON BRANCH 0.375% 06/01/2023 144A                                         | CUSIP: 902674YF1<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | GB        |   7843000 | PA      | $7662422.53   | 0.28%             | 2023-06-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                       | BANK OF AMERICA CORPORATION 0.81%/VAR 10/24/2024                                 | CUSIP: 06051GJH3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   7030000 | PA      | $6715324.97   | 0.24%             | 2024-10-24      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                                       | EQUINOR ASA 1.75% 01/22/2026                                                     | CUSIP: 29446MAJ1<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |   1409000 | PA      | $1292326.67   | 0.05%             | 2026-01-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MERIT 2021                                                        | MERIT 2021-STOR A 1ML+75 07/15/2038 144A                                         | CUSIP: 55293BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1937000 | PA      | $1852013.16   | 0.07%             | 2038-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 8/28 #433933                                                          | CUSIP: 36207KBA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       667 | PA      | $683.51       | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                          | LLOYDS BANKING GROUP PLC 4.716%/VAR 08/11/2026                                   | CUSIP: 53944YAT0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   7515000 | PA      | $7291150.39   | 0.26%             | 2026-08-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 12 LTD                                                  | AIMCO CLO 12 LTD TSFR3M+117 01/17/2032 144A                                      | CUSIP: 00140LAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4906495.00   | 0.18%             | 2032-01-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                  | SOCIETE GENERALE FRANCE 3.875% 03/28/2024 144A                                   | CUSIP: 83368RAT9<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   4871000 | PA      | $4757571.85   | 0.17%             | 2024-03-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 12/28 #781228                                                         | CUSIP: 36225BLH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       480 | PA      | $494.86       | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2013-LC11                       | JP MORGAN CH CMS 13-LC11 3.216% 04/15/2046                                       | CUSIP: 46639YAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3949187 | PA      | $3869475.82   | 0.14%             | 2046-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                   | PHILIP MORRIS INTL INC 5% 11/17/2025                                             | CUSIP: 718172CU1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   5425000 | PA      | $5421068.29   | 0.19%             | 2025-11-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CWABS INC                                                         | CWL 2004-2 3A4 1ML+25 7/34                                                       | CUSIP: 1266713Y0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    130733 | PA      | $122288.84    | 0.00%             | 2034-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2022-2                                     | MARLETTE FUNDING TRUST 2022-2 4.25% 08/15/2032 144A                              | CUSIP: 57107LAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5091980 | PA      | $5015827.69   | 0.18%             | 2032-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL9 TR                                                 | CSMC 2021-RPL9 TR 2.43639% 02/25/2061 144A                                       | CUSIP: 12658XAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   7085975 | PA      | $6530434.40   | 0.23%             | 2061-02-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 3/28 #449517                                                          | CUSIP: 36208FK66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       912 | PA      | $936.25       | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VERIZON MASTER TRUST                                              | VERIZON MASTER TRUST 2021-1 A 0.99% 04/20/2028                                   | CUSIP: 92348KAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   8190000 | PA      | $7584881.85   | 0.27%             | 2028-04-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| DISCOVER CARD EXECUTION NT TR                                     | DISCOVER CARD EXECUTION NT TR 3.56% 07/15/2027                                   | CUSIP: 254683CW3<br>LEI: 549300CKCX1QE4RUW216 | Long             | ABS-CBDO         | CORP              | US        |   6653000 | PA      | $6379207.76   | 0.23%             | 2027-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BA CR CARD TR                                                     | BA CR CARD TR 0.44% 09/15/2026                                                   | CUSIP: 05522RDD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   9066000 | PA      | $8496546.41   | 0.31%             | 2026-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMER FIN LLC                                     | VOLKSWAGEN GROUP AMER FIN LLC 0.875% 11/22/2023 144A                             | CUSIP: 928668BJ0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   8525000 | PA      | $8159223.62   | 0.29%             | 2023-11-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TR 2022-1                                  | UPSTART SECURITIZATION TR 2022-1 3.12% 03/20/2032 144A                           | CUSIP: 91679WAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5266762 | PA      | $5061875.31   | 0.18%             | 2032-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-5                     | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-5 4.11% 08/17/2026                   | CUSIP: 80287HAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4564000 | PA      | $4461901.49   | 0.16%             | 2026-08-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                       | BANK OF AMERICA CORPORATION 1.843%/VAR 02/04/2025                                | CUSIP: 06051GKG3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9549960.00   | 0.34%             | 2025-02-04      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| AMERICAN INTERNATIONAL GROUP INC                                  | AMERICAN INTERNATIONAL GRP INC 2.5% 06/30/2025                                   | CUSIP: 026874DQ7<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |   4476000 | PA      | $4226335.30   | 0.15%             | 2025-06-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WFRBS COML MTG TR 2014-C20                                        | WFRBS COML MTG TR 2014-C20 ASB 3.638% 05/15/2047                                 | CUSIP: 92890FAV8<br>LEI: 549300UVB571ELWL8972 | Long             | ABS-MBS          | CORP              | US        |    547502 | PA      | $538813.23    | 0.02%             | 2047-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 6/28 #473323                                                          | CUSIP: 36209JYU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4229 | PA      | $4363.27      | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MYLAN INC                                                         | MYLAN INC 3.125% 01/15/2023 144A                                                 | CUSIP: 628530AV9<br>LEI: 30ZMPDNA1RHIBH89C294 | Long             | DBT              | CORP              | US        |   6478000 | PA      | $6456105.20   | 0.23%             | 2023-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 7/28 #477182                                                          | CUSIP: 36209PCT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1302 | PA      | $1343.61      | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2016-GC36                                   | CITIGROUP COML MTG TR 2016-GC36 AAB 3.368% 02/10/2049                            | CUSIP: 17324TAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2159956 | PA      | $2071789.40   | 0.07%             | 2049-02-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | BNP PARIBAS 3.5% 03/01/2023 144A                                                 | CUSIP: 09659W2E3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   5640000 | PA      | $5611819.74   | 0.20%             | 2023-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                           | GA GLOBAL FUNDING TRUST 1.25% 12/08/2023 144A                                    | CUSIP: 36143L2F1<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |   8200000 | PA      | $7842355.69   | 0.28%             | 2023-12-08      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                     | FHLG 30YR 8.5% 08/01/2027#                                                       | CUSIP: 3128FRAH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       923 | PA      | $948.42       | 0.00%             | 2027-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                               | SUMITOMO MITSUI FINL GRP INC 0.508% 01/12/2024                                   | CUSIP: 86562MCC2<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    804000 | PA      | $763533.51    | 0.03%             | 2024-01-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 1.65% 10/29/2024              | CUSIP: 00774MAU9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   7750000 | PA      | $7131284.25   | 0.26%             | 2024-10-29      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST 2021-4                               | UPSTART SECURITIZATION TRUST 2021-4 0.84% 09/20/2031 144A                        | CUSIP: 91682NAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3247477 | PA      | $3133888.83   | 0.11%             | 2031-09-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                        | VERIZON COMMUNICATIONS INC FRN SFRIX+50 03/22/2024                               | CUSIP: 92343VGD0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   5170000 | PA      | $5136074.20   | 0.18%             | 2024-03-22      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                                        | VMWARE INC 1% 08/15/2024                                                         | CUSIP: 928563AH8<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   5608000 | PA      | $5221765.88   | 0.19%             | 2024-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SANTANDER HLDGS USA INC                                           | SANTANDER HLDGS USA INC SOFR 5.807%/VAR 09/09/2026                               | CUSIP: 80282KBE5<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   3956000 | PA      | $3938833.61   | 0.14%             | 2026-09-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 10/28 #486612                                                         | CUSIP: 36210AR90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1707 | PA      | $1766.63      | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                     | CITIGROUP INC 4.14%/VAR 05/24/2025                                               | CUSIP: 172967NQ0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $6870090.29   | 0.25%             | 2025-05-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPTIAL ONE MULTI-ASSET EXECUT                                    | CAPITAL ONE MULTI-ASST EXEC TR 3.49% 05/15/2027                                  | CUSIP: 14041NGA3<br>LEI: R42WS16M9R97TJJKGU15 | Long             | ABS-CBDO         | CORP              | US        |   7000000 | PA      | $6761469.40   | 0.24%             | 2027-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                                     | DTE ENERGY CO STEP 11/01/2024                                                    | CUSIP: 233331BD8<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |   7490000 | PA      | $7374845.29   | 0.27%             | 2024-11-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 6/29 #510983                                                          | CUSIP: 36211EUG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       415 | PA      | $423.42       | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                    | DEUTSCHE BANK AG NEW YORK BNCH 0.962% 11/08/2023                                 | CUSIP: 251526CM9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |   5352000 | PA      | $5124235.63   | 0.18%             | 2023-11-08      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                                                | ANALOG DEVICES INC FRN SOFR+0 10/01/2024                                         | CUSIP: 032654AT2<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |   4150000 | PA      | $4093302.91   | 0.15%             | 2024-10-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CR ACC MST TR                                    | AMERICAN EXPRESS CR ACC MST TR 4.95% 10/15/2027                                  | CUSIP: 02582JJX9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4492000 | PA      | $4509563.27   | 0.16%             | 2027-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TR 2020-4                                       | CARMAX AUTO OWNER TR 2020-4 0.5% 08/15/2025                                      | CUSIP: 14316HAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3732270 | PA      | $3611916.43   | 0.13%             | 2025-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                    | GNMA 7.00% 4/32 #584369                                                          | CUSIP: 36201JFJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       989 | PA      | $1036.21      | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2017-1 LTD                                               | VOYA CLO 2017-1 LTD 3ML+95 04/17/2030 144A                                       | CUSIP: 92916MAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8725049 | PA      | $8576958.37   | 0.31%             | 2030-04-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PRPM 2021-5 LLC                                                   | PRPM 2021-5 LLC VAR 06/25/2026 144A                                              | CUSIP: 69358DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4631132 | PA      | $4043165.27   | 0.15%             | 2026-06-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| ARES LII CLO LTD                                                  | ARES LII CLO LTD 3ML+105 04/22/2031 144A                                         | CUSIP: 04009AAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7663000 | PA      | $7501923.74   | 0.27%             | 2031-04-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LTD                                    | CANADIAN NATL RESOURCES LTD 2.05% 07/15/2025                                     | CUSIP: 136385AZ4<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |   4512000 | PA      | $4211261.44   | 0.15%             | 2025-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                | BMW US CAPITAL LLC 3.25% 04/01/2025 144A                                         | CUSIP: 05565EBZ7<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |   8000000 | PA      | $7736890.40   | 0.28%             | 2025-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                              | KEURIG DR PEPPER INC 0.75% 03/15/2024                                            | CUSIP: 49271VAL4<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4733048.70   | 0.17%             | 2024-03-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                     | FHLG 30YR 8.5% 05/01/2027#                                                       | CUSIP: 31283GYN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       124 | PA      | $127.49       | 0.00%             | 2027-05-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| CELANESE US HLDGS LLC                                             | CELANESE US HLDGS LLC 5.9% 07/05/2024                                            | CUSIP: 15089QAR5<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |   7100000 | PA      | $7056588.83   | 0.25%             | 2024-07-05      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC INC                                      | THERMO FISHER SCIENTIFIC INC 1.215% 10/18/2024                                   | CUSIP: 883556CS9<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |   8500000 | PA      | $7953334.57   | 0.29%             | 2024-10-18      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-30

**Name of Applicant:** Laura M. Del Prato

**Signature:** Laura M. Del Prato

**Name of Signer:** Laura M. Del Prato

**Title:** President and Treasurer