# EDGAR Filing Document

**Accession Number:** 0000822977
**File Stem:** 0001410368-25-027903
**Filing Date:** 2025-11
**Character Count:** 428206
**Document Hash:** 7783e9e888c84c16b7eefe7682256352
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-027903.hdr.sgml**: 20251121

**ACCESSION NUMBER**: 0001410368-25-027903

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251121

**DATE AS OF CHANGE**: 20251121

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** GOLDMAN SACHS TRUST
- **CENTRAL INDEX KEY:** 0000822977

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05349
- **FILM NUMBER:** 251505275

**BUSINESS ADDRESS:**
- **STREET 1:** 71  SOUTH WACKER DRIVE
- **STREET 2:** C/O GOLDMAN SACHS & CO
- **CITY:** CHICAGO
- **STATE:** IL
- **ZIP:** 60606
- **BUSINESS PHONE:** 3126554400

**MAIL ADDRESS:**
- **STREET 1:** 200 WEST STREET
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10282

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** GOLDMAN SACHS SHORT INTERMEDIATE GOVERNMENT FUND
- **DATE OF NAME CHANGE:** 19910711

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SHORT INTERMEDIATE GOVERNMENT FUND
- **DATE OF NAME CHANGE:** 19900104

## Series and Classes Contracts Data

### Goldman Sachs Core Fixed Income Fund (Series ID: S000009306)

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000025404 | Institutional   | GSFIX           |
| C000025405 | Service         | GSCSX           |
| C000025406 | Class A         | GCFIX           |
| C000025408 | Class C         | GCFCX           |
| C000058955 | Class R         | GDFRX           |
| C000058956 | Investor Shares | GDFTX           |
| C000161289 | Class R6 Shares | GCFUX           |
| C000202037 | Class P Shares  | GAKPX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** GOLDMAN SACHS TRUST

- **b. Investment Company Act file number:** 811-05349

- **c. CIK number of Registrant:** 0000822977

- **d. LEI of Registrant:** S2FHCT8U6D2VORP0J605

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

  - **Street Address 1:** 71  SOUTH WACKER DRIVE

  - **City:** CHICAGO

  - **State:** IL

  - **Foreign country:** US

  - **Zip / Postal Code:** 60606

  - **Telephone number:** 312-655-4400

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

- **a. Name of Series:** Goldman Sachs Core Fixed Income Fund

- **b. EDGAR series identifier (if any):** S000009306

- **c. LEI of Series:** 2NJKQB9WFS0RLSFC6S95

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

- **a. Date of fiscal year-end:** 2026-03-31

- **b. Date as of which information is reported:** 2025-09-30

**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:** $3390883180.48

**Total Liabilities:** $1015378529.56

**Net Assets:** $2375504650.92

**Delayed Delivery Securities:** $55071367.19

**Cash Not Reported:** $43823447.16

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -2601.39000000 | **1-Year:** -45777.79000000 | **5-Year:** -240689.79000000 | **10-Year:** -155348.68000000 | **30-Year:** -24837.68000000

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

- **3-Month:** -53.88000000 | **1-Year:** -21606.09000000 | **5-Year:** -117035.84000000 | **10-Year:** -2275.63000000 | **30-Year:** -13994.80000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000058955 | -0.24%               | 1.18%                | 1.05%                |
| Class ID C000025404 | -0.19%               | 1.23%                | 1.10%                |
| Class ID C000025405 | -0.34%               | 1.29%                | 1.06%                |
| Class ID C000058956 | -0.20%               | 1.22%                | 1.09%                |
| Class ID C000025406 | -0.22%               | 1.31%                | 1.07%                |
| Class ID C000161289 | -0.19%               | 1.34%                | 1.10%                |
| Class ID C000025408 | -0.28%               | 1.24%                | 1.01%                |
| Class ID C000202037 | -0.19%               | 1.23%                | 1.10%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1172251.24              | $-10607489.60                              |
| Month 2  | $2217455.03              | $17745708.02                               |
| Month 3  | $4442508.86              | $9874021.55                                |

**Designated Index Information**

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

- **Index Identifier:** LMUSXXXCCJ

### Schedule of Portfolio Investments

| Name                                                                             | Title                                                                                                      | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138W7WP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34193 | PA      | $31621.29     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                                                        | CUSIP: 912828YD6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   22370000 | PA      | $21896385.27  | 0.92%             | 2026-08-31      | Fixed         | 1.38%                 | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                                                        | CUSIP: 46647PFC5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    5125000 | PA      | $5317085.00   | 0.22%             | 2036-07-23      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                                                        | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7925500 | PA      | $7012829.14   | 0.30%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  1 | On Loan: No      |
| MARS INC                                                                         | Mars Inc                                                                                                   | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    8975000 | PA      | $9171014.00   | 0.39%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                                             | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    3175000 | PA      | $2759329.00   | 0.12%             | 2036-09-16      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138MKQH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51453 | PA      | $47818.50     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5582577 | PA      | $4994365.05   | 0.21%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | Boeing Co/The                                                                                              | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    4093000 | PA      | $4669212.54   | 0.20%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140Q9HH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     429985 | PA      | $413420.01    | 0.02%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                                                        | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6490000 | PA      | $5212281.25   | 0.22%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  1 | On Loan: No      |
| BROADCOM INC                                                                     | Broadcom Inc                                                                                               | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     156000 | PA      | $133170.96    | 0.01%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | Long: CX003319  CDS USD R F   .50000 2 CMBX / Short: CX003319  CDS USD P V 01MEVENT 1 CMBX                 | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | GB        |    8500000 | OU      | $-111446.90   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138NXRK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17087 | PA      | $16039.67     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140X9D77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9376719 | PA      | $7959984.79   | 0.34%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                    | Citigroup Inc                                                                                              | CUSIP: 172967KN0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     925000 | PA      | $921087.25    | 0.04%             | 2026-05-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                                 | ICE 3MTH SONIA FU DEC26                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        163 | NC      | $-71032.53    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31418DPR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     424901 | PA      | $417520.78    | 0.02%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31386PGT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        195 | PA      | $194.75       | 0.00%             | 2031-02-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3133KPAB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2310320 | PA      | $2253243.78   | 0.09%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                                           | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2672298.00   | 0.11%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                         | OBX 2025-NQM13 Trust                                                                                       | CUSIP: 67121UAF3<br>LEI: 254900FPAGVH6E25VL74 | Long             | ABS-MBS          | CORP              | US        |    3558212 | PA      | $3593731.64   | 0.15%             | 2065-05-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: SR236715  IRS EUR R F  3.30000 2 CCPVANILLA / Short: SR236715  IRS EUR P V 06MEURIB 1 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   40930000 | OU      | $-48303.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3132DVMU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18757734 | PA      | $19706127.43  | 0.83%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: BR228525  IRS JPY R V 00MTONAR 1 CCPOIS / Short: BR228525  IRS JPY P F  1.29500 2 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 2843586226 | OU      | $323455.65    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3133KGR83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5181159 | PA      | $4655682.95   | 0.20%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138MJGD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23851 | PA      | $22160.40     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hungary Government International Bonds                                           | Hungary Government International Bonds                                                                     | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |    1700000 | PA      | $1773015.00   | 0.07%             | 2028-05-22      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: SR248757  IRS EUR R F  2.50000 2 CCPOIS / Short: SR248757  IRS EUR P V 00MESTR 1 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   19900000 | OU      | $105351.18    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: BR247831  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR247831  IRS USD P F  3.80536 2 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   33800000 | OU      | $-274280.24   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                         | Constellation Brands Inc                                                                                   | CUSIP: 21036PBH0<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1674888.00   | 0.07%             | 2031-08-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                           | Verizon Communications Inc                                                                                 | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1363710.00   | 0.06%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179QT50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     138069 | PA      | $133520.66    | 0.01%             | 2044-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179N5W4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1619 | PA      | $1567.37      | 0.00%             | 2044-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 3622ABHF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3301500 | PA      | $2936869.81   | 0.12%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fidelity Grand Harbour CLO                                                       | Fidelity Grand Harbour Clo 2023-1 DAC                                                                      | CUSIP: 000000000<br>LEI: 635400GMXFDXRDDHLG52 | Long             | ABS-CBDO         | CORP              | IE        |    3680000 | PA      | $4317663.55   | 0.18%             | 2038-02-15      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae REMICS                                                                                          | CUSIP: 31397S7M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     278785 | PA      | $280846.35    | 0.01%             | 2041-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent                                                            | American Homes 4 Rent LP                                                                                   | CUSIP: 02666TAB3<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              |  | US        |     723000 | PA      | $735435.60    | 0.03%             | 2029-02-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| JAB HOLDINGS BV                                                                  | JAB Holdings BV                                                                                            | CUSIP: 46653KAA6<br>LEI: 529900RRNKUM3INJGF98 | Long             | DBT              | CORP              | NL        |     500000 | PA      | $438110.00    | 0.02%             | 2030-11-23      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: SR236074  IRS USD R F  4.57424 2 CCPOIS / Short: SR236074  IRS USD P V 00MSOFR 1 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   87600000 | OU      | $333037.68    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ABU DHABI CRUDE OIL                                                              | Abu Dhabi Crude Oil Pipeline LLC                                                                           | CUSIP: 00401MAB2<br>LEI: 549300DONDFW2383FV66 | Long             | DBT              | CORP              | AE        |    1190000 | PA      | $1101868.60   | 0.05%             | 2047-11-02      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19504057 | PA      | $15892419.71  | 0.67%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: BR243225  IRS JPY R V 00MTONAR 1 CCPOIS / Short: BR243225  IRS JPY P F  1.00000 2 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        | 2396000000 | OU      | $8687.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140Q95B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     401361 | PA      | $395706.27    | 0.02%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138ERH60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54208 | PA      | $51921.21     | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                                                       | ROCK Trust 2024-CNTR                                                                                       | CUSIP: 74970WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2250000 | PA      | $2325253.21   | 0.10%             | 2041-11-13      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31418BZY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23368 | PA      | $22549.53     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138WRNS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37028 | PA      | $34214.70     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: SR243255  IRS SEK R F  2.75000 2 CCPVANILLA / Short: SR243255  IRS SEK P V 03MSTIBO 1 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   72830000 | OU      | $-1274.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140X6ZR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39167 | PA      | $38651.95     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citibank Credit Card Issuance Trust                                              | Citibank Credit Card Issuance Trust                                                                        | CUSIP: 17305EHB4<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-O            | CORP              | US        |    4875000 | PA      | $4959984.12   | 0.21%             | 2032-06-21      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Arch Capital Group Ltd                                                           | Arch Capital Group Ltd                                                                                     | CUSIP: 03937LAA3<br>LEI: 549300AYR4P8AFKDCE43 | Long             | DBT              | CORP              | BM        |     300000 | PA      | $348948.00    | 0.01%             | 2034-05-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                                            | Palmer Square CLO 2019-1 Ltd                                                                               | CUSIP: 69700GAU6<br>LEI: 549300Y43K78UTRMTN21 | Long             | ABS-CBDO         | CORP              | KY        |    6200000 | PA      | $6212400.00   | 0.26%             | 2038-08-14      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31417G4E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     355674 | PA      | $328612.37    | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3132DWA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4091063 | PA      | $3477593.18   | 0.15%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140QBPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110966 | PA      | $109105.22    | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                                                      | CUSIP: 312933VG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55839 | PA      | $57008.02     | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | Barclays PLC                                                                                               | CUSIP: 06738ECZ6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    2090000 | PA      | $2180204.40   | 0.09%             | 2036-02-25      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: SR234635  IRS USD R F  4.09811 2 CCPOIS / Short: SR234635  IRS USD P V 00MSOFR 1 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   64870000 | OU      | $395272.37    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31371NS63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10530 | PA      | $10684.79     | 0.00%             | 2028-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3132AD6P8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3091 | PA      | $3042.11      | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179VQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     307357 | PA      | $283744.85    | 0.01%             | 2050-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                       | Humana Inc                                                                                                 | CUSIP: 444859BY7<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     785000 | PA      | $825074.25    | 0.03%             | 2034-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140GYKA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     466503 | PA      | $449114.23    | 0.02%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                                 | Cifc Funding 2023-III Ltd                                                                                  | CUSIP: 12598YAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7475000 | PA      | $7512569.35   | 0.32%             | 2037-01-20      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Regatta VI Funding Ltd.                                                          | Regatta VI Funding Ltd                                                                                     | CUSIP: 75887NBL2<br>LEI: 2549001NU08X5ZRD6A39 | Long             | ABS-CBDO         | CORP              | KY        |    8375000 | PA      | $8403784.88   | 0.35%             | 2038-10-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                           | Marriott International Inc/MD                                                                              | CUSIP: 571903BG7<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    5300000 | PA      | $4876954.00   | 0.21%             | 2031-04-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd                                                   | Palmer Square Loan Funding 2022-3 Ltd                                                                      | CUSIP: 69690CAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4625000 | PA      | $4631877.38   | 0.19%             | 2031-04-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Discover Card Execution Note Trust                                               | Discover Card Execution Note Trust                                                                         | CUSIP: 254683CY9<br>LEI: 549300CKCX1QE4RUW216 | Long             | ABS-O            | CORP              | US        |    4300000 | PA      | $4304681.50   | 0.18%             | 2028-03-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138MCT46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4861 | PA      | $4498.54      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Sound Point EURO CLO Funding DAC                                                 | Sound Point Euro CLO 14 Funding DAC                                                                        | CUSIP: 000000000<br>LEI: 635400MRPPDDKPZD8B91 | Long             | ABS-CBDO         | CORP              | IE        |    3730000 | PA      | $4369666.68   | 0.18%             | 2039-04-20      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3133KL2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9904994 | PA      | $8455738.35   | 0.36%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3133ARVS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     416016 | PA      | $337388.55    | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31371NVU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        428 | PA      | $435.26       | 0.00%             | 2028-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae REMICS                                                                                          | CUSIP: 3136A9EA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48427 | PA      | $52010.41     | 0.00%             | 2042-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179UML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1612912 | PA      | $1543087.36   | 0.06%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| THE CAMPBELLS COMPANY                                                            | Campbell's Company/The                                                                                     | CUSIP: 134429BP3<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |    7343000 | PA      | $7522022.34   | 0.32%             | 2034-03-21      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Panama Government International Bonds                                            | Panama Government International Bonds                                                                      | CUSIP: 698299BW3<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     360000 | PA      | $383760.00    | 0.02%             | 2036-01-31      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Peru Government International Bonds                                              | Peru Government International Bonds                                                                        | CUSIP: 715638DR0<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     100000 | PA      | $55975.00     | 0.00%             | 2121-07-28      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                                         | OPS09644A SWAPTION USD OTC                                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   -6670000 | NC      | $-40833.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                                                       | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    5225000 | PA      | $4842164.25   | 0.20%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: SR243158  IRS EUR R F  2.50000 2 CCPVANILLA / Short: SR243158  IRS EUR P V 06MEURIB 1 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    3720000 | OU      | $-290566.80   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                                           | OPS09609A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |   -6260000 | NC      | $-7047.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31406VSY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106198 | PA      | $108001.27    | 0.00%             | 2035-06-01      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                                             | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    3900000 | PA      | $3643965.00   | 0.15%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140QFFS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5515285 | PA      | $4940410.60   | 0.21%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3132DS6E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10641990 | PA      | $9007609.93   | 0.38%             | 2054-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                                           | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    5163000 | PA      | $5132641.56   | 0.22%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31418CCW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9633 | PA      | $9226.26      | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179RD89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9067 | PA      | $8762.25      | 0.00%             | 2045-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                                          | Romanian Government International Bond                                                                     | CUSIP: 77586RAK6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     770000 | PA      | $751235.10    | 0.03%             | 2027-02-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                             | Las Vegas Sands Corp                                                                                       | CUSIP: 517834AN7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     590000 | PA      | $614102.86    | 0.03%             | 2030-06-14      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | Broadcom Inc                                                                                               | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     425000 | PA      | $367935.25    | 0.02%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140HBH76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     450276 | PA      | $432929.43    | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ADVENTIST HEALTH SYS/W                                                           | Adventist Health System/West                                                                               | CUSIP: 007944AK7<br>LEI: 5493008YM33UCY5QPW83 | Long             | DBT              | CORP              | US        |    1345000 | PA      | $1382800.66   | 0.06%             | 2034-12-01      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| DURST Commercial Mortgage Trust                                                  | Durst Commercial Mortgage Trust 2025-151                                                                   | CUSIP: 266895AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6350000 | PA      | $6453531.61   | 0.27%             | 2042-08-10      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: BR243228  IRS JPY R V 00MTONAR 1 CCPOIS / Short: BR243228  IRS JPY P F  1.00000 2 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 7231000000 | OU      | $542159.98    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ADVENTIST HEALTH SYS/W                                                           | Adventist Health System/West                                                                               | CUSIP: 007944AN1<br>LEI: 5493008YM33UCY5QPW83 | Long             | DBT              | CORP              | US        |    6970000 | PA      | $6972692.86   | 0.29%             | 2030-12-01      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3132DVLY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30269280 | PA      | $26022257.57  | 1.10%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140HBJG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11353 | PA      | $11203.93     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                                                       | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    9205000 | PA      | $9434480.65   | 0.40%             | 2029-04-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 31329P6B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     174635 | PA      | $172010.83    | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | OPS09382A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |   -2522993 | NC      | $-16685.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138W1LY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10827 | PA      | $10026.22     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179MQQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1131 | PA      | $1098.35      | 0.00%             | 2042-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     249053 | PA      | $246838.88    | 0.01%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138WK2U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97310 | PA      | $93712.85     | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: SR243203  IRS CAD R F  2.50000 2 CCPOIS / Short: SR243203  IRS CAD P V 00MCORRA 1 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    9870000 | OU      | $-13204.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31418D3X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154581 | PA      | $125364.90    | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD                                                         | Alimentation Couche-Tard Inc                                                                               | CUSIP: 01626UX26<br>LEI: 549300OSW32RVX8CCZ87 | Long             | STIV             | CORP              | CA        |   11531000 | PA      | $11528244.09  | 0.49%             | 2025-10-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                                                          | CUSIP: 404280CF4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     600000 | PA      | $615354.00    | 0.03%             | 2030-03-31      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179V4Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     884863 | PA      | $844067.83    | 0.04%             | 2051-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                                           | OPS09497A SWAPTION                                                                                         | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |   23100000 | NC      | $4523.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179UPA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1442668 | PA      | $1377508.27   | 0.06%             | 2049-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140QFLM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4351308 | PA      | $3897758.37   | 0.16%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                                                | Expedia Group Inc                                                                                          | CUSIP: 30212PAP0<br>LEI: CI7MUJI4USF3V0NJ1H64 | Long             | DBT              | CORP              | US        |     825000 | PA      | $817715.25    | 0.03%             | 2028-02-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                                                 | BAT Capital Corp                                                                                           | CUSIP: 05526DBZ7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    5749000 | PA      | $6135735.23   | 0.26%             | 2034-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                                     | CSMC 2020-AFC1 Trust                                                                                       | CUSIP: 12597MAD7<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    1650000 | PA      | $1452530.64   | 0.06%             | 2050-02-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31417MFB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11394 | PA      | $11418.45     | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Trust 2024-BIO                                                                                          | CUSIP: 05612AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4725000 | PA      | $4713995.43   | 0.20%             | 2041-02-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                                                        | CUSIP: 912828ZV5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1010000 | PA      | $956738.29    | 0.04%             | 2027-06-30      | Fixed         | 0.50%                 | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138WTT97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48294 | PA      | $44609.33     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DP WORLD CRESCENT LTD                                                            | DP World Crescent Ltd                                                                                      | CUSIP: 260979AA7<br>LEI: 21380096JRTWB8TL9236 | Long             | DBT              | CORP              | KY        |    3290000 | PA      | $3417487.50   | 0.14%             | 2035-05-08      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | OPS09417A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    5440000 | NC      | $22307.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALLIANT ENERGY FINANCE                                                           | Alliant Energy Finance LLC                                                                                 | CUSIP: 01882YAB2<br>LEI: 54930033ER6EOI5DL570 | Long             | DBT              | CORP              | US        |     225000 | PA      | $223125.75    | 0.01%             | 2028-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3132DMKC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2017751 | PA      | $2040792.20   | 0.09%             | 2050-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3132E06J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2327375 | PA      | $2437774.77   | 0.10%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                                                | State Street Corp                                                                                          | CUSIP: 857477BN2<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |     100000 | PA      | $96072.00     | 0.00%             | 2031-03-30      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                       | Verus Securitization Trust 2022-1                                                                          | CUSIP: 92538WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2871658 | PA      | $2635693.82   | 0.11%             | 2067-01-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31418DC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     356799 | PA      | $350837.11    | 0.01%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust                                     | Wells Fargo Mortgage Backed Securities 2019-3 Trust                                                        | CUSIP: 949831AA9<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |      72240 | PA      | $65413.74     | 0.00%             | 2049-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | Long: SS006937  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS006937  CDS USD P V 03MEVENT 1 CCPCORPORATE | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    5440000 | OU      | $126669.31    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SYSCO CORPORATION                                                                | Sysco Corp                                                                                                 | CUSIP: 871829BM8<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |     225000 | PA      | $251178.75    | 0.01%             | 2040-04-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: SR243132  IRS USD R F  3.50000 2 CCPOIS / Short: SR243132  IRS USD P V 00MSOFR 1 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    7960000 | OU      | $31125.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae REMICS                                                                                          | CUSIP: 3136A1MA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     253661 | PA      | $255507.81    | 0.01%             | 2041-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                                                               | Alcon Finance Corp                                                                                         | CUSIP: 01400EAB9<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |    4572000 | PA      | $4355973.00   | 0.18%             | 2029-09-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Telefonica Emisiones SAU                                                         | Telefonica Emisiones SA                                                                                    | CUSIP: 87938WAV5<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |     425000 | PA      | $387455.50    | 0.02%             | 2038-03-06      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                     | Comcast Corp                                                                                               | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     100000 | PA      | $83968.00     | 0.00%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                 | Freddie Mac Multifamily Structured Pass Through Certificates                                               | CUSIP: 3137HB2X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3450000 | PA      | $3564814.97   | 0.15%             | 2033-10-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                                          | CUSIP: 36296RE37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3840 | PA      | $4008.27      | 0.00%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138MRK75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82978 | PA      | $77314.81     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                                                        | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5220000 | PA      | $5228971.88   | 0.22%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  1 | On Loan: No      |
| BUNGE LTD FINANCE CORP                                                           | Bunge Ltd Finance Corp                                                                                     | CUSIP: 120568BE9<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |     843000 | PA      | $840521.58    | 0.04%             | 2029-09-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138WVN49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28050 | PA      | $25876.13     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                  | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    5125000 | PA      | $5036235.00   | 0.21%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                                                   | Solventum Corp                                                                                             | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    5675000 | PA      | $5912215.00   | 0.25%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Ameren Corp                                                                      | Ameren Corp                                                                                                | CUSIP: 023608AJ1<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | DBT              | CORP              | US        |     400000 | PA      | $381976.00    | 0.02%             | 2031-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                                                        | CUSIP: 91282CET4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   25100000 | PA      | $24684281.25  | 1.04%             | 2027-05-31      | Fixed         | 2.62%                 | No            |                  1 | On Loan: No      |
| KKR Financial CLO Ltd                                                            | KKR CLO 57 Ltd                                                                                             | CUSIP: 481954AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   13300000 | PA      | $13347933.20  | 0.56%             | 2038-07-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138NYAR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19551 | PA      | $17964.60     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                                                  | Cigna Group/The                                                                                            | CUSIP: 125523CU2<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    3515000 | PA      | $3637708.65   | 0.15%             | 2031-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31410GDN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        710 | PA      | $723.39       | 0.00%             | 2033-06-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                | EURO-BUND FUTURE DEC25                                                                                     | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -153 | NC      | $-135836.24   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                                                         | International Flavors & Fragrances Inc                                                                     | CUSIP: 459506AP6<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |     599000 | PA      | $569924.54    | 0.02%             | 2027-10-15      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                                         | OPS09615A SWAPTION USD OTC                                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   -6610000 | NC      | $-5816.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Panama Government International Bonds                                            | Panama Government International Bonds                                                                      | CUSIP: 698299BV5<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     800000 | PA      | $812700.00    | 0.03%             | 2054-03-28      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                               | Chase Home Lending Mortgage Trust Series 2024-3                                                            | CUSIP: 16159HAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     425000 | PA      | $435201.96    | 0.02%             | 2055-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138WPGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37957 | PA      | $35139.53     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                                                | CUSIP: 6840C3AF0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | STIV             | CORP              | US        |    4490000 | PA      | $4434931.50   | 0.19%             | 2026-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     616954 | PA      | $551706.83    | 0.02%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128M7CE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     147468 | PA      | $150540.50    | 0.01%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140QCJA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1466195 | PA      | $1316576.01   | 0.06%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | Energy Transfer LP                                                                                         | CUSIP: 29273RBL2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     375000 | PA      | $338943.75    | 0.01%             | 2047-04-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: SR248830  IRS EUR R F  2.00000 2 CCPOIS / Short: SR248830  IRS EUR P V 00MESTR 1 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |  262050413 | OU      | $-493856.57   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                            | Wells Fargo Commercial Mortgage Trust 2024-MGP                                                             | CUSIP: 95003TAS2<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |    4900000 | PA      | $4878655.99   | 0.21%             | 2041-08-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| JM SMUCKER CO                                                                    | J M Smucker Co/The                                                                                         | CUSIP: 832696AX6<br>LEI: 5493000WDH6A0LHDJD55 | Long             | DBT              | CORP              | US        |    2495000 | PA      | $2708572.00   | 0.11%             | 2033-11-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                                                  | Israel Government International Bond                                                                       | CUSIP: 46513JB59<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     200000 | PA      | $145212.50    | 0.01%             | 2120-04-03      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                                           | NXP BV / NXP Funding LLC / NXP USA Inc                                                                     | CUSIP: 62954HBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    3125000 | PA      | $2805968.75   | 0.12%             | 2031-05-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                        | Prosus NV                                                                                                  | CUSIP: 000000000<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     100000 | PA      | $105527.20    | 0.00%             | 2032-08-03      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| MEXICO CITY ARPT TRUST                                                           | Mexico City Airport Trust                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |     420000 | PA      | $364350.00    | 0.02%             | 2047-07-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                         | AT&T Inc                                                                                                   | CUSIP: 00206RHA3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     450000 | PA      | $421362.00    | 0.02%             | 2046-11-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: BR247833  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR247833  IRS USD P F  3.25306 2 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   57100000 | OU      | $171528.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3133KMQE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7050054 | PA      | $6045453.03   | 0.25%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                           | Santander Drive Auto Receivables Trust 2025-1                                                              | CUSIP: 80288DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     904421 | PA      | $905045.99    | 0.04%             | 2027-08-16      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                        | Boeing Co/The                                                                                              | CUSIP: 097023CA1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1575000 | PA      | $1538649.00   | 0.06%             | 2028-11-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                        | Prosus NV                                                                                                  | CUSIP: 74365PAE8<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     210000 | PA      | $141881.25    | 0.01%             | 2051-02-08      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                                   | HarborView Mortgage Loan Trust 2005-16                                                                     | CUSIP: 41161PYW7<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |      31229 | PA      | $35241.46     | 0.00%             | 2036-01-19      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS Group AG                                                                                               | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    1545000 | PA      | $1430052.00   | 0.06%             | 2032-05-14      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138EPK94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1108678 | PA      | $1106915.73   | 0.05%             | 2045-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                                  | Impac CMB Trust Series 2004-8                                                                              | CUSIP: 45254NKQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11247 | PA      | $11035.18     | 0.00%             | 2034-10-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| HOWMET AEROSPACE INC                                                             | Howmet Aerospace Inc                                                                                       | CUSIP: 443201AC2<br>LEI: 549300HO5WFZUT5N2T22 | Long             | DBT              | CORP              | US        |    1728000 | PA      | $1773152.64   | 0.07%             | 2031-10-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140X7AW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102844 | PA      | $101125.28    | 0.00%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3133BAM99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     688131 | PA      | $673427.69    | 0.03%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 3622ABJ86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1521532 | PA      | $1310511.75   | 0.06%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                                                        | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6740000 | PA      | $5196118.75   | 0.22%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140Q8G58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     786155 | PA      | $756360.00    | 0.03%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Trust 2024-PAT                                                                                          | CUSIP: 05612FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $499719.40    | 0.02%             | 2041-03-15      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO                                                                | Mountain View CLO 2016-1 LLC                                                                               | CUSIP: 62432FAS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3414162 | PA      | $3416914.17   | 0.14%             | 2033-04-14      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3133AQXA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     420450 | PA      | $340984.32    | 0.01%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128M5R36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69580 | PA      | $71029.95     | 0.00%             | 2038-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                                         | Avolon Holdings Funding Ltd                                                                                | CUSIP: 05401AAX9<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     873000 | PA      | $886802.13    | 0.04%             | 2030-01-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3133B9DC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66655 | PA      | $53979.40     | 0.00%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                                           | OPS09496A SWAPTION                                                                                         | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |   23100000 | NC      | $64408.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 2YR NOTE (CBT) DEC25                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        818 | NC      | $-469605.64   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| AMGEN INC                                                                        | Amgen Inc                                                                                                  | CUSIP: 031162DQ0<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    3370000 | PA      | $3493173.50   | 0.15%             | 2030-03-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: SR243189  IRS GBP R F  4.00000 2 CCPOIS / Short: SR243189  IRS GBP P V 00MSONIA 1 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1630000 | OU      | $-29829.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128K6NY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        323 | PA      | $328.68       | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132L5TH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13591 | PA      | $13257.83     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Capital One Multi-Asset Execution Trust                                          | Capital One Multi-Asset Execution Trust                                                                    | CUSIP: 14041NGB1<br>LEI: R42WS16M9R97TJJKGU15 | Long             | ABS-O            | CORP              | US        |    4200000 | PA      | $4201156.05   | 0.18%             | 2027-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3132DV6A8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10445 | PA      | $10261.90     | 0.00%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138WMWQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114735 | PA      | $106154.11    | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | Long: SX003290  CDS USD R F  1.00000 2 CCPCDX / Short: SX003290  CDS USD P V 03MEVENT 1 CCPCDX             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   73900000 | OU      | $1681875.32   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179MAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1828 | PA      | $1776.53      | 0.00%             | 2042-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                                                      | Workday Inc                                                                                                | CUSIP: 98138HAJ0<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |     675000 | PA      | $644901.75    | 0.03%             | 2032-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| REGAL REXNORD CORP                                                               | Regal Rexnord Corp                                                                                         | CUSIP: 758750AN3<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |    6578000 | PA      | $6973732.48   | 0.29%             | 2030-02-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Trust 2024-PAT                                                                                          | CUSIP: 05612FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1450000 | PA      | $1449746.66   | 0.06%             | 2041-03-15      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US ULTRA BOND CBT DEC25                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       1064 | NC      | $2492043.06   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| SOLVENTUM CORP                                                                   | Solventum Corp                                                                                             | CUSIP: 83444MAQ4<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    3040000 | PA      | $3172483.20   | 0.13%             | 2031-03-13      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                                         | Madison Park Funding XXXVII Ltd                                                                            | CUSIP: 55817EAW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4475000 | PA      | $4489154.43   | 0.19%             | 2037-04-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31410FXS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     303811 | PA      | $310870.89    | 0.01%             | 2034-09-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3131Y7RG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     105647 | PA      | $104114.39    | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | OPS09567A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | DE        |   -5880000 | NC      | $-14097.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRYKER CORP                                                                     | Stryker Corp                                                                                               | CUSIP: 863667AY7<br>LEI: 5493002F0SC4JTBU5137 | Long             | DBT              | CORP              | US        |      75000 | PA      | $67798.50     | 0.00%             | 2030-06-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                                           | NXP BV / NXP Funding LLC / NXP USA Inc                                                                     | CUSIP: 62954HAY4<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     825000 | PA      | $790977.00    | 0.03%             | 2030-05-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                                                        | CUSIP: 91282CPA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20270000 | PA      | $20167066.51  | 0.85%             | 2030-09-30      | Fixed         | 3.62%                 | No            |                  1 | On Loan: No      |
| SYNOPSYS INC                                                                     | Synopsys Inc                                                                                               | CUSIP: 871607AD9<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    2177000 | PA      | $2224110.28   | 0.09%             | 2032-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CBAMR Ltd                                                                        | CBAMR 2018-5 Ltd                                                                                           | CUSIP: 12516LAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   18675000 | PA      | $18741987.23  | 0.79%             | 2038-10-17      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                                                  | State of Israel                                                                                            | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     680000 | PA      | $450755.00    | 0.02%             | 2060-05-13      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury STRIPS Coupon                                                                                | CUSIP: 9128334W7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2540000 | PA      | $1837671.36   | 0.08%             | 2033-08-15      | None          | 0.00%                 | No            |                  1 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS Group AG                                                                                               | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    1675000 | PA      | $1660779.25   | 0.07%             | 2029-01-12      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| Benchmark 2024-V8 Mortgage Trust                                                 | Benchmark 2024-V8 Mortgage Trust                                                                           | CUSIP: 08190AAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2800000 | PA      | $2957354.60   | 0.12%             | 2057-07-15      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31416NFG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2739 | PA      | $2745.03      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank5                                                                            | BANK5 2024-5YR8                                                                                            | CUSIP: 065923AY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2250000 | PA      | $2359185.50   | 0.10%             | 2057-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                                                         | Federal Farm Credit Banks Funding Corp                                                                     | CUSIP: 3133ENUJ7<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |   11930000 | PA      | $11145125.30  | 0.47%             | 2032-04-12      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138WWKV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19660 | PA      | $18206.71     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                                                  | Venture 32 CLO Ltd                                                                                         | CUSIP: 92325QAA5<br>LEI: 549300UP09C89Q3HWD39 | Long             | ABS-CBDO         | CORP              | KY        |    1761910 | PA      | $1762487.52   | 0.07%             | 2031-07-18      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                                                             | M&T Bank Corp                                                                                              | CUSIP: 55261FAS3<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |    1930000 | PA      | $2096153.70   | 0.09%             | 2029-10-30      | Fixed         | 7.41%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury STRIPS Coupon                                                                                | CUSIP: 912833X88<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26090000 | PA      | $17266846.75  | 0.73%             | 2035-05-15      | None          | 0.00%                 | No            |                  1 | On Loan: No      |
| AVIATION CAPITAL GROUP                                                           | Aviation Capital Group LLC                                                                                 | CUSIP: 05369AAK7<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     450000 | PA      | $445864.50    | 0.02%             | 2026-01-30      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                                 | ICE 3MTH SONIA FU DEC25                                                                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        226 | NC      | $-101401.36   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                                                   | CUSIP: 20754RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     558224 | PA      | $560328.59    | 0.02%             | 2041-10-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179UMM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     511898 | PA      | $505588.03    | 0.02%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Access Group Inc                                                                 | AccessLex Institute                                                                                        | CUSIP: 00432CBN0<br>LEI: 635400C9RW3TYNTIJP57 | Long             | ABS-O            | CORP              | US        |     307421 | PA      | $303827.65    | 0.01%             | 2033-09-26      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140QRXE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     799000 | PA      | $814701.20    | 0.03%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31371JY81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7894 | PA      | $8273.34      | 0.00%             | 2031-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                 | Freddie Mac Multifamily Structured Pass Through Certificates                                               | CUSIP: 3137H9Y94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1990938 | PA      | $1992800.52   | 0.08%             | 2033-02-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| GE CAPITAL INTL FUNDING                                                          | GE Capital International Funding Co Unlimited Co                                                           | CUSIP: 36164QNA2<br>LEI: 549300G6UZOB126GBY72 | Long             | DBT              | CORP              | IE        |     405000 | PA      | $396576.00    | 0.02%             | 2035-11-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140QRXS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     787730 | PA      | $817040.68    | 0.03%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NY Commercial Mortgage Trust                                                     | NY Commercial Mortgage Trust 2025-299P                                                                     | CUSIP: 62957FAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1950000 | PA      | $2024803.64   | 0.09%             | 2047-02-10      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                                           | OPS09630A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |   -6240000 | NC      | $-20643.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138WLA60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     685059 | PA      | $677975.78    | 0.03%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | Wells Fargo & Co                                                                                           | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     325000 | PA      | $326157.00    | 0.01%             | 2027-07-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                                                    | CUSIP: 404119CR8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1610000 | PA      | $1589842.80   | 0.07%             | 2053-06-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| AB BSL CLO                                                                       | AB BSL CLO 2 Ltd                                                                                           | CUSIP: 00037LAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5600000 | PA      | $5603427.20   | 0.24%             | 2034-04-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Government National Mortgage Association                                                                   | CUSIP: 38382XAA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12101906 | PA      | $10075740.89  | 0.42%             | 2051-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| STERIS PLC                                                                       | STERIS Irish FinCo UnLtd Co                                                                                | CUSIP: 85917PAA5<br>LEI: 549300BRDKZ1HFI2J358 | Long             | DBT              | CORP              | IE        |     501000 | PA      | $456335.85    | 0.02%             | 2031-03-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | Nomura Holdings Inc                                                                                        | CUSIP: 65535HAX7<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     950000 | PA      | $852957.50    | 0.04%             | 2031-07-14      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Inflation-Indexed Bonds                                                                      | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11259506 | PA      | $9015081.72   | 0.38%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140GULV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     334301 | PA      | $330740.17    | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                       | Intel Corp                                                                                                 | CUSIP: 458140CG3<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    2750000 | PA      | $2813030.00   | 0.12%             | 2033-02-10      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Constellation Brands Inc                                                         | Constellation Brands Inc                                                                                   | CUSIP: 21036PAY4<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |      50000 | PA      | $49329.50     | 0.00%             | 2028-02-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                               | Banco Santander SA                                                                                         | CUSIP: 05964HAB1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     400000 | PA      | $400592.00    | 0.02%             | 2027-04-11      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31416MVP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3903 | PA      | $3910.75      | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                         | Mars Inc                                                                                                   | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    5800000 | PA      | $5909852.00   | 0.25%             | 2030-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| RELIANCE INDUSTRIES LTD                                                          | Reliance Industries Ltd                                                                                    | CUSIP: 759470BC0<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |     250000 | PA      | $180272.50    | 0.01%             | 2062-01-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3132DPH92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2145166 | PA      | $2220961.75   | 0.09%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                            | Mexico Government International Bonds                                                                      | CUSIP: 91087BAP5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     600000 | PA      | $364500.00    | 0.02%             | 2071-04-19      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138W4AP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19347 | PA      | $17868.57     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AID-ISRAEL                                                                       | Israel Government AID Bond                                                                                 | CUSIP: 46513EFG2<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    4700000 | PA      | $5050620.00   | 0.21%             | 2033-09-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                              | American Express Co                                                                                        | CUSIP: 025816DW6<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    4855000 | PA      | $5010748.40   | 0.21%             | 2035-07-26      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                   | Air Lease Corp                                                                                             | CUSIP: 00913WX18<br>LEI: 5493004NW4M4P8TMMK63 | Long             | STIV             | CORP              | US        |   17846000 | PA      | $17843765.68  | 0.75%             | 2025-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NATURE CONSERVANCY (THE)                                                         | Nature Conservancy/The                                                                                     | CUSIP: 63902HAJ8<br>LEI: 549300GJ1IZME7V1JJ28 | Long             | DBT              | CORP              | US        |      60000 | PA      | $58177.11     | 0.00%             | 2026-07-01      | Fixed         | 0.94%                 | No            |                  2 | On Loan: No      |
| Panama Government International Bonds                                            | Panama Government International Bonds                                                                      | CUSIP: 698299BS2<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     210000 | PA      | $153090.00    | 0.01%             | 2063-01-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: SR243249  IRS SEK R F  2.00000 2 CCPVANILLA / Short: SR243249  IRS SEK P V 03MSTIBO 1 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  609240000 | OU      | $-117895.29   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138MQHG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21628 | PA      | $20333.19     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL CO                                                             | Saudi Arabian Oil Co                                                                                       | CUSIP: 80414L2P9<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |    1950000 | PA      | $1937598.00   | 0.08%             | 2054-07-17      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| City of Phoenix Civic Improvement Corp                                           | PHOENIX AZ CIVIC IMPT CORP WTR SYS REVENUE                                                                 | CUSIP: 71883RQH9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      40000 | PA      | $43538.88     | 0.00%             | 2034-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                                                        | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6820000 | PA      | $4974337.50   | 0.21%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138NXMW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5736 | PA      | $5267.52      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140QEXS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2238830 | PA      | $1930301.15   | 0.08%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138WVH46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15892 | PA      | $14642.43     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179VHS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4833673 | PA      | $4330729.26   | 0.18%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UDR INC                                                                          | UDR Inc                                                                                                    | CUSIP: 90265EAT7<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              |  | US        |     475000 | PA      | $405222.50    | 0.02%             | 2032-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| JM SMUCKER CO                                                                    | J M Smucker Co/The                                                                                         | CUSIP: 832696AW8<br>LEI: 5493000WDH6A0LHDJD55 | Long             | DBT              | CORP              | US        |    2498000 | PA      | $2623849.24   | 0.11%             | 2028-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| ADVENT HEALTH SYSTEM                                                             | Adventist Health System/West                                                                               | CUSIP: 007944AF8<br>LEI: 5493008YM33UCY5QPW83 | Long             | DBT              | CORP              | US        |     540000 | PA      | $509594.76    | 0.02%             | 2029-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: BR243231  IRS JPY R V 00MTONAR 1 CCPOIS / Short: BR243231  IRS JPY P F  1.25000 2 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 5356000000 | OU      | $950643.37    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO                                                                        | Boeing Co/The                                                                                              | CUSIP: 097023BZ7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     100000 | PA      | $72279.00     | 0.00%             | 2048-03-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31417GFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144666 | PA      | $133795.55    | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                                    | J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-OSB                                            | CUSIP: 46651EAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $3740167.96   | 0.16%             | 2039-06-05      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                                                | Expedia Group Inc                                                                                          | CUSIP: 30212PAR6<br>LEI: CI7MUJI4USF3V0NJ1H64 | Long             | DBT              | CORP              | US        |      89000 | PA      | $85009.24     | 0.00%             | 2030-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OP                                                              | Invitation Homes Operating Partnership LP                                                                  | CUSIP: 46188BAA0<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              |  | US        |    1120000 | PA      | $968766.40    | 0.04%             | 2031-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury STRIPS Coupon                                                                                | CUSIP: 912833XY1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2540000 | PA      | $2107199.98   | 0.09%             | 2030-08-15      | None          | 0.00%                 | No            |                  1 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F0526A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  161000000 | PA      | $162339568.30 | 6.83%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                                           | OPS09608A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |   -6260000 | NC      | $-51388.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                                                       | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     150000 | PA      | $156762.00    | 0.01%             | 2036-01-24      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                                                       | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1089000 | PA      | $1113197.58   | 0.05%             | 2033-07-22      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                         | AT&T Inc                                                                                                   | CUSIP: 00206RHK1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    2355000 | PA      | $2257714.95   | 0.10%             | 2039-03-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                                                        | CUSIP: 91282CHU8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   59493500 | PA      | $59797939.54  | 2.52%             | 2026-08-15      | Fixed         | 4.38%                 | No            |                  1 | On Loan: No      |
| BSTN Commercial Mortgage Trust                                                   | BSTN Commercial Mortgage Trust 2025-1C                                                                     | CUSIP: 05615EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4825000 | PA      | $4952260.44   | 0.21%             | 2044-06-15      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                            | Mexico Government International Bonds                                                                      | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1746000 | PA      | $1516837.50   | 0.06%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                                                 | CUSIP: 21H0226A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16000000 | PA      | $13772764.80  | 0.58%             | 2055-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                                               | Royalty Pharma PLC                                                                                         | CUSIP: 78081BAR4<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    2844000 | PA      | $2903894.64   | 0.12%             | 2034-09-02      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3133KNXA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     564030 | PA      | $456770.81    | 0.02%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179UQ47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6618 | PA      | $6120.96      | 0.00%             | 2049-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138M6P76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7105 | PA      | $6611.76      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                                                       | CUSIP: 06051GKC2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      94000 | PA      | $81647.46     | 0.00%             | 2036-09-21      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3132DWDH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2576745 | PA      | $2086736.53   | 0.09%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                                                | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    5625000 | PA      | $5168587.50   | 0.22%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BAYLOR SCOTT & WHITE HOL                                                         | Baylor Scott & White Holdings                                                                              | CUSIP: 072863AH6<br>LEI: 549300JQDKSBWYRGGV95 | Long             | DBT              | CORP              | US        |    1140000 | PA      | $1010695.96   | 0.04%             | 2030-11-15      | Fixed         | 1.78%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                                                             | M&T Bank Corp                                                                                              | CUSIP: 55261FAR5<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |    2280000 | PA      | $2285563.20   | 0.10%             | 2034-01-27      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Romania Government International Bonds                                           | Romania Government International Bonds                                                                     | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     580000 | PA      | $386349.60    | 0.02%             | 2051-02-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES                                                            | Huntington Bancshares Inc/OH                                                                               | CUSIP: 446150BD5<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |    5485000 | PA      | $5713450.25   | 0.24%             | 2035-02-02      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31418DC83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     412881 | PA      | $406289.70    | 0.02%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ares Euro CLO                                                                    | Ares European CLO XXI DAC                                                                                  | CUSIP: 000000000<br>LEI: 254900REPQKNP1XRDH75 | Long             | ABS-CBDO         | CORP              | IE        |    1610000 | PA      | $1890157.30   | 0.08%             | 2038-04-15      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| VMWARE LLC                                                                       | VMware LLC                                                                                                 | CUSIP: 928563AK1<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     700000 | PA      | $656383.00    | 0.03%             | 2028-08-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138MRXV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23434 | PA      | $21725.13     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31402DDE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72250 | PA      | $74157.48     | 0.00%             | 2034-07-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| CHOICE HOTELS INTL INC                                                           | Choice Hotels International Inc                                                                            | CUSIP: 169905AH9<br>LEI: 5493003CYRY5RFGTIR97 | Long             | DBT              | CORP              | US        |    1639000 | PA      | $1676434.76   | 0.07%             | 2034-08-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| IDEX CORP                                                                        | IDEX Corp                                                                                                  | CUSIP: 45167RAH7<br>LEI: 549300U5Y5EL6PHYLF13 | Long             | DBT              | CORP              | US        |    1515000 | PA      | $1371681.00   | 0.06%             | 2031-06-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                                                  | OHA Credit Funding 17 Ltd                                                                                  | CUSIP: 67109SAA5<br>LEI: 254900ZA7EPUCGQUTA43 | Long             | ABS-CBDO         | CORP              | BM        |    5000000 | PA      | $5014840.00   | 0.21%             | 2037-04-20      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                                                                    | Sutter Health                                                                                              | CUSIP: 86944BAG8<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |     605000 | PA      | $553442.22    | 0.02%             | 2030-08-15      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                     | NiSource Inc                                                                                               | CUSIP: 65473PAJ4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     325000 | PA      | $314811.25    | 0.01%             | 2030-05-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac REMICS                                                                                         | CUSIP: 3137B4PT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56555 | PA      | $59122.22     | 0.00%             | 2036-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31402RD71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174884 | PA      | $180797.90    | 0.01%             | 2035-05-01      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                                                          | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                                                | CUSIP: 03522AAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     960000 | PA      | $948403.20    | 0.04%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: SR247830  IRS USD R F  3.37935 2 CCPOIS / Short: SR247830  IRS USD P V 00MSOFR 1 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   61420000 | OU      | $-6621.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: BR243243  IRS CHF R V 00MSARON 1 CCPOIS / Short: BR243243  IRS CHF P F   .50000 2 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1550000 | OU      | $-4518.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RUSH OBLIGATED GROUP                                                             | Rush Obligated Group                                                                                       | CUSIP: 78200JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1320000 | PA      | $1301200.77   | 0.05%             | 2029-11-15      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140GXZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72336 | PA      | $58664.67     | 0.00%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                                                        | CUSIP: 91282CHA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16320000 | PA      | $16274100.00  | 0.69%             | 2028-04-30      | Fixed         | 3.50%                 | No            |                  1 | On Loan: No      |
| BNP Paribas SA                                                                   | OPS09172A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    3920000 | NC      | $22186.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                                         | OPS09638A SWAPTION                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   -6670000 | NC      | $-62531.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3132DWCH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55551 | PA      | $45032.64     | 0.00%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138WN5M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97042 | PA      | $89771.65     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                                                         | Sabine Pass Liquefaction LLC                                                                               | CUSIP: 785592AS5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     275000 | PA      | $276765.50    | 0.01%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PHILLIPS 66                                                                      | Phillips 66                                                                                                | CUSIP: 718546AZ7<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |     725000 | PA      | $716648.00    | 0.03%             | 2026-02-15      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31418DUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19502607 | PA      | $15884438.66  | 0.67%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA Inc                                                                 | T-Mobile USA Inc                                                                                           | CUSIP: 87264AAV7<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     700000 | PA      | $701218.00    | 0.03%             | 2028-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae REMICS                                                                                          | CUSIP: 3136BUZ45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5517592 | PA      | $5499088.23   | 0.23%             | 2055-03-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE SECURED LEND                                                          | Blackstone Secured Lending Fund                                                                            | CUSIP: 09261XAH5<br>LEI: 549300KM7KWQHVBNH962 | Long             | DBT              | CORP              | US        |    1650000 | PA      | $1690722.00   | 0.07%             | 2027-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: SR243279  IRS NZD R F  4.00000 2 CCPVANILLA / Short: SR243279  IRS NZD P V 03MNZDBB 1 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   14880000 | OU      | $194948.35    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: BR248759  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR248759  IRS USD P F  3.29368 2 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   79800000 | OU      | $43099.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO CITY ARPT TRUST                                                           | Mexico City Airport Trust                                                                                  | CUSIP: 59284MAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |     440000 | PA      | $431200.00    | 0.02%             | 2028-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138WQQ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16426 | PA      | $15243.83     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31418PC86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199255 | PA      | $198793.58    | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS Group AG                                                                                               | CUSIP: 902613BQ0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    1915000 | PA      | $1992538.35   | 0.08%             | 2036-05-09      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                                                      | CUSIP: 31298EPA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5691 | PA      | $6021.51      | 0.00%             | 2030-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                                                         | Federal Farm Credit Banks Funding Corp                                                                     | CUSIP: 3133ENSY7<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |    7050000 | PA      | $6324625.50   | 0.27%             | 2034-03-28      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Louisiana Local Government Environmental Facilities & Community Development Auth | LOUISIANA ST LOCAL GOVT ENVRNMNTL FACS & CMNTY DEV AUTH                                                    | CUSIP: 54627RAN0<br>LEI: 5493004WIZ1HV87IVF85 | Long             | DBT              | MUN               | US        |    2270000 | PA      | $2239079.88   | 0.09%             | 2036-02-01      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                              | Exeter Automobile Receivables Trust 2025-1                                                                 | CUSIP: 30167MAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1428652 | PA      | $1429487.40   | 0.06%             | 2027-09-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 31329PZC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     642427 | PA      | $632773.57    | 0.03%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3132DVLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6815215 | PA      | $6104844.84   | 0.26%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank5                                                                            | BANK5 Trust 2025-5YR13                                                                                     | CUSIP: 06650CAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3372000 | PA      | $3528793.41   | 0.15%             | 2058-01-15      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                                                               | Wind River 2021-2 CLO Ltd                                                                                  | CUSIP: 97315VAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2850000 | PA      | $2852938.35   | 0.12%             | 2034-07-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 3622ABJH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2389083 | PA      | $2047290.90   | 0.09%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| State of California                                                              | CALIFORNIA ST                                                                                              | CUSIP: 13063A5E0<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |     950000 | PA      | $1114660.37   | 0.05%             | 2034-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179U4B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13021407 | PA      | $11696433.51  | 0.49%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BRITISH TELECOMMUNICATIO                                                         | British Telecommunications PLC                                                                             | CUSIP: 111021AE1<br>LEI: 549300OWFMSO9NYV4H90 | Long             | DBT              | CORP              | GB        |    3265000 | PA      | $4019672.10   | 0.17%             | 2030-12-15      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                         | Charter Communications Operating LLC / Charter Communications Operating Capital                            | CUSIP: 161175BJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6675000 | PA      | $6572939.25   | 0.28%             | 2028-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3132DMKG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     721779 | PA      | $654147.51    | 0.03%             | 2049-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BACARDI-MARTINI BV                                                               | Bacardi-Martini BV                                                                                         | CUSIP: 05634WAA0<br>LEI: 5493002XXBV8B88K2408 | Long             | DBT              | CORP              | NL        |    6350000 | PA      | $6562280.50   | 0.28%             | 2030-02-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                | EURO-SCHATZ FUT DEC25                                                                                      | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -1 | NC      | $239.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140KCZL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14928 | PA      | $14659.57     | 0.00%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138WMKE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27047 | PA      | $25312.95     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                     | WP Carey Inc                                                                                               | CUSIP: 92936UAG4<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              |  | US        |     725000 | PA      | $650426.50    | 0.03%             | 2031-02-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179UQ54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1626723 | PA      | $1553250.70   | 0.07%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138W0YR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6960 | PA      | $6424.06      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179RQ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19486 | PA      | $18808.31     | 0.00%             | 2045-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                | EURO-BUXL 30Y BND DEC25                                                                                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          5 | NC      | $7810.78      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                                         | Long: BR243155  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR243155  IRS EUR P F  2.50000 2 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   16300000 | OU      | $345038.66    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS Group AG                                                                                               | CUSIP: 902613BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     683000 | PA      | $684461.62    | 0.03%             | 2026-04-17      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31418CZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6787 | PA      | $6697.42      | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| IRV Trust                                                                        | IRV Trust 2025-200P                                                                                        | CUSIP: 45006HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3600000 | PA      | $3679897.68   | 0.15%             | 2047-03-14      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | Long: SX003151  CDS USD R F  1.00000 2 CCPCDX / Short: SX003151  CDS USD P V 03MEVENT 1 CCPCDX             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |  102466934 | OU      | $2272265.74   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                    | Citigroup Inc                                                                                              | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    2450000 | PA      | $2459849.00   | 0.10%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Barclays Dryrock Issuance Trust                                                  | Barclays Dryrock Issuance Trust                                                                            | CUSIP: 06742LAX1<br>LEI: 213800R4G3N2G68CHU37 | Long             | ABS-O            | CORP              | US        |    8400000 | PA      | $8428024.75   | 0.35%             | 2029-02-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3133KH3R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     412461 | PA      | $405109.99    | 0.02%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31417GAX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     287508 | PA      | $266013.08    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179VFQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1409181 | PA      | $1300925.10   | 0.05%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HOUSTON GALLERIA MALL TRUST                                                      | Houston Galleria Mall Trust 2025-HGLR                                                                      | CUSIP: 44216XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3300000 | PA      | $3409279.24   | 0.14%             | 2045-02-05      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| WILLIS NORTH AMERICA INC                                                         | Willis North America Inc                                                                                   | CUSIP: 970648AJ0<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |     700000 | PA      | $664881.00    | 0.03%             | 2029-09-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | OPS09418A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |   -1260000 | NC      | $-25188.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140QRXT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     778662 | PA      | $805931.75    | 0.03%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Marathon Petroleum Corp                                                          | Marathon Petroleum Corp                                                                                    | CUSIP: 56585ABD3<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |     375000 | PA      | $371047.50    | 0.02%             | 2028-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                                                      | CUSIP: 312943UP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        939 | PA      | $943.63       | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                        | Boeing Co/The                                                                                              | CUSIP: 097023BS3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     163000 | PA      | $116241.82    | 0.00%             | 2046-06-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO Ltd.                                                            | Marble Point CLO XIV Ltd                                                                                   | CUSIP: 56608KAW3<br>LEI: 254900N4UCG37B1HFL93 | Long             | ABS-CBDO         | CORP              | KY        |    3807588 | PA      | $3804145.86   | 0.16%             | 2032-01-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                                                 | COLT 2021-5 Mortgage Loan Trust                                                                            | CUSIP: 12598RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4181057 | PA      | $3793675.93   | 0.16%             | 2066-11-26      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                                                | Expedia Group Inc                                                                                          | CUSIP: 30212PBH7<br>LEI: CI7MUJI4USF3V0NJ1H64 | Long             | DBT              | CORP              | US        |     331000 | PA      | $306618.54    | 0.01%             | 2031-03-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| LABORATORY CORP OF AMER                                                          | Laboratory Corp of America Holdings                                                                        | CUSIP: 50540RBB7<br>LEI: OZ7UA8IXAIFILY2VZH07 | Long             | DBT              | CORP              | US        |    1719000 | PA      | $1704233.79   | 0.07%             | 2034-10-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140QQUQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7664170 | PA      | $7934971.66   | 0.33%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                             | Las Vegas Sands Corp                                                                                       | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    1590000 | PA      | $1623350.25   | 0.07%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| MEXICO CITY ARPT TRUST                                                           | Mexico City Airport Trust                                                                                  | CUSIP: 59284MAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |     200000 | PA      | $173202.00    | 0.01%             | 2046-10-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179XS98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1589615 | PA      | $1468391.87   | 0.06%             | 2053-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | Boeing Co/The                                                                                              | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    4599000 | PA      | $5089667.31   | 0.21%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | Long: SX003325  CDS USD R F  1.00000 2 CCPCDX / Short: SX003325  CDS USD P V 03MEVENT 1 CCPCDX             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   62125000 | OU      | $1414430.94   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                                             | CUSIP: 61747YGA7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     695000 | PA      | $733343.15    | 0.03%             | 2036-04-17      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| Bank5                                                                            | BANK5 2024-5YR11                                                                                           | CUSIP: 06644WBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3100000 | PA      | $3259226.17   | 0.14%             | 2057-11-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                                           | Pacific Gas and Electric Co                                                                                | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     500000 | PA      | $379400.00    | 0.02%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140HEAL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     231317 | PA      | $222405.81    | 0.01%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                                           | CUSIP: 87264ACV5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    6025000 | PA      | $6214787.50   | 0.26%             | 2033-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                                                                    | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     645000 | PA      | $600565.95    | 0.03%             | 2049-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31415RBP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        105 | PA      | $105.92       | 0.00%             | 2027-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                                                  | Cigna Group/The                                                                                            | CUSIP: 125523AJ9<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    1025000 | PA      | $978495.75    | 0.04%             | 2038-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury STRIPS Coupon                                                                                | CUSIP: 912833XT2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   37781200 | PA      | $32349351.92  | 1.36%             | 2029-11-15      | None          | 0.00%                 | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138MR5R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6294 | PA      | $5838.84      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36202FY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3372 | PA      | $3279.75      | 0.00%             | 2041-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA                                                                                                    | CUSIP: 05583JAJ1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    1650000 | PA      | $1454706.00   | 0.06%             | 2032-01-20      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                                             | Targa Resources Corp                                                                                       | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    1010000 | PA      | $959954.50    | 0.04%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140XCUR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8772862 | PA      | $7522768.81   | 0.32%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury STRIPS Coupon                                                                                | CUSIP: 9128337Q7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2540000 | PA      | $1994772.21   | 0.08%             | 2031-11-15      | None          | 0.00%                 | No            |                  1 | On Loan: No      |
| JP Morgan Mortgage Trust                                                         | J.P. Morgan Mortgage Trust 2021-LTV2                                                                       | CUSIP: 46654VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2822611 | PA      | $2373853.20   | 0.10%             | 2052-05-25      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                                                    | CUSIP: 404119CT4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    7985000 | PA      | $8301126.15   | 0.35%             | 2031-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31418C7F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     754925 | PA      | $742872.84    | 0.03%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132GEV56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3445 | PA      | $3514.20      | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS Group AG                                                                                               | CUSIP: 902613BE7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     695000 | PA      | $828092.50    | 0.03%             | 2033-11-13      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| State of Illinois                                                                | ILLINOIS ST                                                                                                | CUSIP: 452151LF8<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |    1020882 | PA      | $1038527.39   | 0.04%             | 2033-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140Q83V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65493 | PA      | $64631.61     | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140QS5D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4975744 | PA      | $5168230.79   | 0.22%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2092 | PA      | $2037.12      | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179VN48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     131547 | PA      | $121515.57    | 0.01%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140XK6T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2507629 | PA      | $2155005.03   | 0.09%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138MHKP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9406 | PA      | $8747.88      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                                                        | CUSIP: 91282CCW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24880000 | PA      | $24214265.69  | 1.02%             | 2026-08-31      | Fixed         | 0.75%                 | No            |                  1 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                                                        | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7010000 | PA      | $6392243.75   | 0.27%             | 2030-02-15      | Fixed         | 1.50%                 | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                                                 | CUSIP: 21H0406A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6000000 | PA      | $5641845.60   | 0.24%             | 2055-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179UH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1247044 | PA      | $1261687.50   | 0.05%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                                                         | Rogers Communications Inc                                                                                  | CUSIP: 775109CG4<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     745000 | PA      | $734353.95    | 0.03%             | 2027-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Connecticut Avenue Securities Trust 2024-R05                                                               | CUSIP: 20754XAB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1013656 | PA      | $1013652.89   | 0.04%             | 2044-07-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3132DVLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4658380 | PA      | $4004772.28   | 0.17%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                                           | OPS09471A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |  -46200000 | NC      | $-33862.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179UEB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     716122 | PA      | $724978.91    | 0.03%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Maryland Economic Development Corp                                               | MARYLAND ST ECON DEV CORP                                                                                  | CUSIP: 574205JA9<br>LEI: 549300JJ16DDBSZWSN94 | Long             | DBT              | MUN               | US        |    1310000 | PA      | $1351868.65   | 0.06%             | 2032-11-30      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1068745 | PA      | $1057576.03   | 0.04%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                                         | Neuberger Berman Loan Advisers CLO 47 Ltd                                                                  | CUSIP: 64135DAJ4<br>LEI: 549300JRWXK6DFJD7D06 | Long             | ABS-CBDO         | CORP              | KY        |    8400000 | PA      | $8403687.60   | 0.35%             | 2035-04-16      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179UKZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2040348 | PA      | $2064307.15   | 0.09%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | Long: SS006935  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS006935  CDS USD P V 03MEVENT 1 CCPCORPORATE | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    5150000 | OU      | $95967.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                                         | Anheuser-Busch InBev Worldwide Inc                                                                         | CUSIP: 03523TBF4<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     585000 | PA      | $755703.00    | 0.03%             | 2039-01-15      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| Sales Tax Securitization Corp                                                    | SALES TAX SECURITIZATION CORP IL                                                                           | CUSIP: 79467BFF7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      40000 | PA      | $45079.86     | 0.00%             | 2033-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31371NJM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1881 | PA      | $1904.76      | 0.00%             | 2027-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140QNCA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2524511 | PA      | $2045623.64   | 0.09%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                       | Verus Securitization Trust 2025-1                                                                          | CUSIP: 92540TAA8<br>LEI: 213800JOKZMXZECMAB50 | Long             | ABS-MBS          | CORP              | US        |    5601418 | PA      | $5664932.79   | 0.24%             | 2070-01-25      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | OPS09660A SWAPTION USD OTC                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   -6710000 | NC      | $-48312.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3133BBSB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1204654 | PA      | $1019925.31   | 0.04%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Connecticut Avenue Securities Series 2025-R01                                                              | CUSIP: 20755JAC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3450000 | PA      | $3455023.89   | 0.15%             | 2045-01-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179UXT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16245 | PA      | $14996.59     | 0.00%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138MP2W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5599 | PA      | $5213.06      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                                            | Palmer Square CLO 2023-1 Ltd                                                                               | CUSIP: 69702TAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5200000 | PA      | $5213176.80   | 0.22%             | 2038-01-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                                                        | CUSIP: 91282CMY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   69740000 | PA      | $69843520.66  | 2.94%             | 2027-04-30      | Fixed         | 3.75%                 | No            |                  1 | On Loan: No      |
| Exeter Automobile Receivables Trust                                              | Exeter Automobile Receivables Trust 2025-1                                                                 | CUSIP: 30167MAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1425000 | PA      | $1428204.57   | 0.06%             | 2028-08-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179UCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4686 | PA      | $4352.40      | 0.00%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US LONG BOND(CBT) DEC25                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        456 | NC      | $559929.41    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                                                | CUSIP: 68389XCN3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    2550000 | PA      | $2584068.00   | 0.11%             | 2030-05-06      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: SR243261  IRS NOK R F  3.75000 2 CCPVANILLA / Short: SR243261  IRS NOK P V 06MNIBOR 1 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        | 1115360000 | OU      | $-761910.17   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138MMKP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13881 | PA      | $12836.99     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: BR236714  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR236714  IRS EUR P F  3.00000 2 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   97920000 | OU      | $589668.43    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140Q8K87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40298 | PA      | $39780.32     | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 3622ABD33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1285008 | PA      | $1097957.13   | 0.05%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: SR243235  IRS JPY R F  2.00000 2 CCPOIS / Short: SR243235  IRS JPY P V 00MTONAR 1 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 1113000000 | OU      | $-787138.65   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                                         | Host Hotels & Resorts LP                                                                                   | CUSIP: 44107TBA3<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              |  | US        |     952000 | PA      | $847022.96    | 0.04%             | 2031-12-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Trust 2022-CLS                                                                                          | CUSIP: 05609XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2400000 | PA      | $2418722.14   | 0.10%             | 2027-10-13      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                                      | PRKCM 2021-AFC2 Trust                                                                                      | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4015499 | PA      | $3583918.52   | 0.15%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| BANNER HEALTH                                                                    | Banner Health                                                                                              | CUSIP: 06654DAB3<br>LEI: PLD0E0WJKFN8IZJ2WD85 | Long             | DBT              | CORP              | US        |    3235000 | PA      | $3000236.79   | 0.13%             | 2030-01-01      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140X5FT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     232228 | PA      | $228956.46    | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Republic of Poland Government International Bonds                                | Republic of Poland Government International Bonds                                                          | CUSIP: 731011AY8<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    2600000 | PA      | $2657460.00   | 0.11%             | 2034-09-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3132ADWF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34586 | PA      | $34065.88     | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: SR239730  IRS USD R F  3.37296 2 CCPOIS / Short: SR239730  IRS USD P V 00MSOFR 1 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   34300000 | OU      | $-1066.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | Energy Transfer LP                                                                                         | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      50000 | PA      | $50857.50     | 0.00%             | 2028-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                                                | CUSIP: 68389XCZ6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    3520000 | PA      | $3627852.80   | 0.15%             | 2032-02-03      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: BR243200  IRS CAD R V 00MCORRA 1 CCPOIS / Short: BR243200  IRS CAD P F  2.25000 2 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7510000 | OU      | $8495.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Oracle Corp                                                                      | Oracle Corp                                                                                                | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     350000 | PA      | $280994.00    | 0.01%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Dupont De Nemours Inc                                                            | DuPont de Nemours Inc                                                                                      | CUSIP: 26078JAC4<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |     975000 | PA      | $974532.00    | 0.04%             | 2025-11-15      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3133B93H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4878155 | PA      | $4111953.17   | 0.17%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31418MUL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98049 | PA      | $98271.80     | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138MFW52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10149 | PA      | $9395.36      | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140QADH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     251940 | PA      | $248153.88    | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MEXICO CITY ARPT TRUST                                                           | Mexico City Airport Trust                                                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |     400000 | PA      | $398672.00    | 0.02%             | 2026-10-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                   | Air Lease Corp                                                                                             | CUSIP: 00914AAX0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    3750000 | PA      | $3821025.00   | 0.16%             | 2031-07-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                 | Freddie Mac Multifamily Structured Pass Through Certificates                                               | CUSIP: 3137HB3D4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1350000 | PA      | $1385080.56   | 0.06%             | 2028-10-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | Banco Santander SA                                                                                         | CUSIP: 05971KAG4<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     800000 | PA      | $725592.00    | 0.03%             | 2030-12-03      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31417GL20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     162622 | PA      | $150507.13    | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | OPS08787A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |   -1970000 | NC      | $-52332.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REC LTD                                                                          | REC Ltd                                                                                                    | CUSIP: 74947LAD6<br>LEI: 335800B4YRYWAMIJZ374 | Long             | DBT              | CORP              | IN        |     200000 | PA      | $205338.00    | 0.01%             | 2028-04-11      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F0406A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21000000 | PA      | $19788398.70  | 0.83%             | 2055-10-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140JAEL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2404476 | PA      | $2436441.67   | 0.10%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                                         | Cheniere Energy Partners LP                                                                                | CUSIP: 16411QAQ4<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    1185000 | PA      | $1254026.25   | 0.05%             | 2033-06-30      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                                                      | CUSIP: 31298FT36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2825 | PA      | $2984.46      | 0.00%             | 2031-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                     | Enbridge Inc                                                                                               | CUSIP: 29250NBF1<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    2300000 | PA      | $1957254.00   | 0.08%             | 2033-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                                              | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    2495000 | PA      | $2520548.80   | 0.11%             | 2033-05-24      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| DP WORLD LTD UAE                                                                 | DP World Ltd/United Arab Emirates                                                                          | CUSIP: 000000000<br>LEI: 549300M3U2DNF4QVSS04 | Long             | DBT              | CORP              | AE        |     600000 | PA      | $589500.00    | 0.02%             | 2048-09-25      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                                             | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2625000 | PA      | $2288396.25   | 0.10%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179TXW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     666920 | PA      | $660992.50    | 0.03%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179U4E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     608532 | PA      | $602172.37    | 0.03%             | 2049-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust                                    | J.P. Morgan Chase Commercial Mortgage Securities Trust 2024-OMNI                                           | CUSIP: 46593JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1975000 | PA      | $2014874.78   | 0.08%             | 2039-10-05      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: BR233404  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR233404  IRS EUR P F  2.61000 2 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   18210000 | OU      | $1320027.89   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: SR243437  IRS USD R F  3.75000 2 CCPOIS / Short: SR243437  IRS USD P V 00MSOFR 1 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    5730000 | OU      | $49801.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140Q8DN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     583104 | PA      | $561369.17    | 0.02%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 3622ABJ94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1368619 | PA      | $1172818.71   | 0.05%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                                                             | CUSIP: 61747YFD2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    4320000 | PA      | $4420742.40   | 0.19%             | 2029-04-20      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Financial Square Government Fund                                   | Goldman Sachs Financial Square Government Fund                                                             | CUSIP: 38141W273<br>LEI: 549300BRJMXN4GUWZ402 | Long             | EC               | RF                | US        |   72265383 | NS      | $72265383.00  | 3.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140QFFV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5380828 | PA      | $4806515.75   | 0.20%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                                                | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    3820000 | PA      | $3825653.60   | 0.16%             | 2032-09-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138W3FS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43333 | PA      | $40318.82     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128M9UC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26743 | PA      | $26087.69     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F0306A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   28000000 | PA      | $24592968.40  | 1.04%             | 2055-10-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3132DMKF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16577634 | PA      | $16393617.85  | 0.69%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury STRIPS Principal                                                                             | CUSIP: 912803GW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12660000 | PA      | $3318717.85   | 0.14%             | 2053-11-15      | None          | 0.00%                 | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac REMICS                                                                                         | CUSIP: 31394PP72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     135344 | PA      | $136714.15    | 0.01%             | 2034-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138A94H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6727 | PA      | $6711.69      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31418CYN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7951 | PA      | $7846.80      | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138MRD24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9314 | PA      | $8666.33      | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: BR243160  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR243160  IRS EUR P F  2.25000 2 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7240000 | OU      | $1128792.19   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: BR243164  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR243164  IRS EUR P F  2.75000 2 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2120000 | OU      | $42310.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3133AXBJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     234899 | PA      | $229256.64    | 0.01%             | 2051-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Sunnova Hestia I Issuer, LLC                                                     | Sunnova Hestia I Issuer LLC                                                                                | CUSIP: 86746BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     373917 | PA      | $384257.41    | 0.02%             | 2050-12-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179T4R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     619850 | PA      | $627903.84    | 0.03%             | 2048-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                             | Royal Bank of Canada                                                                                       | CUSIP: 78016FZX5<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    1700000 | PA      | $1754927.00   | 0.07%             | 2033-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | OPS08786A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |   21170000 | NC      | $88077.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                                              | Carrier Global Corp                                                                                        | CUSIP: 14448CAP9<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |    3375000 | PA      | $3304091.25   | 0.14%             | 2027-02-15      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                            | Time Warner Cable LLC                                                                                      | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     275000 | PA      | $262957.75    | 0.01%             | 2040-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 31334XD48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     158181 | PA      | $147134.84    | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Trust                                                         | Mill City Mortgage Loan Trust 2017-2                                                                       | CUSIP: 59980AAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     162890 | PA      | $159580.26    | 0.01%             | 2059-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| AGCO CORP                                                                        | AGCO Corp                                                                                                  | CUSIP: 001084AS1<br>LEI: LYOM0B2GCF1JWXK5ZG04 | Long             | DBT              | CORP              | US        |    1298000 | PA      | $1349232.06   | 0.06%             | 2034-03-21      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3132DWC68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28296317 | PA      | $22898912.48  | 0.96%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: BR243149  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR243149  IRS EUR P F  2.00000 2 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6660000 | OU      | $27238.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                                                | Cedar Funding IX CLO Ltd                                                                                   | CUSIP: 15033EAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3795000 | PA      | $3807060.51   | 0.16%             | 2037-07-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140JJBE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     359386 | PA      | $354322.77    | 0.01%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/Ford Credit                                         | Ford Credit Auto Owner Trust 2024-REV1                                                                     | CUSIP: 34533BAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4900000 | PA      | $5012685.10   | 0.21%             | 2036-08-15      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| POSCO                                                                            | POSCO                                                                                                      | CUSIP: 73730EAD5<br>LEI: 9884000N94NH7G6LQ816 | Long             | DBT              | CORP              | KR        |     260000 | PA      | $268078.20    | 0.01%             | 2028-01-17      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CubeSmart LP                                                                     | CubeSmart LP                                                                                               | CUSIP: 22966RAC0<br>LEI: 549300MPHKO3I3FJRA97 | Long             | DBT              |  | US        |     600000 | PA      | $598962.00    | 0.03%             | 2025-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                            | Truist Financial Corp                                                                                      | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     100000 | PA      | $101134.00    | 0.00%             | 2027-06-08      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F0326A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   31000000 | PA      | $28325037.90  | 1.19%             | 2055-10-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138MN5G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40943 | PA      | $38192.24     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                            | Wells Fargo Commercial Mortgage Trust 2024-1CHI                                                            | CUSIP: 95003PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4150000 | PA      | $4187043.07   | 0.18%             | 2035-07-15      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                                                          | Dell International LLC / EMC Corp                                                                          | CUSIP: 24703TAH9<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |     200000 | PA      | $214432.00    | 0.01%             | 2030-07-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3133KKH44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2663277 | PA      | $2379017.46   | 0.10%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Peru Government International Bonds                                              | Peru Government International Bonds                                                                        | CUSIP: 715638DQ2<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      10000 | PA      | $5610.00      | 0.00%             | 2060-12-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: BR243132  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR243132  IRS USD P F  3.50000 2 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   84650000 | OU      | $-330998.43   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| State of California                                                              | CALIFORNIA ST                                                                                              | CUSIP: 13063A5G5<br>LEI: 9845007J7054602FF597 | Long             | DBT              | MUN               | US        |    1650000 | PA      | $2013189.59   | 0.08%             | 2039-04-01      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | OPS08400A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |   -2470000 | NC      | $-16103.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                                                        | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7580000 | PA      | $4958978.13   | 0.21%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179USU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     505244 | PA      | $482424.61    | 0.02%             | 2049-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS Group AG                                                                                               | CUSIP: 225401BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    1725000 | PA      | $2161511.25   | 0.09%             | 2033-11-15      | Fixed         | 9.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138WXWH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14406 | PA      | $13308.71     | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                                            | Palmer Square CLO 2024-2 LTD                                                                               | CUSIP: 69703LAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   11828000 | PA      | $11884052.89  | 0.50%             | 2037-07-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                                         | OPS09643A SWAPTION USD OTC                                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   -6670000 | NC      | $-51018.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                                                          | American Electric Power Co Inc                                                                             | CUSIP: 025537AN1<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |     850000 | PA      | $777512.00    | 0.03%             | 2030-03-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140Q9CT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     443743 | PA      | $426647.65    | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                              | Quanta Services Inc                                                                                        | CUSIP: 74762EAL6<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    2594000 | PA      | $2655815.02   | 0.11%             | 2034-08-09      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140MA2S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7948052 | PA      | $6729249.22   | 0.28%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                                                               | Wind River 2021-2 CLO Ltd                                                                                  | CUSIP: 97315VAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3050000 | PA      | $3053147.60   | 0.13%             | 2034-07-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                            | Mexico Government International Bonds                                                                      | CUSIP: 91087BAN0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1960000 | PA      | $1240680.00   | 0.05%             | 2061-05-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| DURST Commercial Mortgage Trust                                                  | Durst Commercial Mortgage Trust 2025-151                                                                   | CUSIP: 266895AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5250000 | PA      | $5341247.47   | 0.22%             | 2042-08-10      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138WMZQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12400 | PA      | $11515.90     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                                                        | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   51100000 | PA      | $39003671.88  | 1.64%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  1 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                                              | CUSIP: 172967PU9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    2360000 | PA      | $2474672.40   | 0.10%             | 2036-01-24      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: BR236075  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR236075  IRS USD P F  3.84826 2 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   67620000 | OU      | $-69236.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AUTONATION INC                                                                   | AutoNation Inc                                                                                             | CUSIP: 05329WAR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     500000 | PA      | $468965.00    | 0.02%             | 2028-08-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Illinois Finance Authority                                                       | ILLINOIS ST FIN AUTH REVENUE                                                                               | CUSIP: 45204FGY5<br>LEI: 549300ZG6UBPNNNRN315 | Long             | DBT              | MUN               | US        |      40000 | PA      | $45726.16     | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                                                           | Galaxy Pipeline Assets Bidco Ltd                                                                           | CUSIP: 36321PAC4<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |     320000 | PA      | $260262.40    | 0.01%             | 2040-09-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                                                          | Nationwide Building Society                                                                                | CUSIP: 63861VAE7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     975000 | PA      | $958902.75    | 0.04%             | 2030-07-18      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| MEXICO CITY ARPT TRUST                                                           | Mexico City Airport Trust                                                                                  | CUSIP: 59284MAD6<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |     340000 | PA      | $294950.00    | 0.01%             | 2047-07-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138ENQF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     222792 | PA      | $226951.91    | 0.01%             | 2044-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                                                       | ROCK Trust 2024-CNTR                                                                                       | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6850000 | PA      | $7055228.53   | 0.30%             | 2041-11-13      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                                                       | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4989900.00   | 0.21%             | 2033-04-27      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3133KGF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56461 | PA      | $55381.45     | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                                                 | CUSIP: 21H0426A2<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -6000000 | PA      | $-5818335.00  | -0.24%            | 2055-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON CORP                                                               | First Horizon Corp                                                                                         | CUSIP: 320517AE5<br>LEI: TF3RXI1ZB1TQ30H9JV10 | Long             | DBT              | CORP              | US        |     715000 | PA      | $735892.30    | 0.03%             | 2031-03-07      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179UPC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     709691 | PA      | $718467.90    | 0.03%             | 2049-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138WMP47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3525 | PA      | $3259.33      | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: SR228526  IRS JPY R F  2.16000 2 CCPOIS / Short: SR228526  IRS JPY P V 00MTONAR 1 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 3319831094 | OU      | $-837849.63   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Commercial Mortgage Trust 2024-AIRC                                                                     | CUSIP: 12433CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1886433 | PA      | $1891009.55   | 0.08%             | 2039-08-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 5YR NOTE (CBT) DEC25                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        620 | NC      | $-98997.05    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CONSTELLATION SOFTWARE                                                           | Constellation Software Inc/Canada                                                                          | CUSIP: 21037XAD2<br>LEI: 549300B6PYHMCTDWQV29 | Long             | DBT              | CORP              | CA        |    1366000 | PA      | $1395778.80   | 0.06%             | 2034-02-16      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                  | CVS Health Corp                                                                                            | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    5632000 | PA      | $5280619.52   | 0.22%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority                                            | MET TRANSPRTN AUTH NY REVENUE                                                                              | CUSIP: 59261A2P1<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |     210000 | PA      | $193794.28    | 0.01%             | 2049-11-15      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury STRIPS Coupon                                                                                | CUSIP: 9128337N4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2540000 | PA      | $2084688.24   | 0.09%             | 2030-11-15      | None          | 0.00%                 | No            |                  1 | On Loan: No      |
| WP CAREY INC                                                                     | WP Carey Inc                                                                                               | CUSIP: 92936UAF6<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              |  | US        |    1000000 | PA      | $984280.00    | 0.04%             | 2029-07-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| NATL BANK OF KUWAIT NY                                                           | National Bank of Kuwait/New York NY                                                                        | CUSIP: 63376F2N9<br>LEI: 549300NB7FE83IH6BW96 | Long             | STIV             | CORP              | KW        |   10000000 | PA      | $10004434.00  | 0.42%             | 2025-12-02      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: BR243221  IRS AUD R V 06MBBSW 1 CCPVANILLA / Short: BR243221  IRS AUD P F  4.25000 2 CCPVANILLA      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     610000 | OU      | $2069.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                                                          | Dell International LLC / EMC Corp                                                                          | CUSIP: 24703TAJ5<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |     540000 | PA      | $657606.60    | 0.03%             | 2036-07-15      | Fixed         | 8.10%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                            | Mexico Government International Bonds                                                                      | CUSIP: 91087BAH3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     240000 | PA      | $226560.00    | 0.01%             | 2030-04-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                                              | Carrier Global Corp                                                                                        | CUSIP: 14448CBC7<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |    2309000 | PA      | $2477141.38   | 0.10%             | 2034-03-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179UCC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4580336 | PA      | $4532467.09   | 0.19%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | Broadcom Inc                                                                                               | CUSIP: 11135FBK6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    1156000 | PA      | $1068756.68   | 0.04%             | 2033-04-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                             | Bank of America Corp                                                                                       | CUSIP: 59022CAJ2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     237000 | PA      | $255320.10    | 0.01%             | 2037-01-29      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                           | UnitedHealth Group Inc                                                                                     | CUSIP: 91324PEE8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    1750000 | PA      | $1330945.00   | 0.06%             | 2041-05-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: BR233929  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR233929  IRS USD P F  4.21304 2 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   14320000 | OU      | $-30266.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                        | Amgen Inc                                                                                                  | CUSIP: 031162DR8<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    2793000 | PA      | $2893352.49   | 0.12%             | 2033-03-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                                                           | Galaxy Pipeline Assets Bidco Ltd                                                                           | CUSIP: 36321PAB6<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |     200000 | PA      | $175750.00    | 0.01%             | 2036-03-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                                         | OPS09637A SWAPTION                                                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   -6670000 | NC      | $-22299.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                                              | Ashtead Capital Inc                                                                                        | CUSIP: 045054AS2<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    2087000 | PA      | $2187593.40   | 0.09%             | 2034-04-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                                                         | Federal Farm Credit Banks Funding Corp                                                                     | CUSIP: 3133ENJ92<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |    2500000 | PA      | $2407175.00   | 0.10%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138WHGK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27389 | PA      | $26233.82     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140Q8KK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     346563 | PA      | $333428.21    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                  | CUSIP: 00774MBP9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    3472000 | PA      | $3592235.36   | 0.15%             | 2031-12-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HUNTSMAN INTERNATIONAL L                                                         | Huntsman International LLC                                                                                 | CUSIP: 44701QBE1<br>LEI: 3YTEJFW18LGIUQ2N5J61 | Long             | DBT              | CORP              | US        |     850000 | PA      | $813960.00    | 0.03%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK5 2024-5YR9                                                                  | BANK5 2024-5YR9                                                                                            | CUSIP: 06644VBM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3950000 | PA      | $4130127.39   | 0.17%             | 2057-08-15      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                                         | Western Midstream Operating LP                                                                             | CUSIP: 958254AD6<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     225000 | PA      | $203967.00    | 0.01%             | 2044-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                                                            | Silver Point Clo 4 Ltd                                                                                     | CUSIP: 82809EAA8<br>LEI: 254900DVAEEJOXQ8PL85 | Long             | ABS-CBDO         | CORP              | JE        |    4950000 | PA      | $4962582.90   | 0.21%             | 2037-04-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: SR243183  IRS GBP R F  4.00000 2 CCPOIS / Short: SR243183  IRS GBP P V 00MSONIA 1 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  101610000 | OU      | $687348.50    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Maryland Economic Development Corp                                               | MARYLAND ST ECON DEV CORP                                                                                  | CUSIP: 574205HY9<br>LEI: 549300JJ16DDBSZWSN94 | Long             | DBT              | MUN               | US        |    1935000 | PA      | $1990040.88   | 0.08%             | 2030-11-30      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                                              | Starwood Mortgage Residential Trust 2021-6                                                                 | CUSIP: 85573RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2156905 | PA      | $1901238.89   | 0.08%             | 2066-11-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140MMUM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4779528 | PA      | $4046606.23   | 0.17%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F0626A4<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -8000000 | PA      | $-8267187.20  | -0.35%            | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                                                | CUSIP: 68389XCQ6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1615000 | PA      | $1524253.15   | 0.06%             | 2053-02-06      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                                                        | CUSIP: 912810QL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   75750000 | PA      | $73607695.31  | 3.10%             | 2040-11-15      | Fixed         | 4.25%                 | No            |                  1 | On Loan: No      |
| ASHTEAD CAPITAL INC                                                              | Ashtead Capital Inc                                                                                        | CUSIP: 045054AN3<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |     650000 | PA      | $633860.50    | 0.03%             | 2026-08-12      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3133KMNS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4956582 | PA      | $4248742.66   | 0.18%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JDE PEET'S NV                                                                    | JDE Peet's NV                                                                                              | CUSIP: 47216QAB9<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | CORP              | NL        |    1650000 | PA      | $1586953.50   | 0.07%             | 2027-01-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140XPXJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     692675 | PA      | $586348.91    | 0.02%             | 2054-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NATURE CONSERVANCY (THE)                                                         | Nature Conservancy/The                                                                                     | CUSIP: 63902HAL3<br>LEI: 549300GJ1IZME7V1JJ28 | Long             | DBT              | CORP              | US        |      75000 | PA      | $68566.09     | 0.00%             | 2028-07-01      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                                                      | Oracle Corp                                                                                                | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1881000 | PA      | $1772221.77   | 0.07%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3438207 | PA      | $3074863.29   | 0.13%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                                                   | CUSIP: 20754AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     884000 | PA      | $888175.13    | 0.04%             | 2041-12-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                                                   | Lowe's Cos Inc                                                                                             | CUSIP: 548661DY0<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     125000 | PA      | $109998.75    | 0.00%             | 2030-10-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Barclays Dryrock Issuance Trust                                                  | Barclays Dryrock Issuance Trust                                                                            | CUSIP: 06742LBF9<br>LEI: 213800R4G3N2G68CHU37 | Long             | ABS-O            | CORP              | US        |    5100000 | PA      | $5089759.15   | 0.21%             | 2031-07-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC                                                                   | AutoNation Inc                                                                                             | CUSIP: 05329WAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     825000 | PA      | $829413.75    | 0.03%             | 2030-06-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                              | CommonSpirit Health                                                                                        | CUSIP: 20268JAG8<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    2385000 | PA      | $1788066.39   | 0.08%             | 2050-10-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                                                        | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     675000 | PA      | $632967.75    | 0.03%             | 2031-05-13      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140Q8QW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     913758 | PA      | $879127.51    | 0.04%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                                                     | Hudson Yards 2025-SPRL Mortgage Trust                                                                      | CUSIP: 44855PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5280000 | PA      | $5451280.03   | 0.23%             | 2040-01-13      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | OPS09173A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |   -1640000 | NC      | $-21198.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                                                 | CUSIP: 21H0606A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   76000000 | PA      | $77302092.80  | 3.25%             | 2054-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                                                        | CUSIP: 912810QH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6740000 | PA      | $6668387.50   | 0.28%             | 2040-05-15      | Fixed         | 4.38%                 | No            |                  1 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                           | UnitedHealth Group Inc                                                                                     | CUSIP: 91324PFB3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    3700000 | PA      | $3757646.00   | 0.16%             | 2034-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: BR241429  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR241429  IRS EUR P F  2.80000 2 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   16170000 | OU      | $248881.68    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                                                    | NYC Commercial Mortgage Trust 2025-3BP                                                                     | CUSIP: 67120UAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2300000 | PA      | $2285577.14   | 0.10%             | 2042-02-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANK                                                         | Federal Farm Credit Banks Funding Corp                                                                     | CUSIP: 3133ENXC9<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |    3840000 | PA      | $3665356.80   | 0.15%             | 2032-05-19      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140QRXU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     761488 | PA      | $787679.80    | 0.03%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                                                 | CUSIP: 21H0326A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8000000 | PA      | $7296135.20   | 0.31%             | 2055-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31418CAY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8498 | PA      | $8139.08      | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: SR243186  IRS GBP R F  3.75000 2 CCPOIS / Short: SR243186  IRS GBP P V 00MSONIA 1 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   14330000 | OU      | $-78508.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State of Illinois                                                                | ILLINOIS ST                                                                                                | CUSIP: 452152BM2<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |     123077 | PA      | $130268.50    | 0.01%             | 2035-02-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Atlas Senior Loan Fund LTD                                                       | Atlas Senior Loan Fund XIII                                                                                | CUSIP: 04942VBE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2100000 | PA      | $2103683.40   | 0.09%             | 2031-04-22      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                                           | Williams Cos Inc/The                                                                                       | CUSIP: 969457CJ7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1892394.00   | 0.08%             | 2033-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31418C4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     369513 | PA      | $364306.58    | 0.02%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138MQTN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27274 | PA      | $25422.72     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140QLYS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1576484 | PA      | $1279631.36   | 0.05%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Oak Hill Credit                                                                  | OHA Credit Funding 11 Ltd                                                                                  | CUSIP: 67115VAN2<br>LEI: 2549002MG7GTTY5LHR97 | Long             | ABS-CBDO         | CORP              | BM        |    4000000 | PA      | $4009768.00   | 0.17%             | 2037-07-19      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2025-DNA2                                                                    | CUSIP: 35564NHY2<br>LEI: 529900XX8WXEM4FBIH80 | Long             | ABS-MBS          | USGSE             | US        |    3357500 | PA      | $3364515.17   | 0.14%             | 2045-05-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3132DQGL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     849959 | PA      | $692865.72    | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3133B9AM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5339319 | PA      | $4520141.94   | 0.19%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179UXS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2648969 | PA      | $2378372.25   | 0.10%             | 2049-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | OPS08399A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    8300000 | NC      | $11229.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 31329PTE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     122349 | PA      | $120625.52    | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                                      | BBCMS Mortgage Trust 2025-5C36                                                                             | CUSIP: 05556CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4750000 | PA      | $4950870.38   | 0.21%             | 2058-08-15      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3132DPHR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1970669 | PA      | $2043994.43   | 0.09%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: SR243152  IRS EUR R F  2.25000 2 CCPVANILLA / Short: SR243152  IRS EUR P V 06MEURIB 1 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   41320000 | OU      | $-372192.02   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                                         | Capital One Financial Corp                                                                                 | CUSIP: 14040HDJ1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    5140000 | PA      | $5336399.40   | 0.22%             | 2036-01-30      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                                                        | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6530000 | PA      | $6427968.75   | 0.27%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  1 | On Loan: No      |
| BANK OF NY MELLON CORP                                                           | Bank of New York Mellon Corp/The                                                                           | CUSIP: 06406RBK2<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |     315000 | PA      | $320080.95    | 0.01%             | 2030-07-26      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140EWUP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30154 | PA      | $28882.50     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Katayma CLO Ltd                                                                  | Katayma CLO I Ltd                                                                                          | CUSIP: 48585JAE0<br>LEI: 254900I6JJYMZNFX8987 | Long             | ABS-CBDO         | CORP              | JE        |    4400000 | PA      | $4409358.80   | 0.19%             | 2036-10-20      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140Q9ME0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1403116 | PA      | $1348184.56   | 0.06%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                                                 | CUSIP: 21H0206A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14000000 | PA      | $11579068.20  | 0.49%             | 2055-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                                                        | CUSIP: 91282CCF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   21720000 | PA      | $21283054.63  | 0.90%             | 2026-05-31      | Fixed         | 0.75%                 | No            |                  1 | On Loan: No      |
| SERVICENOW INC                                                                   | ServiceNow Inc                                                                                             | CUSIP: 81762PAE2<br>LEI: 549300HJTQM36M0E1G39 | Long             | DBT              | CORP              | US        |    1040000 | PA      | $910634.40    | 0.04%             | 2030-09-01      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                                                        | CUSIP: 46647PEX0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4285000 | PA      | $4520289.35   | 0.19%             | 2036-04-22      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                                                       | CUSIP: 06051GJP5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1375000 | PA      | $1253175.00   | 0.05%             | 2032-03-11      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                                           | OPS09653A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |   -6360000 | NC      | $-40909.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138MPDQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30113 | PA      | $27827.30     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HP ENTERPRISE CO                                                                 | Hewlett Packard Enterprise Co                                                                              | CUSIP: 42824CBV0<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |    2174000 | PA      | $2156194.94   | 0.09%             | 2034-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3132DMKH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7623015 | PA      | $7303138.41   | 0.31%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179UGE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2210418 | PA      | $2237755.80   | 0.09%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31418DMW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1828986 | PA      | $1796929.61   | 0.08%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                                                        | CUSIP: 91282CCE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   36750000 | PA      | $34547871.28  | 1.45%             | 2028-05-31      | Fixed         | 1.25%                 | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                                                 | CUSIP: 21H0526A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   73000000 | PA      | $73541652.70  | 3.10%             | 2054-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PERNOD RIC INTL FIN LLC                                                          | Pernod Ricard International Finance LLC                                                                    | CUSIP: 71427QAB4<br>LEI: 5493009254WI1A8WXT48 | Long             | DBT              | CORP              | US        |    4816000 | PA      | $4150814.08   | 0.17%             | 2031-04-01      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3132DVML6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14662579 | PA      | $14410172.80  | 0.61%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP Paribas SA                                                                                             | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    3975000 | PA      | $4167787.50   | 0.18%             | 2033-01-13      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: SR243200  IRS CAD R F  2.25000 2 CCPOIS / Short: SR243200  IRS CAD P V 00MCORRA 1 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   43880000 | OU      | $-49640.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                                           | NXP BV / NXP Funding LLC / NXP USA Inc                                                                     | CUSIP: 62954HAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    2250000 | PA      | $2000542.50   | 0.08%             | 2032-02-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                                                        | CUSIP: 91282CJA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1000000 | PA      | $1028125.00   | 0.04%             | 2028-09-30      | Fixed         | 4.62%                 | No            |                  1 | On Loan: No      |
| LCH Ltd.                                                                         | Long: SR243166  IRS EUR R F  1.75000 2 CCPOIS / Short: SR243166  IRS EUR P V 00MESTR 1 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    7640000 | OU      | $-33259.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: BR234637  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR234637  IRS USD P F  3.59995 2 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |  266420000 | OU      | $-854968.42   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F0506A9<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -64000000 | PA      | $-63467500.80 | -2.67%            | 2055-10-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128LXBF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        628 | PA      | $639.37       | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                                   | Morgan Stanley Residential Mortgage Loan Trust 2025-DSC1                                                   | CUSIP: 61790VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5891141 | PA      | $5967705.19   | 0.25%             | 2070-03-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                                                 | CUSIP: 21H0306A7<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -25000000 | PA      | $-22329577.50 | -0.94%            | 2055-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ALLEGION US HOLDING CO                                                           | Allegion US Holding Co Inc                                                                                 | CUSIP: 01748NAF1<br>LEI: 5493002B66JX7J7SXI33 | Long             | DBT              | CORP              | US        |    1593000 | PA      | $1663107.93   | 0.07%             | 2034-05-29      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| 1988 CLO Ltd.                                                                    | 1988 CLO 4 Ltd                                                                                             | CUSIP: 68252EAE1<br>LEI: 2549000NTXDB3VOXDV92 | Long             | ABS-CBDO         | CORP              | KY        |    3250000 | PA      | $3266802.50   | 0.14%             | 2037-04-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: SR243206  IRS CAD R F  2.75000 2 CCPOIS / Short: SR243206  IRS CAD P V 00MCORRA 1 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6110000 | OU      | $-55533.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140QQGB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4575146 | PA      | $4676487.94   | 0.20%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CRE                                                           | Blackstone Private Credit Fund                                                                             | CUSIP: 09261HBX4<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |     950000 | PA      | $980153.00    | 0.04%             | 2032-01-29      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                                                      | OCP CLO 2019-16 Ltd                                                                                        | CUSIP: 67570QAK7<br>LEI: 254900XAI48J82ID5O83 | Long             | ABS-CBDO         | CORP              | KY        |    2870924 | PA      | $2872609.63   | 0.12%             | 2033-04-10      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140XC3Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     178668 | PA      | $175483.72    | 0.01%             | 2051-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                              | JPMorgan Chase & Co                                                                                        | CUSIP: 46625HRY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2150000 | PA      | $2140432.50   | 0.09%             | 2028-02-01      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140HLJX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1839 | PA      | $1815.21      | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140MPR37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     866697 | PA      | $845285.74    | 0.04%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                                                        | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2490000 | PA      | $2547970.31   | 0.11%             | 2034-05-15      | Fixed         | 4.38%                 | No            |                  1 | On Loan: No      |
| GALAXY PIPELINE ASSETS                                                           | Galaxy Pipeline Assets Bidco Ltd                                                                           | CUSIP: 000000000<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |    2633795 | PA      | $2234116.78   | 0.09%             | 2040-09-30      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3132DMC60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2267099 | PA      | $2294404.14   | 0.10%             | 2049-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 10YR NOTE (CBT)DEC25                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        644 | NC      | $-311395.48   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138EP2E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135575 | PA      | $135316.88    | 0.01%             | 2045-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                   | Air Lease Corp                                                                                             | CUSIP: 00914AAJ1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     625000 | PA      | $621931.25    | 0.03%             | 2026-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179QDZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1984 | PA      | $1920.70      | 0.00%             | 2044-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: BR243237  IRS CHF R V 00MSARON CCPOIS / Short: BR243237  IRS CHF P F   .00000 CCPOIS                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CH        |   25290000 | OU      | $124383.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| US BANCORP                                                                       | US Bancorp                                                                                                 | CUSIP: 91159HJM3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    3640000 | PA      | $3788803.20   | 0.16%             | 2029-06-12      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                         | JP Morgan Mortgage Trust Series 2024-VIS2                                                                  | CUSIP: 46658DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3057871 | PA      | $3096415.12   | 0.13%             | 2064-11-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                                           | General Motors Financial Co Inc                                                                            | CUSIP: 37045XDK9<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3138368.00   | 0.13%             | 2026-06-10      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Pennsylvania Higher Education Assistance Agency                                  | PHEAA Student Loan Trust 2016-1                                                                            | CUSIP: 69343FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     740032 | PA      | $737986.17    | 0.03%             | 2065-09-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| State of Illinois                                                                | ILLINOIS ST                                                                                                | CUSIP: 452152GS4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |    1139286 | PA      | $1242114.69   | 0.05%             | 2035-07-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: SR243128  IRS EUR R F  2.90000 2 CCPVANILLA / Short: SR243128  IRS EUR P V 06MEURIB 1 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   15020000 | OU      | $50634.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36202F2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        567 | PA      | $551.26       | 0.00%             | 2042-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Octagon 67 Ltd                                                                   | Octagon 67 Ltd                                                                                             | CUSIP: 67571LAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9900000 | PA      | $9951687.90   | 0.42%             | 2038-07-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128E3TE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        181 | PA      | $180.48       | 0.00%             | 2025-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                                                           | Marriott International Inc/MD                                                                              | CUSIP: 571903BJ1<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2136729.00   | 0.09%             | 2027-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK                                                           | Canadian Imperial Bank of Commerce                                                                         | CUSIP: 13607PVQ4<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    3925000 | PA      | $4050129.00   | 0.17%             | 2031-01-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                                                          | Columbia Pipelines Operating Co LLC                                                                        | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3620000 | PA      | $3863300.20   | 0.16%             | 2033-11-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                               | OPS09586A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | DE        |   -1070000 | NC      | $-29504.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INGERSOLL RAND INC                                                               | Ingersoll Rand Inc                                                                                         | CUSIP: 45687VAB2<br>LEI: 5299004C02FMZCUOIR50 | Long             | DBT              | CORP              | US        |    1270000 | PA      | $1348879.70   | 0.06%             | 2033-08-14      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140MPCE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1339546 | PA      | $1306453.18   | 0.05%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                         | Mars Inc                                                                                                   | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    5175000 | PA      | $5293093.50   | 0.22%             | 2032-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                                                      | CUSIP: 31292MA78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3735 | PA      | $3646.52      | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COCA-COLA CONSOLIDATED                                                           | Coca-Cola Consolidated Inc                                                                                 | CUSIP: 191098AP7<br>LEI: 57VG5X0E00X0QJU7CQ58 | Long             | DBT              | CORP              | US        |    1421000 | PA      | $1486195.48   | 0.06%             | 2034-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138ET6A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     347100 | PA      | $343804.23    | 0.01%             | 2045-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                            | Wells Fargo Commercial Mortgage Trust 2024-MGP                                                             | CUSIP: 95003TAU7<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |    2700000 | PA      | $2675620.73   | 0.11%             | 2041-08-15      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3133KQDS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3335455 | PA      | $3453307.49   | 0.15%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                                                 | CUSIP: 21H0506B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   47000000 | PA      | $46688032.80  | 1.97%             | 2054-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140Q92H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     390182 | PA      | $384684.75    | 0.02%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F0206A2<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -57000000 | PA      | $-45938437.50 | -1.93%            | 2055-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                           | Santander Drive Auto Receivables Trust 2025-1                                                              | CUSIP: 80288DAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5075000 | PA      | $5092369.95   | 0.21%             | 2029-01-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138W02A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2905 | PA      | $2802.87      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179TSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      93484 | PA      | $92769.85     | 0.00%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31417FY69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74108 | PA      | $68617.32     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138W02X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9017 | PA      | $8337.73      | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | Banco Santander SA                                                                                         | CUSIP: 05964HAV7<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    4400000 | PA      | $4895748.00   | 0.21%             | 2033-08-08      | Fixed         | 6.92%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                               | BMO 2023-C7 Mortgage Trust                                                                                 | CUSIP: 05593FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $3230749.89   | 0.14%             | 2056-12-15      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                        | Boeing Co/The                                                                                              | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    2211000 | PA      | $2269060.86   | 0.10%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: BR243212  IRS AUD R V 03MBBSW 1 CCPVANILLA / Short: BR243212  IRS AUD P F  3.75000 2 CCPVANILLA      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  176660000 | OU      | $-624469.66   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138MNJQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10735 | PA      | $10029.46     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Romania Government International Bonds                                           | Romania Government International Bonds                                                                     | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     690000 | PA      | $555001.50    | 0.02%             | 2048-06-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | Long: SX003205  CDS USD R F  1.00000 2 CCPCDX / Short: SX003205  CDS USD P V 03MEVENT 1 CCPCDX             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   90400000 | OU      | $2061201.36   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                                                | Hyatt Hotels Corp                                                                                          | CUSIP: 448579AS1<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |    5295000 | PA      | $5420968.05   | 0.23%             | 2034-06-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                                                             | M&T Bank Corp                                                                                              | CUSIP: 55261FAV6<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |    6050000 | PA      | $6134034.50   | 0.26%             | 2036-01-16      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31418DEV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     676248 | PA      | $665240.46    | 0.03%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                                                                 | CUSIP: 21H0506A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6000000 | PA      | $5968143.00   | 0.25%             | 2054-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                                           | OPS09654A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |   -6360000 | NC      | $-28918.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4111601 | PA      | $4064775.72   | 0.17%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SHINHAN BANK                                                                     | Shinhan Bank Co Ltd                                                                                        | CUSIP: 82460CBF0<br>LEI: 5493003P813VL21KG928 | Long             | DBT              | CORP              | KR        |     540000 | PA      | $545124.60    | 0.02%             | 2028-04-12      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                                              | CUSIP: 17308CC53<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1375000 | PA      | $1301918.75   | 0.05%             | 2030-11-05      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140J8MQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     329433 | PA      | $317153.96    | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140QRXJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3857111 | PA      | $3932905.52   | 0.17%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                                                | CUSIP: 68389XCP8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    2211000 | PA      | $2232490.92   | 0.09%             | 2033-02-06      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   77000000 | PA      | $78654298.80  | 3.31%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                         | Angel Oak Mortgage Trust 2021-4                                                                            | CUSIP: 03464EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5121764 | PA      | $4375955.96   | 0.18%             | 2065-01-20      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31418C6A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     791841 | PA      | $779942.33    | 0.03%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                                                        | CUSIP: 91282CNZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20610000 | PA      | $20542373.44  | 0.86%             | 2032-09-30      | Fixed         | 3.88%                 | No            |                  1 | On Loan: No      |
| Bank of America NA                                                               | OPS09587A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | DE        |   10900000 | NC      | $19427.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | Long: SS006938  CDS USD R F  1.00000 2 CCPCORPORATE / Short: SS006938  CDS USD P V 03MEVENT 1 CCPCORPORATE | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    5160000 | OU      | $73086.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179RJF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1222173 | PA      | $1180318.87   | 0.05%             | 2045-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                        | Prosus NV                                                                                                  | CUSIP: 74365PAD0<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     230000 | PA      | $161144.90    | 0.01%             | 2050-08-03      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                                       | Intel Corp                                                                                                 | CUSIP: 458140CL2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     934000 | PA      | $948196.80    | 0.04%             | 2034-02-21      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128LXFW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29994 | PA      | $30564.27     | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138EKF83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105975 | PA      | $97877.27     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: BR243130  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR243130  IRS EUR P F  2.60000 2 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   11170000 | OU      | $-65241.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                                                         | BX Commercial Mortgage Trust 2024-GPA3                                                                     | CUSIP: 123910AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2355809 | PA      | $2359196.54   | 0.10%             | 2039-12-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| KKR Industrial Portfolio Trust                                                   | KIND Commercial Mortgage Trust 2024-1                                                                      | CUSIP: 494925AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5150000 | PA      | $5171614.86   | 0.22%             | 2041-08-15      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                                | Kinder Morgan Inc                                                                                          | CUSIP: 49456BAX9<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    4835000 | PA      | $4955536.55   | 0.21%             | 2033-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| New Jersey Educational Facilities Authority                                      | NEW JERSEY ST EDUCTNL FACS AUTH REVENUE                                                                    | CUSIP: 646067HL5<br>LEI: 549300UTOO4X537XXG70 | Long             | DBT              | MUN               | US        |      40000 | PA      | $45902.16     | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 3622ABGK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1523201 | PA      | $1307189.78   | 0.06%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| APPLOVIN CORP                                                                    | AppLovin Corp                                                                                              | CUSIP: 03831WAD0<br>LEI: 549300LLVXMUAOL3SQ07 | Long             | DBT              | CORP              | US        |    6273000 | PA      | $6472795.05   | 0.27%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                                               | BMO 2024-5C6 Mortgage Trust                                                                                | CUSIP: 05593QAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1900000 | PA      | $1954293.24   | 0.08%             | 2057-09-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: BR236073  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR236073  IRS USD P F  3.52786 2 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   15490000 | OU      | $-74559.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138NYHT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17464 | PA      | $16159.05     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                                                         | Plains All American Pipeline LP / PAA Finance Corp                                                         | CUSIP: 72650RBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     875000 | PA      | $844095.00    | 0.04%             | 2030-09-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: SR243441  IRS AUD R F  4.00000 2 CCPVANILLA / Short: SR243441  IRS AUD P V 03MBBSW 1 CCPVANILLA      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    5210000 | OU      | $34895.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                                                | CUSIP: 68389XCM5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2014600.00   | 0.08%             | 2028-05-06      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | OPS09659A SWAPTION USD OTC                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   -6710000 | NC      | $-48974.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140Q9HJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187379 | PA      | $180043.42    | 0.01%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RELIANCE INDUSTRIES LTD                                                          | Reliance Industries Ltd                                                                                    | CUSIP: 759470BB2<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |     480000 | PA      | $435619.20    | 0.02%             | 2032-01-12      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CHUBB CORP                                                                       | Chubb Corp/The                                                                                             | CUSIP: 171232AE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2440000 | PA      | $2744609.60   | 0.12%             | 2031-11-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Stryker Corp                                                                     | Stryker Corp                                                                                               | CUSIP: 863667AH4<br>LEI: 5493002F0SC4JTBU5137 | Long             | DBT              | CORP              | US        |     475000 | PA      | $474534.50    | 0.02%             | 2025-11-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Barclays Capital, Inc.                                                           | OPS09631A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DIR              |  | DE        |   -6240000 | NC      | $-37808.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                         | J.P. Morgan Mortgage Trust 2024-1                                                                          | CUSIP: 46657PAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2274043 | PA      | $2295220.77   | 0.10%             | 2054-06-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                                                              | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     100000 | PA      | $91096.00     | 0.00%             | 2033-01-25      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                                                             | CUSIP: 61761JZN2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1631000 | PA      | $1627493.35   | 0.07%             | 2027-04-23      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                                          | Romanian Government International Bond                                                                     | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     360000 | PA      | $264558.70    | 0.01%             | 2050-01-28      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140LQNE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     359401 | PA      | $303031.23    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                        | Boeing Co/The                                                                                              | CUSIP: 097023CB9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     100000 | PA      | $74442.00     | 0.00%             | 2048-11-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138WLCY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     594967 | PA      | $588815.84    | 0.02%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: SR233928  IRS USD R F  3.84519 2 CCPOIS / Short: SR233928  IRS USD P V 00MSOFR 1 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   21770000 | OU      | $346656.77    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140QFNZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5191037 | PA      | $4645093.01   | 0.20%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: BR239731  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR239731  IRS USD P F  3.97712 2 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    9140000 | OU      | $-81335.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                                            | Mexico Government International Bond                                                                       | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     839000 | PA      | $804334.88    | 0.03%             | 2033-10-25      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| State Board of Administration Finance Corp                                       | FLORIDA ST BRD OF ADMIN FIN CORP REVENUE                                                                   | CUSIP: 341271AF1<br>LEI: 549300S34SOJ0RULXM35 | Long             | DBT              | MUN               | US        |     595000 | PA      | $544329.92    | 0.02%             | 2030-07-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                 | Freddie Mac Multifamily Structured Pass Through Certificates                                               | CUSIP: 3137H9M89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3600000 | PA      | $3495203.64   | 0.15%             | 2032-11-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                             | Westpac Banking Corp                                                                                       | CUSIP: 961214EF6<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |     700000 | PA      | $685244.00    | 0.03%             | 2034-07-24      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                                         | OPS09614A SWAPTION USD OTC                                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   -6610000 | NC      | $-98481.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: SR243440  IRS CAD R F  2.50000 2 CCPOIS / Short: SR243440  IRS CAD P V 00MCORRA 1 CCPOIS             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   11430000 | OU      | $26769.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: SR236716  IRS EUR R F  2.60000 2 CCPVANILLA / Short: SR236716  IRS EUR P V 06MEURIB 1 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   65700000 | OU      | $-311309.67   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Harvest US CLO Ltd                                                               | Harvest US CLO 2024-2 Ltd                                                                                  | CUSIP: 41756YAA3<br>LEI: 213800RQBB83K4W6BX61 | Long             | ABS-CBDO         | CORP              | KY        |    3000000 | PA      | $3006996.00   | 0.13%             | 2037-10-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                          | WaMu Mortgage Pass-Through Certificates Series 2002-AR19 Trust                                             | CUSIP: 929227ZT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6643 | PA      | $6401.63      | 0.00%             | 2033-02-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                      | Oracle Corp                                                                                                | CUSIP: 68389XDM4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    4440000 | PA      | $4462777.20   | 0.19%             | 2035-09-26      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: SR234636  IRS USD R F  3.36762 2 CCPOIS / Short: SR234636  IRS USD P V 00MSOFR 1 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |  253550000 | OU      | $415796.65    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140QBHW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1104340 | PA      | $1086710.34   | 0.05%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                                      | PRKCM 2021-AFC2 Trust                                                                                      | CUSIP: 69361JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4132000 | PA      | $3073612.17   | 0.13%             | 2056-11-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179VBG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     483165 | PA      | $446047.05    | 0.02%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                        | Boeing Co/The                                                                                              | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1225000 | PA      | $1223946.50   | 0.05%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140J7R98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153700 | PA      | $148115.45    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                                                        | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    3475000 | PA      | $3176949.25   | 0.13%             | 2033-01-25      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140QBZE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1029586 | PA      | $925164.86    | 0.04%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA Inc                                                                                                    | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1590000 | PA      | $1518609.00   | 0.06%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                                         | Occidental Petroleum Corp                                                                                  | CUSIP: 674599DE2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    1034000 | PA      | $1176319.76   | 0.05%             | 2031-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| UBS AG STAMFORD CT                                                               | UBS AG/Stamford CT                                                                                         | CUSIP: 22550L2G5<br>LEI: 254900R882POXXVAK772 | Long             | DBT              | CORP              | CH        |    4135000 | PA      | $4041673.05   | 0.17%             | 2026-08-07      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                                      | BBCMS Mortgage Trust 2024-C26                                                                              | CUSIP: 05555AAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4040000 | PA      | $4140782.20   | 0.17%             | 2057-05-15      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                                 | Cifc Funding 2023-III Ltd                                                                                  | CUSIP: 12598YAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4750000 | PA      | $4765261.75   | 0.20%             | 2037-01-20      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| DP WORLD LTD UAE                                                                 | DP World Ltd/United Arab Emirates                                                                          | CUSIP: 23330JAA9<br>LEI: 549300M3U2DNF4QVSS04 | Long             | DBT              | CORP              | AE        |     100000 | PA      | $114857.00    | 0.00%             | 2037-07-02      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                                                   | Solventum Corp                                                                                             | CUSIP: 83444MAP6<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    1603000 | PA      | $1654376.15   | 0.07%             | 2029-03-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SARL                                                         | Eagle Funding Luxco Sarl                                                                                   | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |    7020000 | PA      | $7128810.00   | 0.30%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Pennsylvania Higher Educational Facilities Authority                             | PENNSYLVANIA ST HGR EDUCTNL FACS AUTH REVENUE                                                              | CUSIP: 70917S6L2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      40000 | PA      | $43564.33     | 0.00%             | 2030-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| City of New York NY                                                              | NEW YORK NY                                                                                                | CUSIP: 64966QWH9<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |      40000 | PA      | $44194.01     | 0.00%             | 2033-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DOLP Trust                                                                       | DOLP Trust 2021-NYC                                                                                        | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4650000 | PA      | $4153021.58   | 0.17%             | 2041-05-10      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                                                                | Generate Clo 13 Ltd                                                                                        | CUSIP: 370918AA2<br>LEI: 549300OHYOREA2V0F579 | Long             | ABS-CBDO         | CORP              | JE        |    7450000 | PA      | $7482124.40   | 0.31%             | 2037-01-20      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                                                        | CUSIP: 912828ZQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2512700 | PA      | $2184282.27   | 0.09%             | 2030-05-15      | Fixed         | 0.62%                 | No            |                  1 | On Loan: No      |
| MSCI INC                                                                         | MSCI Inc                                                                                                   | CUSIP: 55354GAH3<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |     650000 | PA      | $635472.50    | 0.03%             | 2029-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO Ltd.                                                             | Halseypoint CLO 7 LTD                                                                                      | CUSIP: 40638LAL3<br>LEI: 5493000LI3XMVBCJEF82 | Long             | ABS-CBDO         | CORP              | JE        |   13650000 | PA      | $13728924.30  | 0.58%             | 2038-07-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                                         | Constellation Brands Inc                                                                                   | CUSIP: 21036PBE7<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |      50000 | PA      | $47979.00     | 0.00%             | 2029-08-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                              | COMM 2024-277P Mortgage Trust                                                                              | CUSIP: 12654FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5425000 | PA      | $5716492.79   | 0.24%             | 2044-08-10      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179UXW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1653845 | PA      | $1675332.99   | 0.07%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29724696 | PA      | $29031794.20  | 1.22%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | Banco Santander SA                                                                                         | CUSIP: 05971KAC3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     800000 | PA      | $773968.00    | 0.03%             | 2029-06-27      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae REMICS                                                                                          | CUSIP: 3136ABDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     168645 | PA      | $183589.19    | 0.01%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140X6JR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2710356 | PA      | $2633145.35   | 0.11%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128LXBH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4077 | PA      | $4151.19      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31417GMA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12754 | PA      | $11782.08     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA5                                                                    | CUSIP: 35564KHE2<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | USGSE             | US        |     199949 | PA      | $201052.55    | 0.01%             | 2034-01-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                                                      | CUSIP: 31296NV61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3150 | PA      | $3202.60      | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140Q9TW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     433957 | PA      | $429334.99    | 0.02%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| American Express Credit Account Master Trust                                     | American Express Credit Account Master Trust                                                               | CUSIP: 02582JKR0<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |    7300000 | PA      | $7447107.34   | 0.31%             | 2032-04-15      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| 3650R Commercial Mortgage Trust                                                  | 3650R 2021-PF1 Commercial Mortgage Trust                                                                   | CUSIP: 88581EAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2526000 | PA      | $2166952.19   | 0.09%             | 2054-11-15      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC                                      | BBCMS Mortgage Trust 2025-5C36                                                                             | CUSIP: 05556CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4500000 | PA      | $4670906.40   | 0.20%             | 2058-08-15      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 10YR ULTRA FUT DEC25                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -570 | NC      | $-634731.53   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132Y1WP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     837601 | PA      | $829988.43    | 0.03%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                                                                       | CUSIP: 06051GJL4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    3150000 | PA      | $2796381.00   | 0.12%             | 2031-10-24      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140Q8KG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110895 | PA      | $106899.99    | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank                                                                             | BANK 2019-BNK21                                                                                            | CUSIP: 06540BBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     950000 | PA      | $892894.06    | 0.04%             | 2052-10-17      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31417FU63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     232288 | PA      | $214940.16    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS Group AG                                                                                               | CUSIP: 225401AT5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     315000 | PA      | $311742.90    | 0.01%             | 2027-02-02      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: BR243138  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR243138  IRS USD P F  3.75000 2 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   18480000 | OU      | $-145620.55   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $1430.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: BR248829  IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BR248829  IRS EUR P F  2.50000 2 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  262050413 | OU      | $-301999.51   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138W0FU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22779 | PA      | $21075.13     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31417JSB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3490 | PA      | $3497.29      | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140XHY68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3075880 | PA      | $2494532.88   | 0.11%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                                                        | CUSIP: 91282CCJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   46220000 | PA      | $45234214.29  | 1.90%             | 2026-06-30      | Fixed         | 0.88%                 | No            |                  1 | On Loan: No      |
| BX Trust                                                                         | BX Commercial Mortgage Trust 2024-XL5                                                                      | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2412948 | PA      | $2412849.31   | 0.10%             | 2041-03-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138ANZG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28358 | PA      | $28393.11     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11733979 | PA      | $9532603.16   | 0.40%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F0426A6<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -96000000 | PA      | $-93112502.40 | -3.92%            | 2055-10-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F0226A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   52000000 | PA      | $43805938.80  | 1.84%             | 2055-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                           | OPS09568A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | DE        |   -5880000 | NC      | $-12163.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Netflix Inc                                                                      | Netflix Inc                                                                                                | CUSIP: 64110LAT3<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    3010000 | PA      | $3173533.30   | 0.13%             | 2028-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: BR247832  IRS USD R V 00MSOFR 1 CCPOIS / Short: BR247832  IRS USD P F  3.06188 2 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   43230000 | OU      | $35189.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                               | Realty Income Corp                                                                                         | CUSIP: 756109BG8<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              |  | US        |     400000 | PA      | $399628.00    | 0.02%             | 2027-08-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: SR243276  IRS NZD R F  3.50000 2 CCPVANILLA / Short: SR243276  IRS NZD P V 03MNZDBB 1 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   23200000 | OU      | $217109.15    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3133KMP74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     133593 | PA      | $108811.64    | 0.00%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                                                      | CUSIP: 312941Z42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2829 | PA      | $2886.72      | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                                                           | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     533000 | PA      | $522478.58    | 0.02%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: BR243267  IRS NOK R V 06MNIBOR 1 CCPVANILLA / Short: BR243267  IRS NOK P F  4.00000 2 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   11260000 | OU      | $7730.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23156166 | PA      | $18775230.63  | 0.79%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                                                                   | CUSIP: 20753UAB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1300000 | PA      | $1310743.72   | 0.06%             | 2044-01-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Netflix Inc                                                                      | Netflix Inc                                                                                                | CUSIP: 64110LAU0<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    2604000 | PA      | $2724461.04   | 0.11%             | 2029-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179T7M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     557682 | PA      | $564928.14    | 0.02%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: SR233405  IRS EUR R F  2.53000 2 CCPOIS / Short: SR233405  IRS EUR P V 00MESTR 1 CCPOIS              | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   18210000 | OU      | $-1199804.75  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F0506A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   72000000 | PA      | $71400938.40  | 3.01%             | 2055-10-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132L5TJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6038 | PA      | $5891.41      | 0.00%             | 2040-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                              | CommonSpirit Health                                                                                        | CUSIP: 20268JAM5<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    2655000 | PA      | $2898348.83   | 0.12%             | 2052-11-01      | Fixed         | 6.46%                 | No            |                  2 | On Loan: No      |
| General Motors                                                                   | GMF Floorplan Owner Revolving Trust                                                                        | CUSIP: 361886CR3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4700000 | PA      | $4740288.12   | 0.20%             | 2028-06-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3131Y9XR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     113892 | PA      | $112239.87    | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE                                                           | Arizona Public Service Co                                                                                  | CUSIP: 040555CW2<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |     425000 | PA      | $416657.25    | 0.02%             | 2027-09-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3140HNWP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58048 | PA      | $57077.80     | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | Barclays PLC                                                                                               | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    4410000 | PA      | $5060519.10   | 0.21%             | 2033-11-02      | Fixed         | 7.44%                 | No            |                  2 | On Loan: No      |
| American Municipal Power Inc                                                     | AMERICAN MUNI PWR-OHIO INC OH REVENUE                                                                      | CUSIP: 02765UEQ3<br>LEI: EARKGGZJJEMVD66XQ486 | Long             | DBT              | MUN               | US        |    1505000 | PA      | $1570661.49   | 0.07%             | 2050-02-15      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                                                        | CUSIP: 91282CGS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3831000 | PA      | $3815436.56   | 0.16%             | 2030-03-31      | Fixed         | 3.62%                 | No            |                  1 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                           | Verizon Communications Inc                                                                                 | CUSIP: 92343VFR0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     100000 | PA      | $87501.00     | 0.00%             | 2031-01-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                                                            | CUSIP: 3138LSR85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13430 | PA      | $12588.89     | 0.00%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                                                               | Ohio Power Co                                                                                              | CUSIP: 677415CS8<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |     675000 | PA      | $627378.75    | 0.03%             | 2030-04-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179NLE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17111 | PA      | $16592.08     | 0.00%             | 2043-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                                                         | Long: SR241428  IRS EUR R F  2.40000 2 CCPVANILLA / Short: SR241428  IRS EUR P V 06MEURIB 1 CCPVANILLA     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   45940000 | OU      | $-60737.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                                                | Expedia Group Inc                                                                                          | CUSIP: 30212PBK0<br>LEI: CI7MUJI4USF3V0NJ1H64 | Long             | DBT              | CORP              | US        |    1212000 | PA      | $1221041.52   | 0.05%             | 2027-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2360526 | PA      | $2331430.35   | 0.10%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                   | OPS08401A SWAPTION EUR OTC                                                                                 | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              |  | DE        |    8390000 | NC      | $26976.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac REMICS                                                                                         | CUSIP: 3137HJSY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3716811 | PA      | $3708491.58   | 0.16%             | 2055-02-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                                                              | General Electric Co                                                                                        | CUSIP: 36962G3P7<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |     700000 | PA      | $761824.00    | 0.03%             | 2038-01-14      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Bonds                                                                                        | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     210000 | PA      | $175185.94    | 0.01%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                                                         | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     405714 | PA      | $400712.72    | 0.02%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                                              | Carrier Global Corp                                                                                        | CUSIP: 14448CAL8<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |    2675000 | PA      | $2455944.25   | 0.10%             | 2031-02-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                             | Keurig Dr Pepper Inc                                                                                       | CUSIP: 49271VAN0<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    1968000 | PA      | $1735559.52   | 0.07%             | 2031-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                                                           | CUSIP: 3133B9PW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     133761 | PA      | $130480.23    | 0.01%             | 2052-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                                                          | CUSIP: 3620A7LX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34484 | PA      | $35223.44     | 0.00%             | 2040-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | U.S. Treasury Notes                                                                                        | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  101610000 | PA      | $104856757.54 | 4.41%             | 2029-04-30      | Fixed         | 4.62%                 | No            |                  1 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                                                                    | CUSIP: 55336VAM2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     275000 | PA      | $248949.25    | 0.01%             | 2038-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                                           | RR 26 Ltd                                                                                                  | CUSIP: 74989MAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2800000 | PA      | $2801635.20   | 0.12%             | 2038-04-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| CUBESMART LP                                                                     | CubeSmart LP                                                                                               | CUSIP: 22966RAJ5<br>LEI: 549300MPHKO3I3FJRA97 | Long             | DBT              |  | US        |     370000 | PA      | $326565.70    | 0.01%             | 2032-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                                                                | Generate CLO 22 Ltd                                                                                        | CUSIP: 37150AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   11675000 | PA      | $11717777.20  | 0.49%             | 2038-07-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-04

**Name of Applicant:** GOLDMAN SACHS TRUST

**Signature:** Peter Fortner

**Name of Signer:** Peter Fortner

**Title:** Vice President