# EDGAR Filing Document

**Accession Number:** 0000914036
**File Stem:** 0001410368-25-027734
**Filing Date:** 2025-11
**Character Count:** 1636742
**Document Hash:** 23fdb1a1c71102cefc337d82e86579df
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-027734.hdr.sgml**: 20251121

**ACCESSION NUMBER**: 0001410368-25-027734

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251121

**DATE AS OF CHANGE**: 20251121

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST
- **CENTRAL INDEX KEY:** 0000914036

**ORGANIZATION NAME:**
- **EIN:** 521835648
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08090
- **FILM NUMBER:** 251504926

**BUSINESS ADDRESS:**
- **STREET 1:** 1301 SOUTH HARRISON STREET
- **CITY:** FORT WAYNE
- **STATE:** IN
- **ZIP:** 46802
- **BUSINESS PHONE:** 260-455-2000

**MAIL ADDRESS:**
- **STREET 1:** 1301 SOUTH HARRISON STREET
- **CITY:** FORT WAYNE
- **STATE:** IN
- **ZIP:** 46802

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AGGRESSIVE GROWTH FUND /
- **DATE OF NAME CHANGE:** 20031001

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST
- **DATE OF NAME CHANGE:** 20030910

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LINCOLN NATIONAL AGGRESSIVE GROWTH FUND INC
- **DATE OF NAME CHANGE:** 19931025

## Series and Classes Contracts Data

### LVIP JPMorgan Core Bond Fund (Series ID: S000079874)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000241300 | Service Class  |  |
| C000241301 | Standard Class |  |

## Nport-Ex

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments**

September 30, 2025 (unaudited)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | **Principal** <br>**Amount°**<br>| **Value** <br>**(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS–4.01%** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS–4.01%** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS–4.01%** |
| Federal Home Loan Mortgage Corp. REMICS | Federal Home Loan Mortgage Corp. REMICS | Federal Home Loan Mortgage Corp. REMICS |
| &nbsp;&nbsp;&nbsp; Series 1981 Class Z 6.00% <br> 5/15/27<br>| 151 | $151 |
| &nbsp;&nbsp;&nbsp; Series 1987 Class PE 7.50% <br> 9/15/27<br>| 1185 | 1207 |
| &nbsp;&nbsp;&nbsp; Series 1999 Class PU 7.00% <br> 10/15/27<br>| 945 | 950 |
| &nbsp;&nbsp;&nbsp; Series 2031 Class PG 7.00% <br> 2/15/28<br>| 6532 | 6684 |
| &nbsp;&nbsp;&nbsp; Series 2035 Class PC 6.95% <br> 3/15/28<br>| 5784 | 5916 |
| &nbsp;&nbsp;&nbsp; \*Series 2038 Class PN 7.00% <br> 3/15/28<br>| 400 | 22 |
| &nbsp;&nbsp;&nbsp; Series 2054 Class PV 7.50% <br> 5/15/28<br>| 782 | 799 |
| &nbsp;&nbsp;&nbsp; Series 2057 Class PE 6.75% <br> 5/15/28<br>| 12579 | 12882 |
| &nbsp;&nbsp;&nbsp; Series 2064 Class TE 7.00% <br> 6/15/28<br>| 644 | 663 |
| &nbsp;&nbsp;&nbsp; Series 2075 Class PH 6.50% <br> 8/15/28<br>| 1588 | 1627 |
| &nbsp;&nbsp;&nbsp; Series 2095 Class PE 6.00% <br> 11/15/28<br>| 5051 | 5156 |
| &nbsp;&nbsp;&nbsp; •Series 2132 Class SB 11.18% <br> (30.05% minus 30 day USD <br> SOFR Average) 3/15/29<br>| 331 | 365 |
| &nbsp;&nbsp;&nbsp; Series 2178 Class PB 7.00% <br> 8/15/29<br>| 2906 | 3012 |
| &nbsp;&nbsp;&nbsp; Series 2182 Class ZB 8.00% <br> 9/15/29<br>| 3651 | 3765 |
| &nbsp;&nbsp;&nbsp; •Series 2204 Class GB 8.00% <br> 12/20/29<br>| 113 | 12 |
| &nbsp;&nbsp;&nbsp; Series 2247 Class Z 7.50% <br> 8/15/30<br>| 1944 | 2039 |
| &nbsp;&nbsp;&nbsp; Series 2259 Class ZC 7.35% <br> 10/15/30<br>| 43939 | 46030 |
| &nbsp;&nbsp;&nbsp; Series 2325 Class PM 7.00% <br> 6/15/31<br>| 960 | 1010 |
| &nbsp;&nbsp;&nbsp; Series 2344 Class ZD 6.50% <br> 8/15/31<br>| 9915 | 10170 |
| &nbsp;&nbsp;&nbsp; Series 2344 Class ZJ 6.50% <br> 8/15/31<br>| 2473 | 2563 |
| &nbsp;&nbsp;&nbsp; Series 2345 Class NE 6.50% <br> 8/15/31<br>| 1277 | 1331 |
| &nbsp;&nbsp;&nbsp; Series 2359 Class ZB 8.50% <br> 6/15/31<br>| 5247 | 5600 |
| &nbsp;&nbsp;&nbsp; Series 2367 Class ME 6.50% <br> 10/15/31<br>| 19590 | 20413 |
| &nbsp;&nbsp;&nbsp; ~^Series 2390 Class DO 0.00% <br> 12/15/31<br>| 878 | 843 |
| &nbsp;&nbsp;&nbsp; •Series 2410 Class QS 7.83% <br> (19.20% minus 30 day USD <br> SOFR Average) 2/15/32<br>| 2914 | 3235 |
| &nbsp;&nbsp;&nbsp; \*•Series 2410 Class QX 4.16% <br> (8.54% minus 30 day USD <br> SOFR Average) 2/15/32<br>| 2347 | 205 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| Federal Home Loan Mortgage Corp. REMICS (continued) | Federal Home Loan Mortgage Corp. REMICS (continued) | Federal Home Loan Mortgage Corp. REMICS (continued) |
| &nbsp;&nbsp;&nbsp; •Series 2412 Class SP 7.13% <br> (15.87% minus 30 day USD <br> SOFR Average) 2/15/32<br>| 3326 | $3617 |
| &nbsp;&nbsp;&nbsp; Series 2423 Class MC 7.00% <br> 3/15/32<br>| 5741 | 6037 |
| &nbsp;&nbsp;&nbsp; Series 2423 Class MT 7.00% <br> 3/15/32<br>| 8559 | 9008 |
| &nbsp;&nbsp;&nbsp; Series 2435 Class CJ 6.50% <br> 4/15/32<br>| 18190 | 18978 |
| &nbsp;&nbsp;&nbsp; \*•Series 2444 Class ES 3.46% <br> (7.84% minus 30 day USD <br> SOFR Average) 3/15/32<br>| 3761 | 348 |
| &nbsp;&nbsp;&nbsp; \*•Series 2450 Class SW 3.51% <br> (7.89% minus 30 day USD <br> SOFR Average) 3/15/32<br>| 2507 | 234 |
| &nbsp;&nbsp;&nbsp; Series 2455 Class GK 6.50% <br> 5/15/32<br>| 6961 | 7278 |
| &nbsp;&nbsp;&nbsp; Series 2484 Class LZ 6.50% <br> 7/15/32<br>| 5071 | 5224 |
| &nbsp;&nbsp;&nbsp; Series 2500 Class MC 6.00% <br> 9/15/32<br>| 11041 | 11418 |
| &nbsp;&nbsp;&nbsp; Series 2543 Class YX 6.00% <br> 12/15/32<br>| 224289 | 232598 |
| &nbsp;&nbsp;&nbsp; Series 2544 Class HC 6.00% <br> 12/15/32<br>| 12992 | 13457 |
| &nbsp;&nbsp;&nbsp; Series 2574 Class PE 5.50% <br> 2/15/33<br>| 67199 | 68926 |
| &nbsp;&nbsp;&nbsp; Series 2575 Class ME 6.00% <br> 2/15/33<br>| 37104 | 38457 |
| &nbsp;&nbsp;&nbsp; \*Series 2586 Class WI 6.50% <br> 3/15/33<br>| 2128 | 307 |
| &nbsp;&nbsp;&nbsp; Series 2647 Class A 3.25% <br> 4/15/32<br>| 9454 | 9266 |
| &nbsp;&nbsp;&nbsp; Series 2764 Class UG 5.00% <br> 3/15/34<br>| 57917 | 58803 |
| &nbsp;&nbsp;&nbsp; Series 2949 Class GE 5.50% <br> 3/15/35<br>| 79363 | 81663 |
| &nbsp;&nbsp;&nbsp; Series 3047 Class OD 5.50% <br> 10/15/35<br>| 51924 | 53054 |
| &nbsp;&nbsp;&nbsp; •Series 3085 Class VS 10.77% <br> (28.26% minus 30 day USD <br> SOFR Average) 12/15/35<br>| 20399 | 25986 |
| &nbsp;&nbsp;&nbsp; Series 3098 Class KG 5.50% <br> 1/15/36<br>| 73742 | 75540 |
| &nbsp;&nbsp;&nbsp; ~^Series 3117 Class EO 0.00% <br> 2/15/36<br>| 6145 | 5219 |
| &nbsp;&nbsp;&nbsp; \*•Series 3260 Class CS 1.65% <br> (6.03% minus 30 day USD <br> SOFR Average) 1/15/37<br>| 7112 | 614 |
| &nbsp;&nbsp;&nbsp; \*•Series 3380 Class SI 1.88% <br> (6.26% minus 30 day USD <br> SOFR Average) 10/15/37<br>| 387825 | 35229 |
| &nbsp;&nbsp;&nbsp; \*•Series 3385 Class SN 1.51% <br> (5.89% minus 30 day USD <br> SOFR Average) 11/15/37<br>| 5954 | 363 |

---

*LVIP JPMorgan Core Bond Fund–1*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| Federal Home Loan Mortgage Corp. REMICS (continued) | Federal Home Loan Mortgage Corp. REMICS (continued) | Federal Home Loan Mortgage Corp. REMICS (continued) |
| &nbsp;&nbsp;&nbsp; \*•Series 3387 Class SA 1.93% <br> (6.31% minus 30 day USD <br> SOFR Average) 11/15/37<br>| 18326 | $1662 |
| &nbsp;&nbsp;&nbsp; Series 3423 Class PB 5.50% <br> 3/15/38<br>| 81710 | 84648 |
| &nbsp;&nbsp;&nbsp; \*•Series 3451 Class SA 1.56% <br> (5.94% minus 30 day USD <br> SOFR Average) 5/15/38<br>| 1849 | 163 |
| &nbsp;&nbsp;&nbsp; \*•Series 3455 Class SE 1.71% <br> (6.09% minus 30 day USD <br> SOFR Average) 6/15/38<br>| 63775 | 5838 |
| &nbsp;&nbsp;&nbsp; Series 3786 Class PD 4.50% <br> 1/15/41<br>| 407000 | 390689 |
| &nbsp;&nbsp;&nbsp; \*•Series 3973 Class SA 2.00% <br> (6.38% minus 30 day USD <br> SOFR Average) 12/15/41<br>| 291939 | 32070 |
| &nbsp;&nbsp;&nbsp; Series 4664 Class UZ 4.00% <br> 3/15/47<br>| 1404153 | 1267015 |
| &nbsp;&nbsp;&nbsp; Series 4676 Class KZ 2.50% <br> 7/15/45<br>| 174360 | 151405 |
| &nbsp;&nbsp;&nbsp; Series 4793 Class CB 3.00% <br> 5/15/48<br>| 397622 | 352981 |
| &nbsp;&nbsp;&nbsp; Series 4793 Class CD 3.00% <br> 6/15/48<br>| 258251 | 228086 |
| &nbsp;&nbsp;&nbsp; Series 4813 Class CJ 3.00% <br> 8/15/48<br>| 232985 | 202401 |
| &nbsp;&nbsp;&nbsp; Series 4991 Class QV 2.00% <br> 9/25/45<br>| 355753 | 309439 |
| &nbsp;&nbsp;&nbsp; \*Series 5010 Class IK 2.50% <br> 9/25/50<br>| 293332 | 45683 |
| &nbsp;&nbsp;&nbsp; \*Series 5010 Class JI 2.50% <br> 9/25/50<br>| 779241 | 129400 |
| &nbsp;&nbsp;&nbsp; \*Series 5013 Class IN 2.50% <br> 9/25/50<br>| 352418 | 58789 |
| &nbsp;&nbsp;&nbsp; \*Series 5018 Class MI 2.00% <br> 10/25/50<br>| 734313 | 99279 |
| &nbsp;&nbsp;&nbsp; \*Series 5059 Class IB 2.50% <br> 1/25/51<br>| 1122796 | 188550 |
| &nbsp;&nbsp;&nbsp; Series 5092 Class AP 2.00% <br> 4/25/41<br>| 459881 | 405536 |
| &nbsp;&nbsp;&nbsp; \*Series 5140 Class NI 2.50% <br> 5/25/49<br>| 1248377 | 177608 |
| &nbsp;&nbsp;&nbsp; \*Series 5148 Class BI 2.50% <br> 1/25/49<br>| 2515848 | 373915 |
| &nbsp;&nbsp;&nbsp; \*Series 5148 Class CI 2.00% <br> 6/25/49<br>| 1234245 | 156322 |
| &nbsp;&nbsp;&nbsp; \*Series 5202 Class IN 3.00% <br> 1/25/47<br>| 969726 | 128588 |
| &nbsp;&nbsp;&nbsp; Series 5224 Class HL 4.00% <br> 4/25/52<br>| 1300000 | 1200372 |
| &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Seasoned Credit Risk Transfer <br> Trust | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Seasoned Credit Risk Transfer <br> Trust | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Seasoned Credit Risk Transfer <br> Trust |
| &nbsp;&nbsp;&nbsp; φSeries 2017-4 Class HT 3.25% <br> 6/25/57<br>| 9026633 | 8128616 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Seasoned Credit Risk Transfer <br> Trust (continued) | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Seasoned Credit Risk Transfer <br> Trust (continued) | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Seasoned Credit Risk Transfer <br> Trust (continued) |
| &nbsp;&nbsp;&nbsp; Series 2019-1 Class MT <br> 3.50% 7/25/58<br>| 2471012 | $2204728 |
| &nbsp;&nbsp;&nbsp; Series 2019-3 Class MB <br> 3.50% 10/25/58<br>| 295000 | 246947 |
| &nbsp;&nbsp;&nbsp; Series 2022-1 Class MTU <br> 3.25% 11/25/61<br>| 692580 | 595407 |
| &nbsp;&nbsp;&nbsp; Series 2022-2 Class M5TU <br> 4.00% 4/25/62<br>| 4171325 | 3870567 |
| &nbsp;&nbsp;&nbsp; Series 2023-1 Class MT <br> 3.00% 10/25/62<br>| 1134667 | 949347 |
| &nbsp;&nbsp;&nbsp; Series 2024-2 Class MT <br> 3.50% 5/25/64<br>| 5274806 | 4565751 |
| •Federal Home Loan Mortgage Corp. STACR REMICS Trust | •Federal Home Loan Mortgage Corp. STACR REMICS Trust | •Federal Home Loan Mortgage Corp. STACR REMICS Trust |
| &nbsp;&nbsp;&nbsp; Series 2021-DNA5 Class M2 <br> 6.01% (30 day USD SOFR <br> Average + 1.65%) 1/25/34<br>| 420174 | 422494 |
| &nbsp;&nbsp;&nbsp; Series 2021-DNA6 Class M2 <br> 5.86% (30 day USD SOFR <br> Average + 1.50%) 10/25/41<br>| 2114262 | 2122236 |
| &nbsp;&nbsp;&nbsp; Series 2021-HQA2 Class M2 <br> 6.41% (30 day USD SOFR <br> Average + 2.05%) 12/25/33<br>| 1720090 | 1761320 |
| &nbsp;&nbsp;&nbsp; Series 2022-DNA1 Class M2 <br> 6.86% (30 day USD SOFR <br> Average + 2.50%) 1/25/42<br>| 1001000 | 1017347 |
| &nbsp;&nbsp;&nbsp; Series 2022-DNA2 Class M1A <br> 5.66% (30 day USD SOFR <br> Average + 1.30%) 2/25/42<br>| 707364 | 708802 |
| &nbsp;&nbsp;&nbsp; Series 2022-DNA3 Class M1B <br> 7.26% (30 day USD SOFR <br> Average + 2.90%) 4/25/42<br>| 2640000 | 2715183 |
| &nbsp;&nbsp;&nbsp; Series 2022-DNA4 Class M1B <br> 7.71% (30 day USD SOFR <br> Average + 3.35%) 5/25/42<br>| 700000 | 726964 |
| &nbsp;&nbsp;&nbsp; Series 2025-DNA2 Class M2 <br> 5.86% (30 day USD SOFR <br> Average + 1.50%) 5/25/45<br>| 422000 | 422275 |
| Federal Home Loan Mortgage Corp. STRIPS | Federal Home Loan Mortgage Corp. STRIPS | Federal Home Loan Mortgage Corp. STRIPS |
| &nbsp;&nbsp;&nbsp; \*Series 233 Class 11 5.00% <br> 9/15/35<br>| 12210 | 1873 |
| &nbsp;&nbsp;&nbsp; \*•Series 239 Class S30 3.21% <br> (7.59% minus 30 day USD <br> SOFR Average) 8/15/36<br>| 14176 | 2011 |
| &nbsp;&nbsp;&nbsp; Series 262 Class 35 3.50% <br> 7/15/42<br>| 70030 | 66688 |
| &nbsp;&nbsp;&nbsp; Series 299 Class 300 3.00% <br> 1/15/43<br>| 43622 | 39649 |
| &nbsp;&nbsp;&nbsp; \*•Series 334 Class S7 1.61% <br> (5.99% minus 30 day USD <br> SOFR Average) 8/15/44<br>| 505643 | 56052 |
| &nbsp;&nbsp;&nbsp; \*•Series 353 Class S1 1.51% <br> (5.89% minus 30 day USD <br> SOFR Average) 12/15/46<br>| 204909 | 21979 |

---

*LVIP JPMorgan Core Bond Fund–2*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Structured Pass-Through <br> Certificates | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Structured Pass-Through <br> Certificates | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Structured Pass-Through <br> Certificates |
| &nbsp;&nbsp;&nbsp; ♦•Series T-41 Class 3A 4.40% <br> 7/25/32<br>| 4994 | $4785 |
| &nbsp;&nbsp;&nbsp; ♦Series T-54 Class 2A 6.50% <br> 2/25/43<br>| 41999 | 42480 |
| &nbsp;&nbsp;&nbsp; ♦Series T-54 Class 3A 7.00% <br> 2/25/43<br>| 17878 | 18937 |
| &nbsp;&nbsp;&nbsp; ~♦^Series T-56 Class A 0.00% <br> 5/25/43<br>| 128971 | 100529 |
| &nbsp;&nbsp;&nbsp; ♦Series T-58 Class 2A 6.50% <br> 9/25/43<br>| 11364 | 11945 |
| &nbsp;&nbsp;&nbsp; ~♦^Series T-58 Class A 0.00% <br> 9/25/43<br>| 5797 | 4910 |
| &nbsp;&nbsp; •Federal National Mortgage Association Connecticut Avenue <br> Securities Trust | &nbsp;&nbsp; •Federal National Mortgage Association Connecticut Avenue <br> Securities Trust | &nbsp;&nbsp; •Federal National Mortgage Association Connecticut Avenue <br> Securities Trust |
| &nbsp;&nbsp;&nbsp; Series 2021-R01 Class 1M2 <br> 5.91% (30 day USD SOFR <br> Average + 1.55%) 10/25/41<br>| 553657 | 555745 |
| &nbsp;&nbsp;&nbsp; Series 2022-R02 Class 2M2 <br> 7.36% (30 day USD SOFR <br> Average + 3.00%) 1/25/42<br>| 396000 | 404748 |
| &nbsp;&nbsp;&nbsp; Series 2022-R03 Class 1M2 <br> 7.86% (30 day USD SOFR <br> Average + 3.50%) 3/25/42<br>| 760000 | 785569 |
| &nbsp;&nbsp;&nbsp; Series 2023-R06 Class 1M2 <br> 7.06% (30 day USD SOFR <br> Average + 2.70%) 7/25/43<br>| 1550000 | 1601317 |
| &nbsp;&nbsp;&nbsp; Series 2023-R08 Class 1M1 <br> 5.86% (30 day USD SOFR <br> Average + 1.50%) 10/25/43<br>| 582660 | 584740 |
| &nbsp;&nbsp;&nbsp; Series 2024-R04 Class 1A1 <br> 5.36% (30 day USD SOFR <br> Average + 1.00%) 5/25/44<br>| 1380064 | 1382202 |
| &nbsp;&nbsp;&nbsp; Series 2025-R01 Class 1M2 <br> 5.86% (30 day USD SOFR <br> Average + 1.50%) 1/25/45<br>| 506000 | 506737 |
| &nbsp;&nbsp;&nbsp; Series 2025-R02 Class 1M2 <br> 5.96% (30 day USD SOFR <br> Average + 1.60%) 2/25/45<br>| 432000 | 432931 |
| &nbsp;&nbsp;&nbsp; Series 2025-R03 Class 2M1 <br> 5.96% (30 day USD SOFR <br> Average + 1.60%) 3/25/45<br>| 670353 | 674202 |
| &nbsp;&nbsp;&nbsp; Series 2025-R04 Class 1M2 <br> 5.86% (30 day USD SOFR <br> Average + 1.50%) 5/25/45<br>| 1073000 | 1072996 |
| &nbsp;&nbsp; Federal National Mortgage <br> Association Grantor Trust <br> Series 2017-T1 Class A 2.90% <br> 6/25/27<br>| 660510 | 646041 |
| Federal National Mortgage Association Interest STRIPS | Federal National Mortgage Association Interest STRIPS | Federal National Mortgage Association Interest STRIPS |
| &nbsp;&nbsp;&nbsp; ~^Series 329 Class 1 0.00% <br> 1/25/33<br>| 1029 | 914 |
| &nbsp;&nbsp;&nbsp; \*Series 365 Class 8 5.50% <br> 5/25/36<br>| 5222 | 912 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| Federal National Mortgage Association Interest STRIPS (continued) | Federal National Mortgage Association Interest STRIPS (continued) | Federal National Mortgage Association Interest STRIPS (continued) |
| &nbsp;&nbsp;&nbsp; \*Series 427 Class C73 3.00% <br> 12/25/48<br>| 1580119 | $260544 |
| Federal National Mortgage Association REMICS | Federal National Mortgage Association REMICS | Federal National Mortgage Association REMICS |
| &nbsp;&nbsp;&nbsp; Series 1997-39 Class PD <br> 7.50% 5/20/27<br>| 441 | 449 |
| &nbsp;&nbsp;&nbsp; Series 1997-46 Class PL <br> 6.00% 7/18/27<br>| 585 | 589 |
| &nbsp;&nbsp;&nbsp; Series 1998-36 Class ZB <br> 6.00% 7/18/28<br>| 486 | 493 |
| &nbsp;&nbsp;&nbsp; Series 1998-46 Class GZ <br> 6.50% 8/18/28<br>| 1355 | 1387 |
| &nbsp;&nbsp;&nbsp; Series 1998-58 Class PC <br> 6.50% 10/25/28<br>| 4560 | 4672 |
| &nbsp;&nbsp;&nbsp; \*Series 1999-39 Class JH <br> 6.50% 8/25/29<br>| 8419 | 551 |
| &nbsp;&nbsp;&nbsp; \*Series 2000-52 IO 8.50% <br> 1/25/31<br>| 598 | 77 |
| &nbsp;&nbsp;&nbsp; Series 2001-30 Class PM <br> 7.00% 7/25/31<br>| 5259 | 5499 |
| &nbsp;&nbsp;&nbsp; \*Series 2001-33 Class ID <br> 6.00% 7/25/31<br>| 21643 | 2348 |
| &nbsp;&nbsp;&nbsp; Series 2001-36 Class DE <br> 7.00% 8/25/31<br>| 9994 | 10502 |
| &nbsp;&nbsp;&nbsp; Series 2001-44 Class PD <br> 7.00% 9/25/31<br>| 643 | 662 |
| &nbsp;&nbsp;&nbsp; Series 2001-61 Class Z 7.00% <br> 11/25/31<br>| 15899 | 16780 |
| &nbsp;&nbsp;&nbsp; •Series 2002-1 Class SA <br> 10.66% (24.82% minus 30 <br> day USD SOFR Average) <br> 2/25/32<br>| 413 | 498 |
| &nbsp;&nbsp;&nbsp; \*•Series 2002-13 Class SJ <br> 1.60% (7.99% minus 30 day <br> USD SOFR Average) <br> 3/25/32<br>| 9825 | 180 |
| &nbsp;&nbsp;&nbsp; ~^Series 2002-15 0.00% <br> 4/25/32<br>| 9094 | 8547 |
| &nbsp;&nbsp;&nbsp; Series 2002-28 Class PK <br> 6.50% 5/25/32<br>| 6329 | 6594 |
| &nbsp;&nbsp;&nbsp; \*•Series 2002-68 Class SH <br> 3.50% (7.89% minus 30 day <br> USD SOFR Average) <br> 10/18/32<br>| 14355 | 1227 |
| &nbsp;&nbsp;&nbsp; •Series 2002-77 Class S 6.29% <br> (14.27% minus 30 day USD <br> SOFR Average) 12/25/32<br>| 1368 | 1477 |
| &nbsp;&nbsp;&nbsp; \*•Series 2003-116 Class SB <br> 3.13% (7.49% minus 30 day <br> USD SOFR Average) <br> 11/25/33<br>| 17341 | 1441 |
| &nbsp;&nbsp;&nbsp; •Series 2003-130 Class SX <br> 4.81% (11.35% minus 30 day <br> USD SOFR Average) <br> 1/25/34<br>| 162 | 165 |

---

*LVIP JPMorgan Core Bond Fund–3*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| Federal National Mortgage Association REMICS (continued) | Federal National Mortgage Association REMICS (continued) | Federal National Mortgage Association REMICS (continued) |
| &nbsp;&nbsp;&nbsp; Series 2003-131 Class CH <br> 5.50% 1/25/34<br>| 25590 | $26143 |
| &nbsp;&nbsp;&nbsp; ~^Series 2003-132 Class OA <br> 0.00% 8/25/33<br>| 270 | 258 |
| &nbsp;&nbsp;&nbsp; Series 2003-22 Class UD <br> 4.00% 4/25/33<br>| 37999 | 37682 |
| &nbsp;&nbsp;&nbsp; \*Series 2003-44 Class IU <br> 7.00% 6/25/33<br>| 8070 | 1254 |
| &nbsp;&nbsp;&nbsp; Series 2003-47 Class PE <br> 5.75% 6/25/33<br>| 6403 | 6609 |
| &nbsp;&nbsp;&nbsp; •Series 2003-64 Class SX <br> 2.58% (13.46% minus 30 day <br> USD SOFR Average) <br> 7/25/33<br>| 1278 | 1264 |
| &nbsp;&nbsp;&nbsp; Series 2003-7 Class A1 6.50% <br> 12/25/42<br>| 64481 | 65310 |
| &nbsp;&nbsp;&nbsp; •Series 2003-71 Class DS <br> 1.51% (7.31% minus 30 day <br> USD SOFR Average) <br> 8/25/33<br>| 10869 | 10140 |
| &nbsp;&nbsp;&nbsp; •Series 2003-91 Class SD <br> 5.05% (12.31% minus 30 day <br> USD SOFR Average) <br> 9/25/33<br>| 1944 | 2037 |
| &nbsp;&nbsp;&nbsp; Series 2004-35 Class AZ <br> 4.50% 5/25/34<br>| 32848 | 32505 |
| &nbsp;&nbsp;&nbsp; •Series 2004-36 Class SA <br> 7.23% (19.21% minus 30 day <br> USD SOFR Average) <br> 5/25/34<br>| 12461 | 14012 |
| &nbsp;&nbsp;&nbsp; •Series 2004-46 Class SK <br> 4.21% (16.19% minus 30 day <br> USD SOFR Average) <br> 5/25/34<br>| 3659 | 3772 |
| &nbsp;&nbsp;&nbsp; •Series 2004-51 Class SY <br> 5.30% (14.01% minus 30 day <br> USD SOFR Average) <br> 7/25/34<br>| 1248 | 1310 |
| &nbsp;&nbsp;&nbsp; •Series 2004-61 Class SK <br> 8.50% (50.19% minus 30 day <br> USD SOFR Average) <br> 11/25/32<br>| 6978 | 7456 |
| &nbsp;&nbsp;&nbsp; Series 2004-79 Class ZE <br> 5.50% 11/25/34<br>| 164309 | 167377 |
| &nbsp;&nbsp;&nbsp; Series 2004-91 Class HC <br> 6.00% 12/25/34<br>| 177557 | 183399 |
| &nbsp;&nbsp;&nbsp; •Series 2005-45 Class DC <br> 7.92% (23.89% minus 30 day <br> USD SOFR Average) <br> 6/25/35<br>| 17970 | 20866 |
| &nbsp;&nbsp;&nbsp; Series 2005-84 Class XM <br> 5.75% 10/25/35<br>| 9078 | 9387 |
| &nbsp;&nbsp;&nbsp; ~^Series 2006-110 0.00% <br> 11/25/36<br>| 8502 | 7278 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| Federal National Mortgage Association REMICS (continued) | Federal National Mortgage Association REMICS (continued) | Federal National Mortgage Association REMICS (continued) |
| &nbsp;&nbsp;&nbsp; \*•Series 2006-117 Class GS <br> 2.18% (6.54% minus 30 day <br> USD SOFR Average) <br> 12/25/36<br>| 16110 | $1595 |
| &nbsp;&nbsp;&nbsp; ~^Series 2006-22 Class AO <br> 0.00% 4/25/36<br>| 8951 | 7740 |
| &nbsp;&nbsp;&nbsp; •Series 2006-46 Class SW <br> 7.81% (23.78% minus 30 day <br> USD SOFR Average) <br> 6/25/36<br>| 2943 | 3439 |
| &nbsp;&nbsp;&nbsp; \*•Series 2007-100 Class SM <br> 1.98% (6.34% minus 30 day <br> USD SOFR Average) <br> 10/25/37<br>| 16228 | 1536 |
| &nbsp;&nbsp;&nbsp; \*•Series 2007-53 Class SH <br> 1.63% (5.99% minus 30 day <br> USD SOFR Average) <br> 6/25/37<br>| 21523 | 1716 |
| &nbsp;&nbsp;&nbsp; \*•Series 2007-7 Class SG 2.03% <br> (6.39% minus 30 day USD <br> SOFR Average) 8/25/36<br>| 42337 | 3445 |
| &nbsp;&nbsp;&nbsp; \*•Series 2007-88 Class VI <br> 2.07% (6.43% minus 30 day <br> USD SOFR Average) <br> 9/25/37<br>| 28612 | 2628 |
| &nbsp;&nbsp;&nbsp; \*•Series 2008-1 Class BI 1.44% <br> (5.80% minus 30 day USD <br> SOFR Average) 2/25/38<br>| 15963 | 1221 |
| &nbsp;&nbsp;&nbsp; \*•Series 2008-16 Class IS <br> 1.73% (6.09% minus 30 day <br> USD SOFR Average) <br> 3/25/38<br>| 4720 | 374 |
| &nbsp;&nbsp;&nbsp; \*•Series 2008-46 Class HI <br> 1.55% 6/25/38<br>| 6726 | 371 |
| &nbsp;&nbsp;&nbsp; \*•Series 2008-53 Class CI <br> 2.73% (7.09% minus 30 day <br> USD SOFR Average) <br> 7/25/38<br>| 5378 | 636 |
| &nbsp;&nbsp;&nbsp; \*•Series 2009-112 Class ST <br> 1.78% (6.14% minus 30 day <br> USD SOFR Average) <br> 1/25/40<br>| 14481 | 1340 |
| &nbsp;&nbsp;&nbsp; \*•Series 2010-100 Class SV <br> 2.16% (6.52% minus 30 day <br> USD SOFR Average) <br> 9/25/40<br>| 606058 | 63539 |
| &nbsp;&nbsp;&nbsp; Series 2010-102 Class PN <br> 5.00% 9/25/40<br>| 190113 | 192105 |
| &nbsp;&nbsp;&nbsp; Series 2010-134 Class KZ <br> 4.50% 12/25/40<br>| 218010 | 194526 |
| &nbsp;&nbsp;&nbsp; \*•Series 2010-35 Class SB <br> 1.95% (6.31% minus 30 day <br> USD SOFR Average) <br> 4/25/40<br>| 5374 | 522 |

---

*LVIP JPMorgan Core Bond Fund–4*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| Federal National Mortgage Association REMICS (continued) | Federal National Mortgage Association REMICS (continued) | Federal National Mortgage Association REMICS (continued) |
| &nbsp;&nbsp;&nbsp; Series 2010-80 Class PZ <br> 5.00% 7/25/40<br>| 204643 | $209224 |
| &nbsp;&nbsp;&nbsp; Series 2012-118 Class VZ <br> 3.00% 11/25/42<br>| 644852 | 582082 |
| &nbsp;&nbsp;&nbsp; Series 2012-30 Class DZ <br> 4.00% 4/25/42<br>| 122926 | 119841 |
| &nbsp;&nbsp;&nbsp; ~^Series 2013-128 0.00% <br> 12/25/43<br>| 57957 | 44000 |
| &nbsp;&nbsp;&nbsp; Series 2013-44 Class Z 3.00% <br> 5/25/43<br>| 18504 | 13938 |
| &nbsp;&nbsp;&nbsp; \*•Series 2013-54 Class BS <br> 1.68% (6.04% minus 30 day <br> USD SOFR Average) <br> 6/25/43<br>| 40111 | 4348 |
| &nbsp;&nbsp;&nbsp; Series 2013-67 Class KZ <br> 2.50% 4/25/43<br>| 950522 | 819457 |
| &nbsp;&nbsp;&nbsp; \*Series 2014-15 Class JI <br> 3.50% 4/25/29<br>| 864243 | 32996 |
| &nbsp;&nbsp;&nbsp; Series 2014-19 Class Z 4.50% <br> 4/25/44<br>| 400362 | 397756 |
| &nbsp;&nbsp;&nbsp; \*Series 2014-38 Class QI <br> 5.50% 12/25/43<br>| 185189 | 25862 |
| &nbsp;&nbsp;&nbsp; Series 2015-65 Class CZ <br> 3.50% 9/25/45<br>| 711241 | 616511 |
| &nbsp;&nbsp;&nbsp; Series 2016-38 Class NA <br> 3.00% 1/25/46<br>| 60223 | 56215 |
| &nbsp;&nbsp;&nbsp; \*•Series 2016-61 Class BS <br> 1.63% (5.99% minus 30 day <br> USD SOFR Average) <br> 9/25/46<br>| 669017 | 46134 |
| &nbsp;&nbsp;&nbsp; Series 2017-40 Class GZ <br> 3.50% 5/25/47<br>| 223711 | 205255 |
| &nbsp;&nbsp;&nbsp; \*•Series 2017-76 Class SB <br> 1.63% (5.99% minus 30 day <br> USD SOFR Average) <br> 10/25/57<br>| 728915 | 94706 |
| &nbsp;&nbsp;&nbsp; \*•Series 2017-85 Class SC <br> 1.73% (6.09% minus 30 day <br> USD SOFR Average) <br> 11/25/47<br>| 128267 | 11524 |
| &nbsp;&nbsp;&nbsp; Series 2020-46 Class KB <br> 1.25% 6/25/50<br>| 7359067 | 5777140 |
| &nbsp;&nbsp;&nbsp; Series 2020-47 Class GZ <br> 2.00% 7/25/50<br>| 666368 | 420890 |
| &nbsp;&nbsp;&nbsp; Series 2020-56 Class AQ <br> 2.00% 8/25/50<br>| 2000000 | 1657503 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-56 Class DI <br> 2.50% 8/25/50<br>| 338851 | 55941 |
| &nbsp;&nbsp;&nbsp; Series 2020-57 Class TA <br> 2.00% 4/25/50<br>| 1159915 | 1043074 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-73 Class KI <br> 3.00% 10/25/50<br>| 431611 | 77160 |
| &nbsp;&nbsp;&nbsp; Series 2020-90 Class PE <br> 2.00% 12/25/50<br>| 1202503 | 976187 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| Federal National Mortgage Association REMICS (continued) | Federal National Mortgage Association REMICS (continued) | Federal National Mortgage Association REMICS (continued) |
| &nbsp;&nbsp;&nbsp; Series 2021-1 Class EP 1.00% <br> 11/25/50<br>| 533305 | $411560 |
| &nbsp;&nbsp;&nbsp; \*Series 2021-1 Class IG 2.50% <br> 2/25/51<br>| 1168612 | 208722 |
| &nbsp;&nbsp;&nbsp; Series 2021-25 Class GA <br> 1.00% 5/25/51<br>| 885078 | 675206 |
| &nbsp;&nbsp;&nbsp; Series 2021-28 Class LB <br> 2.00% 4/25/51<br>| 1059564 | 887646 |
| &nbsp;&nbsp;&nbsp; \*Series 2021-3 Class QI 2.50% <br> 2/25/51<br>| 1349494 | 215476 |
| &nbsp;&nbsp;&nbsp; \*Series 2021-43 IO 2.50% <br> 6/25/51<br>| 2496535 | 393628 |
| &nbsp;&nbsp;&nbsp; \*Series 2021-44 Class MI <br> 2.50% 7/25/51<br>| 669455 | 121836 |
| &nbsp;&nbsp;&nbsp; \*Series 2021-61 Class KI <br> 2.50% 4/25/49<br>| 2392678 | 359559 |
| &nbsp;&nbsp;&nbsp; Series 2021-65 Class JA <br> 2.00% 1/25/46<br>| 366760 | 334542 |
| &nbsp;&nbsp;&nbsp; Series 2021-86 Class MA <br> 2.50% 11/25/47<br>| 8725110 | 8059412 |
| &nbsp;&nbsp;&nbsp; Series 2021-95 Class GA <br> 1.88% 3/25/51<br>| 7629866 | 6463570 |
| &nbsp;&nbsp;&nbsp; Series 2022-29 Class KZ <br> 1.50% 6/25/42<br>| 1366610 | 1029303 |
| &nbsp;&nbsp;&nbsp; \*Series 2022-86 IO 2.50% <br> 5/25/50<br>| 1493068 | 207256 |
| Federal National Mortgage Association REMICS Trust | Federal National Mortgage Association REMICS Trust | Federal National Mortgage Association REMICS Trust |
| &nbsp;&nbsp;&nbsp; ~^Series 1999-W1 0.00% <br> 2/25/29<br>| 3878 | 3544 |
| &nbsp;&nbsp;&nbsp; Series 1999-W4 Class A9 <br> 6.25% 2/25/29<br>| 13497 | 13657 |
| &nbsp;&nbsp;&nbsp; Series 2002-W7 Class A4 <br> 6.00% 6/25/29<br>| 64991 | 66160 |
| &nbsp;&nbsp;&nbsp; •Series 2003-W1 Class 1A1 <br> 4.72% 12/25/42<br>| 80351 | 79293 |
| &nbsp;&nbsp;&nbsp; •Series 2003-W1 Class 2A <br> 5.09% 12/25/42<br>| 12418 | 12235 |
| &nbsp;&nbsp;&nbsp; Series 2004-W11 Class 1A2 <br> 6.50% 5/25/44<br>| 3159 | 3263 |
| &nbsp;&nbsp; Federal National Mortgage <br> Association Trust Series <br> 2004-W2 Class 2A2 7.00% <br> 2/25/44<br>| 3758 | 3897 |
| Government National Mortgage Association | Government National Mortgage Association | Government National Mortgage Association |
| &nbsp;&nbsp;&nbsp; •Series 2013-107 Class AD <br> 2.78% 11/16/47<br>| 269622 | 247630 |
| &nbsp;&nbsp;&nbsp; \*•Series 2013-50 IO 0.06% <br> 10/16/48<br>| 2946612 | 7661 |
| &nbsp;&nbsp;&nbsp; \*•Series 2013-74 IO 0.48% <br> 12/16/53<br>| 2168809 | 22495 |
| &nbsp;&nbsp;&nbsp; •Series 2014-17 Class AM <br> 3.54% 6/16/48<br>| 3510 | 3420 |
| &nbsp;&nbsp;&nbsp; \*•Series 2016-128 IO 0.82% <br> 9/16/56<br>| 2281848 | 78169 |

---

*LVIP JPMorgan Core Bond Fund–5*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| Government National Mortgage Association (continued) | Government National Mortgage Association (continued) | Government National Mortgage Association (continued) |
| &nbsp;&nbsp;&nbsp; \*•Series 2017-145 IO 0.50% <br> 4/16/57<br>| 841669 | $21855 |
| &nbsp;&nbsp;&nbsp; \*•Series 2017-157 IO 0.52% <br> 12/16/59<br>| 571504 | 17275 |
| &nbsp;&nbsp;&nbsp; \*•Series 2017-8 IO 0.44% <br> 8/16/58<br>| 862896 | 18043 |
| &nbsp;&nbsp;&nbsp; Series 2020-103 Class AD <br> 1.45% 1/16/63<br>| 1336702 | 1029672 |
| &nbsp;&nbsp;&nbsp; \*•Series 2020-109 Class AI <br> 0.84% 5/16/60<br>| 1466355 | 85208 |
| &nbsp;&nbsp;&nbsp; \*•Series 2020-184 IO 0.91% <br> 11/16/60<br>| 2050963 | 134607 |
| &nbsp;&nbsp;&nbsp; \*•Series 2021-110 IO 0.88% <br> 11/16/63<br>| 3458159 | 231202 |
| &nbsp;&nbsp;&nbsp; \*•Series 2021-133 IO 0.88% <br> 7/16/63<br>| 3922190 | 261647 |
| &nbsp;&nbsp;&nbsp; Series 2021-2 Class AH <br> 1.50% 6/16/63<br>| 162029 | 118732 |
| &nbsp;&nbsp;&nbsp; \*•Series 2021-37 IO 0.80% <br> 1/16/61<br>| 2065302 | 117216 |
| &nbsp;&nbsp;&nbsp; \*•Series 2021-60 IO 0.83% <br> 5/16/63<br>| 1646678 | 93549 |
| &nbsp;&nbsp;&nbsp; \*•Series 2021-68 IO 0.88% <br> 10/16/62<br>| 1949867 | 117307 |
| &nbsp;&nbsp;&nbsp; •Series 2022-196 Class BE <br> 3.00% 10/16/64<br>| 900000 | 623866 |
| &nbsp;&nbsp;&nbsp; \*•Series 2022-210 IO 0.70% <br> 7/16/64<br>| 1035361 | 64375 |
| &nbsp;&nbsp;&nbsp; \*•Series 2022-216 IO 0.75% <br> 7/16/65<br>| 1073218 | 58818 |
| &nbsp;&nbsp;&nbsp; •Series 2022-220 Class E <br> 3.00% 10/16/64<br>| 600000 | 422717 |
| &nbsp;&nbsp;&nbsp; \*•Series 2022-3 IO 0.64% <br> 2/16/61<br>| 4932586 | 240716 |
| &nbsp;&nbsp;&nbsp; \*•Series 2022-59 IO 0.57% <br> 2/16/62<br>| 2531501 | 104885 |
| &nbsp;&nbsp;&nbsp; Series 2023-92 Class AH <br> 2.00% 6/16/64<br>| 4249604 | 3173390 |
| &nbsp;&nbsp;&nbsp; \*•Series 2023-92 Class IA <br> 0.61% 6/16/64<br>| 4546088 | 246804 |
| Government National Mortgage Association REMICS | Government National Mortgage Association REMICS | Government National Mortgage Association REMICS |
| &nbsp;&nbsp;&nbsp; Series 2001-10 Class PE <br> 6.50% 3/16/31<br>| 68753 | 70700 |
| &nbsp;&nbsp;&nbsp; •Series 2004-28 Class S 7.94% <br> (19.35% minus 1 mo. USD <br> Term SOFR) 4/16/34<br>| 4934 | 5404 |
| &nbsp;&nbsp;&nbsp; Series 2006-38 Class OH <br> 6.50% 8/20/36<br>| 356773 | 381261 |
| &nbsp;&nbsp;&nbsp; \*•Series 2007-45 Class QA <br> 2.39% (6.53% minus 1 mo. <br> USD Term SOFR) 7/20/37<br>| 24188 | 2442 |
| &nbsp;&nbsp;&nbsp; \*•Series 2007-51 Class SG <br> 2.33% (6.47% minus 1 mo. <br> USD Term SOFR) 8/20/37<br>| 77531 | 7808 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| Government National Mortgage Association REMICS (continued) | Government National Mortgage Association REMICS (continued) | Government National Mortgage Association REMICS (continued) |
| &nbsp;&nbsp;&nbsp; \*•Series 2007-76 Class SA <br> 2.28% (6.42% minus 1 mo. <br> USD Term SOFR) 11/20/37<br>| 20296 | $2015 |
| &nbsp;&nbsp;&nbsp; \*•Series 2008-2 Class MS <br> 2.90% (7.05% minus 1 mo. <br> USD Term SOFR) 1/16/38<br>| 19887 | 2353 |
| &nbsp;&nbsp;&nbsp; \*•Series 2008-55 Class SA <br> 1.95% (6.09% minus 1 mo. <br> USD Term SOFR) 6/20/38<br>| 11997 | 1106 |
| &nbsp;&nbsp;&nbsp; Series 2009-104 Class KB <br> 5.50% 11/16/39<br>| 236000 | 238789 |
| &nbsp;&nbsp;&nbsp; \*•Series 2009-106 Class ST <br> 1.75% (5.89% minus 1 mo. <br> USD Term SOFR) 2/20/38<br>| 59214 | 4400 |
| &nbsp;&nbsp;&nbsp; \*Series 2009-14 Class KI <br> 6.50% 3/20/39<br>| 18354 | 4287 |
| &nbsp;&nbsp;&nbsp; \*Series 2009-14 Class NI <br> 6.50% 3/20/39<br>| 13685 | 3014 |
| &nbsp;&nbsp;&nbsp; \*•Series 2009-22 Class SA <br> 2.02% (6.16% minus 1 mo. <br> USD Term SOFR) 4/20/39<br>| 26046 | 1611 |
| &nbsp;&nbsp;&nbsp; \*•Series 2009-31 Class TS <br> 2.05% (6.19% minus 1 mo. <br> USD Term SOFR) 3/20/39<br>| 8623 | 159 |
| &nbsp;&nbsp;&nbsp; \*•Series 2009-6 Class SA 1.84% <br> (5.99% minus 1 mo. USD <br> Term SOFR) 2/16/39<br>| 7142 | 596 |
| &nbsp;&nbsp;&nbsp; \*•Series 2009-6 Class SH 1.79% <br> (5.93% minus 1 mo. USD <br> Term SOFR) 2/20/39<br>| 23045 | 2006 |
| &nbsp;&nbsp;&nbsp; \*•Series 2009-64 Class SN <br> 1.84% (5.99% minus 1 mo. <br> USD Term SOFR) 7/16/39<br>| 17522 | 776 |
| &nbsp;&nbsp;&nbsp; ~^Series 2009-79 Class OK <br> 0.00% 11/16/37<br>| 13064 | 11009 |
| &nbsp;&nbsp;&nbsp; Series 2010-130 Class CP <br> 7.00% 10/16/40<br>| 18012 | 19586 |
| &nbsp;&nbsp;&nbsp; \*•Series 2011-75 Class SM <br> 2.35% (6.49% minus 1 mo. <br> USD Term SOFR) 5/20/41<br>| 34553 | 2854 |
| &nbsp;&nbsp;&nbsp; •Series 2011-H19 Class FA <br> 4.94% (1 mo. USD Term <br> SOFR + 0.58%) 8/20/61<br>| 41392 | 41233 |
| &nbsp;&nbsp;&nbsp; •Series 2012-H23 Class SA <br> 5.00% (1 mo. USD Term <br> SOFR + 0.64%) 10/20/62<br>| 33676 | 33376 |
| &nbsp;&nbsp;&nbsp; Series 2013-113 Class LY <br> 3.00% 5/20/43<br>| 211491 | 196848 |
| &nbsp;&nbsp;&nbsp; \*Series 2013-53 Class OI <br> 3.50% 4/20/43<br>| 232658 | 30197 |
| &nbsp;&nbsp;&nbsp; Series 2013-69 Class MA <br> 1.50% 8/20/42<br>| 136417 | 122113 |
| &nbsp;&nbsp;&nbsp; •Series 2013-H08 Class FC <br> 4.92% (1 mo. USD Term <br> SOFR + 0.56%) 2/20/63<br>| 65401 | 65168 |

---

*LVIP JPMorgan Core Bond Fund–6*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| Government National Mortgage Association REMICS (continued) | Government National Mortgage Association REMICS (continued) | Government National Mortgage Association REMICS (continued) |
| &nbsp;&nbsp;&nbsp; Series 2013-H09 Class HA <br> 1.65% 4/20/63<br>| 2509 | $2387 |
| &nbsp;&nbsp;&nbsp; •Series 2014-H17 Class FC <br> 4.97% (1 mo. USD Term <br> SOFR + 0.61%) 7/20/64<br>| 77020 | 76874 |
| &nbsp;&nbsp;&nbsp; •Series 2015-137 Class WA <br> 5.55% 1/20/38<br>| 98941 | 101252 |
| &nbsp;&nbsp;&nbsp; •Series 2015-H16 Class FG <br> 4.91% (1 mo. USD Term <br> SOFR + 0.55%) 7/20/65<br>| 159581 | 159127 |
| &nbsp;&nbsp;&nbsp; •Series 2015-H30 Class FE <br> 5.07% (1 mo. USD Term <br> SOFR + 0.71%) 11/20/65<br>| 196726 | 196683 |
| &nbsp;&nbsp;&nbsp; \*•Series 2016-135 Class SB <br> 1.84% (5.99% minus 1 mo. <br> USD Term SOFR) 10/16/46<br>| 386982 | 51292 |
| &nbsp;&nbsp;&nbsp; Series 2016-135 Class Z <br> 3.00% 10/20/46<br>| 261252 | 220416 |
| &nbsp;&nbsp;&nbsp; \*•Series 2016-21 Class ST <br> 1.90% (6.04% minus 1 mo. <br> USD Term SOFR) 2/20/46<br>| 696134 | 85360 |
| &nbsp;&nbsp;&nbsp; \*Series 2016-84 Class IG <br> 4.50% 11/16/45<br>| 1035085 | 201820 |
| &nbsp;&nbsp;&nbsp; •Series 2016-H11 Class FD <br> 5.08% (1 yr. USD Term <br> SOFR + 1.12%) 5/20/66<br>| 43420 | 43611 |
| &nbsp;&nbsp;&nbsp; •Series 2016-H26 Class FC <br> 5.47% (1 mo. USD Term <br> SOFR + 1.11%) 12/20/66<br>| 35504 | 35606 |
| &nbsp;&nbsp;&nbsp; Series 2017-163 Class ZK <br> 3.50% 11/20/47<br>| 47647 | 43446 |
| &nbsp;&nbsp;&nbsp; •Series 2017-H14 Class FK <br> 4.25% (1 yr. CMT + 0.20%) <br> 5/20/67<br>| 31158 | 31000 |
| &nbsp;&nbsp;&nbsp; •Series 2017-H14 Class FV <br> 4.97% (1 mo. USD Term <br> SOFR + 0.61%) 6/20/67<br>| 91591 | 91373 |
| &nbsp;&nbsp;&nbsp; \*•Series 2017-H22 Class IC <br> 2.58% 11/20/67<br>| 443142 | 16624 |
| &nbsp;&nbsp;&nbsp; •Series 2018-H13 Class FC <br> 4.77% (1 mo. USD Term <br> SOFR + 0.41%) 7/20/68<br>| 95484 | 94974 |
| &nbsp;&nbsp;&nbsp; •Series 2019-H13 Class FT <br> 4.50% (1 yr. CMT + 0.45%) <br> 8/20/69<br>| 27587 | 27537 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-123 Class IL <br> 2.50% 8/20/50<br>| 220424 | 31782 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-123 Class NI <br> 2.50% 8/20/50<br>| 765743 | 115863 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-127 Class IN <br> 2.50% 8/20/50<br>| 307143 | 45867 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-129 Class IE <br> 2.50% 9/20/50<br>| 319445 | 47153 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-160 Class IH <br> 2.50% 10/20/50<br>| 200452 | 30187 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| Government National Mortgage Association REMICS (continued) | Government National Mortgage Association REMICS (continued) | Government National Mortgage Association REMICS (continued) |
| &nbsp;&nbsp;&nbsp; \*Series 2020-160 Class VI <br> 2.50% 10/20/50<br>| 328259 | $49595 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-160 Class YI <br> 2.50% 10/20/50<br>| 1106703 | 163140 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-173 Class MI <br> 2.50% 11/20/50<br>| 4556052 | 665200 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-181 Class WI <br> 2.00% 12/20/50<br>| 2264181 | 265801 |
| &nbsp;&nbsp;&nbsp; •Series 2020-30 Class PT <br> 4.76% 3/20/48<br>| 496392 | 485276 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-47 Class MI <br> 3.50% 4/20/50<br>| 602060 | 114756 |
| &nbsp;&nbsp;&nbsp; \*Series 2020-47 Class NI <br> 3.50% 4/20/50<br>| 227792 | 44315 |
| &nbsp;&nbsp;&nbsp; •Series 2020-H12 Class F <br> 4.97% (1 mo. USD Term <br> SOFR + 0.61%) 7/20/70<br>| 95145 | 94187 |
| &nbsp;&nbsp;&nbsp; •Series 2020-H13 Class FA <br> 4.92% (1 mo. USD Term <br> SOFR + 0.56%) 7/20/70<br>| 304503 | 301004 |
| &nbsp;&nbsp;&nbsp; •Series 2020-H13 Class FC <br> 4.92% (1 mo. USD Term <br> SOFR + 0.56%) 7/20/70<br>| 80405 | 79422 |
| &nbsp;&nbsp;&nbsp; Series 2021-188 Class PA <br> 2.00% 10/20/51<br>| 57210 | 46898 |
| &nbsp;&nbsp;&nbsp; \*Series 2021-191 Class NI <br> 3.00% 10/20/51<br>| 411721 | 77989 |
| &nbsp;&nbsp;&nbsp; Series 2021-223 Class P <br> 2.00% 6/20/51<br>| 867341 | 772102 |
| &nbsp;&nbsp;&nbsp; \*Series 2021-29 Class TI <br> 2.50% 2/20/51<br>| 1243255 | 220849 |
| &nbsp;&nbsp;&nbsp; Series 2021-77 Class LC <br> 1.25% 7/20/50<br>| 100435 | 79746 |
| &nbsp;&nbsp;&nbsp; Series 2022-139 Class AL <br> 4.00% 7/20/51<br>| 1500000 | 1378803 |
| &nbsp;&nbsp;&nbsp; Series 2022-189 Class PT <br> 2.50% 10/20/51<br>| 728010 | 606185 |
| &nbsp;&nbsp;&nbsp; Series 2022-99 Class JW <br> 2.50% 1/20/52<br>| 300000 | 238655 |
| &nbsp;&nbsp;&nbsp; Series 2024-197 Class BN <br> 3.00% 5/20/51<br>| 9016715 | 8310114 |
| &nbsp;&nbsp;&nbsp; Series 2025-6 Class A 3.50% <br> 11/20/50<br>| 25538781 | 24300796 |
| Seasoned Credit Risk Transfer Trust | Seasoned Credit Risk Transfer Trust | Seasoned Credit Risk Transfer Trust |
| &nbsp;&nbsp;&nbsp; Series 2025-1 Class MTU <br> 3.25% 11/25/64<br>| 7523747 | 6439971 |
| &nbsp;&nbsp;&nbsp; Series 2025-2 Class MTU <br> 3.25% 6/25/65<br>| 5197987 | 4409540 |
| &nbsp;&nbsp; Seasoned Loans Structured <br> Transaction Trust Series <br> 2025-1 Class A1 3.00% <br> 5/25/35<br>| 7673751 | 7040161 |
| **Total Agency Collateralized Mortgage** <br> **Obligations** <br>**(Cost $144,613,064)** | **Total Agency Collateralized Mortgage** <br> **Obligations** <br>**(Cost $144,613,064)** | **147331681** |

---

*LVIP JPMorgan Core Bond Fund–7*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES–1.41%** | **AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES–1.41%** | **AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES–1.41%** |
| &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily Structured <br> Pass-Through Certificates | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily Structured <br> Pass-Through Certificates | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily Structured <br> Pass-Through Certificates |
| &nbsp;&nbsp;&nbsp; \*♦•Series K058 Class X1 1.02% <br> 8/25/26<br>| 18917698 | $109997 |
| &nbsp;&nbsp;&nbsp; ♦Series K065 Class A2 3.24% <br> 4/25/27<br>| 215000 | 212680 |
| &nbsp;&nbsp;&nbsp; ♦•Series K070 Class A2 3.30% <br> 11/25/27<br>| 208000 | 205277 |
| &nbsp;&nbsp;&nbsp; ♦•Series K072 Class AM 3.50% <br> 12/25/27<br>| 1000000 | 985234 |
| &nbsp;&nbsp;&nbsp; ♦Series K079 Class AM 3.93% <br> 6/25/28<br>| 588000 | 586429 |
| &nbsp;&nbsp;&nbsp; ♦•Series K081 Class A2 3.90% <br> 8/25/28<br>| 395000 | 394646 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K094 Class X1 1.01% <br> 6/25/29<br>| 2233921 | 61409 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K094 Class XAM <br> 1.28% 6/25/29<br>| 3700000 | 143142 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K095 Class XAM <br> 1.37% 6/25/29<br>| 900000 | 39065 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K101 Class X1 0.94% <br> 10/25/29<br>| 872366 | 24578 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K104 Class XAM <br> 1.50% 1/25/30<br>| 1900000 | 99570 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K105 Class X1 1.64% <br> 1/25/30<br>| 5190762 | 281319 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K110 Class X1 1.76% <br> 4/25/30<br>| 4283382 | 256056 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K115 Class X1 1.42% <br> 6/25/30<br>| 1475103 | 75718 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K116 Class X1 1.52% <br> 7/25/30<br>| 3615792 | 196006 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K124 Class X1 0.81% <br> 12/25/30<br>| 1486337 | 45967 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K128 Class X1 0.61% <br> 3/25/31<br>| 6407118 | 144109 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K130 Class X1 1.14% <br> 6/25/31<br>| 7951747 | 382584 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K131 Class X1 0.83% <br> 7/25/31<br>| 6761196 | 240081 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K133 Class X1 0.44% <br> 9/25/31<br>| 11593774 | 206452 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K142 Class X1 0.40% <br> 3/25/32<br>| 5186256 | 89393 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K143 Class X1 0.45% <br> 4/25/55<br>| 5273647 | 107854 |
| &nbsp;&nbsp;&nbsp; ♦Series K144 Class A2 2.45% <br> 4/25/32<br>| 2037000 | 1833935 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K145 Class X1 0.43% <br> 5/25/32<br>| 5674581 | 110219 |
| &nbsp;&nbsp;&nbsp; ♦Series K146 Class A2 2.92% <br> 6/25/32<br>| 1100000 | 1015981 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K147 Class X1 0.50% <br> 6/25/32<br>| 7464352 | 173344 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K148 Class X1 0.39% <br> 7/25/32<br>| 14569287 | 244714 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES** <br> **(continued)** | **AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES** <br> **(continued)** | **AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES** <br> **(continued)** |
| &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily Structured <br> Pass-Through Certificates (continued) | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily Structured <br> Pass-Through Certificates (continued) | &nbsp;&nbsp; Federal Home Loan Mortgage Corp. Multifamily Structured <br> Pass-Through Certificates (continued) |
| &nbsp;&nbsp;&nbsp; \*♦•Series K149 Class X1 0.40% <br> 8/25/32<br>| 8352223 | $152228 |
| &nbsp;&nbsp;&nbsp; ♦•Series K-150 Class A2 3.71% <br> 9/25/32<br>| 2005000 | 1931895 |
| &nbsp;&nbsp;&nbsp; ♦•Series K-151 Class A2 3.80% <br> 10/25/32<br>| 1150000 | 1113074 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K-151 Class X1 0.33% <br> 10/25/32<br>| 15165656 | 209570 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K-1511 Class X1 0.93% <br> 3/25/34<br>| 1841649 | 81440 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K-1520 Class X1 0.58% <br> 2/25/36<br>| 3761176 | 129322 |
| &nbsp;&nbsp;&nbsp; ♦•Series K-153 Class A2 3.82% <br> 12/25/32<br>| 1000000 | 968497 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K-157 Class X1 0.42% <br> 5/25/33<br>| 6797105 | 134094 |
| &nbsp;&nbsp;&nbsp; ♦•Series K507 Class A2 4.80% <br> 9/25/28<br>| 100000 | 101872 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K737 Class X1 0.72% <br> 10/25/26<br>| 5582148 | 22776 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K741 Class X1 0.64% <br> 12/25/27<br>| 2264878 | 22240 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K742 Class X1 0.86% <br> 3/25/28<br>| 4615137 | 44041 |
| &nbsp;&nbsp;&nbsp; \*♦•Series K743 Class X1 1.01% <br> 5/25/28<br>| 2939426 | 60490 |
| &nbsp;&nbsp;&nbsp; ♦Series K753 Class A2 4.40% <br> 10/25/30<br>| 691000 | 700720 |
| &nbsp;&nbsp;&nbsp; ♦•Series K754 Class AM 4.94% <br> 11/25/30<br>| 4180000 | 4290980 |
| &nbsp;&nbsp;&nbsp; \*♦•Series KC05 Class X1 1.34% <br> 6/25/27<br>| 1018390 | 9619 |
| &nbsp;&nbsp;&nbsp; ♦Series KJ45 Class A2 4.66% <br> 1/25/31<br>| 815000 | 825722 |
| &nbsp;&nbsp;&nbsp; \*♦•Series KL06 Class XFX 1.46% <br> 12/25/29<br>| 4156391 | 164938 |
| &nbsp;&nbsp;&nbsp; ♦•Series Q013 Class APT2 <br> 1.17% 5/25/50<br>| 730802 | 694703 |
| Federal National Mortgage Association-ACES | Federal National Mortgage Association-ACES | Federal National Mortgage Association-ACES |
| &nbsp;&nbsp;&nbsp; •Series 2013-M6 Class 1AC <br> 3.49% 2/25/43<br>| 40531 | 39261 |
| &nbsp;&nbsp;&nbsp; •Series 2015-M10 Class A2 <br> 3.09% 4/25/27<br>| 180167 | 178067 |
| &nbsp;&nbsp;&nbsp; Series 2016-M11 Class AL <br> 2.94% 7/25/39<br>| 87209 | 82897 |
| &nbsp;&nbsp;&nbsp; •Series 2017-M12 Class A2 <br> 3.16% 6/25/27<br>| 222549 | 218945 |
| &nbsp;&nbsp;&nbsp; •Series 2017-M5 Class A2 <br> 3.11% 4/25/29<br>| 147275 | 142366 |
| &nbsp;&nbsp;&nbsp; •Series 2017-M7 Class A2 <br> 2.96% 2/25/27<br>| 616585 | 608206 |
| &nbsp;&nbsp;&nbsp; •Series 2017-M8 Class A2 <br> 3.06% 5/25/27<br>| 228351 | 224911 |

---

*LVIP JPMorgan Core Bond Fund–8*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES** <br> **(continued)** | **AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES** <br> **(continued)** | **AGENCY COMMERCIAL MORTGAGE-BACKED SECURITIES** <br> **(continued)** |
| Federal National Mortgage Association-ACES (continued) | Federal National Mortgage Association-ACES (continued) | Federal National Mortgage Association-ACES (continued) |
| &nbsp;&nbsp;&nbsp; •Series 2018-M10 Class A2 <br> 3.47% 7/25/28<br>| 445094 | $439004 |
| &nbsp;&nbsp;&nbsp; Series 2018-M15 Class 1A2 <br> 3.70% 1/25/36<br>| 900000 | 861922 |
| &nbsp;&nbsp;&nbsp; •Series 2018-M3 Class A2 <br> 3.16% 2/25/30<br>| 106340 | 101926 |
| &nbsp;&nbsp;&nbsp; •Series 2018-M9 Class APT2 <br> 3.21% 4/25/28<br>| 64657 | 62984 |
| &nbsp;&nbsp;&nbsp; •Series 2019-M23 Class 3A3 <br> 2.72% 10/25/31<br>| 457153 | 421019 |
| &nbsp;&nbsp;&nbsp; Series 2019-M4 Class A2 <br> 3.61% 2/25/31<br>| 285713 | 276986 |
| &nbsp;&nbsp;&nbsp; Series 2019-M5 Class A2 <br> 3.27% 2/25/29<br>| 463217 | 451830 |
| &nbsp;&nbsp;&nbsp; Series 2019-M6 Class A2 <br> 3.45% 1/1/29<br>| 125938 | 123219 |
| &nbsp;&nbsp;&nbsp; Series 2020-M50 Class A2 <br> 1.20% 10/25/30<br>| 275743 | 263523 |
| &nbsp;&nbsp;&nbsp; \*•Series 2020-M50 Class X1 <br> 1.92% 10/25/30<br>| 4326925 | 194821 |
| &nbsp;&nbsp;&nbsp; Series 2020-M6 Class A <br> 2.50% 10/25/37<br>| 150411 | 134679 |
| &nbsp;&nbsp;&nbsp; \*•Series 2021-M3 Class X1 <br> 2.01% 11/25/33<br>| 2266549 | 152419 |
| &nbsp;&nbsp;&nbsp; •Series 2022-M1G Class A2 <br> 1.58% 9/25/31<br>| 3350000 | 2890272 |
| &nbsp;&nbsp;&nbsp; •Series 2022-M1S Class A2 <br> 2.15% 4/25/32<br>| 1290000 | 1133543 |
| &nbsp;&nbsp;&nbsp; •Series 2022-M2S Class A2 <br> 3.88% 8/25/32<br>| 3875000 | 3690843 |
| &nbsp;&nbsp;&nbsp; •Series 2022-M3 Class A2 <br> 1.76% 11/25/31<br>| 1500000 | 1288991 |
| &nbsp;&nbsp;&nbsp; •Series 2023-M2 Class 3A2 <br> 2.01% 4/25/32<br>| 7500000 | 6481960 |
| &nbsp;&nbsp;&nbsp; •Series 2023-M4 Class A2 <br> 3.89% 9/25/32<br>| 200000 | 192433 |
| &nbsp;&nbsp;&nbsp; •Series 2023-M8 Class A2 <br> 4.63% 3/25/33<br>| 9405000 | 9447302 |
| •FREMF Mortgage Trust | •FREMF Mortgage Trust | •FREMF Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2016-K59 Class B <br> 3.69% 11/25/49<br>| 180000 | 177503 |
| &nbsp;&nbsp;&nbsp; Series 2017-K71 Class B <br> 3.88% 11/25/50<br>| 259000 | 254195 |
| &nbsp;&nbsp;&nbsp; Series 2019-K102 Class B <br> 3.65% 12/25/51<br>| 750000 | 710057 |
| &nbsp;&nbsp;&nbsp; Series 2019-KBF3 Class B <br> 6.97% (30 day USD SOFR <br> Average + 2.61%) 1/25/29<br>| 546382 | 543417 |
| **Total Agency Commercial Mortgage-Backed** <br> **Securities** <br>**(Cost $50,945,050)** | **Total Agency Commercial Mortgage-Backed** <br> **Securities** <br>**(Cost $50,945,050)** | **51713481** |
| **AGENCY MORTGAGE-BACKED SECURITIES–22.55%** | **AGENCY MORTGAGE-BACKED SECURITIES–22.55%** | **AGENCY MORTGAGE-BACKED SECURITIES–22.55%** |
| Federal Home Loan Mortgage Corp. | Federal Home Loan Mortgage Corp. | Federal Home Loan Mortgage Corp. |
| &nbsp;&nbsp; 1.50% 11/1/40 | 2017813 | 1690985 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Federal Home Loan Mortgage Corp. (continued) | Federal Home Loan Mortgage Corp. (continued) | Federal Home Loan Mortgage Corp. (continued) |
| &nbsp;&nbsp; 1.50% 5/1/41 | 2106420 | $1780315 |
| &nbsp;&nbsp; 1.50% 7/1/41 | 1576683 | 1331593 |
| &nbsp;&nbsp; 1.50% 10/1/41 | 2204648 | 1858499 |
| &nbsp;&nbsp; 1.50% 11/1/41 | 297752 | 250909 |
| &nbsp;&nbsp; 1.50% 2/1/51 | 575656 | 443955 |
| &nbsp;&nbsp; 1.50% 3/1/52 | 429590 | 330074 |
| &nbsp;&nbsp; 2.00% 10/1/40 | 933150 | 813995 |
| &nbsp;&nbsp; 2.00% 3/1/41 | 1215039 | 1050306 |
| &nbsp;&nbsp; 2.00% 7/1/41 | 938233 | 816724 |
| &nbsp;&nbsp; 2.00% 9/1/41 | 2448651 | 2124581 |
| &nbsp;&nbsp; 2.00% 10/1/41 | 996286 | 861598 |
| &nbsp;&nbsp; 2.00% 11/1/41 | 549677 | 476437 |
| &nbsp;&nbsp; 2.00% 12/1/41 | 1101256 | 952837 |
| &nbsp;&nbsp; 2.00% 1/1/42 | 3417208 | 2959940 |
| &nbsp;&nbsp; 2.00% 2/1/42 | 979327 | 846400 |
| &nbsp;&nbsp; 2.00% 4/1/42 | 2162153 | 1873900 |
| &nbsp;&nbsp; 2.00% 5/1/42 | 1236776 | 1068805 |
| &nbsp;&nbsp; 2.00% 8/1/42 | 1781827 | 1540069 |
| &nbsp;&nbsp; 2.00% 11/1/50 | 1104856 | 904713 |
| &nbsp;&nbsp; 2.00% 12/1/50 | 502003 | 408310 |
| &nbsp;&nbsp; 2.00% 2/1/51 | 2507269 | 2053061 |
| &nbsp;&nbsp; 2.00% 3/1/51 | 1414705 | 1158757 |
| &nbsp;&nbsp; 2.00% 4/1/51 | 427533 | 351323 |
| &nbsp;&nbsp; 2.00% 6/1/51 | 816123 | 666716 |
| &nbsp;&nbsp; 2.00% 8/1/51 | 738739 | 600693 |
| &nbsp;&nbsp; 2.00% 2/1/52 | 570858 | 464606 |
| &nbsp;&nbsp; 2.00% 3/1/52 | 1324425 | 1072440 |
| &nbsp;&nbsp; 2.50% 4/1/41 | 122113 | 109405 |
| &nbsp;&nbsp; 2.50% 2/1/42 | 391891 | 349850 |
| &nbsp;&nbsp; 2.50% 3/1/42 | 1698789 | 1518412 |
| &nbsp;&nbsp; 2.50% 9/1/42 | 1883445 | 1680233 |
| &nbsp;&nbsp; 2.50% 11/1/49 | 10175390 | 8657649 |
| &nbsp;&nbsp; 2.50% 7/1/50 | 2987626 | 2536713 |
| &nbsp;&nbsp; 2.50% 11/1/50 | 2897875 | 2494608 |
| &nbsp;&nbsp; 2.50% 12/1/50 | 3110365 | 2670838 |
| &nbsp;&nbsp; 2.50% 1/1/51 | 31915 | 27342 |
| &nbsp;&nbsp; 2.50% 2/1/51 | 1196175 | 1029434 |
| &nbsp;&nbsp; 2.50% 3/1/51 | 310936 | 266736 |
| &nbsp;&nbsp; 2.50% 5/1/51 | 5885639 | 5029110 |
| &nbsp;&nbsp; 2.50% 7/1/51 | 286017 | 242337 |
| &nbsp;&nbsp; 2.50% 8/1/51 | 2240417 | 1920209 |
| &nbsp;&nbsp; 2.50% 9/1/51 | 438041 | 376008 |
| &nbsp;&nbsp; 2.50% 10/1/51 | 2911955 | 2486773 |
| &nbsp;&nbsp; 2.50% 11/1/51 | 1313352 | 1130441 |
| &nbsp;&nbsp; 2.50% 12/1/51 | 1960589 | 1683228 |
| &nbsp;&nbsp; 2.50% 1/1/52 | 16704194 | 14288187 |
| &nbsp;&nbsp; 2.50% 2/1/52 | 850871 | 729001 |
| &nbsp;&nbsp; 2.50% 3/1/52 | 76824 | 65867 |
| &nbsp;&nbsp; 2.50% 4/1/52 | 6139470 | 5272891 |
| &nbsp;&nbsp; 3.00% 9/1/32 | 61699 | 60133 |
| &nbsp;&nbsp; 3.00% 10/1/32 | 65037 | 63339 |
| &nbsp;&nbsp; 3.00% 10/1/33 | 43585 | 42149 |
| &nbsp;&nbsp; 3.00% 12/1/33 | 22671 | 21822 |
| &nbsp;&nbsp; 3.00% 6/1/36 | 49712 | 47197 |

---

*LVIP JPMorgan Core Bond Fund–9*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Federal Home Loan Mortgage Corp. (continued) | Federal Home Loan Mortgage Corp. (continued) | Federal Home Loan Mortgage Corp. (continued) |
| &nbsp;&nbsp; 3.00% 5/1/40 | 50567 | $47189 |
| &nbsp;&nbsp; 3.00% 4/1/42 | 461593 | 427363 |
| &nbsp;&nbsp; 3.00% 5/1/42 | 75828 | 70205 |
| &nbsp;&nbsp; 3.00% 7/1/42 | 470326 | 434842 |
| &nbsp;&nbsp; 3.00% 9/1/42 | 864201 | 799513 |
| &nbsp;&nbsp; 3.00% 1/1/47 | 5759350 | 5209303 |
| &nbsp;&nbsp; 3.00% 8/1/48 | 354550 | 320317 |
| &nbsp;&nbsp; 3.00% 9/1/48 | 30689 | 27827 |
| &nbsp;&nbsp; 3.00% 9/1/49 | 311074 | 279046 |
| &nbsp;&nbsp; 3.00% 11/1/49 | 306436 | 274871 |
| &nbsp;&nbsp; 3.00% 1/1/50 | 250417 | 224966 |
| &nbsp;&nbsp; 3.00% 6/1/50 | 918894 | 808761 |
| &nbsp;&nbsp; 3.00% 7/1/50 | 293278 | 263997 |
| &nbsp;&nbsp; 3.00% 8/1/50 | 4484423 | 4011620 |
| &nbsp;&nbsp; 3.00% 12/1/50 | 135588 | 121520 |
| &nbsp;&nbsp; 3.00% 2/1/51 | 138364 | 123585 |
| &nbsp;&nbsp; 3.00% 6/1/51 | 434716 | 388682 |
| &nbsp;&nbsp; 3.00% 8/1/51 | 498763 | 444074 |
| &nbsp;&nbsp; 3.00% 10/1/51 | 378212 | 337749 |
| &nbsp;&nbsp; 3.00% 11/1/51 | 261025 | 231323 |
| &nbsp;&nbsp; 3.00% 12/1/51 | 153889 | 136569 |
| &nbsp;&nbsp; 3.00% 1/1/52 | 213050 | 190032 |
| &nbsp;&nbsp; 3.00% 2/1/52 | 1292392 | 1139327 |
| &nbsp;&nbsp; 3.00% 4/1/52 | 5784620 | 5118873 |
| &nbsp;&nbsp; 3.00% 8/1/52 | 1387081 | 1232552 |
| &nbsp;&nbsp;&nbsp; •3.01% (1 yr. USD RFUCCT + <br> 1.63%) 11/1/48<br>| 1833571 | 1792113 |
| &nbsp;&nbsp;&nbsp; •3.10% (1 yr. USD RFUCCT + <br> 1.62%) 2/1/50<br>| 1019841 | 1028047 |
| &nbsp;&nbsp; 3.50% 4/1/33 | 129919 | 127363 |
| &nbsp;&nbsp; 3.50% 1/1/38 | 729061 | 703535 |
| &nbsp;&nbsp; 3.50% 6/1/42 | 131326 | 124106 |
| &nbsp;&nbsp; 3.50% 2/1/47 | 748176 | 705269 |
| &nbsp;&nbsp; 3.50% 7/1/47 | 4508552 | 4212437 |
| &nbsp;&nbsp; 3.50% 11/1/48 | 1363108 | 1275914 |
| &nbsp;&nbsp; 3.50% 2/1/49 | 2950193 | 2714068 |
| &nbsp;&nbsp; 3.50% 7/1/50 | 441915 | 408051 |
| &nbsp;&nbsp; 3.50% 12/1/50 | 720118 | 669459 |
| &nbsp;&nbsp; 3.50% 1/1/52 | 137511 | 126575 |
| &nbsp;&nbsp; 3.50% 4/1/52 | 1286867 | 1185726 |
| &nbsp;&nbsp; 3.50% 5/1/52 | 1487405 | 1362785 |
| &nbsp;&nbsp; 3.50% 6/1/52 | 1949169 | 1792052 |
| &nbsp;&nbsp; 3.75% 8/1/32 | 1200000 | 1155968 |
| &nbsp;&nbsp; 4.00% 9/1/32 | 200000 | 195845 |
| &nbsp;&nbsp; 4.00% 6/1/42 | 59192 | 57785 |
| &nbsp;&nbsp; 4.00% 8/1/44 | 11522 | 11019 |
| &nbsp;&nbsp; 4.00% 5/1/45 | 7545 | 7274 |
| &nbsp;&nbsp; 4.00% 10/1/45 | 12135 | 11675 |
| &nbsp;&nbsp; 4.00% 11/1/45 | 9876 | 9502 |
| &nbsp;&nbsp; 4.00% 1/1/46 | 98924 | 95103 |
| &nbsp;&nbsp; 4.00% 10/1/47 | 532976 | 510705 |
| &nbsp;&nbsp; 4.00% 7/1/49 | 4560097 | 4383141 |
| &nbsp;&nbsp; 4.00% 9/1/49 | 500672 | 481283 |
| &nbsp;&nbsp; 4.00% 1/1/50 | 220253 | 210598 |
| &nbsp;&nbsp; 4.00% 7/1/50 | 805343 | 768013 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Federal Home Loan Mortgage Corp. (continued) | Federal Home Loan Mortgage Corp. (continued) | Federal Home Loan Mortgage Corp. (continued) |
| &nbsp;&nbsp; 4.00% 4/1/52 | 3954026 | $3761771 |
| &nbsp;&nbsp; 4.00% 7/1/52 | 267326 | 256612 |
| &nbsp;&nbsp; 4.00% 9/1/52 | 5667743 | 5370322 |
| &nbsp;&nbsp; 4.00% 2/1/53 | 1411304 | 1352861 |
| &nbsp;&nbsp; 4.25% 11/1/34 | 8400000 | 8214700 |
| &nbsp;&nbsp;&nbsp; •4.37% (1 yr. USD RFUCCT + <br> 1.62%) 11/1/47<br>| 552949 | 565483 |
| &nbsp;&nbsp; 4.50% 10/1/35 | 86971 | 87712 |
| &nbsp;&nbsp; 4.50% 5/1/38 | 350741 | 350750 |
| &nbsp;&nbsp; 4.50% 3/1/47 | 461757 | 458791 |
| &nbsp;&nbsp; 4.50% 5/1/47 | 21679 | 21441 |
| &nbsp;&nbsp; 4.50% 6/1/47 | 449593 | 444736 |
| &nbsp;&nbsp; 4.50% 1/1/49 | 337438 | 332428 |
| &nbsp;&nbsp; 4.50% 3/1/49 | 166832 | 164452 |
| &nbsp;&nbsp; 4.50% 8/1/49 | 508210 | 502754 |
| &nbsp;&nbsp; 4.50% 9/1/50 | 149108 | 146455 |
| &nbsp;&nbsp; 4.50% 1/1/51 | 491994 | 482180 |
| &nbsp;&nbsp; 4.50% 7/1/52 | 601596 | 588249 |
| &nbsp;&nbsp; 4.50% 8/1/52 | 147452 | 145819 |
| &nbsp;&nbsp; 4.50% 9/1/52 | 162481 | 159039 |
| &nbsp;&nbsp; 4.50% 10/1/52 | 3104097 | 3025991 |
| &nbsp;&nbsp; 4.50% 11/1/52 | 10313046 | 10059588 |
| &nbsp;&nbsp; 4.50% 12/1/52 | 469657 | 459160 |
| &nbsp;&nbsp; 4.50% 3/1/54 | 7104842 | 6962609 |
| &nbsp;&nbsp; 4.60% 2/1/30 | 600000 | 605363 |
| &nbsp;&nbsp; 5.00% 11/1/42 | 974994 | 991309 |
| &nbsp;&nbsp; 5.00% 10/1/48 | 201018 | 202686 |
| &nbsp;&nbsp; 5.00% 1/1/49 | 8651 | 8739 |
| &nbsp;&nbsp; 5.00% 7/1/52 | 2769054 | 2765303 |
| &nbsp;&nbsp; 5.00% 9/1/52 | 4657869 | 4663077 |
| &nbsp;&nbsp; 5.00% 11/1/52 | 300046 | 299582 |
| &nbsp;&nbsp; 5.00% 12/1/52 | 371893 | 369854 |
| &nbsp;&nbsp; 5.00% 1/1/53 | 1472394 | 1473431 |
| &nbsp;&nbsp; 5.00% 3/1/53 | 718485 | 719391 |
| &nbsp;&nbsp; 5.00% 4/1/53 | 1055987 | 1053992 |
| &nbsp;&nbsp; 5.00% 6/1/53 | 444701 | 444964 |
| &nbsp;&nbsp; 5.50% 10/1/33 | 9434 | 9573 |
| &nbsp;&nbsp; 5.50% 9/1/41 | 571097 | 594931 |
| &nbsp;&nbsp; 5.50% 6/1/43 | 152857 | 156532 |
| &nbsp;&nbsp; 5.50% 7/1/43 | 1520978 | 1550943 |
| &nbsp;&nbsp; 5.50% 9/1/52 | 1076626 | 1100194 |
| &nbsp;&nbsp; 5.50% 11/1/52 | 219132 | 223264 |
| &nbsp;&nbsp; 5.50% 12/1/52 | 403683 | 411002 |
| &nbsp;&nbsp; 5.50% 1/1/53 | 211867 | 215616 |
| &nbsp;&nbsp; 5.50% 3/1/53 | 2481998 | 2534062 |
| &nbsp;&nbsp; 5.50% 4/1/53 | 992024 | 1004681 |
| &nbsp;&nbsp; 5.50% 5/1/53 | 921458 | 936912 |
| &nbsp;&nbsp; 5.50% 6/1/53 | 735243 | 747937 |
| &nbsp;&nbsp; 5.50% 7/1/53 | 237727 | 241516 |
| &nbsp;&nbsp; 5.50% 9/1/53 | 2201902 | 2244346 |
| &nbsp;&nbsp; 5.50% 2/1/54 | 1785798 | 1812562 |
| &nbsp;&nbsp; 5.50% 2/1/55 | 4275581 | 4312420 |
| &nbsp;&nbsp; 6.00% 2/1/32 | 1288 | 1329 |
| &nbsp;&nbsp; 6.00% 12/1/52 | 1125803 | 1158048 |
| &nbsp;&nbsp; 6.00% 1/1/53 | 611352 | 634230 |

---

*LVIP JPMorgan Core Bond Fund–10*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Federal Home Loan Mortgage Corp. (continued) | Federal Home Loan Mortgage Corp. (continued) | Federal Home Loan Mortgage Corp. (continued) |
| &nbsp;&nbsp;&nbsp; •6.24% (1 yr. CMT + 2.11%) <br> 1/1/27<br>| 295 | $294 |
| &nbsp;&nbsp;&nbsp; •6.49% (1 yr. USD RFUCCT + <br> 1.82%) 1/1/37<br>| 4873 | 4973 |
| &nbsp;&nbsp; 6.50% 6/1/29 | 1842 | 1903 |
| &nbsp;&nbsp; 6.50% 11/1/34 | 2918 | 3039 |
| &nbsp;&nbsp; 6.50% 1/1/53 | 277669 | 288776 |
| &nbsp;&nbsp; 6.50% 2/1/53 | 651000 | 678728 |
| &nbsp;&nbsp; 6.50% 3/1/53 | 55592 | 57967 |
| &nbsp;&nbsp; 6.50% 4/1/53 | 508335 | 530046 |
| &nbsp;&nbsp; 6.50% 5/1/53 | 980308 | 1026569 |
| &nbsp;&nbsp;&nbsp; •6.51% (1 yr. CMT + 2.28%) <br> 4/1/30<br>| 226 | 226 |
| &nbsp;&nbsp;&nbsp; •6.55% (1 yr. USD RFUCCT + <br> 1.58%) 3/1/35<br>| 11125 | 11301 |
| &nbsp;&nbsp;&nbsp; •6.75% (1 yr. USD RFUCCT + <br> 1.75%) 4/1/34<br>| 4573 | 4642 |
| &nbsp;&nbsp; 7.00% 7/1/29 | 14857 | 15171 |
| &nbsp;&nbsp; 7.00% 4/1/35 | 17346 | 18127 |
| &nbsp;&nbsp; 8.50% 7/1/28 | 62 | 62 |
| Federal National Mortgage Association | Federal National Mortgage Association | Federal National Mortgage Association |
| &nbsp;&nbsp; 1.27% 12/1/29 | 1195159 | 1062619 |
| &nbsp;&nbsp; 1.45% 10/1/30 | 1142778 | 1006147 |
| •1.46% 11/1/32 | 8226713 | 6873613 |
| &nbsp;&nbsp; 1.50% 1/1/31 | 1100000 | 961989 |
| &nbsp;&nbsp; 1.50% 1/1/51 | 515418 | 396275 |
| &nbsp;&nbsp; 1.50% 3/1/51 | 1876902 | 1442994 |
| •1.51% 11/1/32 | 13767825 | 11535585 |
| &nbsp;&nbsp; 1.56% 1/1/31 | 1300000 | 1139480 |
| •1.75% 3/1/32 | 1642342 | 1426803 |
| &nbsp;&nbsp; 1.76% 7/1/35 | 1495509 | 1203486 |
| &nbsp;&nbsp; 1.98% 1/1/32 | 1985000 | 1742195 |
| &nbsp;&nbsp; 2.00% 8/1/36 | 2487814 | 2291064 |
| &nbsp;&nbsp; 2.00% 8/1/40 | 55217 | 48417 |
| &nbsp;&nbsp; 2.00% 3/1/41 | 1078300 | 932109 |
| &nbsp;&nbsp; 2.00% 5/1/41 | 494048 | 430070 |
| &nbsp;&nbsp; 2.00% 6/1/41 | 206406 | 178525 |
| &nbsp;&nbsp; 2.00% 9/1/41 | 908721 | 788042 |
| &nbsp;&nbsp; 2.00% 10/1/41 | 853090 | 739606 |
| &nbsp;&nbsp; 2.00% 11/1/41 | 571419 | 491120 |
| &nbsp;&nbsp; 2.00% 12/1/41 | 950496 | 822530 |
| &nbsp;&nbsp; 2.00% 1/1/42 | 2803433 | 2426415 |
| &nbsp;&nbsp; 2.00% 2/1/42 | 738076 | 637895 |
| &nbsp;&nbsp; 2.00% 3/1/42 | 224772 | 194123 |
| &nbsp;&nbsp; 2.00% 5/1/42 | 318515 | 274809 |
| &nbsp;&nbsp; 2.00% 6/1/50 | 2095058 | 1707524 |
| &nbsp;&nbsp; 2.00% 8/1/50 | 967727 | 786794 |
| &nbsp;&nbsp; 2.00% 9/1/50 | 1576740 | 1284148 |
| &nbsp;&nbsp; 2.00% 10/1/50 | 2726813 | 2221062 |
| &nbsp;&nbsp; 2.00% 11/1/50 | 1323671 | 1081513 |
| &nbsp;&nbsp; 2.00% 12/1/50 | 417231 | 340897 |
| &nbsp;&nbsp; 2.00% 1/1/51 | 752479 | 615777 |
| &nbsp;&nbsp; 2.00% 2/1/51 | 8622830 | 7035395 |
| &nbsp;&nbsp; 2.00% 3/1/51 | 4278746 | 3498852 |
| &nbsp;&nbsp; 2.00% 4/1/51 | 6239003 | 5069860 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) |
| &nbsp;&nbsp; 2.00% 5/1/51 | 1028355 | $835247 |
| &nbsp;&nbsp; 2.00% 7/1/51 | 84116 | 68486 |
| &nbsp;&nbsp; 2.00% 8/1/51 | 1629191 | 1327669 |
| &nbsp;&nbsp; 2.00% 9/1/51 | 3871482 | 3132011 |
| &nbsp;&nbsp; 2.00% 10/1/51 | 1242811 | 1018469 |
| &nbsp;&nbsp; 2.00% 11/1/51 | 371600 | 303981 |
| &nbsp;&nbsp; 2.00% 12/1/51 | 401683 | 323881 |
| &nbsp;&nbsp; 2.00% 1/1/52 | 3175892 | 2593912 |
| &nbsp;&nbsp; 2.00% 2/1/52 | 609021 | 499183 |
| &nbsp;&nbsp; 2.00% 3/1/52 | 1836462 | 1499920 |
| &nbsp;&nbsp; 2.01% 4/1/30 | 1255644 | 1147909 |
| &nbsp;&nbsp; 2.02% 8/1/30 | 1057686 | 956292 |
| •2.15% 2/1/32 | 1678079 | 1489021 |
| &nbsp;&nbsp; 2.18% 1/1/34 | 2843321 | 2433887 |
| &nbsp;&nbsp; 2.42% 10/1/29 | 674501 | 631680 |
| &nbsp;&nbsp; 2.50% 8/1/36 | 2068069 | 1949963 |
| &nbsp;&nbsp; 2.50% 9/1/36 | 214775 | 199561 |
| &nbsp;&nbsp; 2.50% 3/1/38 | 649467 | 603592 |
| &nbsp;&nbsp; 2.50% 5/1/40 | 237146 | 215872 |
| &nbsp;&nbsp; 2.50% 11/1/40 | 396808 | 359888 |
| &nbsp;&nbsp; 2.50% 3/1/41 | 438609 | 394574 |
| &nbsp;&nbsp; 2.50% 4/1/41 | 1051006 | 946655 |
| &nbsp;&nbsp; 2.50% 5/1/41 | 751871 | 675894 |
| &nbsp;&nbsp; 2.50% 11/1/41 | 212614 | 190469 |
| &nbsp;&nbsp; 2.50% 2/1/42 | 693469 | 620370 |
| &nbsp;&nbsp; 2.50% 3/1/42 | 365004 | 324155 |
| &nbsp;&nbsp; 2.50% 4/1/42 | 830872 | 731967 |
| &nbsp;&nbsp; 2.50% 9/1/42 | 245913 | 220146 |
| &nbsp;&nbsp; 2.50% 5/1/50 | 1045746 | 896376 |
| &nbsp;&nbsp; 2.50% 6/1/50 | 252710 | 215974 |
| &nbsp;&nbsp; 2.50% 7/1/50 | 1262034 | 1065708 |
| &nbsp;&nbsp; 2.50% 8/1/50 | 2004637 | 1725320 |
| &nbsp;&nbsp; 2.50% 9/1/50 | 387254 | 327173 |
| &nbsp;&nbsp; 2.50% 10/1/50 | 1596431 | 1366109 |
| &nbsp;&nbsp; 2.50% 11/1/50 | 337420 | 289650 |
| &nbsp;&nbsp; 2.50% 12/1/50 | 119600 | 102544 |
| &nbsp;&nbsp; 2.50% 1/1/51 | 4343905 | 3743832 |
| &nbsp;&nbsp; 2.50% 2/1/51 | 569539 | 487099 |
| &nbsp;&nbsp; 2.50% 3/1/51 | 312236 | 268413 |
| &nbsp;&nbsp; 2.50% 4/1/51 | 178139 | 153239 |
| &nbsp;&nbsp; 2.50% 5/1/51 | 895960 | 760851 |
| &nbsp;&nbsp; 2.50% 6/1/51 | 5051162 | 4326610 |
| &nbsp;&nbsp; 2.50% 7/1/51 | 1501922 | 1290805 |
| &nbsp;&nbsp; 2.50% 8/1/51 | 6991754 | 5978994 |
| &nbsp;&nbsp; 2.50% 9/1/51 | 3084554 | 2628738 |
| &nbsp;&nbsp; 2.50% 10/1/51 | 4799227 | 4098530 |
| &nbsp;&nbsp; 2.50% 11/1/51 | 12032791 | 10237276 |
| &nbsp;&nbsp; 2.50% 12/1/51 | 1457958 | 1236949 |
| &nbsp;&nbsp; 2.50% 1/1/52 | 2793833 | 2388133 |
| &nbsp;&nbsp; 2.50% 2/1/52 | 9296951 | 7894521 |
| &nbsp;&nbsp; 2.50% 3/1/52 | 5615902 | 4797660 |
| &nbsp;&nbsp; 2.50% 4/1/52 | 5846655 | 4986836 |
| &nbsp;&nbsp; 2.50% 9/1/52 | 7637240 | 6457332 |
| &nbsp;&nbsp; 2.50% 7/1/53 | 621187 | 527568 |

---

*LVIP JPMorgan Core Bond Fund–11*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) |
| &nbsp;&nbsp; 2.50% 7/1/61 | 3885768 | $3168877 |
| &nbsp;&nbsp; 2.50% 9/1/61 | 1856749 | 1514185 |
| &nbsp;&nbsp; 2.50% 3/1/62 | 852237 | 695002 |
| &nbsp;&nbsp; 2.52% 11/1/29 | 1001478 | 943058 |
| &nbsp;&nbsp; 2.63% 3/1/26 | 425773 | 422278 |
| &nbsp;&nbsp; 2.93% 7/1/28 | 1213614 | 1181699 |
| &nbsp;&nbsp; 2.93% 10/1/29 | 1045491 | 998697 |
| &nbsp;&nbsp; 2.93% 6/1/30 | 626269 | 597981 |
| &nbsp;&nbsp; 2.95% 7/1/27 | 981264 | 962887 |
| &nbsp;&nbsp; 3.00% 9/1/31 | 48803 | 46487 |
| &nbsp;&nbsp; 3.00% 11/1/33 | 682240 | 663897 |
| &nbsp;&nbsp; 3.00% 7/1/35 | 170432 | 161899 |
| &nbsp;&nbsp; 3.00% 2/1/36 | 436139 | 414678 |
| &nbsp;&nbsp; 3.00% 4/1/36 | 322140 | 306407 |
| &nbsp;&nbsp; 3.00% 7/1/36 | 701237 | 666016 |
| &nbsp;&nbsp; 3.00% 8/1/36 | 1150914 | 1092284 |
| &nbsp;&nbsp; 3.00% 10/1/36 | 775333 | 735053 |
| &nbsp;&nbsp; 3.00% 12/1/37 | 636367 | 600268 |
| &nbsp;&nbsp; 3.00% 1/1/38 | 810770 | 764934 |
| &nbsp;&nbsp; 3.00% 4/1/38 | 242191 | 233762 |
| &nbsp;&nbsp; 3.00% 6/1/38 | 369848 | 350558 |
| &nbsp;&nbsp; 3.00% 9/1/40 | 68916 | 64198 |
| &nbsp;&nbsp; 3.00% 1/1/41 | 111893 | 106317 |
| &nbsp;&nbsp; 3.00% 3/1/42 | 207463 | 190316 |
| &nbsp;&nbsp; 3.00% 5/1/42 | 312582 | 288790 |
| &nbsp;&nbsp; 3.00% 6/1/42 | 780604 | 717695 |
| &nbsp;&nbsp; 3.00% 6/1/43 | 75438 | 69098 |
| &nbsp;&nbsp; 3.00% 7/1/43 | 164162 | 150382 |
| &nbsp;&nbsp; 3.00% 10/1/43 | 162873 | 149167 |
| &nbsp;&nbsp; 3.00% 1/1/45 | 137416 | 125962 |
| &nbsp;&nbsp; 3.00% 6/1/45 | 35045 | 31884 |
| &nbsp;&nbsp; 3.00% 4/1/46 | 158352 | 144889 |
| &nbsp;&nbsp; 3.00% 8/1/46 | 84064 | 76074 |
| &nbsp;&nbsp; 3.00% 9/1/46 | 48838 | 44160 |
| &nbsp;&nbsp; 3.00% 10/1/46 | 570714 | 516640 |
| &nbsp;&nbsp; 3.00% 12/1/46 | 334309 | 303153 |
| &nbsp;&nbsp; 3.00% 1/1/47 | 4035871 | 3669554 |
| &nbsp;&nbsp; 3.00% 2/1/47 | 1490268 | 1360847 |
| &nbsp;&nbsp; 3.00% 4/1/47 | 1527 | 1376 |
| &nbsp;&nbsp; 3.00% 10/1/47 | 3801 | 3355 |
| &nbsp;&nbsp; 3.00% 12/1/47 | 183717 | 165677 |
| &nbsp;&nbsp; 3.00% 2/1/48 | 1609803 | 1459817 |
| &nbsp;&nbsp; 3.00% 3/1/48 | 1279080 | 1155931 |
| &nbsp;&nbsp; 3.00% 11/1/48 | 447814 | 407288 |
| &nbsp;&nbsp; 3.00% 12/1/49 | 1411686 | 1263852 |
| &nbsp;&nbsp; 3.00% 2/1/50 | 674355 | 614194 |
| &nbsp;&nbsp; 3.00% 4/1/50 | 1054937 | 946419 |
| &nbsp;&nbsp; 3.00% 10/1/50 | 511440 | 455293 |
| &nbsp;&nbsp; 3.00% 11/1/50 | 1127768 | 1002364 |
| &nbsp;&nbsp; 3.00% 6/1/51 | 118975 | 106841 |
| &nbsp;&nbsp; 3.00% 7/1/51 | 627233 | 559540 |
| &nbsp;&nbsp; 3.00% 8/1/51 | 1181009 | 1059714 |
| &nbsp;&nbsp; 3.00% 10/1/51 | 263824 | 237035 |
| &nbsp;&nbsp; 3.00% 11/1/51 | 12066687 | 10660365 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) |
| &nbsp;&nbsp; 3.00% 12/1/51 | 1411340 | $1255858 |
| &nbsp;&nbsp; 3.00% 1/1/52 | 7417234 | 6565087 |
| &nbsp;&nbsp; 3.00% 2/1/52 | 2120587 | 1883187 |
| &nbsp;&nbsp; 3.00% 3/1/52 | 6158642 | 5483054 |
| &nbsp;&nbsp; 3.00% 4/1/52 | 839157 | 745486 |
| &nbsp;&nbsp; 3.00% 6/1/52 | 2659984 | 2363478 |
| &nbsp;&nbsp; 3.00% 7/1/60 | 559730 | 489069 |
| &nbsp;&nbsp; 3.00% 3/1/61 | 844481 | 737839 |
| &nbsp;&nbsp; 3.00% 6/1/62 | 1128739 | 968016 |
| &nbsp;&nbsp; 3.03% 4/1/30 | 650000 | 623352 |
| &nbsp;&nbsp; 3.08% 1/1/30 | 2688035 | 2584014 |
| &nbsp;&nbsp; 3.08% 4/1/30 | 427694 | 411193 |
| &nbsp;&nbsp; 3.11% 3/1/30 | 1494066 | 1436397 |
| &nbsp;&nbsp; 3.12% 11/1/26 | 853335 | 845308 |
| &nbsp;&nbsp; 3.16% 5/1/29 | 273151 | 265038 |
| &nbsp;&nbsp; 3.19% 3/1/36 | 793131 | 753575 |
| &nbsp;&nbsp; 3.20% 2/1/29 | 168821 | 164723 |
| &nbsp;&nbsp; 3.25% 5/1/29 | 371303 | 361412 |
| &nbsp;&nbsp; 3.48% 3/1/37 | 923882 | 852517 |
| &nbsp;&nbsp; 3.50% 4/1/32 | 780434 | 770757 |
| &nbsp;&nbsp; 3.50% 12/1/34 | 203376 | 197887 |
| &nbsp;&nbsp; 3.50% 1/1/35 | 127349 | 123914 |
| &nbsp;&nbsp; 3.50% 2/1/37 | 94195 | 91017 |
| &nbsp;&nbsp; 3.50% 3/1/37 | 68647 | 66638 |
| &nbsp;&nbsp; 3.50% 12/1/37 | 116821 | 112020 |
| &nbsp;&nbsp; 3.50% 8/1/39 | 75611 | 72952 |
| &nbsp;&nbsp; 3.50% 2/1/40 | 389539 | 373840 |
| &nbsp;&nbsp; 3.50% 4/1/42 | 134159 | 126779 |
| &nbsp;&nbsp; 3.50% 12/1/42 | 60765 | 57355 |
| &nbsp;&nbsp; 3.50% 3/1/43 | 516266 | 488937 |
| &nbsp;&nbsp; 3.50% 5/1/43 | 156030 | 146886 |
| &nbsp;&nbsp; 3.50% 1/1/44 | 177025 | 167085 |
| &nbsp;&nbsp; 3.50% 11/1/44 | 4906359 | 4612564 |
| &nbsp;&nbsp; 3.50% 2/1/46 | 240989 | 225069 |
| &nbsp;&nbsp; 3.50% 10/1/46 | 115960 | 108296 |
| &nbsp;&nbsp; 3.50% 12/1/46 | 697387 | 658244 |
| &nbsp;&nbsp; 3.50% 12/1/47 | 1392023 | 1296282 |
| &nbsp;&nbsp; 3.50% 1/1/48 | 734067 | 690124 |
| &nbsp;&nbsp; 3.50% 2/1/48 | 1014327 | 947284 |
| &nbsp;&nbsp; 3.50% 11/1/48 | 6134080 | 5751045 |
| &nbsp;&nbsp; 3.50% 8/1/49 | 477987 | 450954 |
| &nbsp;&nbsp; 3.50% 3/1/50 | 214268 | 199452 |
| &nbsp;&nbsp; 3.50% 6/1/50 | 96364 | 89629 |
| &nbsp;&nbsp; 3.50% 8/1/50 | 2270082 | 2104809 |
| &nbsp;&nbsp; 3.50% 9/1/50 | 473734 | 442185 |
| &nbsp;&nbsp; 3.50% 11/1/51 | 1677995 | 1539412 |
| &nbsp;&nbsp; 3.50% 12/1/51 | 140145 | 130208 |
| &nbsp;&nbsp; 3.50% 1/1/52 | 579034 | 535887 |
| &nbsp;&nbsp; 3.50% 3/1/52 | 2112875 | 1950857 |
| &nbsp;&nbsp; 3.50% 4/1/52 | 2292811 | 2110514 |
| &nbsp;&nbsp; 3.50% 5/1/52 | 4157566 | 3849697 |
| &nbsp;&nbsp; 3.50% 6/1/52 | 1920562 | 1766110 |
| &nbsp;&nbsp; 3.50% 9/1/52 | 2409772 | 2233816 |
| &nbsp;&nbsp; 3.50% 3/1/60 | 597332 | 541533 |

---

*LVIP JPMorgan Core Bond Fund–12*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) |
| &nbsp;&nbsp; 3.50% 3/1/62 | 2472540 | $2226848 |
| &nbsp;&nbsp; 3.50% 6/1/62 | 861976 | 773876 |
| &nbsp;&nbsp; 3.52% 6/1/28 | 482202 | 476628 |
| &nbsp;&nbsp; 3.52% 6/1/32 | 298949 | 285433 |
| &nbsp;&nbsp; 3.54% 6/1/32 | 1386000 | 1322084 |
| &nbsp;&nbsp; 3.54% 11/1/32 | 1100000 | 1044577 |
| &nbsp;&nbsp; 3.56% 7/1/32 | 200000 | 191908 |
| &nbsp;&nbsp; 3.64% 8/1/28 | 894225 | 883497 |
| &nbsp;&nbsp; 3.67% 6/1/32 | 95077 | 91740 |
| &nbsp;&nbsp; 3.68% 9/1/32 | 936000 | 901283 |
| &nbsp;&nbsp; 3.70% 8/1/32 | 486290 | 469210 |
| &nbsp;&nbsp; 3.72% 8/1/32 | 957669 | 925082 |
| &nbsp;&nbsp; 3.73% 6/1/32 | 96973 | 93938 |
| &nbsp;&nbsp; 3.77% 12/1/25 | 135606 | 135169 |
| &nbsp;&nbsp; 3.80% 9/1/32 | 1105031 | 1070130 |
| &nbsp;&nbsp; 3.81% 12/1/28 | 300000 | 298398 |
| &nbsp;&nbsp; 3.81% 10/1/32 | 1245000 | 1207754 |
| &nbsp;&nbsp; 3.81% 11/1/32 | 1010000 | 978873 |
| &nbsp;&nbsp; 3.83% 7/1/32 | 196951 | 191629 |
| &nbsp;&nbsp; 3.84% 7/1/32 | 200000 | 194257 |
| &nbsp;&nbsp; 3.85% 8/1/32 | 200000 | 192474 |
| &nbsp;&nbsp; 3.86% 7/1/32 | 95028 | 92733 |
| &nbsp;&nbsp; 3.88% 7/1/32 | 190639 | 186213 |
| &nbsp;&nbsp; 3.89% 7/1/32 | 800000 | 771129 |
| &nbsp;&nbsp; 3.90% 6/1/32 | 100000 | 97420 |
| &nbsp;&nbsp; 3.90% 8/1/32 | 100000 | 96648 |
| &nbsp;&nbsp; 3.90% 2/1/33 | 1200000 | 1161729 |
| &nbsp;&nbsp; 3.96% 2/1/30 | 1200000 | 1186612 |
| &nbsp;&nbsp; 4.00% 2/1/36 | 346126 | 341267 |
| &nbsp;&nbsp; 4.00% 7/1/42 | 176654 | 172247 |
| &nbsp;&nbsp; 4.00% 9/1/42 | 2064308 | 2017707 |
| &nbsp;&nbsp; 4.00% 11/1/42 | 390672 | 379962 |
| &nbsp;&nbsp; 4.00% 4/1/44 | 909202 | 882619 |
| &nbsp;&nbsp; 4.00% 10/1/44 | 4878980 | 4711574 |
| &nbsp;&nbsp; 4.00% 12/1/44 | 152570 | 148030 |
| &nbsp;&nbsp; 4.00% 2/1/47 | 77165 | 74239 |
| &nbsp;&nbsp; 4.00% 3/1/47 | 1151411 | 1107251 |
| &nbsp;&nbsp; 4.00% 5/1/47 | 619113 | 594344 |
| &nbsp;&nbsp; 4.00% 6/1/47 | 403734 | 389928 |
| &nbsp;&nbsp; 4.00% 6/1/48 | 971471 | 937742 |
| &nbsp;&nbsp; 4.00% 10/1/48 | 1235265 | 1192476 |
| &nbsp;&nbsp; 4.00% 1/1/49 | 430103 | 413526 |
| &nbsp;&nbsp; 4.00% 7/1/49 | 128963 | 123754 |
| &nbsp;&nbsp; 4.00% 1/1/50 | 250175 | 239315 |
| &nbsp;&nbsp; 4.00% 3/1/50 | 359948 | 342411 |
| &nbsp;&nbsp; 4.00% 2/1/51 | 815332 | 777123 |
| &nbsp;&nbsp; 4.00% 8/1/51 | 674376 | 655879 |
| &nbsp;&nbsp; 4.00% 11/1/51 | 554298 | 524408 |
| &nbsp;&nbsp; 4.00% 12/1/51 | 404906 | 383501 |
| &nbsp;&nbsp; 4.00% 4/1/52 | 4076854 | 3878928 |
| &nbsp;&nbsp; 4.00% 5/1/52 | 69212 | 66028 |
| &nbsp;&nbsp; 4.00% 6/1/52 | 3871845 | 3657545 |
| &nbsp;&nbsp; 4.00% 7/1/52 | 934961 | 885663 |
| &nbsp;&nbsp; 4.00% 9/1/52 | 1029728 | 974005 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) |
| &nbsp;&nbsp; 4.00% 7/1/56 | 168680 | $159349 |
| &nbsp;&nbsp; 4.00% 8/1/56 | 3186916 | 3010602 |
| &nbsp;&nbsp; 4.00% 6/1/57 | 655816 | 619531 |
| &nbsp;&nbsp; 4.00% 8/1/58 | 1265683 | 1202729 |
| &nbsp;&nbsp; 4.00% 8/1/59 | 994191 | 937376 |
| &nbsp;&nbsp; 4.00% 12/1/61 | 746776 | 698944 |
| &nbsp;&nbsp; 4.00% 3/1/62 | 241740 | 225207 |
| &nbsp;&nbsp; 4.00% 6/1/62 | 273062 | 258449 |
| &nbsp;&nbsp; 4.06% 7/1/32 | 395479 | 387023 |
| &nbsp;&nbsp; 4.08% 2/1/34 | 2235000 | 2182972 |
| &nbsp;&nbsp; 4.11% 7/1/32 | 100000 | 98163 |
| &nbsp;&nbsp; 4.12% 11/1/32 | 1405000 | 1386517 |
| &nbsp;&nbsp; 4.13% 7/1/32 | 100000 | 98935 |
| &nbsp;&nbsp; 4.18% 11/1/30 | 284461 | 284771 |
| &nbsp;&nbsp; 4.19% 7/1/32 | 97332 | 96620 |
| &nbsp;&nbsp; 4.22% 10/1/32 | 1000000 | 992332 |
| &nbsp;&nbsp; 4.23% 10/1/32 | 6285000 | 6219204 |
| &nbsp;&nbsp; 4.27% 10/1/32 | 478083 | 475465 |
| &nbsp;&nbsp; 4.32% 3/1/30 | 1600000 | 1611624 |
| &nbsp;&nbsp; 4.34% 7/1/32 | 99841 | 99720 |
| &nbsp;&nbsp; 4.36% 2/1/33 | 500000 | 499394 |
| &nbsp;&nbsp; 4.37% 1/1/32 | 12390774 | 12425366 |
| &nbsp;&nbsp; 4.42% 6/1/32 | 4692000 | 4698871 |
| &nbsp;&nbsp; 4.42% 3/1/33 | 500000 | 498634 |
| &nbsp;&nbsp;&nbsp; •4.44% (Enterprise 11th <br> District COFI Replacement <br> Index + 1.25%) 3/1/29<br>| 61 | 61 |
| &nbsp;&nbsp; 4.45% 8/1/32 | 5000000 | 5012104 |
| &nbsp;&nbsp; 4.45% 12/1/32 | 1042537 | 1048895 |
| &nbsp;&nbsp; 4.45% 1/1/35 | 1861000 | 1848132 |
| &nbsp;&nbsp; 4.47% 3/1/33 | 2000000 | 2004242 |
| &nbsp;&nbsp; 4.49% 6/1/28 | 700000 | 708042 |
| &nbsp;&nbsp; 4.50% 11/1/38 | 272591 | 274218 |
| &nbsp;&nbsp; 4.50% 4/1/39 | 59546 | 59543 |
| &nbsp;&nbsp; 4.50% 5/1/39 | 1807 | 1816 |
| &nbsp;&nbsp; 4.50% 6/1/39 | 341517 | 344130 |
| &nbsp;&nbsp; 4.50% 7/1/40 | 65936 | 65150 |
| &nbsp;&nbsp; 4.50% 12/1/40 | 717283 | 720217 |
| &nbsp;&nbsp; 4.50% 8/1/41 | 149026 | 149156 |
| &nbsp;&nbsp; 4.50% 10/1/43 | 402914 | 403885 |
| &nbsp;&nbsp; 4.50% 2/1/44 | 669211 | 669793 |
| &nbsp;&nbsp; 4.50% 2/1/46 | 2089321 | 2091333 |
| &nbsp;&nbsp; 4.50% 3/1/46 | 606116 | 604586 |
| &nbsp;&nbsp; 4.50% 5/1/46 | 246292 | 246961 |
| &nbsp;&nbsp; 4.50% 6/1/48 | 227041 | 225022 |
| &nbsp;&nbsp; 4.50% 7/1/48 | 292679 | 289046 |
| &nbsp;&nbsp; 4.50% 8/1/48 | 477309 | 471285 |
| &nbsp;&nbsp; 4.50% 10/1/48 | 23375 | 23117 |
| &nbsp;&nbsp; 4.50% 11/1/48 | 225155 | 222267 |
| &nbsp;&nbsp; 4.50% 12/1/48 | 206512 | 203648 |
| &nbsp;&nbsp; 4.50% 1/1/49 | 331368 | 326639 |
| &nbsp;&nbsp; 4.50% 2/1/49 | 177332 | 175641 |
| &nbsp;&nbsp; 4.50% 4/1/49 | 182574 | 178946 |
| &nbsp;&nbsp; 4.50% 5/1/49 | 130415 | 128091 |
| &nbsp;&nbsp; 4.50% 7/1/49 | 302758 | 297750 |

---

*LVIP JPMorgan Core Bond Fund–13*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) |
| &nbsp;&nbsp; 4.50% 9/1/49 | 1392081 | $1374517 |
| &nbsp;&nbsp; 4.50% 1/1/50 | 2817444 | 2809413 |
| &nbsp;&nbsp; 4.50% 3/1/50 | 223158 | 222042 |
| &nbsp;&nbsp; 4.50% 4/1/50 | 1129580 | 1114844 |
| &nbsp;&nbsp; 4.50% 5/1/50 | 300576 | 294738 |
| &nbsp;&nbsp; 4.50% 9/1/51 | 290553 | 284962 |
| &nbsp;&nbsp; 4.50% 8/1/52 | 220261 | 214681 |
| &nbsp;&nbsp; 4.50% 9/1/52 | 626933 | 614382 |
| &nbsp;&nbsp; 4.50% 11/1/52 | 1583597 | 1545344 |
| &nbsp;&nbsp; 4.50% 12/1/52 | 921607 | 899867 |
| &nbsp;&nbsp; 4.50% 1/1/53 | 606726 | 593537 |
| &nbsp;&nbsp; 4.50% 2/1/53 | 1623081 | 1581288 |
| &nbsp;&nbsp; 4.50% 3/1/53 | 615538 | 601311 |
| &nbsp;&nbsp; 4.50% 4/1/53 | 471799 | 459066 |
| &nbsp;&nbsp; 4.50% 9/1/57 | 811062 | 786935 |
| &nbsp;&nbsp; 4.50% 8/1/58 | 800335 | 776533 |
| &nbsp;&nbsp; 4.50% 1/1/59 | 72658 | 70294 |
| &nbsp;&nbsp; 4.50% 6/1/62 | 752108 | 729468 |
| &nbsp;&nbsp; 4.53% 5/1/35 | 1840704 | 1834750 |
| &nbsp;&nbsp; 4.55% 9/1/33 | 2857248 | 2885657 |
| &nbsp;&nbsp; 4.55% 6/1/35 | 3210000 | 3197906 |
| &nbsp;&nbsp; 4.57% 6/1/30 | 1445667 | 1467695 |
| &nbsp;&nbsp; 4.58% 1/1/33 | 200000 | 203270 |
| &nbsp;&nbsp; 4.67% 11/1/34 | 2955000 | 2986499 |
| &nbsp;&nbsp; 4.68% 11/1/31 | 1050000 | 1069553 |
| &nbsp;&nbsp; 4.69% 1/1/33 | 296461 | 302683 |
| &nbsp;&nbsp; 4.74% 6/1/30 | 400000 | 406666 |
| &nbsp;&nbsp; 4.74% 2/1/33 | 1070000 | 1087485 |
| &nbsp;&nbsp; 4.79% 5/1/35 | 4770000 | 4851037 |
| &nbsp;&nbsp; 4.82% 9/1/35 | 10209000 | 10397201 |
| &nbsp;&nbsp; 4.83% 9/1/28 | 1100000 | 1123344 |
| &nbsp;&nbsp; 4.86% 12/1/32 | 775000 | 801500 |
| &nbsp;&nbsp; 4.86% 4/1/35 | 2989528 | 3042581 |
| &nbsp;&nbsp; 4.88% 9/1/28 | 500000 | 511575 |
| &nbsp;&nbsp; 4.88% 6/1/35 | 2502000 | 2553166 |
| &nbsp;&nbsp; 4.89% 4/1/34 | 2868600 | 2934339 |
| &nbsp;&nbsp; 5.00% 9/1/35 | 6483 | 6631 |
| &nbsp;&nbsp; 5.00% 7/1/47 | 1428226 | 1463430 |
| &nbsp;&nbsp; 5.00% 9/1/48 | 517442 | 519356 |
| &nbsp;&nbsp; 5.00% 10/1/48 | 147674 | 147957 |
| &nbsp;&nbsp; 5.00% 1/1/49 | 234147 | 236909 |
| &nbsp;&nbsp; 5.00% 2/1/49 | 74556 | 74584 |
| &nbsp;&nbsp; 5.00% 4/1/49 | 137508 | 139589 |
| &nbsp;&nbsp; 5.00% 6/1/49 | 91660 | 92515 |
| &nbsp;&nbsp; 5.00% 9/1/49 | 690354 | 698263 |
| &nbsp;&nbsp; 5.00% 12/1/49 | 694248 | 709292 |
| &nbsp;&nbsp; 5.00% 1/1/51 | 1415324 | 1427445 |
| &nbsp;&nbsp; 5.00% 6/1/52 | 359371 | 360540 |
| &nbsp;&nbsp; 5.00% 7/1/52 | 336721 | 336396 |
| &nbsp;&nbsp; 5.00% 8/1/52 | 143831 | 143574 |
| &nbsp;&nbsp; 5.00% 12/1/52 | 76453 | 75943 |
| &nbsp;&nbsp; 5.00% 1/1/53 | 408669 | 406146 |
| &nbsp;&nbsp; 5.00% 2/1/53 | 399911 | 398578 |
| &nbsp;&nbsp; 5.00% 3/1/53 | 635684 | 637139 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) |
| &nbsp;&nbsp; 5.00% 4/1/53 | 713242 | $714875 |
| &nbsp;&nbsp; 5.00% 5/1/53 | 424969 | 425942 |
| &nbsp;&nbsp; 5.00% 6/1/53 | 1598125 | 1589335 |
| &nbsp;&nbsp; 5.00% 8/1/53 | 4003324 | 4001471 |
| &nbsp;&nbsp; 5.00% 9/1/53 | 826486 | 822409 |
| &nbsp;&nbsp; 5.00% 12/1/61 | 674335 | 672108 |
| &nbsp;&nbsp; 5.21% 12/1/33 | 3084158 | 3210394 |
| &nbsp;&nbsp; 5.34% 9/1/28 | 200000 | 206695 |
| &nbsp;&nbsp; 5.50% 9/1/33 | 8180 | 8397 |
| &nbsp;&nbsp; 5.50% 5/1/34 | 130235 | 133705 |
| &nbsp;&nbsp; 5.50% 9/1/36 | 171656 | 175923 |
| &nbsp;&nbsp; 5.50% 1/1/38 | 522288 | 535113 |
| &nbsp;&nbsp; 5.50% 2/1/38 | 1853 | 1917 |
| &nbsp;&nbsp; 5.50% 3/1/38 | 1215 | 1258 |
| &nbsp;&nbsp; 5.50% 4/1/38 | 1672 | 1692 |
| &nbsp;&nbsp; 5.50% 6/1/38 | 369 | 382 |
| &nbsp;&nbsp; 5.50% 10/1/38 | 1211008 | 1238815 |
| &nbsp;&nbsp; 5.50% 1/1/39 | 200675 | 208047 |
| &nbsp;&nbsp; 5.50% 3/1/40 | 349909 | 359468 |
| &nbsp;&nbsp; 5.50% 3/1/41 | 179274 | 183814 |
| &nbsp;&nbsp; 5.50% 6/1/41 | 122821 | 127398 |
| &nbsp;&nbsp; 5.50% 7/1/41 | 390833 | 406159 |
| &nbsp;&nbsp; 5.50% 5/1/44 | 1509007 | 1571019 |
| &nbsp;&nbsp; 5.50% 8/1/52 | 964020 | 985021 |
| &nbsp;&nbsp; 5.50% 11/1/52 | 729160 | 743803 |
| &nbsp;&nbsp; 5.50% 2/1/53 | 221398 | 225412 |
| &nbsp;&nbsp; 5.50% 4/1/53 | 621889 | 633164 |
| &nbsp;&nbsp; 5.50% 5/1/53 | 1064083 | 1079363 |
| &nbsp;&nbsp; 5.50% 7/1/53 | 843723 | 852034 |
| &nbsp;&nbsp; 5.50% 9/1/53 | 5547836 | 5631980 |
| &nbsp;&nbsp; 5.50% 2/1/55 | 2097620 | 2115693 |
| &nbsp;&nbsp; 5.50% 1/1/58 | 979100 | 1018180 |
| &nbsp;&nbsp; 6.00% 1/1/29 | 245 | 250 |
| &nbsp;&nbsp; 6.00% 3/1/32 | 3528 | 3603 |
| &nbsp;&nbsp; 6.00% 3/1/33 | 312 | 319 |
| &nbsp;&nbsp; 6.00% 10/1/39 | 221501 | 232279 |
| &nbsp;&nbsp; 6.00% 7/1/41 | 537107 | 565977 |
| &nbsp;&nbsp; 6.00% 1/1/42 | 1160064 | 1222447 |
| &nbsp;&nbsp; 6.00% 1/1/53 | 284736 | 291620 |
| &nbsp;&nbsp; 6.00% 3/1/53 | 164327 | 169448 |
| &nbsp;&nbsp; 6.00% 5/1/53 | 1717841 | 1765846 |
| &nbsp;&nbsp; 6.00% 6/1/53 | 76088 | 78053 |
| &nbsp;&nbsp; 6.00% 7/1/53 | 2711383 | 2799833 |
| &nbsp;&nbsp; 6.00% 9/1/53 | 1454589 | 1490244 |
| &nbsp;&nbsp; 6.00% 12/1/54 | 1321736 | 1350665 |
| &nbsp;&nbsp; 6.00% 3/1/55 | 1474024 | 1506640 |
| &nbsp;&nbsp;&nbsp; •6.12% (6 mo. USD RFUCCT <br> + 1.52%) 1/1/35<br>| 18596 | 19056 |
| &nbsp;&nbsp;&nbsp; •6.15% (1 yr. CMT + 2.15%) <br> 7/1/33<br>| 4492 | 4594 |
| &nbsp;&nbsp;&nbsp; •6.34% (1 yr. CMT + 2.12%) <br> 8/1/34<br>| 8232 | 8419 |
| &nbsp;&nbsp;&nbsp; •6.45% (1 yr. USD RFUCCT + <br> 1.61%) 1/1/34<br>| 4284 | 4358 |
| &nbsp;&nbsp; 6.50% 4/1/32 | 9801 | 10256 |

---

*LVIP JPMorgan Core Bond Fund–14*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) | Federal National Mortgage Association (continued) |
| &nbsp;&nbsp; 6.50% 10/1/35 | 43691 | $44698 |
| &nbsp;&nbsp; 6.50% 11/1/36 | 16354 | 17237 |
| &nbsp;&nbsp; 6.50% 10/1/38 | 72847 | 75175 |
| &nbsp;&nbsp; 6.50% 11/1/52 | 265750 | 279128 |
| &nbsp;&nbsp; 6.50% 1/1/53 | 1264967 | 1325699 |
| &nbsp;&nbsp; 6.50% 2/1/53 | 347883 | 362148 |
| &nbsp;&nbsp; 6.50% 9/1/53 | 649817 | 677434 |
| &nbsp;&nbsp;&nbsp; •6.51% (1 yr. CMT + 2.28%) <br> 4/1/33<br>| 5952 | 6107 |
| &nbsp;&nbsp;&nbsp; •6.58% (1 yr. USD RFUCCT + <br> 1.75%) 10/1/34<br>| 6304 | 6395 |
| &nbsp;&nbsp;&nbsp; •6.59% (1 yr. USD RFUCCT + <br> 1.60%) 5/1/35<br>| 12185 | 12428 |
| &nbsp;&nbsp; 7.00% 6/1/35 | 169726 | 180090 |
| &nbsp;&nbsp; 7.50% 3/1/30 | 386 | 386 |
| &nbsp;&nbsp; 8.00% 3/1/27 | 907 | 909 |
| &nbsp;&nbsp; 8.00% 11/1/28 | 4489 | 4607 |
| &nbsp;&nbsp; 8.50% 6/1/30 | 4 | 4 |
| Government National Mortgage Association | Government National Mortgage Association | Government National Mortgage Association |
| &nbsp;&nbsp; 2.00% 12/20/50 | 1064523 | 874408 |
| &nbsp;&nbsp; 2.00% 2/20/51 | 1102108 | 912526 |
| &nbsp;&nbsp; 2.00% 3/20/51 | 1163897 | 954105 |
| &nbsp;&nbsp; 2.50% 10/20/49 | 580565 | 502964 |
| &nbsp;&nbsp; 2.50% 12/20/50 | 826590 | 705174 |
| &nbsp;&nbsp; 2.50% 1/20/51 | 258022 | 222325 |
| &nbsp;&nbsp; 2.50% 2/20/51 | 4214012 | 3638148 |
| &nbsp;&nbsp; 2.50% 5/20/51 | 244465 | 209055 |
| &nbsp;&nbsp; 2.50% 6/20/51 | 353833 | 302800 |
| &nbsp;&nbsp; 2.50% 7/20/51 | 607570 | 523180 |
| &nbsp;&nbsp; 2.50% 8/20/51 | 7880542 | 6787755 |
| &nbsp;&nbsp; 2.50% 10/20/51 | 3933010 | 3378708 |
| &nbsp;&nbsp; 2.50% 11/20/51 | 497237 | 427433 |
| &nbsp;&nbsp; 2.50% 12/20/51 | 1899932 | 1623393 |
| &nbsp;&nbsp; 2.50% 8/20/52 | 72603 | 62826 |
| &nbsp;&nbsp; 2.50% 9/20/52 | 293246 | 252897 |
| &nbsp;&nbsp; 2.50% 2/20/53 | 686113 | 596699 |
| &nbsp;&nbsp; 2.50% 9/20/53 | 14239009 | 12282093 |
| &nbsp;&nbsp; 2.50% 10/20/53 | 4084792 | 3525995 |
| &nbsp;&nbsp; 3.00% 9/15/42 | 291114 | 266863 |
| &nbsp;&nbsp; 3.00% 10/15/42 | 22986 | 21029 |
| &nbsp;&nbsp; 3.00% 8/15/45 | 234247 | 211717 |
| &nbsp;&nbsp; 3.00% 1/20/46 | 37686 | 34204 |
| &nbsp;&nbsp; 3.00% 8/20/46 | 285277 | 258686 |
| &nbsp;&nbsp; 3.00% 11/20/46 | 148022 | 134122 |
| &nbsp;&nbsp; 3.00% 2/20/47 | 50968 | 46119 |
| &nbsp;&nbsp; 3.00% 4/20/47 | 33672 | 30468 |
| &nbsp;&nbsp; 3.00% 9/20/47 | 194473 | 176098 |
| &nbsp;&nbsp; 3.00% 1/20/50 | 584131 | 513763 |
| &nbsp;&nbsp; 3.00% 3/15/50 | 133641 | 118276 |
| &nbsp;&nbsp; 3.00% 3/20/50 | 508299 | 448607 |
| &nbsp;&nbsp; 3.00% 7/20/50 | 901516 | 805110 |
| &nbsp;&nbsp; 3.00% 8/20/50 | 293609 | 258758 |
| &nbsp;&nbsp; 3.00% 2/20/51 | 5852876 | 5230076 |
| &nbsp;&nbsp; 3.00% 5/20/51 | 54699 | 48878 |
| &nbsp;&nbsp; 3.00% 7/20/51 | 480677 | 429518 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Government National Mortgage Association (continued) | Government National Mortgage Association (continued) | Government National Mortgage Association (continued) |
| &nbsp;&nbsp; 3.00% 9/20/51 | 3961428 | $3539803 |
| &nbsp;&nbsp; 3.00% 10/20/51 | 461945 | 412778 |
| &nbsp;&nbsp; 3.00% 11/20/51 | 712498 | 630268 |
| &nbsp;&nbsp; 3.00% 12/20/51 | 1789216 | 1600172 |
| &nbsp;&nbsp; 3.00% 1/20/52 | 725729 | 647562 |
| &nbsp;&nbsp; 3.00% 2/20/52 | 2070350 | 1843444 |
| &nbsp;&nbsp; 3.00% 3/20/52 | 7660268 | 6803482 |
| &nbsp;&nbsp; 3.00% 4/20/52 | 1515936 | 1338231 |
| &nbsp;&nbsp; 3.00% 11/20/52 | 543805 | 487626 |
| &nbsp;&nbsp; 3.00% 12/20/52 | 811692 | 726273 |
| &nbsp;&nbsp; 3.00% 1/20/53 | 377174 | 337307 |
| &nbsp;&nbsp; 3.00% 4/20/53 | 149674 | 134782 |
| &nbsp;&nbsp; 3.50% 3/20/45 | 8008 | 7476 |
| &nbsp;&nbsp; 3.50% 4/20/45 | 142555 | 133128 |
| &nbsp;&nbsp; 3.50% 11/20/45 | 160710 | 149701 |
| &nbsp;&nbsp; 3.50% 1/20/46 | 95669 | 89096 |
| &nbsp;&nbsp; 3.50% 3/20/46 | 454155 | 421833 |
| &nbsp;&nbsp; 3.50% 4/20/46 | 305597 | 284539 |
| &nbsp;&nbsp; 3.50% 5/20/46 | 125028 | 116400 |
| &nbsp;&nbsp; 3.50% 6/20/46 | 210495 | 195881 |
| &nbsp;&nbsp; 3.50% 7/20/46 | 129444 | 119644 |
| &nbsp;&nbsp; 3.50% 9/20/46 | 38721 | 36017 |
| &nbsp;&nbsp; 3.50% 9/20/47 | 1610127 | 1489338 |
| &nbsp;&nbsp; 3.50% 10/20/47 | 305343 | 280990 |
| &nbsp;&nbsp; 3.50% 9/20/48 | 4437188 | 4115004 |
| &nbsp;&nbsp; 3.50% 10/20/48 | 93455 | 86583 |
| &nbsp;&nbsp; 3.50% 11/20/48 | 918603 | 850442 |
| &nbsp;&nbsp; 3.50% 10/20/49 | 59999 | 54731 |
| &nbsp;&nbsp; 3.50% 2/20/50 | 102754 | 93734 |
| &nbsp;&nbsp; 3.50% 4/20/50 | 780370 | 709482 |
| &nbsp;&nbsp; 3.50% 5/15/50 | 198124 | 181466 |
| &nbsp;&nbsp; 3.50% 2/20/52 | 579151 | 527027 |
| &nbsp;&nbsp; 3.50% 3/20/52 | 336671 | 302107 |
| &nbsp;&nbsp; 3.50% 4/20/52 | 1987313 | 1822593 |
| &nbsp;&nbsp; 3.50% 6/20/52 | 248407 | 223517 |
| &nbsp;&nbsp; 3.50% 12/20/52 | 1229754 | 1123539 |
| &nbsp;&nbsp; 3.50% 2/20/53 | 79481 | 73015 |
| &nbsp;&nbsp; 3.75% 12/20/32 | 44422 | 43808 |
| &nbsp;&nbsp; 3.75% 4/20/48 | 1334587 | 1245493 |
| &nbsp;&nbsp; 4.00% 10/20/44 | 20464 | 19680 |
| &nbsp;&nbsp; 4.00% 8/20/46 | 384141 | 368359 |
| &nbsp;&nbsp; 4.00% 2/20/47 | 107048 | 102313 |
| &nbsp;&nbsp; 4.00% 6/20/47 | 973835 | 931705 |
| &nbsp;&nbsp; 4.00% 9/20/47 | 595268 | 569514 |
| &nbsp;&nbsp; 4.00% 11/20/47 | 308375 | 295033 |
| &nbsp;&nbsp; 4.00% 12/20/47 | 125019 | 119610 |
| &nbsp;&nbsp; 4.00% 2/20/48 | 378788 | 357675 |
| &nbsp;&nbsp; 4.00% 3/20/48 | 1305920 | 1249404 |
| &nbsp;&nbsp; 4.00% 4/20/48 | 92332 | 88108 |
| &nbsp;&nbsp; 4.00% 5/20/48 | 136534 | 130934 |
| &nbsp;&nbsp; 4.00% 8/20/48 | 365886 | 349564 |
| &nbsp;&nbsp; 4.00% 9/20/48 | 108588 | 103888 |
| &nbsp;&nbsp; 4.00% 2/20/49 | 701754 | 670087 |
| &nbsp;&nbsp; 4.00% 3/20/49 | 216082 | 206242 |

---

*LVIP JPMorgan Core Bond Fund–15*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Government National Mortgage Association (continued) | Government National Mortgage Association (continued) | Government National Mortgage Association (continued) |
| &nbsp;&nbsp; 4.00% 4/20/49 | 181202 | $174088 |
| &nbsp;&nbsp; 4.00% 10/20/49 | 72884 | 69189 |
| &nbsp;&nbsp; 4.00% 11/20/49 | 503499 | 477975 |
| &nbsp;&nbsp; 4.00% 1/20/50 | 59673 | 55544 |
| &nbsp;&nbsp; 4.00% 2/20/50 | 367914 | 350701 |
| &nbsp;&nbsp; 4.00% 3/15/50 | 25372 | 24082 |
| &nbsp;&nbsp; 4.00% 3/20/50 | 450785 | 425267 |
| &nbsp;&nbsp; 4.00% 4/20/50 | 662078 | 623417 |
| &nbsp;&nbsp; 4.00% 2/20/52 | 880749 | 828506 |
| &nbsp;&nbsp; 4.00% 5/20/52 | 1076233 | 1021083 |
| &nbsp;&nbsp; 4.00% 6/20/52 | 1088279 | 1029914 |
| &nbsp;&nbsp; 4.00% 8/20/52 | 1851725 | 1758632 |
| &nbsp;&nbsp; 4.00% 4/20/53 | 167581 | 158913 |
| &nbsp;&nbsp; 4.50% 8/20/47 | 161597 | 160058 |
| &nbsp;&nbsp; 4.50% 4/20/48 | 291686 | 288387 |
| &nbsp;&nbsp; 4.50% 5/20/48 | 15296 | 15113 |
| &nbsp;&nbsp; 4.50% 6/20/48 | 345793 | 342070 |
| &nbsp;&nbsp; 4.50% 7/20/48 | 7442 | 7358 |
| &nbsp;&nbsp; 4.50% 8/20/48 | 1272726 | 1259054 |
| &nbsp;&nbsp; 4.50% 10/20/48 | 252275 | 249253 |
| &nbsp;&nbsp; 4.50% 12/20/48 | 449516 | 443854 |
| &nbsp;&nbsp; 4.50% 1/20/49 | 505246 | 498884 |
| &nbsp;&nbsp; 4.50% 2/20/49 | 457072 | 452704 |
| &nbsp;&nbsp; 4.50% 3/20/49 | 933012 | 924095 |
| &nbsp;&nbsp; 4.50% 9/20/49 | 626212 | 623711 |
| &nbsp;&nbsp; 4.50% 2/20/50 | 930799 | 916495 |
| &nbsp;&nbsp; 4.50% 3/20/50 | 98063 | 96556 |
| &nbsp;&nbsp; 4.50% 5/20/50 | 1066696 | 1050848 |
| &nbsp;&nbsp; 4.50% 11/20/50 | 506275 | 500527 |
| &nbsp;&nbsp; 4.50% 12/20/50 | 130544 | 128565 |
| &nbsp;&nbsp; 4.50% 5/20/52 | 1883751 | 1843665 |
| &nbsp;&nbsp; 4.50% 8/20/52 | 876642 | 853121 |
| &nbsp;&nbsp; 4.50% 9/20/52 | 2073369 | 2022563 |
| &nbsp;&nbsp; 5.00% 5/20/48 | 104810 | 106237 |
| &nbsp;&nbsp; 5.00% 6/20/48 | 67919 | 68593 |
| &nbsp;&nbsp; 5.00% 9/20/48 | 129884 | 131600 |
| &nbsp;&nbsp; 5.00% 10/20/48 | 508177 | 515751 |
| &nbsp;&nbsp; 5.00% 11/20/48 | 211384 | 214133 |
| &nbsp;&nbsp; 5.00% 12/20/48 | 307062 | 311402 |
| &nbsp;&nbsp; 5.00% 1/20/49 | 361710 | 367196 |
| &nbsp;&nbsp; 5.00% 4/20/49 | 208530 | 211542 |
| &nbsp;&nbsp; 5.00% 9/20/49 | 212050 | 214938 |
| &nbsp;&nbsp; 5.00% 11/20/49 | 133009 | 134820 |
| &nbsp;&nbsp; 5.00% 1/20/50 | 187344 | 189891 |
| &nbsp;&nbsp; 5.00% 12/20/51 | 51171 | 51510 |
| &nbsp;&nbsp; 5.00% 9/20/52 | 941168 | 942294 |
| &nbsp;&nbsp; 5.00% 10/20/52 | 838180 | 838739 |
| &nbsp;&nbsp; 5.00% 11/20/52 | 1171540 | 1172321 |
| &nbsp;&nbsp; 5.00% 12/20/52 | 155929 | 156218 |
| &nbsp;&nbsp; 5.00% 1/20/53 | 2545337 | 2546791 |
| &nbsp;&nbsp; 5.00% 3/20/53 | 79617 | 79637 |
| &nbsp;&nbsp; 5.00% 5/20/53 | 394128 | 395122 |
| &nbsp;&nbsp; 5.00% 10/20/54 | 1081689 | 1078232 |
| &nbsp;&nbsp; 5.00% 6/20/63 | 593068 | 587228 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** | **AGENCY MORTGAGE-BACKED SECURITIES (continued)** |
| Government National Mortgage Association (continued) | Government National Mortgage Association (continued) | Government National Mortgage Association (continued) |
| &nbsp;&nbsp; 5.50% 6/15/38 | 443355 | $468051 |
| &nbsp;&nbsp; 5.50% 7/15/38 | 407047 | 429717 |
| &nbsp;&nbsp; 5.50% 9/15/38 | 634881 | 671980 |
| &nbsp;&nbsp; 5.50% 10/15/42 | 706499 | 740687 |
| &nbsp;&nbsp; 5.50% 11/20/52 | 1288900 | 1301936 |
| &nbsp;&nbsp; 5.50% 2/20/53 | 464562 | 469453 |
| &nbsp;&nbsp; 5.50% 4/20/53 | 806235 | 804756 |
| &nbsp;&nbsp; 5.50% 5/20/53 | 1531642 | 1551854 |
| &nbsp;&nbsp; 5.50% 6/20/53 | 744398 | 754995 |
| &nbsp;&nbsp; 5.50% 7/20/53 | 2055513 | 2084775 |
| &nbsp;&nbsp; 5.50% 2/20/54 | 1132792 | 1148640 |
| &nbsp;&nbsp; 5.50% 11/20/54 | 1136402 | 1157499 |
| &nbsp;&nbsp;&nbsp; •5.64% (1 yr. CMT + 1.66%) <br> 4/20/72<br>| 1255169 | 1311298 |
| &nbsp;&nbsp;&nbsp; •5.66% (1 yr. CMT + 1.67%) <br> 4/20/72<br>| 1175438 | 1229335 |
| &nbsp;&nbsp;&nbsp; •5.69% (1 yr. CMT + 1.70%) <br> 2/20/72<br>| 1223297 | 1278982 |
| &nbsp;&nbsp;&nbsp; •5.69% (1 yr. CMT + 1.71%) <br> 3/20/72<br>| 1036289 | 1084803 |
| &nbsp;&nbsp;&nbsp; •5.79% (1 yr. CMT + 1.82%) <br> 8/20/71<br>| 1239498 | 1300355 |
| &nbsp;&nbsp;&nbsp; •5.82% (1 yr. CMT + 1.82%) <br> 7/20/72<br>| 961830 | 1013788 |
| &nbsp;&nbsp; 6.00% 5/15/37 | 22984 | 23743 |
| &nbsp;&nbsp; 6.00% 10/15/38 | 3124 | 3242 |
| &nbsp;&nbsp; 6.00% 4/20/53 | 903311 | 928427 |
| &nbsp;&nbsp; 6.00% 5/20/53 | 1449979 | 1493644 |
| &nbsp;&nbsp; 6.00% 6/20/53 | 885117 | 909736 |
| &nbsp;&nbsp; 6.00% 6/20/63 | 546798 | 554495 |
| &nbsp;&nbsp; 6.50% 3/15/28 | 156 | 158 |
| &nbsp;&nbsp; 6.50% 12/15/38 | 9115 | 9690 |
| &nbsp;&nbsp; 7.00% 12/15/25 | 2 | 2 |
| &nbsp;&nbsp; 7.00% 11/15/27 | 166 | 167 |
| &nbsp;&nbsp; 7.00% 6/15/28 | 468 | 471 |
| &nbsp;&nbsp; 7.00% 6/15/33 | 1846 | 1944 |
| &nbsp;&nbsp; 7.50% 12/20/26 | 54 | 55 |
| &nbsp;&nbsp; 7.50% 9/15/28 | 371 | 374 |
| &nbsp;&nbsp; 8.00% 11/20/26 | 497 | 498 |
| &nbsp;&nbsp; 8.00% 1/20/27 | 86 | 86 |
| &nbsp;&nbsp; 8.00% 10/15/27 | 479 | 482 |
| **Total Agency Mortgage-Backed Securities** <br>**(Cost $809,749,354)** | **Total Agency Mortgage-Backed Securities** <br>**(Cost $809,749,354)** | **828123569** |
| **AGENCY OBLIGATIONS–0.02%** | **AGENCY OBLIGATIONS–0.02%** | **AGENCY OBLIGATIONS–0.02%** |
| &nbsp;&nbsp; ^Federal National Mortgage <br> Association Principal <br> STRIPS 0.00% 3/23/28<br>| 630000 | 571004 |
| Tennessee Valley Authority | Tennessee Valley Authority | Tennessee Valley Authority |
| &nbsp;&nbsp; 4.25% 9/15/65 | 101000 | 83622 |
| &nbsp;&nbsp; 4.63% 9/15/60 | 93000 | 83421 |
| &nbsp;&nbsp; 5.88% 4/1/36 | 140000 | 156648 |
| **Total Agency Obligations** <br>**(Cost $913,181)** | **Total Agency Obligations** <br>**(Cost $913,181)** | **894695** |

---

*LVIP JPMorgan Core Bond Fund–16*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS–24.19%** | **CORPORATE BONDS–24.19%** | **CORPORATE BONDS–24.19%** |
| **Aerospace & Defense–0.55%** | **Aerospace & Defense–0.55%** | **Aerospace & Defense–0.55%** |
| BAE Systems PLC |  |  |
| &nbsp;&nbsp; 1.90% 2/15/31 | 200000 | $176002 |
| &nbsp;&nbsp; 5.80% 10/11/41 | 51000 | 53246 |
| Boeing Co. |  |  |
| &nbsp;&nbsp; 2.20% 2/4/26 | 200000 | 198485 |
| &nbsp;&nbsp; 2.70% 2/1/27 | 810000 | 793491 |
| &nbsp;&nbsp; 2.80% 3/1/27 | 240000 | 235152 |
| &nbsp;&nbsp; 3.20% 3/1/29 | 830000 | 800882 |
| &nbsp;&nbsp; 3.25% 3/1/28 | 224000 | 218679 |
| &nbsp;&nbsp; 3.75% 2/1/50 | 320000 | 236422 |
| &nbsp;&nbsp; 5.93% 5/1/60 | 560000 | 559437 |
| &nbsp;&nbsp; 6.30% 5/1/29 | 1190000 | 1262884 |
| &nbsp;&nbsp; 6.39% 5/1/31 | 675000 | 735153 |
| &nbsp;&nbsp; 6.53% 5/1/34 | 1110000 | 1227067 |
| &nbsp;&nbsp; 6.86% 5/1/54 | 2139000 | 2439964 |
| &nbsp;&nbsp; General Dynamics Corp. <br> 4.25% 4/1/40<br>| 50000 | 45712 |
| L3Harris Technologies, Inc. |  |  |
| &nbsp;&nbsp; 4.85% 4/27/35 | 440000 | 438597 |
| &nbsp;&nbsp; 5.25% 6/1/31 | 1080000 | 1124275 |
| &nbsp;&nbsp; 5.40% 7/31/33 | 297000 | 309575 |
| Lockheed Martin Corp. |  |  |
| &nbsp;&nbsp; 4.15% 6/15/53 | 1580000 | 1283912 |
| &nbsp;&nbsp; 4.50% 5/15/36 | 640000 | 626337 |
| Northrop Grumman Corp. |  |  |
| &nbsp;&nbsp; 4.75% 6/1/43 | 179000 | 165695 |
| &nbsp;&nbsp; 5.15% 5/1/40 | 140000 | 139471 |
| &nbsp;&nbsp; 5.20% 6/1/54 | 729000 | 694100 |
| &nbsp;&nbsp; 5.25% 5/1/50 | 3390000 | 3264457 |
| RTX Corp. |  |  |
| &nbsp;&nbsp; 2.25% 7/1/30 | 570000 | 522052 |
| &nbsp;&nbsp; 3.13% 7/1/50 | 1520000 | 1033640 |
| &nbsp;&nbsp; 3.75% 11/1/46 | 80000 | 62644 |
| &nbsp;&nbsp; 4.13% 11/16/28 | 980000 | 979244 |
| &nbsp;&nbsp; 4.15% 5/15/45 | 138000 | 116397 |
| &nbsp;&nbsp; 4.35% 4/15/47 | 90000 | 77076 |
| &nbsp;&nbsp; 5.15% 2/27/33 | 221000 | 228899 |
|  |  | **20048947** |
| **Agriculture–0.23%** | **Agriculture–0.23%** | **Agriculture–0.23%** |
| Altria Group, Inc. |  |  |
| &nbsp;&nbsp; 2.45% 2/4/32 | 1730000 | 1522868 |
| &nbsp;&nbsp; 3.40% 2/4/41 | 610000 | 472815 |
| BAT Capital Corp. |  |  |
| &nbsp;&nbsp; 3.56% 8/15/27 | 600000 | 593863 |
| &nbsp;&nbsp; 4.39% 8/15/37 | 250000 | 229254 |
| &nbsp;&nbsp; 4.54% 8/15/47 | 754000 | 632259 |
| &nbsp;&nbsp; BAT International Finance <br> PLC 1.67% 3/25/26<br>| 160000 | 158062 |
| Bunge Ltd. Finance Corp. |  |  |
| &nbsp;&nbsp; 2.75% 5/14/31 | 400000 | 366724 |
| &nbsp;&nbsp; 3.20% 4/21/31 | 400000 | 374615 |
| &nbsp;&nbsp; 4.20% 9/17/29 | 1081000 | 1077290 |
| &nbsp;&nbsp; 4.65% 9/17/34 | 1228000 | 1203806 |
| &nbsp;&nbsp; 5.15% 8/4/35 | 435000 | 440128 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Agriculture (continued)** | **Agriculture (continued)** | **Agriculture (continued)** |
| &nbsp;&nbsp; JBS USA LUX SARL/JBS USA <br> Food Co./JBS USA Foods <br> Group 5.95% 4/20/35<br>| 500000 | $525251 |
| &nbsp;&nbsp; Philip Morris International, <br> Inc. 2.10% 5/1/30<br>| 810000 | 738156 |
| &nbsp;&nbsp; Reynolds American, Inc. <br> 5.85% 8/15/45<br>| 150000 | 148646 |
|  |  | **8483737** |
| **Airlines–0.34%** | **Airlines–0.34%** | **Airlines–0.34%** |
| &nbsp;&nbsp; ♦Air Canada Pass-Through <br> Trust<br>|  |  |
| &nbsp;&nbsp; 3.30% 7/15/31 | 166816 | 157957 |
| &nbsp;&nbsp; 3.55% 7/15/31 | 118696 | 111878 |
| &nbsp;&nbsp; 3.60% 9/15/28 | 52600 | 51802 |
| &nbsp;&nbsp; ♦American Airlines <br> Pass-Through Trust<br>|  |  |
| &nbsp;&nbsp; 3.00% 4/15/30 | 75983 | 73046 |
| &nbsp;&nbsp; 3.38% 11/1/28 | 799232 | 786055 |
| &nbsp;&nbsp; 3.70% 4/1/28 | 23031 | 22889 |
| &nbsp;&nbsp; 3.95% 1/11/32 | 3650000 | 3485862 |
| &nbsp;&nbsp; 4.00% 3/22/29 | 2199669 | 2143830 |
| &nbsp;&nbsp; ♦British Airways Pass-Through <br> Trust<br>|  |  |
| &nbsp;&nbsp; 3.30% 6/15/34 | 110011 | 104006 |
| &nbsp;&nbsp; 3.80% 3/20/33 | 42619 | 41662 |
| &nbsp;&nbsp; 4.13% 3/20/33 | 57593 | 55488 |
| &nbsp;&nbsp; ♦Delta Air Lines Pass-Through <br> Trust 3.63% 1/30/29<br>| 225519 | 222309 |
| &nbsp;&nbsp; Delta Air Lines, Inc./SkyMiles <br> IP Ltd.<br>|  |  |
| &nbsp;&nbsp; 4.50% 10/20/25 | 96666 | 96548 |
| &nbsp;&nbsp; 4.75% 10/20/28 | 1580000 | 1588884 |
| &nbsp;&nbsp; ♦United Airlines Pass-Through <br> Trust<br>|  |  |
| &nbsp;&nbsp; 2.70% 11/1/33 | 168030 | 154066 |
| &nbsp;&nbsp; 2.88% 4/7/30 | 62362 | 59399 |
| &nbsp;&nbsp; 3.10% 4/7/30 | 199559 | 189222 |
| &nbsp;&nbsp; 3.65% 7/7/27 | 23604 | 23478 |
| &nbsp;&nbsp; 3.70% 9/1/31 | 263491 | 247513 |
| &nbsp;&nbsp; 4.00% 10/11/27 | 34148 | 34076 |
| &nbsp;&nbsp; 4.15% 2/25/33 | 177649 | 173326 |
| &nbsp;&nbsp; 4.60% 9/1/27 | 48538 | 48282 |
| &nbsp;&nbsp; 5.45% 8/15/38 | 2688012 | 2764944 |
|  |  | **12636522** |
| **Apparel–0.05%** | **Apparel–0.05%** | **Apparel–0.05%** |
| NIKE, Inc. |  |  |
| &nbsp;&nbsp; 2.75% 3/27/27 | 320000 | 315021 |
| &nbsp;&nbsp; 2.85% 3/27/30 | 1220000 | 1158770 |
| &nbsp;&nbsp; 3.25% 3/27/40 | 330000 | 267393 |
|  |  | **1741184** |

---

*LVIP JPMorgan Core Bond Fund–17*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Auto Manufacturers–0.09%** | **Auto Manufacturers–0.09%** | **Auto Manufacturers–0.09%** |
| &nbsp;&nbsp; General Motors Financial Co., <br> Inc. 5.63% 4/4/32<br>| 263000 | $271444 |
| Hyundai Capital America |  |  |
| &nbsp;&nbsp; 1.30% 1/8/26 | 115000 | 114063 |
| &nbsp;&nbsp; 1.50% 6/15/26 | 45000 | 44140 |
| &nbsp;&nbsp; 1.80% 10/15/25 | 140000 | 139853 |
| &nbsp;&nbsp; 1.80% 1/10/28 | 215000 | 203301 |
| &nbsp;&nbsp; 2.38% 10/15/27 | 130000 | 125072 |
| &nbsp;&nbsp; 3.00% 2/10/27 | 200000 | 196533 |
| &nbsp;&nbsp; 4.55% 9/26/29 | 850000 | 851679 |
| &nbsp;&nbsp; 5.65% 6/26/26 | 1280000 | 1291851 |
| &nbsp;&nbsp; Stellantis Finance U.S., Inc. <br> 2.69% 9/15/31<br>| 200000 | 171517 |
|  |  | **3409453** |
| **Banks–9.04%** | **Banks–9.04%** | **Banks–9.04%** |
| μABN AMRO Bank NV |  |  |
| &nbsp;&nbsp; 2.47% 12/13/29 | 900000 | 851390 |
| &nbsp;&nbsp; 5.52% 12/3/35 | 2200000 | 2281322 |
| μAIB Group PLC |  |  |
| &nbsp;&nbsp; 5.32% 5/15/31 | 725000 | 746440 |
| &nbsp;&nbsp; 5.87% 3/28/35 | 2340000 | 2461645 |
| &nbsp;&nbsp; 6.61% 9/13/29 | 1490000 | 1581692 |
| &nbsp;&nbsp; Banco Nacional de Panama <br> 2.50% 8/11/30<br>| 300000 | 262872 |
| Banco Santander SA |  |  |
| μ1.72% 9/14/27 | 200000 | 195164 |
| μ4.18% 3/24/28 | 200000 | 199701 |
| &nbsp;&nbsp; 5.44% 7/15/31 | 600000 | 629800 |
| &nbsp;&nbsp; 5.59% 8/8/28 | 400000 | 415522 |
| &nbsp;&nbsp; 6.61% 11/7/28 | 600000 | 641514 |
| Bank of America Corp. |  |  |
| μ1.73% 7/22/27 | 235000 | 230307 |
| μ1.90% 7/23/31 | 1450000 | 1295156 |
| μ2.57% 10/20/32 | 2450000 | 2195842 |
| μ2.59% 4/29/31 | 1083000 | 1003602 |
| μ2.68% 6/19/41 | 4243000 | 3126727 |
| μ2.97% 2/4/33 | 3510000 | 3196334 |
| μ3.59% 7/21/28 | 2840000 | 2813964 |
| μ3.71% 4/24/28 | 260000 | 258323 |
| μ3.97% 2/7/30 | 890000 | 883433 |
| μ4.08% 3/20/51 | 3690000 | 3002800 |
| μ4.33% 3/15/50 | 720000 | 614289 |
| μ4.38% 4/27/28 | 360000 | 361297 |
| &nbsp;&nbsp; 5.00% 1/21/44 | 1660000 | 1623310 |
| μ5.02% 7/22/33 | 1800000 | 1839181 |
| μ5.16% 1/24/31 | 813000 | 839085 |
| μ5.47% 1/23/35 | 590000 | 616096 |
| μ5.51% 1/24/36 | 710000 | 742172 |
| μ5.52% 10/25/35 | 2189000 | 2242190 |
| μ5.82% 9/15/29 | 825000 | 862699 |
| μ5.87% 9/15/34 | 420000 | 450033 |
| μ6.20% 11/10/28 | 1943000 | 2024799 |
| μBank of Ireland Group PLC |  |  |
| &nbsp;&nbsp; 2.03% 9/30/27 | 206000 | 201319 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Banks (continued)** | **Banks (continued)** | **Banks (continued)** |
| &nbsp;&nbsp; μBank of Ireland Group <br> PLC (continued)<br>|  |  |
| &nbsp;&nbsp; 5.60% 3/20/30 | 3300000 | $3422279 |
| &nbsp;&nbsp; μBank of Montreal 4.35% <br> 9/22/31<br>| 2450000 | 2437874 |
| &nbsp;&nbsp; μBank of New York Mellon <br> Corp.<br>|  |  |
| &nbsp;&nbsp; 4.94% 2/11/31 | 633000 | 650177 |
| &nbsp;&nbsp; 6.47% 10/25/34 | 980000 | 1092291 |
| &nbsp;&nbsp; Bank of Nova Scotia 4.85% <br> 2/1/30<br>| 111000 | 113644 |
| &nbsp;&nbsp; Banque Federative du Credit <br> Mutuel SA<br>|  |  |
| &nbsp;&nbsp; 1.60% 10/4/26 | 245000 | 238890 |
| &nbsp;&nbsp; 4.94% 1/26/26 | 760000 | 761371 |
| &nbsp;&nbsp; 5.54% 1/22/30 | 1715000 | 1785599 |
| μBarclays PLC |  |  |
| &nbsp;&nbsp; 2.89% 11/24/32 | 200000 | 180246 |
| &nbsp;&nbsp; 4.94% 9/10/30 | 1262000 | 1280758 |
| &nbsp;&nbsp; 4.97% 5/16/29 | 1450000 | 1471573 |
| &nbsp;&nbsp; 5.37% 2/25/31 | 935000 | 964128 |
| &nbsp;&nbsp; 5.79% 2/25/36 | 885000 | 923599 |
| &nbsp;&nbsp; 6.22% 5/9/34 | 853000 | 917639 |
| &nbsp;&nbsp; 6.50% 9/13/27 | 750000 | 765194 |
| BNP Paribas SA |  |  |
| μ3.13% 1/20/33 | 320000 | 291218 |
| &nbsp;&nbsp; 4.40% 8/14/28 | 1360000 | 1364088 |
| μ5.13% 1/13/29 | 2720000 | 2773979 |
| μ5.20% 1/10/30 | 960000 | 982317 |
| μ5.28% 11/19/30 | 2945000 | 3024991 |
| μ5.50% 5/20/30 | 635000 | 656639 |
| μ5.79% 1/13/33 | 4655000 | 4885537 |
| μBPCE SA |  |  |
| &nbsp;&nbsp; 2.28% 1/20/32 | 250000 | 220465 |
| &nbsp;&nbsp; 5.39% 5/28/31 | 2820000 | 2893163 |
| &nbsp;&nbsp; 5.72% 1/18/30 | 592000 | 612216 |
| &nbsp;&nbsp; 5.88% 1/14/31 | 900000 | 939941 |
| &nbsp;&nbsp; 5.94% 5/30/35 | 1350000 | 1414067 |
| &nbsp;&nbsp; 5.98% 1/18/27 | 250000 | 250937 |
| &nbsp;&nbsp; 6.03% 5/28/36 | 3385000 | 3564726 |
| &nbsp;&nbsp; 6.29% 1/14/36 | 6165000 | 6597490 |
| &nbsp;&nbsp; 6.71% 10/19/29 | 1500000 | 1592399 |
| &nbsp;&nbsp; 7.00% 10/19/34 | 975000 | 1087685 |
| μCaixaBank SA |  |  |
| &nbsp;&nbsp; 5.58% 7/3/36 | 6516000 | 6673879 |
| &nbsp;&nbsp; 6.04% 6/15/35 | 2135000 | 2268547 |
| &nbsp;&nbsp; 6.68% 9/13/27 | 427000 | 436301 |
| &nbsp;&nbsp; 6.84% 9/13/34 | 1064000 | 1185588 |
| Citibank NA |  |  |
| &nbsp;&nbsp; 5.44% 4/30/26 | 423000 | 425858 |
| &nbsp;&nbsp; 5.49% 12/4/26 | 1071000 | 1087967 |
| Citigroup, Inc. |  |  |
| μ2.56% 5/1/32 | 625000 | 563312 |
| μ2.57% 6/3/31 | 3210000 | 2953484 |
| μ2.90% 11/3/42 | 75000 | 54966 |

---

*LVIP JPMorgan Core Bond Fund–18*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Banks (continued)** | **Banks (continued)** | **Banks (continued)** |
| Citigroup, Inc. (continued) |  |  |
| μ3.06% 1/25/33 | 221000 | $201194 |
| μ3.52% 10/27/28 | 75000 | 74001 |
| μ3.67% 7/24/28 | 605000 | 599662 |
| μ3.79% 3/17/33 | 1250000 | 1187479 |
| μ3.89% 1/10/28 | 200000 | 199184 |
| μ4.08% 4/23/29 | 74000 | 73821 |
| μ4.50% 9/11/31 | 395000 | 395214 |
| μ4.54% 9/19/30 | 1664000 | 1671743 |
| &nbsp;&nbsp; 4.65% 7/23/48 | 1540000 | 1373766 |
| μ4.66% 5/24/28 | 300000 | 302256 |
| μ4.91% 5/24/33 | 1990000 | 2014048 |
| μ5.17% 9/11/36 | 1060000 | 1070757 |
| μ5.33% 3/27/36 | 1600000 | 1635523 |
| μ5.61% 3/4/56 | 503000 | 507909 |
| &nbsp;&nbsp; 8.13% 7/15/39 | 50000 | 64101 |
| μCooperatieve Rabobank UA |  |  |
| &nbsp;&nbsp; 3.65% 4/6/28 | 600000 | 595571 |
| &nbsp;&nbsp; 3.76% 4/6/33 | 500000 | 474863 |
| &nbsp;&nbsp; 4.99% 5/27/31 | 1955000 | 1996289 |
| μCredit Agricole SA |  |  |
| &nbsp;&nbsp; 4.82% 9/25/33 | 585000 | 581405 |
| &nbsp;&nbsp; 5.22% 5/27/31 | 2646000 | 2714347 |
| &nbsp;&nbsp; 5.23% 1/9/29 | 824000 | 839808 |
| &nbsp;&nbsp; 5.34% 1/10/30 | 736000 | 757307 |
| &nbsp;&nbsp; 5.86% 1/9/36 | 5900000 | 6202877 |
| μDanske Bank AS |  |  |
| &nbsp;&nbsp; 4.61% 10/2/30 | 1054000 | 1059511 |
| &nbsp;&nbsp; 5.02% 3/4/31 | 1425000 | 1451928 |
| &nbsp;&nbsp; 5.71% 3/1/30 | 970000 | 1009211 |
| Deutsche Bank AG |  |  |
| μ2.55% 1/7/28 | 350000 | 342331 |
| μ4.95% 8/4/31 | 1100000 | 1110402 |
| μ5.00% 9/11/30 | 520000 | 527447 |
| μ5.30% 5/9/31 | 3227000 | 3305621 |
| μ5.37% 1/10/29 | 4145000 | 4234106 |
| μ5.40% 9/11/35 | 535000 | 545542 |
| &nbsp;&nbsp; 5.41% 5/10/29 | 985000 | 1025686 |
| μ6.72% 1/18/29 | 786000 | 825409 |
| μ6.82% 11/20/29 | 2159000 | 2309393 |
| μ7.15% 7/13/27 | 478000 | 488230 |
| μDNB Bank ASA 1.61% 3/30/28 | 325000 | 313117 |
| Goldman Sachs Group, Inc. |  |  |
| μ1.95% 10/21/27 | 195000 | 190411 |
| μ2.38% 7/21/32 | 95000 | 84787 |
| &nbsp;&nbsp; 2.60% 2/7/30 | 400000 | 374671 |
| μ2.64% 2/24/28 | 301000 | 294671 |
| μ2.65% 10/21/32 | 1120000 | 1007249 |
| μ2.91% 7/21/42 | 580000 | 427906 |
| μ3.10% 2/24/33 | 1511000 | 1386160 |
| μ3.21% 4/22/42 | 250000 | 193291 |
| μ3.62% 3/15/28 | 270000 | 267975 |
| μ3.69% 6/5/28 | 1511000 | 1500133 |
| μ3.81% 4/23/29 | 45000 | 44616 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Banks (continued)** | **Banks (continued)** | **Banks (continued)** |
| &nbsp;&nbsp; Goldman Sachs Group, <br> Inc. (continued)<br>|  |  |
| μ4.02% 10/31/38 | 400000 | $358535 |
| μ4.22% 5/1/29 | 1780000 | 1782077 |
| μ4.41% 4/23/39 | 215000 | 198842 |
| &nbsp;&nbsp; 4.75% 10/21/45 | 810000 | 739954 |
| μ5.02% 10/23/35 | 887000 | 892897 |
| μ5.22% 4/23/31 | 1398000 | 1445680 |
| μ5.33% 7/23/35 | 1345000 | 1384602 |
| μ5.56% 11/19/45 | 738000 | 749386 |
| μ5.73% 1/28/56 | 850000 | 881254 |
| μ5.85% 4/25/35 | 2780000 | 2961981 |
| &nbsp;&nbsp; 6.25% 2/1/41 | 1260000 | 1384163 |
| μ6.48% 10/24/29 | 2096000 | 2230520 |
| μHSBC Holdings PLC |  |  |
| &nbsp;&nbsp; 2.21% 8/17/29 | 200000 | 188788 |
| &nbsp;&nbsp; 2.36% 8/18/31 | 300000 | 271526 |
| &nbsp;&nbsp; 2.87% 11/22/32 | 1985000 | 1789150 |
| &nbsp;&nbsp; 3.97% 5/22/30 | 1740000 | 1713658 |
| &nbsp;&nbsp; 5.13% 3/3/31 | 845000 | 865400 |
| &nbsp;&nbsp; 5.24% 5/13/31 | 2010000 | 2068392 |
| &nbsp;&nbsp; 5.29% 11/19/30 | 2090000 | 2155843 |
| &nbsp;&nbsp; 6.33% 3/9/44 | 200000 | 219971 |
| μHuntington Bancshares, Inc. |  |  |
| &nbsp;&nbsp; 5.27% 1/15/31 | 780000 | 803921 |
| &nbsp;&nbsp; 6.21% 8/21/29 | 712000 | 749336 |
| ING Groep NV 3.95% 3/29/27 | 200000 | 199160 |
| μKBC Group NV |  |  |
| &nbsp;&nbsp; 4.45% 9/23/31 | 3065000 | 3048769 |
| &nbsp;&nbsp; 4.93% 10/16/30 | 670000 | 681512 |
| &nbsp;&nbsp; 6.32% 9/21/34 | 520000 | 568748 |
| μKeyCorp |  |  |
| &nbsp;&nbsp; 4.79% 6/1/33 | 55000 | 54814 |
| &nbsp;&nbsp; 5.12% 4/4/31 | 1465000 | 1504251 |
| μLloyds Banking Group PLC |  |  |
| &nbsp;&nbsp; 1.63% 5/11/27 | 245000 | 241056 |
| &nbsp;&nbsp; 5.46% 1/5/28 | 1180000 | 1197582 |
| &nbsp;&nbsp; 5.68% 1/5/35 | 1285000 | 1347068 |
| &nbsp;&nbsp; 5.72% 6/5/30 | 420000 | 439261 |
| μM&T Bank Corp. 5.18% 7/8/31 | 2565000 | 2626833 |
| &nbsp;&nbsp; μMitsubishi UFJ Financial <br> Group, Inc.<br>|  |  |
| &nbsp;&nbsp; 1.54% 7/20/27 | 220000 | 215295 |
| &nbsp;&nbsp; 4.08% 4/19/28 | 590000 | 589366 |
| &nbsp;&nbsp; 5.16% 4/24/31 | 200000 | 206082 |
| &nbsp;&nbsp; 5.19% 9/12/36 | 2380000 | 2418346 |
| μMizuho Financial Group, Inc. |  |  |
| &nbsp;&nbsp; 1.23% 5/22/27 | 255000 | 250122 |
| &nbsp;&nbsp; 2.87% 9/13/30 | 220000 | 208242 |
| &nbsp;&nbsp; 4.71% 7/8/31 | 1965000 | 1988131 |
| &nbsp;&nbsp; 5.32% 7/8/36 | 4255000 | 4373858 |
| &nbsp;&nbsp; 5.74% 5/27/31 | 400000 | 421727 |
| Morgan Stanley |  |  |
| μ1.79% 2/13/32 | 280000 | 244210 |
| μ2.48% 1/21/28 | 39000 | 38172 |

---

*LVIP JPMorgan Core Bond Fund–19*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Banks (continued)** | **Banks (continued)** | **Banks (continued)** |
| Morgan Stanley (continued) |  |  |
| μ2.70% 1/22/31 | 1740000 | $1625916 |
| μ3.22% 4/22/42 | 265000 | 207213 |
| μ3.62% 4/1/31 | 3530000 | 3425171 |
| μ3.77% 1/24/29 | 1326000 | 1314506 |
| &nbsp;&nbsp; 4.30% 1/27/45 | 85000 | 74559 |
| μ4.43% 1/23/30 | 209000 | 210001 |
| μ5.04% 7/19/30 | 870000 | 891629 |
| μ5.12% 2/1/29 | 155000 | 158340 |
| μ5.16% 4/20/29 | 1605000 | 1642929 |
| μ5.17% 1/16/30 | 100000 | 102777 |
| μ5.19% 4/17/31 | 132000 | 136302 |
| μ5.32% 7/19/35 | 1180000 | 1217581 |
| μ5.42% 7/21/34 | 120000 | 125028 |
| μ5.45% 7/20/29 | 175000 | 180829 |
| μ5.59% 1/18/36 | 1955000 | 2046898 |
| μ5.66% 4/17/36 | 477000 | 503264 |
| μ5.83% 4/19/35 | 1271000 | 1354941 |
| μ6.14% 10/16/26 | 2070000 | 2071318 |
| μ6.30% 10/18/28 | 1061000 | 1105656 |
| μ6.41% 11/1/29 | 669000 | 711057 |
| &nbsp;&nbsp; Morgan Stanley Bank NA <br> 4.75% 4/21/26<br>| 285000 | 285789 |
| &nbsp;&nbsp; μMorgan Stanley Private Bank <br> NA 4.73% 7/18/31<br>| 393000 | 398869 |
| NatWest Group PLC |  |  |
| &nbsp;&nbsp; 4.80% 4/5/26 | 283000 | 283849 |
| μ4.89% 5/18/29 | 1660000 | 1686086 |
| μ4.96% 8/15/30 | 1000000 | 1018432 |
| μ5.08% 1/27/30 | 215000 | 219588 |
| μ5.12% 5/23/31 | 690000 | 707516 |
| μ5.78% 3/1/35 | 7450000 | 7856281 |
| μ5.81% 9/13/29 | 440000 | 458771 |
| μ5.85% 3/2/27 | 830000 | 834964 |
| &nbsp;&nbsp; NatWest Markets PLC 5.41% <br> 5/17/29<br>| 345000 | 357841 |
| &nbsp;&nbsp; Norinchukin Bank 5.36% <br> 9/9/35<br>| 3200000 | 3252093 |
| &nbsp;&nbsp; μPNC Financial Services <br> Group, Inc.<br>|  |  |
| &nbsp;&nbsp; 4.81% 10/21/32 | 1030000 | 1044169 |
| &nbsp;&nbsp; 4.90% 5/13/31 | 1923000 | 1963750 |
| &nbsp;&nbsp; 5.07% 1/24/34 | 361000 | 368351 |
| &nbsp;&nbsp; 5.37% 7/21/36 | 560000 | 576278 |
| &nbsp;&nbsp; 5.58% 1/29/36 | 430000 | 448663 |
| &nbsp;&nbsp; 5.68% 1/22/35 | 459000 | 484032 |
| &nbsp;&nbsp; 6.88% 10/20/34 | 671000 | 760211 |
| &nbsp;&nbsp; Royal Bank of Canada 3.88% <br> 5/4/32<br>| 1930000 | 1872669 |
| &nbsp;&nbsp; μSantander Holdings USA, Inc. <br> 6.17% 1/9/30<br>| 1460000 | 1520767 |
| &nbsp;&nbsp; μSantander U.K. Group <br> Holdings PLC<br>|  |  |
| &nbsp;&nbsp; 1.67% 6/14/27 | 220000 | 215902 |
| &nbsp;&nbsp; 4.86% 9/11/30 | 2415000 | 2442446 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Banks (continued)** | **Banks (continued)** | **Banks (continued)** |
| &nbsp;&nbsp; μSantander U.K. Group <br> Holdings PLC (continued)<br>|  |  |
| &nbsp;&nbsp; 5.69% 4/15/31 | 3015000 | $3145513 |
| &nbsp;&nbsp; 6.53% 1/10/29 | 470000 | 491912 |
| &nbsp;&nbsp; Skandinaviska Enskilda <br> Banken AB<br>|  |  |
| &nbsp;&nbsp; 4.50% 9/3/30 | 1660000 | 1663739 |
| &nbsp;&nbsp; 5.38% 3/5/29 | 1630000 | 1689657 |
| Societe Generale SA |  |  |
| μ1.79% 6/9/27 | 215000 | 211098 |
| μ2.89% 6/9/32 | 500000 | 448107 |
| μ3.34% 1/21/33 | 3970000 | 3611728 |
| &nbsp;&nbsp; 5.25% 2/19/27 | 1208000 | 1221064 |
| μ5.44% 10/3/36 | 1000000 | 1000000 |
| μ5.51% 5/22/31 | 4286000 | 4408828 |
| μ6.10% 4/13/33 | 4045000 | 4262977 |
| μStandard Chartered PLC |  |  |
| &nbsp;&nbsp; 5.01% 10/15/30 | 478000 | 486410 |
| &nbsp;&nbsp; 5.69% 5/14/28 | 693000 | 707392 |
| State Street Corp. |  |  |
| μ4.82% 1/26/34 | 200000 | 202657 |
| &nbsp;&nbsp; 4.83% 4/24/30 | 370000 | 379847 |
| &nbsp;&nbsp; 4.99% 3/18/27 | 682000 | 692498 |
| &nbsp;&nbsp; Sumitomo Mitsui Financial <br> Group, Inc.<br>|  |  |
| &nbsp;&nbsp; 3.01% 10/19/26 | 25000 | 24744 |
| &nbsp;&nbsp; 3.04% 7/16/29 | 345000 | 329849 |
| μ4.95% 7/8/33 | 1500000 | 1526664 |
| &nbsp;&nbsp; 5.24% 4/15/30 | 400000 | 414422 |
| &nbsp;&nbsp; 5.71% 1/13/30 | 370000 | 390165 |
| &nbsp;&nbsp; 5.72% 9/14/28 | 310000 | 323736 |
| &nbsp;&nbsp; Sumitomo Mitsui Trust Bank <br> Ltd. 1.55% 3/25/26<br>| 403000 | 398147 |
| Toronto-Dominion Bank |  |  |
| &nbsp;&nbsp; 4.46% 6/8/32 | 1180000 | 1179104 |
| &nbsp;&nbsp; 5.16% 1/10/28 | 240000 | 245707 |
| &nbsp;&nbsp; 5.30% 1/30/32 | 1280000 | 1336808 |
| μTruist Bank 4.63% 9/17/29 | 1905000 | 1919241 |
| μTruist Financial Corp. |  |  |
| &nbsp;&nbsp; 5.07% 5/20/31 | 1440000 | 1476422 |
| &nbsp;&nbsp; 5.71% 1/24/35 | 800000 | 839497 |
| &nbsp;&nbsp; 6.05% 6/8/27 | 2000000 | 2023210 |
| &nbsp;&nbsp; 7.16% 10/30/29 | 1420000 | 1538003 |
| U.S. Bancorp |  |  |
| μ2.22% 1/27/28 | 130000 | 126650 |
| &nbsp;&nbsp; 3.95% 11/17/25 | 539000 | 538627 |
| μ4.65% 2/1/29 | 1407000 | 1422565 |
| μ5.05% 2/12/31 | 634000 | 650251 |
| μ5.38% 1/23/30 | 217000 | 224360 |
| μ5.42% 2/12/36 | 2086000 | 2159935 |
| μ5.68% 1/23/35 | 482000 | 507494 |
| μ5.73% 10/21/26 | 120000 | 120081 |
| μ5.78% 6/12/29 | 840000 | 874209 |
| μ5.84% 6/12/34 | 330000 | 351644 |
| μ6.79% 10/26/27 | 325000 | 333707 |

---

*LVIP JPMorgan Core Bond Fund–20*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Banks (continued)** | **Banks (continued)** | **Banks (continued)** |
| μU.S. Bank NA 4.73% 5/15/28 | 592000 | $597243 |
| UBS AG 4.50% 6/26/48 | 200000 | 177337 |
| μUBS Group AG |  |  |
| &nbsp;&nbsp; 2.75% 2/11/33 | 440000 | 392375 |
| &nbsp;&nbsp; 3.09% 5/14/32 | 840000 | 777308 |
| &nbsp;&nbsp; 3.87% 1/12/29 | 250000 | 247906 |
| &nbsp;&nbsp; 4.19% 4/1/31 | 1280000 | 1265464 |
| &nbsp;&nbsp; 4.40% 9/23/31 | 475000 | 473388 |
| &nbsp;&nbsp; 4.75% 5/12/28 | 1320000 | 1331292 |
| &nbsp;&nbsp; 5.01% 3/23/37 | 2010000 | 2000309 |
| &nbsp;&nbsp; 5.58% 5/9/36 | 642000 | 668263 |
| &nbsp;&nbsp; 6.30% 9/22/34 | 539000 | 588521 |
| &nbsp;&nbsp; 9.02% 11/15/33 | 390000 | 488618 |
| μUniCredit SpA 1.98% 6/3/27 | 200000 | 196847 |
| Wells Fargo & Co. |  |  |
| μ2.39% 6/2/28 | 750000 | 729079 |
| μ2.88% 10/30/30 | 1390000 | 1316054 |
| &nbsp;&nbsp; 3.00% 10/23/26 | 1060000 | 1049226 |
| μ3.35% 3/2/33 | 1070000 | 996036 |
| &nbsp;&nbsp; 4.15% 1/24/29 | 1290000 | 1289448 |
| μ4.48% 4/4/31 | 1230000 | 1236732 |
| μ4.90% 7/25/33 | 269000 | 273285 |
| μ5.01% 4/4/51 | 7300000 | 6817141 |
| μ5.15% 4/23/31 | 671000 | 692003 |
| μ5.21% 12/3/35 | 1320000 | 1348699 |
| μ5.24% 1/24/31 | 489000 | 505923 |
| μ5.39% 4/24/34 | 325000 | 337695 |
| μ5.50% 1/23/35 | 4860000 | 5069421 |
| μ5.56% 7/25/34 | 310000 | 325624 |
| μ5.57% 7/25/29 | 276000 | 286033 |
| μ5.61% 4/23/36 | 913000 | 958149 |
| &nbsp;&nbsp; Westpac New Zealand Ltd. <br> 4.90% 2/15/28<br>| 560000 | 569456 |
|  |  | **332115228** |
| **Beverages–0.08%** | **Beverages–0.08%** | **Beverages–0.08%** |
| &nbsp;&nbsp; Anheuser-Busch InBev <br> Worldwide, Inc. 5.55% <br> 1/23/49<br>| 1610000 | 1627823 |
| &nbsp;&nbsp; Coca-Cola Femsa SAB de CV <br> 1.85% 9/1/32<br>| 215000 | 179213 |
| Constellation Brands, Inc. |  |  |
| &nbsp;&nbsp; 2.25% 8/1/31 | 100000 | 88148 |
| &nbsp;&nbsp; 2.88% 5/1/30 | 420000 | 392973 |
| &nbsp;&nbsp; 4.35% 5/9/27 | 490000 | 491410 |
| &nbsp;&nbsp; 4.50% 5/9/47 | 65000 | 54600 |
| &nbsp;&nbsp; 4.75% 5/9/32 | 20000 | 20107 |
| &nbsp;&nbsp; 5.25% 11/15/48 | 25000 | 23269 |
|  |  | **2877543** |
| **Biotechnology–0.17%** | **Biotechnology–0.17%** | **Biotechnology–0.17%** |
| Amgen, Inc. |  |  |
| &nbsp;&nbsp; 1.65% 8/15/28 | 120000 | 112196 |
| &nbsp;&nbsp; 4.66% 6/15/51 | 300000 | 262065 |
| &nbsp;&nbsp; 5.60% 3/2/43 | 390000 | 395168 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Biotechnology (continued)** | **Biotechnology (continued)** | **Biotechnology (continued)** |
| Amgen, Inc. (continued) |  |  |
| &nbsp;&nbsp; 5.65% 3/2/53 | 1275000 | $1271739 |
| Baxalta, Inc. 5.25% 6/23/45 | 3000 | 2875 |
| Biogen, Inc. 5.75% 5/15/35 | 1100000 | 1152743 |
| Gilead Sciences, Inc. |  |  |
| &nbsp;&nbsp; 2.60% 10/1/40 | 3535000 | 2595400 |
| &nbsp;&nbsp; 3.65% 3/1/26 | 160000 | 159732 |
| &nbsp;&nbsp; Regeneron Pharmaceuticals, <br> Inc. 1.75% 9/15/30<br>| 460000 | 405716 |
|  |  | **6357634** |
| **Building Materials–0.01%** | **Building Materials–0.01%** | **Building Materials–0.01%** |
| &nbsp;&nbsp; Carrier Global Corp. 3.58% <br> 4/5/50<br>| 24000 | 17899 |
| Masco Corp. |  |  |
| &nbsp;&nbsp; 2.00% 10/1/30 | 56000 | 50065 |
| &nbsp;&nbsp; 6.50% 8/15/32 | 80000 | 87802 |
| &nbsp;&nbsp; Trane Technologies Financing <br> Ltd. 5.25% 3/3/33<br>| 150000 | 156077 |
|  |  | **311843** |
| **Chemicals–0.13%** | **Chemicals–0.13%** | **Chemicals–0.13%** |
| &nbsp;&nbsp; CF Industries, Inc. 5.15% <br> 3/15/34<br>| 740000 | 746776 |
| &nbsp;&nbsp; Dow Chemical Co. 4.55% <br> 11/30/25<br>| 14000 | 13996 |
| DuPont de Nemours, Inc. |  |  |
| &nbsp;&nbsp; 5.32% 11/15/38 | 626000 | 641347 |
| &nbsp;&nbsp; 5.42% 11/15/48 | 660000 | 652507 |
| EIDP, Inc. 5.13% 5/15/32 | 2120000 | 2180663 |
| &nbsp;&nbsp; LYB International Finance <br> III LLC 1.25% 10/1/25<br>| 79000 | 79000 |
| &nbsp;&nbsp; Ma'aden Sukuk Ltd. 5.25% <br> 2/13/30<br>| 297000 | 306471 |
| Nutrien Ltd. |  |  |
| &nbsp;&nbsp; 4.00% 12/15/26 | 70000 | 69852 |
| &nbsp;&nbsp; 4.13% 3/15/35 | 90000 | 83336 |
| &nbsp;&nbsp; 4.20% 4/1/29 | 25000 | 24962 |
| &nbsp;&nbsp; 5.00% 4/1/49 | 40000 | 36495 |
|  |  | **4835405** |
| **Commercial Services–0.28%** | **Commercial Services–0.28%** | **Commercial Services–0.28%** |
| DP World Ltd. |  |  |
| &nbsp;&nbsp; 4.70% 9/30/49 | 1030000 | 890219 |
| &nbsp;&nbsp; 5.63% 9/25/48 | 3080000 | 3030644 |
| &nbsp;&nbsp; Element Fleet Management <br> Corp.<br>|  |  |
| &nbsp;&nbsp; 5.04% 3/25/30 | 1825000 | 1861609 |
| &nbsp;&nbsp; 6.27% 6/26/26 | 235000 | 238041 |
| &nbsp;&nbsp; 6.32% 12/4/28 | 990000 | 1048448 |
| ERAC USA Finance LLC |  |  |
| &nbsp;&nbsp; 5.63% 3/15/42 | 12000 | 12253 |
| &nbsp;&nbsp; 7.00% 10/15/37 | 160000 | 186647 |
| &nbsp;&nbsp; Ford Foundation 2.82% <br> 6/1/70<br>| 90000 | 51969 |

---

*LVIP JPMorgan Core Bond Fund–21*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Commercial Services (continued)** | **Commercial Services (continued)** | **Commercial Services (continued)** |
| Global Payments, Inc. |  |  |
| &nbsp;&nbsp; 2.90% 5/15/30 | 48000 | $44424 |
| &nbsp;&nbsp; 2.90% 11/15/31 | 92000 | 82500 |
| &nbsp;&nbsp; 3.20% 8/15/29 | 236000 | 224125 |
| &nbsp;&nbsp; 5.30% 8/15/29 | 91000 | 93061 |
| &nbsp;&nbsp; Pepperdine University 3.30% <br> 12/1/59<br>| 110000 | 68639 |
| Quanta Services, Inc. |  |  |
| &nbsp;&nbsp; 2.35% 1/15/32 | 270000 | 236990 |
| &nbsp;&nbsp; 2.90% 10/1/30 | 360000 | 336076 |
| &nbsp;&nbsp; 5.10% 8/9/35 | 1830000 | 1834701 |
| &nbsp;&nbsp; University of Miami 4.06% <br> 4/1/52<br>| 120000 | 96610 |
| &nbsp;&nbsp; University of Southern <br> California 3.23% 10/1/20<br>| 110000 | 64780 |
|  |  | **10401736** |
| **Computers–0.38%** | **Computers–0.38%** | **Computers–0.38%** |
| Accenture Capital, Inc. |  |  |
| &nbsp;&nbsp; 4.05% 10/4/29 | 435000 | 434585 |
| &nbsp;&nbsp; 4.25% 10/4/31 | 3313000 | 3308054 |
| &nbsp;&nbsp; 4.50% 10/4/34 | 1637000 | 1614449 |
| Apple, Inc. |  |  |
| &nbsp;&nbsp; 2.70% 8/5/51 | 965000 | 615884 |
| &nbsp;&nbsp; 3.45% 2/9/45 | 82000 | 65098 |
| &nbsp;&nbsp; 3.75% 9/12/47 | 140000 | 112580 |
| CGI, Inc. 2.30% 9/14/31 | 370000 | 325300 |
| &nbsp;&nbsp; Dell International LLC/EMC <br> Corp.<br>|  |  |
| &nbsp;&nbsp; 4.90% 10/1/26 | 292000 | 293624 |
| &nbsp;&nbsp; 5.25% 2/1/28 | 287000 | 293281 |
| &nbsp;&nbsp; 5.30% 4/1/32 | 3180000 | 3282920 |
| &nbsp;&nbsp; 6.02% 6/15/26 | 128000 | 129032 |
| Leidos, Inc. |  |  |
| &nbsp;&nbsp; 2.30% 2/15/31 | 1370000 | 1222451 |
| &nbsp;&nbsp; 5.40% 3/15/32 | 862000 | 895517 |
| &nbsp;&nbsp; 5.50% 3/15/35 | 1173000 | 1215376 |
| &nbsp;&nbsp; 5.75% 3/15/33 | 150000 | 158426 |
|  |  | **13966577** |
| **Cosmetics & Personal Care–0.06%** | **Cosmetics & Personal Care–0.06%** | **Cosmetics & Personal Care–0.06%** |
| Haleon U.S. Capital LLC |  |  |
| &nbsp;&nbsp; 3.38% 3/24/27 | 590000 | 583873 |
| &nbsp;&nbsp; 3.63% 3/24/32 | 640000 | 606490 |
| Kenvue, Inc. 4.90% 3/22/33 | 930000 | 945399 |
|  |  | **2135762** |
| **Distribution/Wholesale–0.00%** | **Distribution/Wholesale–0.00%** | **Distribution/Wholesale–0.00%** |
| &nbsp;&nbsp; WW Grainger, Inc. 4.60% <br> 6/15/45<br>| 77000 | 69546 |
|  |  | **69546** |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Diversified Financial Services–1.22%** | **Diversified Financial Services–1.22%** | **Diversified Financial Services–1.22%** |
| &nbsp;&nbsp; AerCap Ireland Capital <br> DAC/AerCap Global Aviation <br> Trust<br>|  |  |
| &nbsp;&nbsp; 2.45% 10/29/26 | 2140000 | $2102517 |
| &nbsp;&nbsp; 3.00% 10/29/28 | 1771000 | 1706699 |
| &nbsp;&nbsp; 3.30% 1/30/32 | 4205000 | 3872357 |
| &nbsp;&nbsp; 5.00% 11/15/35 | 480000 | 474723 |
| &nbsp;&nbsp; 5.10% 1/19/29 | 364000 | 372577 |
| &nbsp;&nbsp; 6.10% 1/15/27 | 440000 | 449430 |
| Air Lease Corp. |  |  |
| &nbsp;&nbsp; 2.88% 1/15/26 | 1958000 | 1949347 |
| &nbsp;&nbsp; 3.00% 2/1/30 | 799000 | 744045 |
| &nbsp;&nbsp; 4.63% 10/1/28 | 286000 | 287319 |
| &nbsp;&nbsp; 5.10% 3/1/29 | 207000 | 210166 |
| &nbsp;&nbsp; Aircastle Ltd./Aircastle <br> Ireland DAC 5.25% 3/15/30<br>| 1080000 | 1101739 |
| μAmerican Express Co. |  |  |
| &nbsp;&nbsp; 4.92% 7/20/33 | 770000 | 783404 |
| &nbsp;&nbsp; 5.10% 2/16/28 | 1300000 | 1317446 |
| &nbsp;&nbsp; 5.44% 1/30/36 | 1275000 | 1326096 |
| Aviation Capital Group LLC |  |  |
| &nbsp;&nbsp; 3.50% 11/1/27 | 1376000 | 1351361 |
| &nbsp;&nbsp; 4.80% 10/24/30 | 1412000 | 1410707 |
| &nbsp;&nbsp; 5.13% 4/10/30 | 1120000 | 1136991 |
| &nbsp;&nbsp; 5.38% 7/15/29 | 607000 | 621740 |
| Avolon Holdings Funding Ltd. |  |  |
| &nbsp;&nbsp; 2.13% 2/21/26 | 160000 | 158352 |
| &nbsp;&nbsp; 2.53% 11/18/27 | 572000 | 549951 |
| &nbsp;&nbsp; 4.25% 4/15/26 | 245000 | 244563 |
| &nbsp;&nbsp; 4.38% 5/1/26 | 1525000 | 1523975 |
| &nbsp;&nbsp; 4.95% 1/15/28 | 1140000 | 1151445 |
| &nbsp;&nbsp; 5.15% 1/15/30 | 1750000 | 1775070 |
| &nbsp;&nbsp; 5.50% 1/15/26 | 8395000 | 8406129 |
| &nbsp;&nbsp; Blackstone Holdings Finance <br> Co. LLC 4.45% 7/15/45<br>| 21000 | 18249 |
| μCapital One Financial Corp. |  |  |
| &nbsp;&nbsp; 1.88% 11/2/27 | 74000 | 72103 |
| &nbsp;&nbsp; 2.62% 11/2/32 | 235000 | 208809 |
| &nbsp;&nbsp; 5.20% 9/11/36 | 1815000 | 1795038 |
| &nbsp;&nbsp; 5.70% 2/1/30 | 990000 | 1027833 |
| &nbsp;&nbsp; Intercontinental Exchange, <br> Inc. 4.25% 9/21/48<br>| 230000 | 194515 |
| &nbsp;&nbsp; LSEGA Financing PLC 2.00% <br> 4/6/28<br>| 475000 | 450481 |
| &nbsp;&nbsp; Macquarie Airfinance <br> Holdings Ltd.<br>|  |  |
| &nbsp;&nbsp; 5.15% 3/17/30 | 1995000 | 2022889 |
| &nbsp;&nbsp; 5.20% 3/27/28 | 1865000 | 1896779 |
| &nbsp;&nbsp; Mitsubishi HC Finance <br> America LLC 5.81% 9/12/28<br>| 210000 | 218247 |
| Nasdaq, Inc. 5.55% 2/15/34 | 109000 | 114449 |
| Nomura Holdings, Inc. |  |  |
| &nbsp;&nbsp; 2.68% 7/16/30 | 200000 | 183819 |
| &nbsp;&nbsp; 6.07% 7/12/28 | 800000 | 836986 |
| Nuveen LLC 4.00% 11/1/28 | 160000 | 159497 |

---

*LVIP JPMorgan Core Bond Fund–22*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Diversified Financial Services (continued)** | **Diversified Financial Services (continued)** | **Diversified Financial Services (continued)** |
| &nbsp;&nbsp; OneSky Loan Trust 3.88% <br> 1/15/31<br>| 517047 | $496796 |
|  |  | **44724639** |
| **Electric–2.47%** | **Electric–2.47%** | **Electric–2.47%** |
| AEP Texas, Inc. |  |  |
| &nbsp;&nbsp; 3.45% 1/15/50 | 156000 | 108133 |
| &nbsp;&nbsp; 4.15% 5/1/49 | 133000 | 103877 |
| &nbsp;&nbsp; 5.40% 6/1/33 | 219000 | 225215 |
| &nbsp;&nbsp; AEP Transmission Co. LLC <br> 3.15% 9/15/49<br>| 35000 | 24001 |
| AES Corp. 5.80% 3/15/32 | 1600000 | 1656142 |
| &nbsp;&nbsp; Alabama Power Co. 6.13% <br> 5/15/38<br>| 62000 | 67899 |
| &nbsp;&nbsp; Ameren Illinois Co. 3.25% <br> 3/15/50<br>| 185000 | 129667 |
| &nbsp;&nbsp; American Electric Power Co., <br> Inc. 2.30% 3/1/30<br>| 260000 | 237951 |
| &nbsp;&nbsp; American Transmission <br> Systems, Inc. 2.65% 1/15/32<br>| 240000 | 215319 |
| &nbsp;&nbsp; Appalachian Power Co. 3.70% <br> 5/1/50<br>| 209000 | 152022 |
| &nbsp;&nbsp; Atlantic City Electric Co. <br> 4.00% 10/15/28<br>| 147000 | 146728 |
| Baltimore Gas & Electric Co. |  |  |
| &nbsp;&nbsp; 2.90% 6/15/50 | 110000 | 71595 |
| &nbsp;&nbsp; 5.40% 6/1/53 | 385000 | 377915 |
| &nbsp;&nbsp; 5.65% 6/1/54 | 850000 | 867776 |
| &nbsp;&nbsp; Berkshire Hathaway Energy <br> Co. 2.85% 5/15/51<br>| 923000 | 585808 |
| &nbsp;&nbsp; CenterPoint Energy Houston <br> Electric LLC<br>|  |  |
| &nbsp;&nbsp; 2.90% 7/1/50 | 200000 | 130988 |
| &nbsp;&nbsp; 3.95% 3/1/48 | 10000 | 8036 |
| &nbsp;&nbsp; CenterPoint Energy, Inc. <br> 1.45% 6/1/26<br>| 230000 | 225723 |
| &nbsp;&nbsp; Chile Electricity Lux MPC II <br> SARL 5.58% 10/20/35<br>| 591391 | 610775 |
| &nbsp;&nbsp; Chile Electricity Lux MPC <br> SARL 6.01% 1/20/33<br>| 267605 | 280858 |
| &nbsp;&nbsp; Cleveland Electric <br> Illuminating Co.<br>|  |  |
| &nbsp;&nbsp; 3.50% 4/1/28 | 325000 | 319187 |
| &nbsp;&nbsp; 4.55% 11/15/30 | 65000 | 64352 |
| &nbsp;&nbsp; CMS Energy Corp. 2.95% <br> 2/15/27<br>| 47000 | 46123 |
| &nbsp;&nbsp; Comision Federal de <br> Electricidad 3.88% 7/26/33<br>| 690000 | 609633 |
| &nbsp;&nbsp; Commonwealth Edison Co. <br> 3.65% 6/15/46<br>| 30000 | 23229 |
| &nbsp;&nbsp; Consolidated Edison Co. of <br> New York, Inc.<br>|  |  |
| &nbsp;&nbsp; 3.35% 4/1/30 | 250000 | 242064 |
| &nbsp;&nbsp; 3.95% 4/1/50 | 200000 | 159229 |
| &nbsp;&nbsp; 4.50% 5/15/58 | 54000 | 45162 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Electric (continued)** | **Electric (continued)** | **Electric (continued)** |
| &nbsp;&nbsp; Consolidated Edison Co. of <br> New York, Inc. (continued)<br>|  |  |
| &nbsp;&nbsp; 5.70% 6/15/40 | 38000 | $39321 |
| &nbsp;&nbsp; Constellation Energy <br> Generation LLC<br>|  |  |
| &nbsp;&nbsp; 5.60% 6/15/42 | 2500000 | 2533725 |
| &nbsp;&nbsp; 5.75% 10/1/41 | 1144000 | 1174287 |
| &nbsp;&nbsp; 5.75% 3/15/54 | 698000 | 707235 |
| &nbsp;&nbsp; 5.80% 3/1/33 | 66000 | 70507 |
| &nbsp;&nbsp; 6.25% 10/1/39 | 100000 | 108628 |
| &nbsp;&nbsp; 6.50% 10/1/53 | 330000 | 367762 |
| &nbsp;&nbsp; Delmarva Power & Light Co. <br> 4.15% 5/15/45<br>| 50000 | 42387 |
| μDominion Energy, Inc. |  |  |
| &nbsp;&nbsp; 6.63% 5/15/55 | 479000 | 495730 |
| &nbsp;&nbsp; 6.88% 2/1/55 | 574000 | 600791 |
| DTE Electric Co. |  |  |
| &nbsp;&nbsp; 3.65% 3/1/52 | 226000 | 169003 |
| &nbsp;&nbsp; 5.40% 4/1/53 | 185000 | 183386 |
| &nbsp;&nbsp; DTE Electric Securitization <br> Funding II LLC 6.09% <br> 9/1/38<br>| 950000 | 1027384 |
| DTE Energy Co. |  |  |
| &nbsp;&nbsp; 4.88% 6/1/28 | 350000 | 356065 |
| &nbsp;&nbsp; 5.10% 3/1/29 | 614000 | 629135 |
| &nbsp;&nbsp; Duke Energy Carolinas LLC <br> 4.95% 1/15/33<br>| 2444000 | 2512678 |
| Duke Energy Corp. |  |  |
| &nbsp;&nbsp; 2.65% 9/1/26 | 100000 | 98787 |
| &nbsp;&nbsp; 3.15% 8/15/27 | 240000 | 236189 |
| &nbsp;&nbsp; 5.70% 9/15/55 | 1310000 | 1305239 |
| &nbsp;&nbsp; 5.80% 6/15/54 | 1500000 | 1515415 |
| &nbsp;&nbsp; 6.10% 9/15/53 | 880000 | 926258 |
| &nbsp;&nbsp; Duke Energy Ohio, Inc. 3.70% <br> 6/15/46<br>| 46000 | 35592 |
| &nbsp;&nbsp; Duke Energy Progress LLC <br> 3.70% 10/15/46<br>| 54000 | 41776 |
| &nbsp;&nbsp; Duquesne Light Holdings, <br> Inc.<br>|  |  |
| &nbsp;&nbsp; 2.53% 10/1/30 | 210000 | 188743 |
| &nbsp;&nbsp; 3.62% 8/1/27 | 160000 | 156723 |
| &nbsp;&nbsp; Electricite de France SA <br> 5.95% 4/22/34<br>| 960000 | 1021104 |
| &nbsp;&nbsp; Emera U.S. Finance LP 4.75% <br> 6/15/46<br>| 130000 | 112172 |
| &nbsp;&nbsp; Enel Finance International <br> NV 5.00% 9/30/35<br>| 1740000 | 1714626 |
| &nbsp;&nbsp; Entergy Arkansas LLC 4.20% <br> 4/1/49<br>| 906000 | 742222 |
| Entergy Corp. 2.95% 9/1/26 | 21000 | 20776 |
| Entergy Louisiana LLC |  |  |
| &nbsp;&nbsp; 2.40% 10/1/26 | 59000 | 58050 |
| &nbsp;&nbsp; 2.90% 3/15/51 | 130000 | 83416 |
| &nbsp;&nbsp; 3.05% 6/1/31 | 38000 | 35641 |
| &nbsp;&nbsp; 4.00% 3/15/33 | 40000 | 38395 |

---

*LVIP JPMorgan Core Bond Fund–23*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Electric (continued)** | **Electric (continued)** | **Electric (continued)** |
| &nbsp;&nbsp; Entergy <br> Louisiana LLC (continued)<br>|  |  |
| &nbsp;&nbsp; 5.80% 3/15/55 | 2355000 | $2411189 |
| &nbsp;&nbsp; Entergy Mississippi LLC <br> 3.85% 6/1/49<br>| 135000 | 104293 |
| Entergy Texas, Inc. |  |  |
| &nbsp;&nbsp; 3.55% 9/30/49 | 309000 | 224358 |
| &nbsp;&nbsp; 5.80% 9/1/53 | 100000 | 101416 |
| Evergy Metro, Inc. |  |  |
| &nbsp;&nbsp; 4.20% 3/15/48 | 50000 | 41145 |
| &nbsp;&nbsp; 5.40% 4/1/34 | 80000 | 83200 |
| &nbsp;&nbsp; Evergy Missouri West Storm <br> Funding I LLC 5.10% <br> 12/1/40<br>| 1439788 | 1465773 |
| Evergy, Inc. 2.90% 9/15/29 | 90000 | 85360 |
| &nbsp;&nbsp; Eversource Energy 3.38% <br> 3/1/32<br>| 310000 | 286676 |
| Exelon Corp. |  |  |
| &nbsp;&nbsp; 5.30% 3/15/33 | 300000 | 310819 |
| &nbsp;&nbsp; 5.45% 3/15/34 | 1140000 | 1183203 |
| &nbsp;&nbsp; Fells Point Funding Trust <br> 3.05% 1/31/27<br>| 1585000 | 1559320 |
| FirstEnergy Corp. |  |  |
| &nbsp;&nbsp; 1.60% 1/15/26 | 250000 | 247814 |
| &nbsp;&nbsp; 3.90% 7/15/27 | 1610000 | 1600126 |
| &nbsp;&nbsp; FirstEnergy Pennsylvania <br> Electric Co. 3.25% 3/15/28<br>| 19000 | 18542 |
| Florida Power & Light Co. |  |  |
| &nbsp;&nbsp; 5.30% 4/1/53 | 210000 | 206148 |
| &nbsp;&nbsp; 5.40% 9/1/35 | 50000 | 52123 |
| &nbsp;&nbsp; 5.80% 3/15/65 | 880000 | 921767 |
| Fortis, Inc. 3.06% 10/4/26 | 85000 | 84022 |
| ITC Holdings Corp. |  |  |
| &nbsp;&nbsp; 2.95% 5/14/30 | 100000 | 93719 |
| &nbsp;&nbsp; 5.30% 7/1/43 | 1405000 | 1347402 |
| &nbsp;&nbsp; Jersey Central Power & Light <br> Co.<br>|  |  |
| &nbsp;&nbsp; 4.30% 1/15/26 | 40000 | 39996 |
| &nbsp;&nbsp; 5.10% 1/15/35 | 430000 | 435795 |
| &nbsp;&nbsp; 6.15% 6/1/37 | 30000 | 32551 |
| &nbsp;&nbsp; Massachusetts Electric Co. <br> 4.00% 8/15/46<br>| 56000 | 45246 |
| MidAmerican Energy Co. |  |  |
| &nbsp;&nbsp; 3.65% 4/15/29 | 820000 | 808045 |
| &nbsp;&nbsp; 5.85% 9/15/54 | 220000 | 231636 |
| &nbsp;&nbsp; Monongahela Power Co. <br> 5.85% 2/15/34<br>| 140000 | 147967 |
| Nevada Power Co. |  |  |
| &nbsp;&nbsp; 3.70% 5/1/29 | 100000 | 98387 |
| &nbsp;&nbsp; 6.00% 3/15/54 | 160000 | 166443 |
| &nbsp;&nbsp; New England Power Co. 3.80% <br> 12/5/47<br>| 45000 | 35313 |
| &nbsp;&nbsp; New York State Electric & <br> Gas Corp. 3.25% 12/1/26<br>| 50000 | 49384 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Electric (continued)** | **Electric (continued)** | **Electric (continued)** |
| &nbsp;&nbsp; NextEra Energy Capital <br> Holdings, Inc.<br>|  |  |
| &nbsp;&nbsp; 3.55% 5/1/27 | 27000 | $26773 |
| &nbsp;&nbsp; 5.25% 2/28/53 | 170000 | 160311 |
| &nbsp;&nbsp; 5.55% 3/15/54 | 2836000 | 2775692 |
| μ6.50% 8/15/55 | 277000 | 293417 |
| Niagara Mohawk Power Corp. |  |  |
| &nbsp;&nbsp; 1.96% 6/27/30 | 250000 | 225031 |
| &nbsp;&nbsp; 6.00% 7/3/55 | 820000 | 846191 |
| NRG Energy, Inc. |  |  |
| &nbsp;&nbsp; 2.00% 12/2/25 | 185000 | 184023 |
| &nbsp;&nbsp; 2.45% 12/2/27 | 210000 | 201305 |
| &nbsp;&nbsp; 4.45% 6/15/29 | 110000 | 109075 |
| &nbsp;&nbsp; 4.73% 10/15/30 | 3405000 | 3403922 |
| Ohio Power Co. 5.00% 6/1/33 | 345000 | 349704 |
| &nbsp;&nbsp; Oncor Electric Delivery Co. <br> LLC 3.10% 9/15/49<br>| 215000 | 145499 |
| Pacific Gas & Electric Co. |  |  |
| &nbsp;&nbsp; 2.10% 8/1/27 | 140000 | 134574 |
| &nbsp;&nbsp; 2.50% 2/1/31 | 360000 | 320725 |
| &nbsp;&nbsp; 2.95% 3/1/26 | 595000 | 590890 |
| &nbsp;&nbsp; 3.30% 8/1/40 | 720000 | 545510 |
| &nbsp;&nbsp; 3.50% 8/1/50 | 180000 | 122797 |
| &nbsp;&nbsp; 3.75% 8/15/42 | 33000 | 25110 |
| &nbsp;&nbsp; 4.00% 12/1/46 | 230000 | 173402 |
| &nbsp;&nbsp; 4.30% 3/15/45 | 55000 | 44126 |
| &nbsp;&nbsp; 5.70% 3/1/35 | 3045000 | 3119068 |
| &nbsp;&nbsp; 5.80% 5/15/34 | 2890000 | 2994513 |
| &nbsp;&nbsp; 6.00% 8/15/35 | 2620000 | 2742035 |
| &nbsp;&nbsp; 6.40% 6/15/33 | 488000 | 524573 |
| &nbsp;&nbsp; 6.75% 1/15/53 | 15000 | 16162 |
| &nbsp;&nbsp; PECO Energy Co. 2.80% <br> 6/15/50<br>| 100000 | 64385 |
| &nbsp;&nbsp; Perusahaan Perseroan <br> Persero PT Perusahaan <br> Listrik Negara<br>|  |  |
| &nbsp;&nbsp; 4.13% 5/15/27 | 990000 | 986187 |
| &nbsp;&nbsp; 5.45% 5/21/28 | 490000 | 503382 |
| &nbsp;&nbsp; 6.15% 5/21/48 | 2820000 | 2871789 |
| PG&E Recovery Funding LLC |  |  |
| &nbsp;&nbsp; 5.23% 6/1/42 | 1570000 | 1605751 |
| &nbsp;&nbsp; 5.53% 6/1/51 | 1865000 | 1848313 |
| &nbsp;&nbsp; 5.54% 7/15/49 | 245000 | 247360 |
| &nbsp;&nbsp; PG&E Wildfire Recovery <br> Funding LLC<br>|  |  |
| &nbsp;&nbsp; 4.26% 6/1/38 | 160000 | 152710 |
| &nbsp;&nbsp; 5.10% 6/1/54 | 205000 | 194444 |
| &nbsp;&nbsp; 5.21% 12/1/49 | 110000 | 106340 |
| &nbsp;&nbsp; Potomac Electric Power Co. <br> 6.50% 11/15/37<br>| 75000 | 83977 |
| &nbsp;&nbsp; PPL Electric Utilities Corp. <br> 5.25% 5/15/53<br>| 225000 | 219341 |
| &nbsp;&nbsp; Public Service Co. of <br> Oklahoma<br>|  |  |
| &nbsp;&nbsp; 5.20% 1/15/35 | 310000 | 313827 |

---

*LVIP JPMorgan Core Bond Fund–24*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Electric (continued)** | **Electric (continued)** | **Electric (continued)** |
| &nbsp;&nbsp; Public Service Co. of <br> Oklahoma (continued)<br>|  |  |
| &nbsp;&nbsp; 5.25% 1/15/33 | 280000 | $287968 |
| &nbsp;&nbsp; 6.63% 11/15/37 | 175000 | 194892 |
| &nbsp;&nbsp; Public Service Electric & Gas <br> Co.<br>|  |  |
| &nbsp;&nbsp; 3.00% 3/1/51 | 1785000 | 1181741 |
| &nbsp;&nbsp; 5.38% 11/1/39 | 28000 | 28625 |
| &nbsp;&nbsp; Public Service Enterprise <br> Group, Inc. 5.45% 4/1/34<br>| 870000 | 900505 |
| &nbsp;&nbsp; Puget Energy, Inc. 5.73% <br> 3/15/35<br>| 650000 | 670749 |
| &nbsp;&nbsp; San Diego Gas & Electric Co. <br> 5.35% 5/15/35<br>| 70000 | 72073 |
| SCE Recovery Funding LLC |  |  |
| &nbsp;&nbsp; 4.70% 6/15/42 | 238820 | 235370 |
| &nbsp;&nbsp; 5.11% 12/14/49 | 110000 | 106072 |
| μSempra 6.40% 10/1/54 | 1404000 | 1434593 |
| &nbsp;&nbsp; Sierra Pacific Power Co. <br> 5.90% 3/15/54<br>| 290000 | 295286 |
| &nbsp;&nbsp; Sigeco Securitization I LLC <br> 5.03% 11/15/38<br>| 229135 | 235252 |
| &nbsp;&nbsp; Southern California Edison <br> Co.<br>|  |  |
| &nbsp;&nbsp; 3.65% 3/1/28 | 80000 | 78615 |
| &nbsp;&nbsp; 4.05% 3/15/42 | 100000 | 80206 |
| &nbsp;&nbsp; 5.55% 1/15/36 | 80000 | 80275 |
| &nbsp;&nbsp; 5.70% 3/1/53 | 115000 | 107988 |
| &nbsp;&nbsp; 5.75% 4/15/54 | 1500000 | 1416017 |
| &nbsp;&nbsp; 5.88% 12/1/53 | 290000 | 280076 |
| &nbsp;&nbsp; 5.90% 3/1/55 | 735000 | 713283 |
| Southern Co. 5.20% 6/15/33 | 1620000 | 1665449 |
| &nbsp;&nbsp; Southern Power Co. 5.15% <br> 9/15/41<br>| 50000 | 47996 |
| &nbsp;&nbsp; Southwestern Electric Power <br> Co. 4.10% 9/15/28<br>| 1547000 | 1542028 |
| &nbsp;&nbsp; Tampa Electric Co. 4.45% <br> 6/15/49<br>| 100000 | 84686 |
| &nbsp;&nbsp; Toledo Edison Co. 6.15% <br> 5/15/37<br>| 50000 | 54291 |
| Union Electric Co. |  |  |
| &nbsp;&nbsp; 5.20% 4/1/34 | 1580000 | 1627817 |
| &nbsp;&nbsp; 5.45% 3/15/53 | 250000 | 244890 |
| Virginia Electric & Power Co. |  |  |
| &nbsp;&nbsp; 5.65% 3/15/55 | 2800000 | 2816298 |
| &nbsp;&nbsp; 6.35% 11/30/37 | 70000 | 77045 |
| Vistra Operations Co. LLC |  |  |
| &nbsp;&nbsp; 5.70% 12/30/34 | 425000 | 439799 |
| &nbsp;&nbsp; 6.00% 4/15/34 | 1082000 | 1140760 |
| &nbsp;&nbsp; 6.95% 10/15/33 | 1526000 | 1702009 |
| &nbsp;&nbsp; WEC Energy Group, Inc. <br> 5.60% 9/12/26<br>| 155000 | 157047 |
|  |  | **90875668** |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Electrical Components & Equipment–0.02%** | **Electrical Components & Equipment–0.02%** | **Electrical Components & Equipment–0.02%** |
| &nbsp;&nbsp; Emerson Electric Co. 2.80% <br> 12/21/51<br>| 1120000 | $719451 |
|  |  | **719451** |
| **Electronics–0.05%** | **Electronics–0.05%** | **Electronics–0.05%** |
| &nbsp;&nbsp; Amphenol Corp. 2.20% <br> 9/15/31<br>| 622000 | 551986 |
| &nbsp;&nbsp; Honeywell International, Inc. <br> 5.25% 3/1/54<br>| 1160000 | 1116521 |
|  |  | **1668507** |
| **Food–0.46%** | **Food–0.46%** | **Food–0.46%** |
| Bimbo Bakeries USA, Inc. |  |  |
| &nbsp;&nbsp; 4.00% 5/17/51 | 290000 | 219329 |
| &nbsp;&nbsp; 5.38% 1/9/36 | 200000 | 202994 |
| &nbsp;&nbsp; 6.05% 1/15/29 | 200000 | 209259 |
| &nbsp;&nbsp; 6.40% 1/15/34 | 605000 | 659003 |
| &nbsp;&nbsp; JBS USA Holding Lux <br> SARL/JBS USA Food <br> Co./JBS Lux Co. SARL 6.75% <br> 3/15/34<br>| 381000 | 421197 |
| &nbsp;&nbsp; JBS USA Holding Lux <br> SARL/JBS USA Foods Group <br> Holdings, Inc./JBS USA Food <br> Co.<br>|  |  |
| &nbsp;&nbsp; 5.50% 1/15/36 | 2629000 | 2684761 |
| &nbsp;&nbsp; 6.25% 3/1/56 | 551000 | 564990 |
| &nbsp;&nbsp; 6.38% 4/15/66 | 2295000 | 2359352 |
| &nbsp;&nbsp; JBS USA LUX SARL/JBS USA <br> Food Co./JBS USA Foods <br> Group 6.38% 2/25/55<br>| 1225000 | 1275464 |
| Kraft Heinz Foods Co. |  |  |
| &nbsp;&nbsp; 4.38% 6/1/46 | 153000 | 127325 |
| &nbsp;&nbsp; 4.63% 10/1/39 | 200000 | 182346 |
| Kroger Co. |  |  |
| &nbsp;&nbsp; 2.20% 5/1/30 | 500000 | 457557 |
| &nbsp;&nbsp; 5.00% 9/15/34 | 460000 | 463905 |
| &nbsp;&nbsp; 5.40% 7/15/40 | 18000 | 18005 |
| &nbsp;&nbsp; 5.50% 9/15/54 | 350000 | 341131 |
| Mars, Inc. |  |  |
| &nbsp;&nbsp; 4.80% 3/1/30 | 840000 | 855773 |
| &nbsp;&nbsp; 5.20% 3/1/35 | 740000 | 756381 |
| &nbsp;&nbsp; 5.65% 5/1/45 | 2804000 | 2844451 |
| &nbsp;&nbsp; 5.70% 5/1/55 | 1122000 | 1136526 |
| &nbsp;&nbsp; McCormick & Co., Inc. 2.50% <br> 4/15/30<br>| 342000 | 316571 |
| &nbsp;&nbsp; Tyson Foods, Inc. 5.70% <br> 3/15/34<br>| 880000 | 927288 |
|  |  | **17023608** |
| **Gas–0.21%** | **Gas–0.21%** | **Gas–0.21%** |
| &nbsp;&nbsp; APA Infrastructure Ltd. 5.13% <br> 9/16/34<br>| 1752000 | 1775629 |
| Atmos Energy Corp. |  |  |
| &nbsp;&nbsp; 2.85% 2/15/52 | 417000 | 264156 |

---

*LVIP JPMorgan Core Bond Fund–25*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Gas (continued)** | **Gas (continued)** | **Gas (continued)** |
| &nbsp;&nbsp; Atmos Energy <br> Corp. (continued)<br>|  |  |
| &nbsp;&nbsp; 4.13% 10/15/44 | 50000 | $42689 |
| &nbsp;&nbsp; 4.13% 3/15/49 | 155000 | 127039 |
| &nbsp;&nbsp; 5.00% 12/15/54 | 943000 | 877730 |
| &nbsp;&nbsp; 5.90% 11/15/33 | 1000000 | 1084402 |
| Boston Gas Co. 4.49% 2/15/42 | 22000 | 18969 |
| &nbsp;&nbsp; Brooklyn Union Gas Co. 4.27% <br> 3/15/48<br>| 80000 | 64340 |
| NiSource, Inc. |  |  |
| &nbsp;&nbsp; 1.70% 2/15/31 | 190000 | 165006 |
| &nbsp;&nbsp; 5.20% 7/1/29 | 1100000 | 1134435 |
| ONE Gas, Inc. 2.00% 5/15/30 | 200000 | 181685 |
| &nbsp;&nbsp; Piedmont Natural Gas Co., <br> Inc. 3.50% 6/1/29<br>| 200000 | 195089 |
| Southern California Gas Co. |  |  |
| &nbsp;&nbsp; 2.55% 2/1/30 | 195000 | 182006 |
| &nbsp;&nbsp; 6.35% 11/15/52 | 200000 | 218261 |
| &nbsp;&nbsp; Southern Co. Gas Capital <br> Corp.<br>|  |  |
| &nbsp;&nbsp; 3.25% 6/15/26 | 17000 | 16894 |
| &nbsp;&nbsp; 3.95% 10/1/46 | 21000 | 16614 |
| &nbsp;&nbsp; 4.40% 6/1/43 | 42000 | 36094 |
| &nbsp;&nbsp; 5.10% 9/15/35 | 945000 | 947470 |
| &nbsp;&nbsp; 5.75% 9/15/33 | 220000 | 233156 |
| &nbsp;&nbsp; 5.88% 3/15/41 | 96000 | 99538 |
| &nbsp;&nbsp; Southwest Gas Corp. 3.80% <br> 9/29/46<br>| 44000 | 33771 |
|  |  | **7714973** |
| **Health Care Products–0.15%** | **Health Care Products–0.15%** | **Health Care Products–0.15%** |
| &nbsp;&nbsp; Abbott Laboratories 4.75% <br> 11/30/36<br>| 620000 | 625679 |
| &nbsp;&nbsp; Boston Scientific Corp. 4.55% <br> 3/1/39<br>| 49000 | 46752 |
| &nbsp;&nbsp; DH Europe Finance II SARL <br> 3.25% 11/15/39<br>| 184000 | 150755 |
| &nbsp;&nbsp; GE HealthCare Technologies, <br> Inc.<br>|  |  |
| &nbsp;&nbsp; 4.80% 1/15/31 | 279000 | 283581 |
| &nbsp;&nbsp; 5.50% 6/15/35 | 273000 | 282988 |
| Medtronic, Inc. 4.63% 3/15/45 | 100000 | 91871 |
| &nbsp;&nbsp; Solventum Corp. 5.60% <br> 3/23/34<br>| 1410000 | 1467992 |
| &nbsp;&nbsp; Thermo Fisher Scientific, Inc. <br> 2.00% 10/15/31<br>| 330000 | 291584 |
| &nbsp;&nbsp; Zimmer Biomet Holdings, Inc. <br> 5.50% 2/19/35<br>| 2065000 | 2150896 |
|  |  | **5392098** |
| **Health Care Services–0.66%** | **Health Care Services–0.66%** | **Health Care Services–0.66%** |
| &nbsp;&nbsp; Ascension Health 2.53% <br> 11/15/29<br>| 190000 | 178599 |
| &nbsp;&nbsp; Children's Hospital 2.93% <br> 7/15/50<br>| 180000 | 116362 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Health Care Services (continued)** | **Health Care Services (continued)** | **Health Care Services (continued)** |
| Cigna Group |  |  |
| &nbsp;&nbsp; 4.50% 2/25/26 | 83000 | $83001 |
| &nbsp;&nbsp; 4.90% 12/15/48 | 700000 | 628385 |
| &nbsp;&nbsp; 5.25% 1/15/36 | 3400000 | 3443330 |
| CommonSpirit Health |  |  |
| &nbsp;&nbsp; 1.55% 10/1/25 | 145000 | 145000 |
| &nbsp;&nbsp; 2.78% 10/1/30 | 145000 | 134006 |
| &nbsp;&nbsp; 3.91% 10/1/50 | 140000 | 104960 |
| Elevance Health, Inc. |  |  |
| &nbsp;&nbsp; 3.65% 12/1/27 | 330000 | 327662 |
| &nbsp;&nbsp; 4.10% 3/1/28 | 55000 | 54970 |
| &nbsp;&nbsp; 4.10% 5/15/32 | 600000 | 582842 |
| &nbsp;&nbsp; 4.55% 5/15/52 | 490000 | 410257 |
| &nbsp;&nbsp; Hackensack Meridian Health, <br> Inc.<br>|  |  |
| &nbsp;&nbsp; 2.68% 9/1/41 | 390000 | 277844 |
| &nbsp;&nbsp; 2.88% 9/1/50 | 230000 | 148585 |
| HCA, Inc. |  |  |
| &nbsp;&nbsp; 3.63% 3/15/32 | 521000 | 488777 |
| &nbsp;&nbsp; 5.13% 6/15/39 | 125000 | 120445 |
| &nbsp;&nbsp; 5.25% 3/1/30 | 1635000 | 1688009 |
| &nbsp;&nbsp; 5.45% 9/15/34 | 2877000 | 2951199 |
| &nbsp;&nbsp; 5.50% 6/15/47 | 245000 | 233720 |
| &nbsp;&nbsp; 5.75% 3/1/35 | 1249000 | 1305797 |
| &nbsp;&nbsp; 5.95% 9/15/54 | 550000 | 548794 |
| &nbsp;&nbsp; 6.10% 4/1/64 | 2435000 | 2444814 |
| Humana, Inc. |  |  |
| &nbsp;&nbsp; 3.13% 8/15/29 | 840000 | 799541 |
| &nbsp;&nbsp; 3.70% 3/23/29 | 1320000 | 1289948 |
| &nbsp;&nbsp; 3.95% 3/15/27 | 930000 | 926947 |
| &nbsp;&nbsp; Memorial Health Services <br> 3.45% 11/1/49<br>| 245000 | 176264 |
| &nbsp;&nbsp; MyMichigan Health 3.41% <br> 6/1/50<br>| 80000 | 56795 |
| &nbsp;&nbsp; Northwestern Memorial <br> Healthcare Obligated Group <br> 2.63% 7/15/51<br>| 882000 | 545319 |
| &nbsp;&nbsp; Quest Diagnostics, Inc. 3.45% <br> 6/1/26<br>| 17000 | 16919 |
| &nbsp;&nbsp; Roche Holdings, Inc. 2.61% <br> 12/13/51<br>| 970000 | 602893 |
| Sutter Health 5.55% 8/15/53 | 400000 | 400624 |
| &nbsp;&nbsp; Texas Health Resources 2.33% <br> 11/15/50<br>| 140000 | 79957 |
| UnitedHealth Group, Inc. |  |  |
| &nbsp;&nbsp; 2.30% 5/15/31 | 120000 | 107572 |
| &nbsp;&nbsp; 2.90% 5/15/50 | 380000 | 244972 |
| &nbsp;&nbsp; 3.13% 5/15/60 | 80000 | 49491 |
| &nbsp;&nbsp; 3.25% 5/15/51 | 140000 | 95475 |
| &nbsp;&nbsp; 3.70% 8/15/49 | 1770000 | 1325138 |
| &nbsp;&nbsp; 3.88% 8/15/59 | 490000 | 359128 |
| &nbsp;&nbsp; 5.05% 4/15/53 | 320000 | 293212 |
| &nbsp;&nbsp; 5.88% 2/15/53 | 140000 | 143932 |

---

*LVIP JPMorgan Core Bond Fund–26*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Health Care Services (continued)** | **Health Care Services (continued)** | **Health Care Services (continued)** |
| &nbsp;&nbsp; Yale-New Haven Health <br> Services Corp. 2.50% 7/1/50<br>| 200000 | $118112 |
|  |  | **24049597** |
| **Insurance–0.59%** | **Insurance–0.59%** | **Insurance–0.59%** |
| &nbsp;&nbsp; Aon Corp./Aon Global <br> Holdings PLC<br>|  |  |
| &nbsp;&nbsp; 2.90% 8/23/51 | 1089000 | 687451 |
| &nbsp;&nbsp; 5.00% 9/12/32 | 1068000 | 1099221 |
| Aon North America, Inc. |  |  |
| &nbsp;&nbsp; 5.30% 3/1/31 | 439000 | 457242 |
| &nbsp;&nbsp; 5.45% 3/1/34 | 1690000 | 1760480 |
| &nbsp;&nbsp; 5.75% 3/1/54 | 620000 | 624390 |
| &nbsp;&nbsp; Athene Global Funding 2.95% <br> 11/12/26<br>| 515000 | 507663 |
| Athene Holding Ltd. |  |  |
| &nbsp;&nbsp; 6.63% 5/19/55 | 550000 | 588579 |
| μ6.88% 6/28/55 | 501000 | 513162 |
| &nbsp;&nbsp; Berkshire Hathaway Finance <br> Corp.<br>|  |  |
| &nbsp;&nbsp; 3.85% 3/15/52 | 210000 | 164742 |
| &nbsp;&nbsp; 4.25% 1/15/49 | 910000 | 779913 |
| &nbsp;&nbsp; 4.30% 5/15/43 | 62000 | 55923 |
| Brown & Brown, Inc. |  |  |
| &nbsp;&nbsp; 2.38% 3/15/31 | 460000 | 409268 |
| &nbsp;&nbsp; 6.25% 6/23/55 | 1570000 | 1652073 |
| &nbsp;&nbsp; Chubb INA Holdings LLC <br> 3.35% 5/3/26<br>| 450000 | 448115 |
| &nbsp;&nbsp; CNO Global Funding 5.88% <br> 6/4/27<br>| 2350000 | 2410925 |
| Corebridge Financial, Inc. |  |  |
| &nbsp;&nbsp; 3.65% 4/5/27 | 185000 | 183412 |
| &nbsp;&nbsp; 3.85% 4/5/29 | 130000 | 128002 |
| &nbsp;&nbsp; Corebridge Global Funding <br> 4.90% 8/21/32<br>| 745000 | 748317 |
| &nbsp;&nbsp; F&G Annuities & Life, Inc. <br> 6.50% 6/4/29<br>| 625000 | 651630 |
| &nbsp;&nbsp; F&G Global Funding 1.75% <br> 6/30/26<br>| 185000 | 181374 |
| &nbsp;&nbsp; Guardian Life Insurance Co. <br> of America 4.85% 1/24/77<br>| 21000 | 17683 |
| &nbsp;&nbsp; Hartford Insurance Group, <br> Inc. 4.30% 4/15/43<br>| 70000 | 60842 |
| &nbsp;&nbsp; Marsh & McLennan Cos., Inc. <br> 5.35% 11/15/44<br>| 1055000 | 1046135 |
| MetLife, Inc. |  |  |
| &nbsp;&nbsp; 4.13% 8/13/42 | 28000 | 24083 |
| &nbsp;&nbsp; 6.40% 12/15/66 | 1220000 | 1283823 |
| &nbsp;&nbsp; Mutual of Omaha Cos Global <br> Funding 5.80% 7/27/26<br>| 250000 | 253495 |
| New York Life Global Funding |  |  |
| &nbsp;&nbsp; 2.35% 7/14/26 | 65000 | 64157 |
| &nbsp;&nbsp; 5.45% 9/18/26 | 845000 | 856929 |
| &nbsp;&nbsp; New York Life Insurance Co. <br> 4.45% 5/15/69<br>| 105000 | 83422 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Insurance (continued)** | **Insurance (continued)** | **Insurance (continued)** |
| &nbsp;&nbsp; μPacific Life Insurance Co. <br> 4.30% 10/24/67<br>| 134000 | $107495 |
| &nbsp;&nbsp; Pine Street Trust III 6.22% <br> 5/15/54<br>| 1000000 | 1030177 |
| &nbsp;&nbsp; Principal Financial Group, <br> Inc.<br>|  |  |
| &nbsp;&nbsp; 3.70% 5/15/29 | 30000 | 29417 |
| &nbsp;&nbsp; 4.11% 2/15/28 | 825000 | 822669 |
| Prudential Financial, Inc. |  |  |
| &nbsp;&nbsp; 3.70% 3/13/51 | 773000 | 584512 |
| &nbsp;&nbsp; 3.91% 12/7/47 | 61000 | 48868 |
| &nbsp;&nbsp; Prudential Funding Asia PLC <br> 3.13% 4/14/30<br>| 1200000 | 1150481 |
| &nbsp;&nbsp; Teachers Insurance & <br> Annuity Association of <br> America 4.27% 5/15/47<br>| 50000 | 41488 |
|  |  | **21557558** |
| **Internet–0.35%** | **Internet–0.35%** | **Internet–0.35%** |
| &nbsp;&nbsp; Alibaba Group Holding Ltd. <br> 5.25% 5/26/35<br>| 771000 | 807241 |
| Amazon.com, Inc. |  |  |
| &nbsp;&nbsp; 2.10% 5/12/31 | 750000 | 674745 |
| &nbsp;&nbsp; 2.50% 6/3/50 | 5570000 | 3440956 |
| &nbsp;&nbsp; 3.15% 8/22/27 | 1030000 | 1018785 |
| &nbsp;&nbsp; 3.30% 4/13/27 | 210000 | 208461 |
| &nbsp;&nbsp; 3.95% 4/13/52 | 390000 | 316343 |
| &nbsp;&nbsp; 4.05% 8/22/47 | 460000 | 389152 |
| &nbsp;&nbsp; 4.25% 8/22/57 | 150000 | 126035 |
| &nbsp;&nbsp; 4.95% 12/5/44 | 480000 | 474919 |
| Meta Platforms, Inc. |  |  |
| &nbsp;&nbsp; 3.85% 8/15/32 | 593000 | 577070 |
| &nbsp;&nbsp; 5.40% 8/15/54 | 1731000 | 1710196 |
| Prosus NV |  |  |
| &nbsp;&nbsp; 3.68% 1/21/30 | 600000 | 576424 |
| &nbsp;&nbsp; 4.03% 8/3/50 | 2720000 | 1903473 |
| &nbsp;&nbsp; Uber Technologies, Inc. 4.80% <br> 9/15/34<br>| 615000 | 616154 |
|  |  | **12839954** |
| **Iron & Steel–0.02%** | **Iron & Steel–0.02%** | **Iron & Steel–0.02%** |
| Nucor Corp. 5.10% 6/1/35 | 759000 | 771676 |
| &nbsp;&nbsp; Steel Dynamics, Inc. 1.65% <br> 10/15/27<br>| 126000 | 119833 |
|  |  | **891509** |
| **Machinery Diversified–0.00%** | **Machinery Diversified–0.00%** | **Machinery Diversified–0.00%** |
| &nbsp;&nbsp; nVent Finance SARL 4.55% <br> 4/15/28<br>| 75000 | 75273 |
| Xylem, Inc. 2.25% 1/30/31 | 110000 | 98818 |
|  |  | **174091** |

---

*LVIP JPMorgan Core Bond Fund–27*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Media–0.53%** | **Media–0.53%** | **Media–0.53%** |
| &nbsp;&nbsp; Charter Communications <br> Operating LLC/Charter <br> Communications Operating <br> Capital<br>|  |  |
| &nbsp;&nbsp; 3.50% 3/1/42 | 475000 | $342117 |
| &nbsp;&nbsp; 3.85% 4/1/61 | 651000 | 405755 |
| &nbsp;&nbsp; 4.80% 3/1/50 | 980000 | 776190 |
| &nbsp;&nbsp; 5.13% 7/1/49 | 1160000 | 959221 |
| &nbsp;&nbsp; 5.38% 4/1/38 | 1308000 | 1233652 |
| &nbsp;&nbsp; 5.50% 4/1/63 | 480000 | 402238 |
| &nbsp;&nbsp; 5.85% 12/1/35 | 505000 | 509824 |
| Comcast Corp. |  |  |
| &nbsp;&nbsp; 2.80% 1/15/51 | 930000 | 567757 |
| &nbsp;&nbsp; 2.89% 11/1/51 | 1196000 | 736701 |
| &nbsp;&nbsp; 2.94% 11/1/56 | 481000 | 285430 |
| &nbsp;&nbsp; 2.99% 11/1/63 | 206000 | 117630 |
| &nbsp;&nbsp; 3.15% 3/1/26 | 840000 | 836591 |
| &nbsp;&nbsp; 3.40% 4/1/30 | 570000 | 551452 |
| &nbsp;&nbsp; 3.45% 2/1/50 | 400000 | 279630 |
| &nbsp;&nbsp; 4.00% 3/1/48 | 110000 | 85990 |
| &nbsp;&nbsp; 4.00% 11/1/49 | 152000 | 117217 |
| &nbsp;&nbsp; 4.15% 10/15/28 | 2320000 | 2326809 |
| &nbsp;&nbsp; 4.25% 1/15/33 | 167000 | 163603 |
| Cox Communications, Inc. |  |  |
| &nbsp;&nbsp; 2.95% 10/1/50 | 180000 | 105128 |
| &nbsp;&nbsp; 3.35% 9/15/26 | 67000 | 66507 |
| &nbsp;&nbsp; =Identity Digital Cap LLC <br> 6.79% 3/20/65<br>| 5400000 | 5477760 |
| &nbsp;&nbsp; Time Warner Cable <br> Enterprises LLC 8.38% <br> 7/15/33<br>| 90000 | 105587 |
| Time Warner Cable LLC |  |  |
| &nbsp;&nbsp; 5.50% 9/1/41 | 100000 | 91644 |
| &nbsp;&nbsp; 6.55% 5/1/37 | 250000 | 260065 |
| &nbsp;&nbsp; 6.75% 6/15/39 | 521000 | 545081 |
| &nbsp;&nbsp; 7.30% 7/1/38 | 1695000 | 1852112 |
| &nbsp;&nbsp; Walt Disney Co. 6.65% <br> 11/15/37<br>| 350000 | 404311 |
|  |  | **19606002** |
| **Mining–0.33%** | **Mining–0.33%** | **Mining–0.33%** |
| Anglo American Capital PLC |  |  |
| &nbsp;&nbsp; 4.75% 4/10/27 | 430000 | 433136 |
| &nbsp;&nbsp; 5.75% 4/5/34 | 2465000 | 2587121 |
| &nbsp;&nbsp; Barrick North America <br> Finance LLC 5.70% 5/30/41<br>| 1070000 | 1100271 |
| &nbsp;&nbsp; BHP Billiton Finance USA <br> Ltd. 5.00% 9/30/43<br>| 700000 | 674868 |
| &nbsp;&nbsp; Corp. Nacional del Cobre de <br> Chile 6.44% 1/26/36<br>| 863000 | 932786 |
| Glencore Funding LLC |  |  |
| &nbsp;&nbsp; 2.50% 9/1/30 | 750000 | 684185 |
| &nbsp;&nbsp; 4.00% 3/27/27 | 400000 | 398097 |
| &nbsp;&nbsp; 5.63% 4/4/34 | 1020000 | 1061568 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Mining (continued)** | **Mining (continued)** | **Mining (continued)** |
| &nbsp;&nbsp; Southern Copper Corp. 5.25% <br> 11/8/42<br>| 4420000 | $4273394 |
|  |  | **12145426** |
| **Miscellaneous Manufacturing–0.09%** | **Miscellaneous Manufacturing–0.09%** | **Miscellaneous Manufacturing–0.09%** |
| Eaton Corp. 4.15% 11/2/42 | 780000 | 689301 |
| &nbsp;&nbsp; Parker-Hannifin Corp. 4.45% <br> 11/21/44<br>| 30000 | 26631 |
| Siemens Funding BV |  |  |
| &nbsp;&nbsp; 4.60% 5/28/30 | 320000 | 325758 |
| &nbsp;&nbsp; 4.90% 5/28/32 | 404000 | 414388 |
| Textron, Inc. 5.50% 5/15/35 | 1800000 | 1861931 |
|  |  | **3318009** |
| **Oil & Gas–0.89%** | **Oil & Gas–0.89%** | **Oil & Gas–0.89%** |
| Aker BP ASA |  |  |
| &nbsp;&nbsp; 5.13% 10/1/34 | 600000 | 589788 |
| &nbsp;&nbsp; 5.80% 10/1/54 | 325000 | 301311 |
| APA Corp. 6.00% 1/15/37 | 1690000 | 1654575 |
| &nbsp;&nbsp; BP Capital Markets America, <br> Inc.<br>|  |  |
| &nbsp;&nbsp; 2.72% 1/12/32 | 630000 | 571304 |
| &nbsp;&nbsp; 2.77% 11/10/50 | 370000 | 232469 |
| &nbsp;&nbsp; 2.94% 6/4/51 | 345000 | 222936 |
| &nbsp;&nbsp; 3.00% 3/17/52 | 135000 | 87856 |
| &nbsp;&nbsp; 3.41% 2/11/26 | 150000 | 149636 |
| &nbsp;&nbsp; 5.23% 11/17/34 | 1270000 | 1311761 |
| &nbsp;&nbsp; μBP Capital Markets PLC <br> 4.88% 3/22/30<br>| 507000 | 503416 |
| Chevron Corp. |  |  |
| &nbsp;&nbsp; 2.00% 5/11/27 | 200000 | 194391 |
| &nbsp;&nbsp; 3.08% 5/11/50 | 460000 | 319139 |
| &nbsp;&nbsp; Chevron USA, Inc. 3.85% <br> 1/15/28<br>| 500000 | 500111 |
| ConocoPhillips Co. |  |  |
| &nbsp;&nbsp; 5.00% 1/15/35 | 651000 | 659495 |
| &nbsp;&nbsp; 5.05% 9/15/33 | 1434000 | 1477689 |
| &nbsp;&nbsp; 5.50% 1/15/55 | 495000 | 484925 |
| Continental Resources, Inc. |  |  |
| &nbsp;&nbsp; 4.38% 1/15/28 | 1520000 | 1510378 |
| &nbsp;&nbsp; 5.75% 1/15/31 | 20000 | 20625 |
| &nbsp;&nbsp; Coterra Energy, Inc. 5.40% <br> 2/15/35<br>| 1165000 | 1174298 |
| Devon Energy Corp. |  |  |
| &nbsp;&nbsp; 4.50% 1/15/30 | 640000 | 641478 |
| &nbsp;&nbsp; 4.75% 5/15/42 | 150000 | 130793 |
| &nbsp;&nbsp; 5.60% 7/15/41 | 940000 | 904910 |
| Diamondback Energy, Inc. |  |  |
| &nbsp;&nbsp; 3.13% 3/24/31 | 1150000 | 1068493 |
| &nbsp;&nbsp; 3.50% 12/1/29 | 1400000 | 1350720 |
| Eni USA, Inc. 7.30% 11/15/27 | 50000 | 53055 |
| EOG Resources, Inc. |  |  |
| &nbsp;&nbsp; 5.00% 7/15/32 | 1061000 | 1085609 |
| &nbsp;&nbsp; 5.95% 7/15/55 | 309000 | 323502 |

---

*LVIP JPMorgan Core Bond Fund–28*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Oil & Gas (continued)** | **Oil & Gas (continued)** | **Oil & Gas (continued)** |
| EQT Corp. |  |  |
| &nbsp;&nbsp; 3.90% 10/1/27 | 45000 | $44711 |
| &nbsp;&nbsp; 7.00% 2/1/30 | 680000 | 740346 |
| Exxon Mobil Corp. |  |  |
| &nbsp;&nbsp; 3.00% 8/16/39 | 405000 | 324046 |
| &nbsp;&nbsp; 3.45% 4/15/51 | 570000 | 417626 |
| &nbsp;&nbsp; 4.33% 3/19/50 | 90000 | 77139 |
| &nbsp;&nbsp; KazMunayGas National Co. <br> JSC<br>|  |  |
| &nbsp;&nbsp; 5.38% 4/24/30 | 800000 | 822030 |
| &nbsp;&nbsp; 5.75% 4/19/47 | 2050000 | 1909026 |
| &nbsp;&nbsp; Occidental Petroleum Corp. <br> 4.30% 8/15/39<br>| 342000 | 285987 |
| &nbsp;&nbsp; Pertamina Persero PT 6.00% <br> 5/3/42<br>| 1360000 | 1393600 |
| &nbsp;&nbsp; Pioneer Natural Resources <br> Co.<br>|  |  |
| &nbsp;&nbsp; 1.13% 1/15/26 | 160000 | 158538 |
| &nbsp;&nbsp; 1.90% 8/15/30 | 920000 | 826236 |
| &nbsp;&nbsp; 2.15% 1/15/31 | 5390000 | 4846164 |
| Shell Finance U.S., Inc. |  |  |
| &nbsp;&nbsp; 2.38% 11/7/29 | 150000 | 140745 |
| &nbsp;&nbsp; 3.25% 4/6/50 | 1890000 | 1341557 |
| &nbsp;&nbsp; Shell International Finance <br> BV 2.88% 5/10/26<br>| 610000 | 605872 |
| Suncor Energy, Inc. |  |  |
| &nbsp;&nbsp; 5.95% 12/1/34 | 60000 | 63175 |
| &nbsp;&nbsp; 6.80% 5/15/38 | 79000 | 87105 |
| &nbsp;&nbsp; TotalEnergies Capital <br> International SA<br>|  |  |
| &nbsp;&nbsp; 2.99% 6/29/41 | 350000 | 265378 |
| &nbsp;&nbsp; 3.13% 5/29/50 | 260000 | 178004 |
| &nbsp;&nbsp; 3.46% 7/12/49 | 145000 | 106076 |
| &nbsp;&nbsp; Woodside Finance Ltd. 5.70% <br> 5/19/32<br>| 570000 | 591803 |
|  |  | **32749827** |
| **Oil & Gas Services–0.01%** | **Oil & Gas Services–0.01%** | **Oil & Gas Services–0.01%** |
| &nbsp;&nbsp; Baker Hughes <br> Holdings LLC/Baker Hughes <br> Co-Obligor, Inc. 3.14% <br> 11/7/29<br>| 180000 | 173151 |
| Halliburton Co. |  |  |
| &nbsp;&nbsp; 3.80% 11/15/25 | 20000 | 19978 |
| &nbsp;&nbsp; 4.85% 11/15/35 | 30000 | 29547 |
| &nbsp;&nbsp; 5.00% 11/15/45 | 220000 | 200031 |
| &nbsp;&nbsp; 6.70% 9/15/38 | 60000 | 67187 |
|  |  | **489894** |
| **Packaging & Containers–0.09%** | **Packaging & Containers–0.09%** | **Packaging & Containers–0.09%** |
| &nbsp;&nbsp; Graphic Packaging <br> International LLC 1.51% <br> 4/15/26<br>| 284000 | 279371 |
| Packaging Corp. of America |  |  |
| &nbsp;&nbsp; 4.05% 12/15/49 | 155000 | 123090 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Packaging & Containers (continued)** | **Packaging & Containers (continued)** | **Packaging & Containers (continued)** |
| &nbsp;&nbsp; Packaging Corp. of <br> America (continued)<br>|  |  |
| &nbsp;&nbsp; 5.20% 8/15/35 | 1225000 | $1249063 |
| &nbsp;&nbsp; Smurfit Westrock Financing <br> DAC 5.42% 1/15/35<br>| 1505000 | 1550858 |
| WRKCo, Inc. 3.90% 6/1/28 | 35000 | 34710 |
|  |  | **3237092** |
| **Pharmaceuticals–0.61%** | **Pharmaceuticals–0.61%** | **Pharmaceuticals–0.61%** |
| AbbVie, Inc. |  |  |
| &nbsp;&nbsp; 2.95% 11/21/26 | 530000 | 523915 |
| &nbsp;&nbsp; 4.05% 11/21/39 | 510000 | 456417 |
| &nbsp;&nbsp; 4.25% 11/21/49 | 1190000 | 1002552 |
| &nbsp;&nbsp; 4.40% 11/6/42 | 370000 | 333688 |
| &nbsp;&nbsp; 4.50% 5/14/35 | 100000 | 98130 |
| &nbsp;&nbsp; 4.55% 3/15/35 | 60000 | 59064 |
| &nbsp;&nbsp; 4.85% 6/15/44 | 200000 | 188639 |
| &nbsp;&nbsp; 4.88% 11/14/48 | 110000 | 102017 |
| &nbsp;&nbsp; 5.05% 3/15/34 | 455000 | 468206 |
| &nbsp;&nbsp; AstraZeneca PLC 6.45% <br> 9/15/37<br>| 50000 | 56998 |
| Becton Dickinson & Co. |  |  |
| &nbsp;&nbsp; 4.67% 6/6/47 | 75000 | 66269 |
| &nbsp;&nbsp; 4.69% 12/15/44 | 340000 | 304491 |
| Bristol-Myers Squibb Co. |  |  |
| &nbsp;&nbsp; 2.35% 11/13/40 | 175000 | 122815 |
| &nbsp;&nbsp; 3.20% 6/15/26 | 410000 | 407968 |
| &nbsp;&nbsp; 3.70% 3/15/52 | 714000 | 532856 |
| &nbsp;&nbsp; 4.13% 6/15/39 | 114000 | 103275 |
| &nbsp;&nbsp; 4.55% 2/20/48 | 707000 | 618216 |
| &nbsp;&nbsp; 5.55% 2/22/54 | 113000 | 112623 |
| &nbsp;&nbsp; 5.65% 2/22/64 | 1030000 | 1021477 |
| &nbsp;&nbsp; Cardinal Health, Inc. 5.15% <br> 9/15/35<br>| 2895000 | 2912234 |
| Cencora, Inc. |  |  |
| &nbsp;&nbsp; 5.13% 2/15/34 | 1550000 | 1586942 |
| &nbsp;&nbsp; 5.15% 2/15/35 | 2185000 | 2231393 |
| CVS Health Corp. |  |  |
| &nbsp;&nbsp; 1.88% 2/28/31 | 180000 | 156441 |
| &nbsp;&nbsp; 2.13% 9/15/31 | 590000 | 512127 |
| &nbsp;&nbsp; 3.63% 4/1/27 | 230000 | 228033 |
| &nbsp;&nbsp; 3.75% 4/1/30 | 740000 | 716844 |
| &nbsp;&nbsp; 4.30% 3/25/28 | 1271000 | 1271838 |
| &nbsp;&nbsp; 5.13% 7/20/45 | 840000 | 762522 |
| &nbsp;&nbsp; 5.25% 2/21/33 | 330000 | 337638 |
| ♦CVS Pass-Through Trust |  |  |
| &nbsp;&nbsp; 4.70% 1/10/36 | 119371 | 114252 |
| &nbsp;&nbsp; 5.93% 1/10/34 | 53417 | 54283 |
| &nbsp;&nbsp; 7.51% 1/10/32 | 45006 | 47960 |
| &nbsp;&nbsp; 8.35% 7/10/31 | 44881 | 49008 |
| Eli Lilly & Co. 4.95% 2/27/63 | 210000 | 193825 |
| &nbsp;&nbsp; Johnson & Johnson 2.10% <br> 9/1/40<br>| 1390000 | 979901 |
| Merck & Co., Inc. |  |  |
| &nbsp;&nbsp; 2.75% 12/10/51 | 170000 | 107339 |

---

*LVIP JPMorgan Core Bond Fund–29*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Pharmaceuticals (continued)** | **Pharmaceuticals (continued)** | **Pharmaceuticals (continued)** |
| &nbsp;&nbsp; Merck & Co., <br> Inc. (continued)<br>|  |  |
| &nbsp;&nbsp; 2.90% 12/10/61 | 245000 | $147047 |
| &nbsp;&nbsp; 4.00% 3/7/49 | 220000 | 178668 |
| &nbsp;&nbsp; Pfizer Investment Enterprises <br> Pte. Ltd.<br>|  |  |
| &nbsp;&nbsp; 4.75% 5/19/33 | 210000 | 212153 |
| &nbsp;&nbsp; 5.30% 5/19/53 | 515000 | 497689 |
| Pfizer, Inc. 2.70% 5/28/50 | 760000 | 479356 |
| &nbsp;&nbsp; Takeda Pharmaceutical Co. <br> Ltd.<br>|  |  |
| &nbsp;&nbsp; 3.03% 7/9/40 | 545000 | 415832 |
| &nbsp;&nbsp; 3.18% 7/9/50 | 1044000 | 706638 |
| &nbsp;&nbsp; 5.65% 7/5/44 | 386000 | 394573 |
| &nbsp;&nbsp; Utah Acquisition Sub, Inc. <br> 3.95% 6/15/26<br>| 127000 | 126426 |
| Viatris, Inc. 2.30% 6/22/27 | 589000 | 566974 |
|  |  | **22567552** |
| **Pipelines–1.20%** | **Pipelines–1.20%** | **Pipelines–1.20%** |
| &nbsp;&nbsp; Cameron LNG LLC 3.70% <br> 1/15/39<br>| 188000 | 160776 |
| &nbsp;&nbsp; Cheniere Energy Partners LP <br> 5.55% 10/30/35<br>| 715000 | 730453 |
| &nbsp;&nbsp; Cheniere Energy, Inc. 5.65% <br> 4/15/34<br>| 710000 | 731897 |
| &nbsp;&nbsp; Columbia Pipelines Holding <br> Co. LLC 5.10% 10/1/31<br>| 421000 | 427497 |
| &nbsp;&nbsp; Columbia Pipelines Operating <br> Co. LLC<br>|  |  |
| &nbsp;&nbsp; 5.44% 2/15/35 | 550000 | 560784 |
| &nbsp;&nbsp; 5.96% 2/15/55 | 555000 | 550399 |
| &nbsp;&nbsp; 6.04% 11/15/33 | 810000 | 864299 |
| &nbsp;&nbsp; 6.54% 11/15/53 | 1230000 | 1319374 |
| &nbsp;&nbsp; Eastern Energy Gas <br> Holdings LLC 6.20% 1/15/55<br>| 655000 | 686464 |
| &nbsp;&nbsp; Eastern Gas Transmission & <br> Storage, Inc. 3.90% 11/15/49<br>| 137000 | 100950 |
| Enbridge, Inc. |  |  |
| &nbsp;&nbsp; 4.90% 6/20/30 | 340000 | 347697 |
| &nbsp;&nbsp; 5.25% 4/5/27 | 590000 | 598923 |
| &nbsp;&nbsp; 5.55% 6/20/35 | 533000 | 549663 |
| &nbsp;&nbsp; 5.63% 4/5/34 | 1850000 | 1931040 |
| &nbsp;&nbsp; 5.70% 3/8/33 | 260000 | 273613 |
| Energy Transfer LP |  |  |
| &nbsp;&nbsp; 3.75% 5/15/30 | 3950000 | 3835727 |
| &nbsp;&nbsp; 5.30% 4/1/44 | 50000 | 45796 |
| &nbsp;&nbsp; 5.40% 10/1/47 | 670000 | 613285 |
| &nbsp;&nbsp; 5.70% 4/1/35 | 2000000 | 2065159 |
| &nbsp;&nbsp; 5.95% 5/15/54 | 472000 | 457099 |
| &nbsp;&nbsp; 6.00% 6/15/48 | 335000 | 330156 |
| &nbsp;&nbsp; 6.05% 9/1/54 | 585000 | 574400 |
| &nbsp;&nbsp; 6.10% 12/1/28 | 565000 | 594489 |
| &nbsp;&nbsp; 6.10% 2/15/42 | 60000 | 61145 |
| &nbsp;&nbsp; 6.25% 4/15/49 | 340000 | 343199 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Pipelines (continued)** | **Pipelines (continued)** | **Pipelines (continued)** |
| &nbsp;&nbsp; Enterprise Products <br> Operating LLC<br>|  |  |
| &nbsp;&nbsp; 3.20% 2/15/52 | 981000 | $665072 |
| &nbsp;&nbsp; 3.30% 2/15/53 | 1462000 | 995251 |
| &nbsp;&nbsp; 4.60% 1/15/31 | 574000 | 579954 |
| &nbsp;&nbsp; 4.80% 2/1/49 | 190000 | 169561 |
| &nbsp;&nbsp; 4.95% 2/15/35 | 407000 | 410383 |
| &nbsp;&nbsp; 5.35% 1/31/33 | 488000 | 510001 |
| &nbsp;&nbsp; 5.55% 2/16/55 | 384000 | 379541 |
| &nbsp;&nbsp; 6.65% 10/15/34 | 370000 | 420266 |
| &nbsp;&nbsp; 7.55% 4/15/38 | 206000 | 247260 |
| &nbsp;&nbsp; Galaxy Pipeline Assets Bidco <br> Ltd. 2.94% 9/30/40<br>| 216595 | 183925 |
| Gray Oak Pipeline LLC |  |  |
| &nbsp;&nbsp; 2.60% 10/15/25 | 165000 | 164842 |
| &nbsp;&nbsp; 3.45% 10/15/27 | 372000 | 366702 |
| &nbsp;&nbsp; Greensaif Pipelines Bidco <br> SARL 6.51% 2/23/42<br>| 338000 | 365541 |
| &nbsp;&nbsp; Kinder Morgan Energy <br> Partners LP 5.50% 3/1/44<br>| 440000 | 424744 |
| Kinder Morgan, Inc. |  |  |
| &nbsp;&nbsp; 5.20% 6/1/33 | 315000 | 322574 |
| &nbsp;&nbsp; 5.20% 3/1/48 | 70000 | 64139 |
| &nbsp;&nbsp; 5.55% 6/1/45 | 550000 | 534215 |
| MPLX LP |  |  |
| &nbsp;&nbsp; 4.70% 4/15/48 | 550000 | 460516 |
| &nbsp;&nbsp; 5.50% 6/1/34 | 1580000 | 1610164 |
| &nbsp;&nbsp; 5.50% 2/15/49 | 470000 | 437549 |
| &nbsp;&nbsp; NGPL PipeCo LLC 3.25% <br> 7/15/31<br>| 1015000 | 919420 |
| &nbsp;&nbsp; ONEOK Partners LP 6.65% <br> 10/1/36<br>| 15000 | 16391 |
| ONEOK, Inc. |  |  |
| &nbsp;&nbsp; 4.75% 10/15/31 | 140000 | 140045 |
| &nbsp;&nbsp; 5.05% 11/1/34 | 256000 | 252462 |
| &nbsp;&nbsp; 5.55% 11/1/26 | 320000 | 324053 |
| &nbsp;&nbsp; 5.70% 11/1/54 | 419000 | 395565 |
| &nbsp;&nbsp; 5.80% 11/1/30 | 500000 | 526815 |
| &nbsp;&nbsp; 6.05% 9/1/33 | 1030000 | 1092200 |
| &nbsp;&nbsp; 6.63% 9/1/53 | 1340000 | 1425478 |
| &nbsp;&nbsp; Plains All American <br> Pipeline LP 5.95% 6/15/35<br>| 1340000 | 1398466 |
| &nbsp;&nbsp; South Bow USA <br> Infrastructure Holdings LLC<br>|  |  |
| &nbsp;&nbsp; 4.91% 9/1/27 | 335000 | 337868 |
| &nbsp;&nbsp; 5.03% 10/1/29 | 385000 | 389420 |
| Targa Resources Corp. |  |  |
| &nbsp;&nbsp; 4.90% 9/15/30 | 2171000 | 2205144 |
| &nbsp;&nbsp; 5.50% 2/15/35 | 1425000 | 1450004 |
| &nbsp;&nbsp; Targa Resources <br> Partners LP/Targa <br> Resources Partners Finance <br> Corp. 5.00% 1/15/28<br>| 1023000 | 1024143 |
| &nbsp;&nbsp; Tennessee Gas Pipeline Co. <br> LLC 2.90% 3/1/30<br>| 1214000 | 1137039 |

---

*LVIP JPMorgan Core Bond Fund–30*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Pipelines (continued)** | **Pipelines (continued)** | **Pipelines (continued)** |
| &nbsp;&nbsp; TransCanada PipeLines Ltd. <br> 6.20% 10/15/37<br>| 70000 | $75012 |
| &nbsp;&nbsp; Western Midstream <br> Operating LP<br>|  |  |
| &nbsp;&nbsp; 4.05% 2/1/30 | 110000 | 107370 |
| &nbsp;&nbsp; 5.25% 2/1/50 | 990000 | 861602 |
| Williams Cos., Inc. |  |  |
| &nbsp;&nbsp; 4.90% 1/15/45 | 360000 | 323506 |
| &nbsp;&nbsp; 5.60% 3/15/35 | 910000 | 944354 |
| &nbsp;&nbsp; 5.65% 3/15/33 | 200000 | 210042 |
| &nbsp;&nbsp; 6.00% 3/15/55 | 350000 | 361089 |
|  |  | **43983972** |
| **Private Equity–0.03%** | **Private Equity–0.03%** | **Private Equity–0.03%** |
| &nbsp;&nbsp; Blackstone Reg Finance Co. <br> LLC 5.00% 12/6/34<br>| 872000 | 881101 |
| Brookfield Finance, Inc. |  |  |
| &nbsp;&nbsp; 3.90% 1/25/28 | 55000 | 54607 |
| &nbsp;&nbsp; 4.70% 9/20/47 | 9000 | 7887 |
| &nbsp;&nbsp; 4.85% 3/29/29 | 54000 | 54897 |
|  |  | **998492** |
| **Real Estate Investment Trusts–0.27%** | **Real Estate Investment Trusts–0.27%** | **Real Estate Investment Trusts–0.27%** |
| &nbsp;&nbsp; Alexandria Real Estate <br> Equities, Inc.<br>|  |  |
| &nbsp;&nbsp; 2.00% 5/18/32 | 240000 | 202869 |
| &nbsp;&nbsp; 3.80% 4/15/26 | 23000 | 22910 |
| &nbsp;&nbsp; 4.00% 2/1/50 | 125000 | 95879 |
| American Tower Corp. |  |  |
| &nbsp;&nbsp; 1.88% 10/15/30 | 275000 | 243208 |
| &nbsp;&nbsp; 2.10% 6/15/30 | 150000 | 135200 |
| &nbsp;&nbsp; 2.95% 1/15/51 | 85000 | 55069 |
| &nbsp;&nbsp; 3.10% 6/15/50 | 130000 | 87069 |
| &nbsp;&nbsp; 3.38% 10/15/26 | 44000 | 43678 |
| &nbsp;&nbsp; 3.70% 10/15/49 | 230000 | 172462 |
| &nbsp;&nbsp; American Tower Trust #1 <br> 3.65% 3/15/48<br>| 160000 | 157278 |
| &nbsp;&nbsp; Brixmor Operating <br> Partnership LP<br>|  |  |
| &nbsp;&nbsp; 2.25% 4/1/28 | 200000 | 190480 |
| &nbsp;&nbsp; 2.50% 8/16/31 | 105000 | 93246 |
| COPT Defense Properties LP |  |  |
| &nbsp;&nbsp; 2.25% 3/15/26 | 470000 | 465208 |
| &nbsp;&nbsp; 2.75% 4/15/31 | 326000 | 295123 |
| Crown Castle, Inc. |  |  |
| &nbsp;&nbsp; 4.00% 3/1/27 | 24000 | 23893 |
| &nbsp;&nbsp; 5.80% 3/1/34 | 665000 | 699721 |
| DOC Dr. LLC 2.63% 11/1/31 | 130000 | 115847 |
| Essex Portfolio LP |  |  |
| &nbsp;&nbsp; 1.65% 1/15/31 | 200000 | 172803 |
| &nbsp;&nbsp; 2.65% 3/15/32 | 145000 | 129231 |
| &nbsp;&nbsp; 5.50% 4/1/34 | 420000 | 436198 |
| Extra Space Storage LP |  |  |
| &nbsp;&nbsp; 2.20% 10/15/30 | 300000 | 268958 |
| &nbsp;&nbsp; 4.00% 6/15/29 | 150000 | 148462 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Real Estate Investment Trusts (continued)** | **Real Estate Investment Trusts (continued)** | **Real Estate Investment Trusts (continued)** |
| &nbsp;&nbsp; Extra Space <br> Storage LP (continued)<br>|  |  |
| &nbsp;&nbsp; 5.40% 2/1/34 | 1004000 | $1033157 |
| &nbsp;&nbsp; Goodman U.S. Finance <br> Three LLC 3.70% 3/15/28<br>| 43000 | 42427 |
| Healthpeak OP LLC |  |  |
| &nbsp;&nbsp; 2.13% 12/1/28 | 330000 | 309001 |
| &nbsp;&nbsp; 3.00% 1/15/30 | 90000 | 85056 |
| &nbsp;&nbsp; 3.50% 7/15/29 | 132000 | 127952 |
| Mid-America Apartments LP |  |  |
| &nbsp;&nbsp; 1.70% 2/15/31 | 150000 | 130360 |
| &nbsp;&nbsp; 3.95% 3/15/29 | 230000 | 228273 |
| NNN REIT, Inc. |  |  |
| &nbsp;&nbsp; 3.60% 12/15/26 | 58000 | 57634 |
| &nbsp;&nbsp; 4.30% 10/15/28 | 150000 | 150347 |
| &nbsp;&nbsp; 5.50% 6/15/34 | 640000 | 663945 |
| &nbsp;&nbsp; 5.60% 10/15/33 | 150000 | 156905 |
| Prologis LP |  |  |
| &nbsp;&nbsp; 2.13% 10/15/50 | 150000 | 82365 |
| &nbsp;&nbsp; 2.88% 11/15/29 | 95000 | 90433 |
| &nbsp;&nbsp; Safehold GL Holdings LLC <br> 2.85% 1/15/32<br>| 400000 | 354932 |
| UDR, Inc. |  |  |
| &nbsp;&nbsp; 2.10% 8/1/32 | 160000 | 136400 |
| &nbsp;&nbsp; 2.95% 9/1/26 | 28000 | 27710 |
| &nbsp;&nbsp; 3.00% 8/15/31 | 25000 | 23081 |
| &nbsp;&nbsp; 3.20% 1/15/30 | 150000 | 143421 |
| Ventas Realty LP |  |  |
| &nbsp;&nbsp; 3.25% 10/15/26 | 25000 | 24739 |
| &nbsp;&nbsp; 3.85% 4/1/27 | 49000 | 48809 |
| &nbsp;&nbsp; 4.13% 1/15/26 | 9000 | 8981 |
| &nbsp;&nbsp; VICI Properties LP 4.95% <br> 2/15/30<br>| 748000 | 756676 |
| &nbsp;&nbsp; VICI Properties LP/VICI <br> Note Co., Inc. 4.63% 12/1/29<br>| 255000 | 252488 |
| &nbsp;&nbsp; Welltower OP LLC 6.50% <br> 3/15/41<br>| 125000 | 139293 |
| WP Carey, Inc. |  |  |
| &nbsp;&nbsp; 2.25% 4/1/33 | 180000 | 150262 |
| &nbsp;&nbsp; 4.25% 10/1/26 | 245000 | 245063 |
|  |  | **9724502** |
| **Retail–0.23%** | **Retail–0.23%** | **Retail–0.23%** |
| AutoZone, Inc. 1.65% 1/15/31 | 180000 | 156729 |
| Costco Wholesale Corp. |  |  |
| &nbsp;&nbsp; 1.38% 6/20/27 | 930000 | 893439 |
| &nbsp;&nbsp; 1.75% 4/20/32 | 380000 | 328913 |
| Home Depot, Inc. |  |  |
| &nbsp;&nbsp; 2.50% 4/15/27 | 320000 | 313706 |
| &nbsp;&nbsp; 3.25% 4/15/32 | 1690000 | 1582753 |
| &nbsp;&nbsp; 3.30% 4/15/40 | 530000 | 434291 |
| &nbsp;&nbsp; 3.35% 4/15/50 | 680000 | 491103 |
| &nbsp;&nbsp; 3.63% 4/15/52 | 235000 | 176059 |
| &nbsp;&nbsp; 3.90% 6/15/47 | 90000 | 72667 |
| &nbsp;&nbsp; 4.88% 6/25/27 | 226000 | 229740 |

---

*LVIP JPMorgan Core Bond Fund–31*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Retail (continued)** | **Retail (continued)** | **Retail (continued)** |
| &nbsp;&nbsp; Home Depot, <br> Inc. (continued)<br>|  |  |
| &nbsp;&nbsp; 4.95% 6/25/34 | 592000 | $606194 |
| McDonald's Corp. |  |  |
| &nbsp;&nbsp; 4.20% 4/1/50 | 500000 | 411077 |
| &nbsp;&nbsp; 4.70% 12/9/35 | 60000 | 59578 |
| &nbsp;&nbsp; 4.88% 12/9/45 | 1060000 | 980261 |
| O'Reilly Automotive, Inc. |  |  |
| &nbsp;&nbsp; 3.55% 3/15/26 | 80000 | 79773 |
| &nbsp;&nbsp; 3.60% 9/1/27 | 49000 | 48563 |
| Starbucks Corp. |  |  |
| &nbsp;&nbsp; 4.80% 2/15/33 | 440000 | 445838 |
| &nbsp;&nbsp; 4.90% 2/15/31 | 850000 | 874364 |
| Walmart, Inc. 1.80% 9/22/31 | 180000 | 158806 |
|  |  | **8343854** |
| **Savings & Loans–0.12%** | **Savings & Loans–0.12%** | **Savings & Loans–0.12%** |
| μNationwide Building Society |  |  |
| &nbsp;&nbsp; 3.96% 7/18/30 | 2165000 | 2129568 |
| &nbsp;&nbsp; 4.30% 3/8/29 | 525000 | 524503 |
| &nbsp;&nbsp; 5.54% 7/14/36 | 1535000 | 1578556 |
|  |  | **4232627** |
| **Semiconductors–0.60%** | **Semiconductors–0.60%** | **Semiconductors–0.60%** |
| &nbsp;&nbsp; Analog Devices, Inc. 2.80% <br> 10/1/41<br>| 227000 | 168028 |
| Broadcom, Inc. |  |  |
| &nbsp;&nbsp; 1.95% 2/15/28 | 592000 | 564006 |
| &nbsp;&nbsp; 3.14% 11/15/35 | 2778000 | 2403430 |
| &nbsp;&nbsp; 3.19% 11/15/36 | 400000 | 341351 |
| &nbsp;&nbsp; 4.15% 11/15/30 | 230000 | 229095 |
| &nbsp;&nbsp; 4.80% 2/15/36 | 2710000 | 2701732 |
| &nbsp;&nbsp; 4.90% 7/15/32 | 286000 | 292574 |
| &nbsp;&nbsp; 4.93% 5/15/37 | 650000 | 648257 |
| &nbsp;&nbsp; 5.05% 7/12/29 | 3281000 | 3379712 |
| &nbsp;&nbsp; 5.20% 7/15/35 | 357000 | 367925 |
| &nbsp;&nbsp; Foundry JV Holdco LLC 6.10% <br> 1/25/36<br>| 683000 | 725621 |
| Intel Corp. |  |  |
| &nbsp;&nbsp; 3.05% 8/12/51 | 800000 | 507585 |
| &nbsp;&nbsp; 3.10% 2/15/60 | 50000 | 29629 |
| &nbsp;&nbsp; 3.25% 11/15/49 | 800000 | 531591 |
| &nbsp;&nbsp; 3.73% 12/8/47 | 590000 | 435783 |
| &nbsp;&nbsp; 5.70% 2/10/53 | 100000 | 96707 |
| KLA Corp. |  |  |
| &nbsp;&nbsp; 3.30% 3/1/50 | 150000 | 107302 |
| &nbsp;&nbsp; 4.65% 7/15/32 | 520000 | 527687 |
| Marvell Technology, Inc. |  |  |
| &nbsp;&nbsp; 2.95% 4/15/31 | 360000 | 332477 |
| &nbsp;&nbsp; 5.45% 7/15/35 | 4602000 | 4744353 |
| &nbsp;&nbsp; 5.75% 2/15/29 | 380000 | 396431 |
| NVIDIA Corp. |  |  |
| &nbsp;&nbsp; 3.50% 4/1/50 | 1570000 | 1204818 |
| &nbsp;&nbsp; 3.70% 4/1/60 | 660000 | 500495 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Semiconductors (continued)** | **Semiconductors (continued)** | **Semiconductors (continued)** |
| &nbsp;&nbsp; NXP BV/NXP <br> Funding LLC/NXP USA, Inc.<br>|  |  |
| &nbsp;&nbsp; 3.25% 5/11/41 | 370000 | $281113 |
| &nbsp;&nbsp; 5.00% 1/15/33 | 140000 | 141839 |
| &nbsp;&nbsp; Texas Instruments, Inc. 5.05% <br> 5/18/63<br>| 276000 | 256490 |
|  |  | **21916031** |
| **Software–0.67%** | **Software–0.67%** | **Software–0.67%** |
| &nbsp;&nbsp; Cadence Design Systems, Inc. <br> 4.70% 9/10/34<br>| 1594000 | 1591425 |
| Fiserv, Inc. |  |  |
| &nbsp;&nbsp; 3.20% 7/1/26 | 70000 | 69555 |
| &nbsp;&nbsp; 4.40% 7/1/49 | 65000 | 53593 |
| &nbsp;&nbsp; 5.25% 8/11/35 | 1475000 | 1490693 |
| Intuit, Inc. |  |  |
| &nbsp;&nbsp; 5.20% 9/15/33 | 350000 | 365904 |
| &nbsp;&nbsp; 5.50% 9/15/53 | 110000 | 110802 |
| Microsoft Corp. |  |  |
| &nbsp;&nbsp; 2.53% 6/1/50 | 2220000 | 1405420 |
| &nbsp;&nbsp; 2.92% 3/17/52 | 820000 | 556146 |
| &nbsp;&nbsp; 3.04% 3/17/62 | 40000 | 26028 |
| &nbsp;&nbsp; 3.45% 8/8/36 | 20000 | 18256 |
| Oracle Corp. |  |  |
| &nbsp;&nbsp; 1.65% 3/25/26 | 2010000 | 1986245 |
| &nbsp;&nbsp; 2.88% 3/25/31 | 2310000 | 2121126 |
| &nbsp;&nbsp; 2.95% 4/1/30 | 120000 | 113068 |
| &nbsp;&nbsp; 3.60% 4/1/40 | 450000 | 361414 |
| &nbsp;&nbsp; 3.60% 4/1/50 | 4830000 | 3400124 |
| &nbsp;&nbsp; 4.00% 7/15/46 | 110000 | 85687 |
| &nbsp;&nbsp; 4.65% 5/6/30 | 540000 | 547573 |
| &nbsp;&nbsp; 4.80% 9/26/32 | 1595000 | 1596918 |
| &nbsp;&nbsp; 4.90% 2/6/33 | 310000 | 312805 |
| &nbsp;&nbsp; 5.88% 9/26/45 | 1615000 | 1619385 |
| &nbsp;&nbsp; 6.00% 8/3/55 | 2754000 | 2764759 |
| &nbsp;&nbsp; Roper Technologies, Inc. <br> 4.90% 10/15/34<br>| 1694000 | 1695927 |
| Synopsys, Inc. 5.70% 4/1/55 | 1797000 | 1813588 |
| VMware LLC |  |  |
| &nbsp;&nbsp; 1.40% 8/15/26 | 404000 | 395019 |
| &nbsp;&nbsp; 4.65% 5/15/27 | 135000 | 135055 |
|  |  | **24636515** |
| **Telecommunications–0.88%** | **Telecommunications–0.88%** | **Telecommunications–0.88%** |
| AT&T, Inc. |  |  |
| &nbsp;&nbsp; 1.65% 2/1/28 | 55000 | 52069 |
| &nbsp;&nbsp; 2.25% 2/1/32 | 1460000 | 1278169 |
| &nbsp;&nbsp; 2.30% 6/1/27 | 520000 | 504635 |
| &nbsp;&nbsp; 2.55% 12/1/33 | 1090000 | 928145 |
| &nbsp;&nbsp; 3.50% 9/15/53 | 1495000 | 1034096 |
| &nbsp;&nbsp; 3.55% 9/15/55 | 226000 | 155741 |
| &nbsp;&nbsp; 3.65% 6/1/51 | 381000 | 275511 |
| &nbsp;&nbsp; 3.65% 9/15/59 | 160000 | 109393 |
| &nbsp;&nbsp; 3.80% 2/15/27 | 1020000 | 1015209 |
| &nbsp;&nbsp; 3.80% 12/1/57 | 200000 | 142609 |

---

*LVIP JPMorgan Core Bond Fund–32*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Telecommunications (continued)** | **Telecommunications (continued)** | **Telecommunications (continued)** |
| AT&T, Inc. (continued) |  |  |
| &nbsp;&nbsp; 5.38% 8/15/35 | 266000 | $273961 |
| &nbsp;&nbsp; 6.05% 8/15/56 | 264000 | 273642 |
| &nbsp;&nbsp; 6.30% 1/15/38 | 390000 | 424448 |
| Corning, Inc. 3.90% 11/15/49 | 284000 | 222351 |
| &nbsp;&nbsp; Deutsche Telekom <br> International Finance BV <br> 4.88% 3/6/42<br>| 150000 | 140045 |
| &nbsp;&nbsp; NTT Finance Corp. 5.17% <br> 7/16/32<br>| 6040000 | 6185972 |
| &nbsp;&nbsp; Rogers Communications, Inc. <br> 5.30% 2/15/34<br>| 955000 | 968834 |
| &nbsp;&nbsp; Telefonica Emisiones SA <br> 5.21% 3/8/47<br>| 340000 | 305621 |
| T-Mobile USA, Inc. |  |  |
| &nbsp;&nbsp; 2.25% 11/15/31 | 680000 | 598213 |
| &nbsp;&nbsp; 2.55% 2/15/31 | 420000 | 381621 |
| &nbsp;&nbsp; 3.00% 2/15/41 | 1358000 | 1020432 |
| &nbsp;&nbsp; 3.30% 2/15/51 | 190000 | 129501 |
| &nbsp;&nbsp; 3.75% 4/15/27 | 1278000 | 1270402 |
| &nbsp;&nbsp; 3.88% 4/15/30 | 5690000 | 5579549 |
| &nbsp;&nbsp; 5.13% 5/15/32 | 234000 | 240823 |
| &nbsp;&nbsp; 5.75% 1/15/34 | 289000 | 306230 |
| &nbsp;&nbsp; 5.88% 11/15/55 | 721000 | 736475 |
| Verizon Communications, Inc. |  |  |
| &nbsp;&nbsp; 2.36% 3/15/32 | 10000 | 8769 |
| &nbsp;&nbsp; 2.55% 3/21/31 | 1280000 | 1163789 |
| &nbsp;&nbsp; 2.65% 11/20/40 | 590000 | 426721 |
| &nbsp;&nbsp; 2.88% 11/20/50 | 647000 | 412945 |
| &nbsp;&nbsp; 3.40% 3/22/41 | 200000 | 158022 |
| &nbsp;&nbsp; 3.85% 11/1/42 | 680000 | 551729 |
| &nbsp;&nbsp; 4.00% 3/22/50 | 680000 | 534943 |
| &nbsp;&nbsp; 4.13% 8/15/46 | 480000 | 391757 |
| &nbsp;&nbsp; 4.40% 11/1/34 | 690000 | 665609 |
| &nbsp;&nbsp; 4.50% 8/10/33 | 2680000 | 2641229 |
| &nbsp;&nbsp; 5.25% 4/2/35 | 475000 | 483034 |
| &nbsp;&nbsp; 5.25% 3/16/37 | 430000 | 434528 |
| &nbsp;&nbsp; Vodafone Group PLC 5.63% <br> 2/10/53<br>| 35000 | 34067 |
|  |  | **32460839** |
| **Transportation–0.02%** | **Transportation–0.02%** | **Transportation–0.02%** |
| &nbsp;&nbsp; Burlington Northern Santa <br> Fe LLC<br>|  |  |
| &nbsp;&nbsp; 4.38% 9/1/42 | 25000 | 22402 |
| &nbsp;&nbsp; 4.70% 9/1/45 | 35000 | 32123 |
| &nbsp;&nbsp; Canadian Pacific Railway Co. <br> 4.70% 5/1/48<br>| 197000 | 175811 |
| CSX Corp. |  |  |
| &nbsp;&nbsp; 3.35% 9/15/49 | 10000 | 7159 |
| &nbsp;&nbsp; 4.75% 11/15/48 | 108000 | 97695 |
| &nbsp;&nbsp; 5.50% 4/15/41 | 50000 | 51354 |
| Norfolk Southern Corp. |  |  |
| &nbsp;&nbsp; 3.95% 10/1/42 | 70000 | 58965 |
| &nbsp;&nbsp; 4.05% 8/15/52 | 40000 | 31901 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** | **CORPORATE BONDS (continued)** |
| **Transportation (continued)** | **Transportation (continued)** | **Transportation (continued)** |
| Union Pacific Corp. |  |  |
| &nbsp;&nbsp; 3.84% 3/20/60 | 270000 | $199980 |
| &nbsp;&nbsp; 4.10% 9/15/67 | 150000 | 114147 |
|  |  | **791537** |
| **Trucking & Leasing–0.00%** | **Trucking & Leasing–0.00%** | **Trucking & Leasing–0.00%** |
| &nbsp;&nbsp; Penske Truck Leasing Co. <br> LP/PTL Finance Corp.<br>|  |  |
| &nbsp;&nbsp; 3.40% 11/15/26 | 25000 | 24740 |
| &nbsp;&nbsp; 5.25% 7/1/29 | 100000 | 102828 |
|  |  | **127568** |
| **Water–0.01%** | **Water–0.01%** | **Water–0.01%** |
| American Water Capital Corp. |  |  |
| &nbsp;&nbsp; 3.45% 5/1/50 | 225000 | 163353 |
| &nbsp;&nbsp; 4.00% 12/1/46 | 52000 | 42682 |
|  |  | **206035** |
| **Total Corporate Bonds** <br>**(Cost $868,569,951)** | **Total Corporate Bonds** <br>**(Cost $868,569,951)** | **888558544** |
| **MUNICIPAL BONDS–0.01%** | **MUNICIPAL BONDS–0.01%** | **MUNICIPAL BONDS–0.01%** |
| &nbsp;&nbsp; New York State Dormitory <br> Authority Series D 5.60% <br> 3/15/40<br>| 30000 | 30910 |
| &nbsp;&nbsp; Ohio State University Series A <br> 4.80% 6/1/11<br>| 98000 | 83477 |
| &nbsp;&nbsp; Port Authority of New York & <br> New Jersey 5.65% 11/1/40<br>| 130000 | 138549 |
| &nbsp;&nbsp; Texas Natural Gas <br> Securitization Finance Corp. <br> 5.17% 4/1/41<br>| 275000 | 280139 |
| **Total Municipal Bonds** <br>**(Cost $531,253)** | **Total Municipal Bonds** <br>**(Cost $531,253)** | **533075** |
| **NON-AGENCY ASSET-BACKED SECURITIES–8.70%** | **NON-AGENCY ASSET-BACKED SECURITIES–8.70%** | **NON-AGENCY ASSET-BACKED SECURITIES–8.70%** |
| &nbsp;&nbsp; American Credit Acceptance <br> Receivables Trust Series <br> 2023-4 Class C 6.99% <br> 9/12/30<br>| 3558621 | 3593843 |
| &nbsp;&nbsp; American Homes 4 Rent Trust <br> Series 2015-SFR2 Class C <br> 4.69% 10/17/52<br>| 200000 | 199588 |
| AMSR Trust | AMSR Trust | AMSR Trust |
| &nbsp;&nbsp;&nbsp; Series 2021-SFR1 Class D <br> 2.60% 6/17/38<br>| 5059000 | 4793263 |
| &nbsp;&nbsp;&nbsp; Series 2021-SFR4 Class E1 <br> 2.97% 12/17/38<br>| 2335274 | 2277552 |
| &nbsp;&nbsp;&nbsp; Series 2021-SFR4 Class E2 <br> 3.01% 12/17/38<br>| 3800000 | 3699265 |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR3 Class E2 <br> 4.00% 10/17/39<br>| 1000000 | 970318 |
| &nbsp;&nbsp;&nbsp; Series 2023-SFR2 Class E2 <br> 3.95% 6/17/40<br>| 2000000 | 1890287 |

---

*LVIP JPMorgan Core Bond Fund–33*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** |
| &nbsp;&nbsp; Aqua Finance Issuer Trust <br> Series 2025-B Class B 5.04% <br> 5/17/51<br>| 3395000 | $3435459 |
| &nbsp;&nbsp; Aqua Finance Trust Series <br> 2021-A Class B 2.40% <br> 7/17/46<br>| 4335000 | 4047633 |
| &nbsp;&nbsp; •Arbor Realty Commercial <br> Real Estate Notes Ltd. <br> Series 2022-FL1 Class A <br> 5.82% (30 day USD SOFR <br> Average + 1.45%) 1/15/37<br>| 826091 | 826091 |
| Avis Budget Rental Car Funding AESOP LLC | Avis Budget Rental Car Funding AESOP LLC | Avis Budget Rental Car Funding AESOP LLC |
| &nbsp;&nbsp;&nbsp; Series 2022-3A Class A 4.62% <br> 2/20/27<br>| 625000 | 625453 |
| &nbsp;&nbsp;&nbsp; Series 2024-1A Class A 5.36% <br> 6/20/30<br>| 2642000 | 2732458 |
| &nbsp;&nbsp;&nbsp; Series 2025-2A Class A 5.12% <br> 8/20/31<br>| 2000000 | 2055158 |
| &nbsp;&nbsp; Bastion Funding I LLC Series <br> 2023-1A Class A2 7.12% <br> 4/25/38<br>| 1779621 | 1793917 |
| BG Beta I Ltd. 6.28% 7/16/54 | 2646000 | 2706353 |
| &nbsp;&nbsp; •Black Diamond CLO DAC <br> Series 2017-2A Class A2 <br> 5.89% (3 mo. USD Term <br> SOFR + 1.56%) 1/20/32<br>| 2041 | 2041 |
| &nbsp;&nbsp; Blackbird Capital II Aircraft <br> Lease Ltd. Series 2021-1A <br> Class A 2.44% 7/15/46<br>| 602077 | 568764 |
| Bridge Trust | Bridge Trust | Bridge Trust |
| &nbsp;&nbsp;&nbsp; Series 2024-SFR1 Class C <br> 4.30% 8/17/40<br>| 875000 | 854794 |
| &nbsp;&nbsp;&nbsp; Series 2024-SFR1 Class D <br> 4.30% 8/17/40<br>| 1526000 | 1475080 |
| Bridgecrest Lending Auto Securitization Trust | Bridgecrest Lending Auto Securitization Trust | Bridgecrest Lending Auto Securitization Trust |
| &nbsp;&nbsp;&nbsp; Series 2024-1 Class C 5.65% <br> 4/16/29<br>| 2341000 | 2365619 |
| &nbsp;&nbsp;&nbsp; Series 2024-3 Class C 5.70% <br> 7/16/29<br>| 2255000 | 2280850 |
| &nbsp;&nbsp;&nbsp; Series 2025-3 Class D 5.27% <br> 5/15/31<br>| 4500000 | 4511470 |
| &nbsp;&nbsp; BXG Receivables Note Trust <br> Series 2022-A Class C 5.35% <br> 9/28/37<br>| 348924 | 343836 |
| &nbsp;&nbsp; CarMax Auto Owner Trust <br> Series 2023-4 Class A3 6.00% <br> 7/17/28<br>| 433980 | 439794 |
| &nbsp;&nbsp; CarMax Select Receivables <br> Trust Series 2025-A Class C <br> 5.46% 7/15/31<br>| 8100000 | 8278944 |
| &nbsp;&nbsp; Cars Net Lease Mortgage <br> Notes Series 2020-1A <br> Class A3 3.10% 12/15/50<br>| 156200 | 147024 |
| Carvana Auto Receivables Trust | Carvana Auto Receivables Trust | Carvana Auto Receivables Trust |
| &nbsp;&nbsp;&nbsp; Series 2023-N1 Class B <br> 5.85% 11/10/27<br>| 1529520 | 1531643 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** |
| Carvana Auto Receivables Trust (continued) | Carvana Auto Receivables Trust (continued) | Carvana Auto Receivables Trust (continued) |
| &nbsp;&nbsp;&nbsp; Series 2023-P3 Class A3 <br> 5.82% 8/10/28<br>| 178301 | $179577 |
| &nbsp;&nbsp;&nbsp; Series 2023-P4 Class A4 <br> 6.16% 9/10/29<br>| 631000 | 654830 |
| &nbsp;&nbsp; Cascade MH Asset Trust <br> Series 2021-MH1 Class A1 <br> 1.75% 2/25/46<br>| 590494 | 535867 |
| &nbsp;&nbsp; φCFIN Issuer LLC Series <br> 2022-RTL1 Class AA 4.75% <br> 2/16/26<br>| 162995 | 161896 |
| &nbsp;&nbsp; Cherry Securitization Trust <br> Series 2025-1A Class A 6.13% <br> 11/15/32<br>| 1300000 | 1321111 |
| &nbsp;&nbsp; Consumer Portfolio Services <br> Auto Trust Series 2025-B <br> Class C 5.12% 7/15/31<br>| 4290000 | 4326934 |
| &nbsp;&nbsp; Continental Finance Credit <br> Card ABS Master Trust <br> Series 2022-A Class A 6.19% <br> 10/15/30<br>| 910000 | 912905 |
| CoreVest American Finance Ltd. | CoreVest American Finance Ltd. | CoreVest American Finance Ltd. |
| &nbsp;&nbsp;&nbsp; Series 2019-2 Class D 4.22% <br> 6/15/52<br>| 500000 | 480076 |
| &nbsp;&nbsp;&nbsp; Series 2019-3 Class B 3.16% <br> 10/15/52<br>| 700000 | 671264 |
| &nbsp;&nbsp;&nbsp; Series 2020-3 Class B 2.20% <br> 8/15/53<br>| 810000 | 744851 |
| •Countrywide Asset-Backed Certificates Trust | •Countrywide Asset-Backed Certificates Trust | •Countrywide Asset-Backed Certificates Trust |
| &nbsp;&nbsp;&nbsp; Series 2004-1 Class 3A 4.83% <br> (1 mo. USD Term SOFR + <br> 0.67%) 4/25/34<br>| 1056 | 1007 |
| &nbsp;&nbsp;&nbsp; Series 2004-1 Class M1 <br> 5.02% (1 mo. USD Term <br> SOFR + 0.86%) 3/25/34<br>| 4162 | 4260 |
| &nbsp;&nbsp;&nbsp; Series 2004-1 Class M2 <br> 5.10% (1 mo. USD Term <br> SOFR + 0.94%) 3/25/34<br>| 104 | 168 |
| CPS Auto Receivables Trust | CPS Auto Receivables Trust | CPS Auto Receivables Trust |
| &nbsp;&nbsp;&nbsp; Series 2022-D Class C 7.69% <br> 1/16/29<br>| 733229 | 740462 |
| &nbsp;&nbsp;&nbsp; Series 2023-D Class C 7.17% <br> 1/15/30<br>| 3686000 | 3741003 |
| Credit Acceptance Auto Loan Trust | Credit Acceptance Auto Loan Trust | Credit Acceptance Auto Loan Trust |
| &nbsp;&nbsp;&nbsp; Series 2022-3A Class C 8.45% <br> 2/15/33<br>| 900000 | 907345 |
| &nbsp;&nbsp;&nbsp; Series 2023-2A Class A 5.92% <br> 5/16/33<br>| 554497 | 556152 |
| &nbsp;&nbsp;&nbsp; Series 2023-3A Class A 6.39% <br> 8/15/33<br>| 623150 | 626899 |
| &nbsp;&nbsp;&nbsp; Series 2024-1A Class C 6.71% <br> 7/17/34<br>| 3910000 | 4023869 |
| &nbsp;&nbsp;&nbsp; Series 2025-1A Class C 5.71% <br> 7/16/35<br>| 4535000 | 4628498 |

---

*LVIP JPMorgan Core Bond Fund–34*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** |
| &nbsp;&nbsp; •CWHEQ Revolving Home <br> Equity Loan Trust Series <br> 2006-I Class 2A 4.40% (1 mo. <br> USD Term SOFR + 0.25%) <br> 1/15/37<br>| 341449 | $327372 |
| &nbsp;&nbsp; DataBank Issuer LLC Series <br> 2021-1A Class A2 2.06% <br> 2/27/51<br>| 1387000 | 1370203 |
| &nbsp;&nbsp; Diamond Infrastructure <br> Funding LLC Series 2021-1A <br> Class A 1.76% 4/15/49<br>| 2280000 | 2186648 |
| &nbsp;&nbsp; Diversified ABS Phase <br> VIII LLC Series 2024-1A <br> Class A1 7.08% 5/30/44<br>| 1220347 | 1234607 |
| &nbsp;&nbsp; Domino's Pizza Master <br> Issuer LLC Series 2021-1A <br> Class A2I 2.66% 4/25/51<br>| 3709115 | 3506439 |
| &nbsp;&nbsp; DP Lion Holdco LLC Series <br> 2023-1A Class A 8.24% <br> 11/30/43<br>| 1570592 | 1614528 |
| &nbsp;&nbsp; Drive Auto Receivables Trust <br> Series 2025-1 Class D 5.41% <br> 9/15/32<br>| 5400000 | 5467495 |
| DT Auto Owner Trust | DT Auto Owner Trust | DT Auto Owner Trust |
| &nbsp;&nbsp;&nbsp; Series 2022-3A Class C 7.69% <br> 7/17/28<br>| 298730 | 299852 |
| &nbsp;&nbsp;&nbsp; Series 2022-3A Class D <br> 8.14% 7/17/28<br>| 750000 | 768745 |
| &nbsp;&nbsp;&nbsp; Series 2023-2A Class C 5.79% <br> 2/15/29<br>| 956000 | 960067 |
| Exeter Automobile Receivables Trust | Exeter Automobile Receivables Trust | Exeter Automobile Receivables Trust |
| &nbsp;&nbsp;&nbsp; Series 2022-6A Class D <br> 8.03% 4/6/29<br>| 1032000 | 1063612 |
| &nbsp;&nbsp;&nbsp; Series 2023-5A Class C 6.85% <br> 1/16/29<br>| 1824000 | 1860378 |
| &nbsp;&nbsp;&nbsp; Series 2024-2A Class D <br> 5.92% 2/15/30<br>| 4241000 | 4334034 |
| &nbsp;&nbsp;&nbsp; Series 2025-2A Class D <br> 5.89% 7/15/31<br>| 8100000 | 8311927 |
| &nbsp;&nbsp;&nbsp; Series 2025-4A Class D <br> 5.23% 1/15/32<br>| 6400000 | 6420440 |
| &nbsp;&nbsp; FHF Issuer Trust Series <br> 2023-2A Class A2 6.79% <br> 10/15/29<br>| 1015005 | 1027578 |
| &nbsp;&nbsp; First Investors Auto Owner <br> Trust Series 2023-1A Class C <br> 6.81% 12/17/29<br>| 4000000 | 4125014 |
| FirstKey Homes Trust | FirstKey Homes Trust | FirstKey Homes Trust |
| &nbsp;&nbsp;&nbsp; Series 2020-SFR2 Class E <br> 2.67% 10/19/37<br>| 850000 | 846349 |
| &nbsp;&nbsp;&nbsp; Series 2021-SFR1 Class E1 <br> 2.39% 8/17/38<br>| 5142000 | 5031419 |
| &nbsp;&nbsp;&nbsp; Series 2021-SFR1 Class E2 <br> 2.49% 8/17/38<br>| 5500000 | 5378426 |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR2 Class E1 <br> 4.50% 7/17/39<br>| 900000 | 888452 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** |
| FirstKey Homes Trust (continued) | FirstKey Homes Trust (continued) | FirstKey Homes Trust (continued) |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR3 Class C <br> 4.50% 7/17/38<br>| 784000 | $780277 |
| •FMC GMSR Issuer Trust | •FMC GMSR Issuer Trust | •FMC GMSR Issuer Trust |
| &nbsp;&nbsp;&nbsp; Series 2020-GT1 Class A <br> 4.45% 1/25/26<br>| 1500000 | 1486002 |
| &nbsp;&nbsp;&nbsp; Series 2021-GT1 Class A <br> 3.62% 7/25/26<br>| 4200000 | 4032362 |
| &nbsp;&nbsp;&nbsp; Series 2021-GT2 Class A <br> 3.85% 10/25/26<br>| 3050000 | 2935844 |
| &nbsp;&nbsp;&nbsp; Series 2024-SAT1 Class A <br> 6.50% 3/26/27<br>| 5675000 | 5740974 |
| &nbsp;&nbsp; Ford Credit Auto Owner Trust <br> Series 2024-B Class A3 5.10% <br> 4/15/29<br>| 1213000 | 1230895 |
| &nbsp;&nbsp; Foundation Finance Trust <br> Series 2023-2A Class D <br> 9.10% 6/15/49<br>| 2622147 | 2806745 |
| &nbsp;&nbsp; Frontier Issuer LLC Series <br> 2024-1 Class A2 6.19% <br> 6/20/54<br>| 607000 | 625649 |
| FW Energy Asset Issuer LLC | FW Energy Asset Issuer LLC | FW Energy Asset Issuer LLC |
| &nbsp;&nbsp; 7.15% 8/25/44 | 3110592 | 3169637 |
| &nbsp;&nbsp; 8.11% 8/25/44 | 990480 | 1012207 |
| GLS Auto Receivables Issuer Trust | GLS Auto Receivables Issuer Trust | GLS Auto Receivables Issuer Trust |
| &nbsp;&nbsp;&nbsp; Series 2023-3A Class C 6.01% <br> 5/15/29<br>| 523000 | 527602 |
| &nbsp;&nbsp;&nbsp; Series 2024-2A Class C 6.03% <br> 2/15/30<br>| 4545000 | 4643302 |
| &nbsp;&nbsp;&nbsp; Series 2025-1A Class D <br> 5.61% 11/15/30<br>| 5000000 | 5104266 |
| &nbsp;&nbsp;&nbsp; Series 2025-2A Class C 5.11% <br> 1/15/31<br>| 5600000 | 5663719 |
| &nbsp;&nbsp;&nbsp; Series 2025-3A Class D <br> 5.16% 6/16/31<br>| 2970000 | 2978707 |
| &nbsp;&nbsp; GLS Auto Select Receivables <br> Trust Series 2023-2A <br> Class A3 6.38% 2/15/29<br>| 4250000 | 4339297 |
| &nbsp;&nbsp; GM Financial Automobile <br> Leasing Trust Series 2024-1 <br> Class A3 5.09% 3/22/27<br>| 796370 | 798923 |
| &nbsp;&nbsp; GMF Floorplan Owner <br> Revolving Trust Series <br> 2024-1A Class A1 5.13% <br> 3/15/29<br>| 2514000 | 2553095 |
| Goodgreen Trust | Goodgreen Trust | Goodgreen Trust |
| &nbsp;&nbsp;&nbsp; Series 2017 Class R1 5.00% <br> 10/20/51<br>| 8154 | 8143 |
| &nbsp;&nbsp;&nbsp; Series 2017-1A Class A 3.74% <br> 10/15/52<br>| 24459 | 22561 |
| &nbsp;&nbsp;&nbsp; Series 2017-2A Class A 3.26% <br> 10/15/53<br>| 100127 | 90422 |
| &nbsp;&nbsp;&nbsp; Series 2019-2A Class A 2.76% <br> 4/15/55<br>| 186173 | 160353 |

---

*LVIP JPMorgan Core Bond Fund–35*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** |
| &nbsp;&nbsp; GoodLeap Sustainable Home <br> Solutions Trust Series <br> 2022-1GS Class A 2.70% <br> 1/20/49<br>| 1079037 | $971328 |
| &nbsp;&nbsp; Granite Park Equipment <br> Leasing LLC Series 2023-1A <br> Class A3 6.46% 9/20/32<br>| 1231807 | 1251501 |
| &nbsp;&nbsp; Hardee's Funding LLC Series <br> 2021-1A Class A2 2.87% <br> 6/20/51<br>| 2211825 | 2051069 |
| HERO Funding Trust | HERO Funding Trust | HERO Funding Trust |
| &nbsp;&nbsp;&nbsp; Series 2016-3A Class A1 <br> 3.08% 9/20/42<br>| 13587 | 12643 |
| &nbsp;&nbsp;&nbsp; Series 2017-1A Class A2 <br> 4.46% 9/20/47<br>| 46621 | 44805 |
| &nbsp;&nbsp;&nbsp; Series 2017-3A Class A2 <br> 3.95% 9/20/48<br>| 61738 | 58018 |
| &nbsp;&nbsp; Hertz Vehicle Financing <br> III LP Series 2021-2A <br> Class C 2.52% 12/27/27<br>| 1840000 | 1790058 |
| &nbsp;&nbsp; Hilton Grand Vacations Trust <br> Series 2025-2A Class B 4.73% <br> 5/25/44<br>| 3005941 | 3014998 |
| &nbsp;&nbsp; Home Partners of America <br> Trust Series 2020-2 Class E <br> 3.08% 1/17/41<br>| 796455 | 721861 |
| &nbsp;&nbsp; Huntington Bank Auto <br> Credit-Linked Notes Series <br> 2025-2 Class B1 4.84% <br> 9/20/33<br>| 8112239 | 8132084 |
| &nbsp;&nbsp; John Deere Owner Trust <br> Series 2023-B Class A4 5.11% <br> 5/15/30<br>| 1100000 | 1114806 |
| &nbsp;&nbsp; Jonah Energy Abs I LLC <br> Series 2022-1 Class A1 7.20% <br> 12/10/37<br>| 281966 | 284098 |
| Lending Funding Trust | Lending Funding Trust | Lending Funding Trust |
| &nbsp;&nbsp;&nbsp; Series 2020-2A Class A 2.32% <br> 4/21/31<br>| 1305000 | 1282386 |
| &nbsp;&nbsp;&nbsp; Series 2020-2A Class C 4.30% <br> 4/21/31<br>| 1000000 | 982305 |
| &nbsp;&nbsp; Lendmark Funding Trust <br> Series 2021-1A Class B 2.47% <br> 11/20/31<br>| 4600000 | 4383153 |
| &nbsp;&nbsp; •Long Beach Mortgage Loan <br> Trust Series 2004-1 Class M1 <br> 5.02% (1 mo. USD Term <br> SOFR + 0.86%) 2/25/34<br>| 13925 | 13883 |
| &nbsp;&nbsp; Merchants Fleet Funding LLC <br> Series 2023-1A Class A 7.21% <br> 5/20/36<br>| 1621479 | 1631278 |
| &nbsp;&nbsp; Mercury Financial Credit <br> Card Master Trust Series <br> 2024-2A Class A 6.56% <br> 7/20/29<br>| 4075000 | 4106923 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** |
| &nbsp;&nbsp; •MF1 LLC Series 2022-FL10 <br> Class A 6.77% (1 mo. USD <br> Term SOFR + 2.64%) <br> 9/17/37<br>| 1309052 | $1310940 |
| &nbsp;&nbsp; MNR ABS Issuer I LLC 8.95% <br> 12/15/38<br>| 2078317 | 2129799 |
| MVW LLC | MVW LLC | MVW LLC |
| &nbsp;&nbsp;&nbsp; Series 2019-2A Class B 2.44% <br> 10/20/38<br>| 96076 | 95324 |
| &nbsp;&nbsp;&nbsp; Series 2023-1A Class C 6.54% <br> 10/20/40<br>| 619427 | 635636 |
| &nbsp;&nbsp;&nbsp; Series 2023-2A Class C 7.06% <br> 11/20/40<br>| 854666 | 878421 |
| &nbsp;&nbsp; •Navient Student Loan Trust <br> Series 2016-3A Class A3 <br> 5.82% (30 day USD SOFR <br> Average + 1.46%) 6/25/65<br>| 870164 | 880637 |
| &nbsp;&nbsp; New Residential Mortgage <br> Loan Trust Series 2022-SFR1 <br> Class D 3.30% 2/17/39<br>| 1375000 | 1339105 |
| &nbsp;&nbsp; NP SPE X LP Series 2021-1A <br> Class A1 2.23% 3/19/51<br>| 1691025 | 1395159 |
| NRZ Excess Spread-Collateralized Notes | NRZ Excess Spread-Collateralized Notes | NRZ Excess Spread-Collateralized Notes |
| &nbsp;&nbsp;&nbsp; Series 2020-PLS1 Class A <br> 3.84% 12/25/25<br>| 236521 | 235675 |
| &nbsp;&nbsp;&nbsp; Series 2021-FHT1 Class A <br> 3.10% 7/25/26<br>| 475096 | 467495 |
| &nbsp;&nbsp;&nbsp; Series 2021-GNT1 Class A <br> 3.47% 11/25/26<br>| 452840 | 443047 |
| &nbsp;&nbsp; Octane Receivables Trust <br> Series 2022-2A Class D <br> 7.70% 2/20/30<br>| 1400000 | 1442654 |
| OneMain Direct Auto Receivables Trust | OneMain Direct Auto Receivables Trust | OneMain Direct Auto Receivables Trust |
| &nbsp;&nbsp;&nbsp; Series 2019-1A Class B 3.95% <br> 11/14/28<br>| 1000000 | 997003 |
| &nbsp;&nbsp;&nbsp; Series 2021-1A Class A 0.87% <br> 7/14/28<br>| 43662 | 43550 |
| &nbsp;&nbsp;&nbsp; Series 2023-1A Class D <br> 7.07% 2/14/33<br>| 682000 | 710120 |
| &nbsp;&nbsp; Oportun Issuance Trust <br> Series 2021-C Class A 2.18% <br> 10/8/31<br>| 665164 | 652617 |
| &nbsp;&nbsp; PEAC Solutions <br> Receivables LLC Series <br> 2024-1A Class A3 5.64% <br> 11/20/30<br>| 2500000 | 2566136 |
| &nbsp;&nbsp; Porsche Innovative Lease <br> Owner Trust Series 2024-1A <br> Class A3 4.67% 11/22/27<br>| 1733000 | 1741849 |
| &nbsp;&nbsp; •PRET LLC Series 2021-RN4 <br> Class A1 5.49% 10/25/51<br>| 934187 | 934239 |
| Progress Residential Trust | Progress Residential Trust | Progress Residential Trust |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR2 Class A <br> 2.95% 4/17/27<br>| 540598 | 530405 |
| &nbsp;&nbsp;&nbsp; Series 2022-SFR2 Class E1 <br> 4.55% 4/17/27<br>| 2700000 | 2672709 |

---

*LVIP JPMorgan Core Bond Fund–36*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** |
| Progress Residential Trust (continued) | Progress Residential Trust (continued) | Progress Residential Trust (continued) |
| &nbsp;&nbsp;&nbsp; Series 2025-SFR3 Class B <br> 3.39% 7/17/42<br>| 3690000 | $3458111 |
| &nbsp;&nbsp; Renew Financial Series <br> 2017-1A Class A 3.67% <br> 9/20/52<br>| 24762 | 23130 |
| &nbsp;&nbsp; RT Financial LLC 7.85% <br> 10/15/43<br>| 2001275 | 2036083 |
| Santander Drive Auto Receivables Trust | Santander Drive Auto Receivables Trust | Santander Drive Auto Receivables Trust |
| &nbsp;&nbsp;&nbsp; Series 2022-4 Class C 5.00% <br> 11/15/29<br>| 2950000 | 2965747 |
| &nbsp;&nbsp;&nbsp; Series 2022-5 Class D 5.67% <br> 12/16/30<br>| 5500000 | 5553716 |
| &nbsp;&nbsp;&nbsp; Series 2022-6 Class D 5.69% <br> 2/18/31<br>| 5500000 | 5553708 |
| &nbsp;&nbsp;&nbsp; Series 2023-6 Class C 6.40% <br> 3/17/31<br>| 2200000 | 2274163 |
| &nbsp;&nbsp;&nbsp; Series 2024-2 Class D 6.28% <br> 8/15/31<br>| 2249000 | 2322059 |
| &nbsp;&nbsp;&nbsp; Series 2024-3 Class D 5.97% <br> 10/15/31<br>| 5055000 | 5183152 |
| &nbsp;&nbsp;&nbsp; Series 2025-1 Class D 5.43% <br> 3/17/31<br>| 672000 | 682015 |
| SCF Equipment Leasing LLC | SCF Equipment Leasing LLC | SCF Equipment Leasing LLC |
| &nbsp;&nbsp;&nbsp; Series 2023-1A Class A3 <br> 6.17% 5/20/32<br>| 1813002 | 1840181 |
| &nbsp;&nbsp;&nbsp; Series 2023-1A Class C 6.77% <br> 8/22/33<br>| 3815000 | 3970293 |
| &nbsp;&nbsp;&nbsp; Series 2024-1A Class C 5.82% <br> 9/20/32<br>| 2558000 | 2648810 |
| &nbsp;&nbsp; SCF Equipment Trust LLC <br> Series 2025-1A Class D <br> 5.88% 11/20/35<br>| 1032000 | 1066625 |
| &nbsp;&nbsp; Sierra Timeshare Receivables <br> Funding LLC Series 2025-1A <br> Class B 5.10% 1/21/42<br>| 2902234 | 2932248 |
| &nbsp;&nbsp; •SLC Student Loan Trust <br> Series 2008-1 Class A4A <br> 6.23% (90 day USD SOFR <br> Average + 1.86%) 12/15/32<br>| 689360 | 689328 |
| •SLM Private Credit Student Loan Trust | •SLM Private Credit Student Loan Trust | •SLM Private Credit Student Loan Trust |
| &nbsp;&nbsp;&nbsp; Series 2005-B Class A4 4.63% <br> (3 mo. USD Term SOFR + <br> 0.59%) 6/15/39<br>| 407456 | 397678 |
| &nbsp;&nbsp;&nbsp; Series 2006-A Class A5 4.59% <br> (3 mo. USD Term SOFR + <br> 0.55%) 6/15/39<br>| 403298 | 387111 |
| SMB Private Education Loan Trust | SMB Private Education Loan Trust | SMB Private Education Loan Trust |
| &nbsp;&nbsp;&nbsp; Series 2020-A Class A2A <br> 2.23% 9/15/37<br>| 305375 | 296224 |
| &nbsp;&nbsp;&nbsp; Series 2021-C Class APT1 <br> 1.39% 1/15/53<br>| 1296044 | 1194194 |
| &nbsp;&nbsp;&nbsp; Series 2021-C Class B 2.30% <br> 1/15/53<br>| 566004 | 552597 |
| &nbsp;&nbsp;&nbsp; Series 2022-C Class A1A <br> 4.48% 5/16/50<br>| 2429323 | 2423732 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** | **NON-AGENCY ASSET-BACKED SECURITIES (continued)** |
| &nbsp;&nbsp; •Starwood Ltd. Series <br> 2022-FL3 Class A 5.72% (30 <br> day USD SOFR Average + <br> 1.35%) 11/15/38<br>| 1158886 | $1158340 |
| &nbsp;&nbsp; •Steele Creek CLO Ltd. Series <br> 2017-1A Class A 5.83% (3 <br> mo. USD Term SOFR + <br> 1.51%) 10/15/30<br>| 42946 | 42958 |
| &nbsp;&nbsp; Toyota Auto Receivables <br> Owner Trust Series 2024-B <br> Class A3 5.33% 1/16/29<br>| 2477000 | 2514708 |
| &nbsp;&nbsp; Tricon American Homes Trust <br> Series 2020-SFR2 Class E1 <br> 2.73% 11/17/39<br>| 2426000 | 2322125 |
| &nbsp;&nbsp; Tricon Residential Trust <br> Series 2022-SFR1 Class D <br> 4.75% 4/17/39<br>| 459000 | 455747 |
| &nbsp;&nbsp; Triumph Rail Holdings LLC <br> Series 2021-2 Class A 2.15% <br> 6/19/51<br>| 1301535 | 1244227 |
| U.S. Small Business Administration | U.S. Small Business Administration | U.S. Small Business Administration |
| &nbsp;&nbsp;&nbsp; Series 2019-20D Class 1 <br> 2.98% 4/1/39<br>| 155592 | 146732 |
| &nbsp;&nbsp;&nbsp; Series 2019-25G Class 1 <br> 2.69% 7/1/44<br>| 286446 | 256574 |
| &nbsp;&nbsp; UPX HIL Issuer Trust Series <br> 2025-1 Class A 5.16% <br> 1/25/47<br>| 7587386 | 7619718 |
| &nbsp;&nbsp; Verizon Master Trust Series <br> 2024-3 Class A1A 5.34% <br> 4/22/30<br>| 1473000 | 1505270 |
| &nbsp;&nbsp; VFI ABS LLC Series 2025-1A <br> Class B 4.97% 12/24/30<br>| 1715000 | 1721591 |
| &nbsp;&nbsp; VM Debt Trust Series 2019-1 <br> 7.46% 7/18/27<br>| 1000000 | 951341 |
| &nbsp;&nbsp; Volkswagen Auto Lease Trust <br> Series 2024-A Class A3 5.21% <br> 6/21/27<br>| 2947000 | 2973107 |
| &nbsp;&nbsp; φVOLT CI LLC Series <br> 2021-NP10 Class A1 5.99% <br> 5/25/51<br>| 34163 | 34148 |
| &nbsp;&nbsp; φVOLT XCV LLC Series <br> 2021-NPL4 Class A1 6.24% <br> 3/27/51<br>| 67956 | 67944 |
| &nbsp;&nbsp; φVOLT XCVII LLC Series <br> 2021-NPL6 Class A1 6.24% <br> 4/25/51<br>| 33418 | 33412 |
| &nbsp;&nbsp; Wendy's Funding LLC Series <br> 2021-1A Class A2I 2.37% <br> 6/15/51<br>| 1731754 | 1608265 |
| &nbsp;&nbsp; Westlake Automobile <br> Receivables Trust Series <br> 2023-3A Class C 6.02% <br> 9/15/28<br>| 1000000 | 1013468 |
| **Total Non-Agency Asset-Backed Securities** <br>**(Cost $312,372,716)** | **Total Non-Agency Asset-Backed Securities** <br>**(Cost $312,372,716)** | **319470335** |

---

*LVIP JPMorgan Core Bond Fund–37*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COLLATERALIZED MORTGAGE** <br> **OBLIGATIONS–2.28%** | **NON-AGENCY COLLATERALIZED MORTGAGE** <br> **OBLIGATIONS–2.28%** | **NON-AGENCY COLLATERALIZED MORTGAGE** <br> **OBLIGATIONS–2.28%** |
| &nbsp;&nbsp; •Agate Bay Mortgage Trust <br> Series 2015-1 Class B1 3.63% <br> 1/25/45<br>| 38301 | $37447 |
| Anchor Mortgage Trust | Anchor Mortgage Trust | Anchor Mortgage Trust |
| • 8.23% 3/25/31 | 4000000 | 4065579 |
| &nbsp;&nbsp;&nbsp; φSeries 2025-RTL1 Class A1 <br> 5.72% 5/25/40<br>| 3055000 | 3067789 |
| Angel Oak Mortgage Trust | Angel Oak Mortgage Trust | Angel Oak Mortgage Trust |
| &nbsp;&nbsp;&nbsp; •Series 2021-7 Class A3 2.34% <br> 10/25/66<br>| 534903 | 469087 |
| &nbsp;&nbsp;&nbsp; Series 2022-3 Class A1 4.00% <br> 1/25/67<br>| 1194412 | 1161066 |
| &nbsp;&nbsp; ~^Banc of America Alternative <br> Loan Trust Series 2004-6 <br> Class 15 0.00% 7/25/34<br>| 1357 | 753 |
| Banc of America Funding Trust | Banc of America Funding Trust | Banc of America Funding Trust |
| ~^Series 2004-1 0.00% 3/25/34 | 5168 | 3997 |
| &nbsp;&nbsp;&nbsp; Series 2005-6 Class 2A7 <br> 5.50% 10/25/35<br>| 38743 | 35486 |
| &nbsp;&nbsp;&nbsp; ~^Series 2005-7 Class 30 0.00% <br> 11/25/35<br>| 4408 | 3979 |
| •Bear Stearns ARM Trust | •Bear Stearns ARM Trust | •Bear Stearns ARM Trust |
| &nbsp;&nbsp;&nbsp; Series 2003-7 Class 3A 7.04% <br> 10/25/33<br>| 2813 | 2826 |
| &nbsp;&nbsp;&nbsp; Series 2006-1 Class A1 6.53% <br> (1 yr. CMT + 2.25%) <br> 2/25/36<br>| 20075 | 19516 |
| &nbsp;&nbsp; •BRAVO Residential Funding <br> Trust Series 2022-NQM3 <br> Class A1 5.11% 7/25/62<br>| 1959541 | 1988857 |
| &nbsp;&nbsp; Brean Asset-Backed <br> Securities Trust Series <br> 2025-RM12 Class A1 4.50% <br> 7/25/65<br>| 4615000 | 4464622 |
| CHL Mortgage Pass-Through Trust | CHL Mortgage Pass-Through Trust | CHL Mortgage Pass-Through Trust |
| &nbsp;&nbsp;&nbsp; ♦•Series 2004-7 Class 2A1 <br> 5.40% 6/25/34<br>| 9398 | 8511 |
| &nbsp;&nbsp;&nbsp; ♦•Series 2004-HYB1 Class 2A <br> 5.19% 5/20/34<br>| 4751 | 4360 |
| &nbsp;&nbsp;&nbsp; ♦•Series 2004-HYB3 Class 2A <br> 4.65% 6/20/34<br>| 5904 | 5560 |
| &nbsp;&nbsp;&nbsp; ♦Series 2005-16 Class A23 <br> 5.50% 9/25/35<br>| 21852 | 13267 |
| &nbsp;&nbsp;&nbsp; ♦•Series 2005-22 Class 2A1 <br> 5.15% 11/25/35<br>| 47975 | 40293 |
| &nbsp;&nbsp; •CIM Trust Series 2021-R6 <br> Class A1 1.43% 7/25/61<br>| 613127 | 565449 |
| Citigroup Global Markets Mortgage Securities VII, Inc. | Citigroup Global Markets Mortgage Securities VII, Inc. | Citigroup Global Markets Mortgage Securities VII, Inc. |
| &nbsp;&nbsp;&nbsp; •Series 2003-HYB1 Class A <br> 6.74% 9/25/33<br>| 1834 | 1811 |
| &nbsp;&nbsp;&nbsp; ~^Series 2003-UP2 Class 1 <br> 0.00% 12/25/18<br>| 43 | 42 |
| &nbsp;&nbsp; •Citigroup Mortgage Loan <br> Trust, Inc. Series 2005-1 <br> Class 2A1A 3.48% 2/25/35<br>| 27315 | 23385 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| Countrywide Alternative Loan Trust | Countrywide Alternative Loan Trust | Countrywide Alternative Loan Trust |
| &nbsp;&nbsp;&nbsp; Series 2004-2CB Class 1A9 <br> 5.75% 3/25/34<br>| 276168 | $280400 |
| &nbsp;&nbsp;&nbsp; \*•Series 2005-20CB Class 3A8 <br> 0.48% (4.64% minus 1 mo. <br> USD Term SOFR) 7/25/35<br>| 107261 | 5101 |
| &nbsp;&nbsp;&nbsp; \*•Series 2005-22T1 Class A2 <br> 0.80% (4.96% minus 1 mo. <br> USD Term SOFR) 6/25/35<br>| 242525 | 14423 |
| &nbsp;&nbsp;&nbsp; Series 2005-28CB Class 1A4 <br> 5.50% 8/25/35<br>| 137146 | 121187 |
| &nbsp;&nbsp;&nbsp; Series 2005-54CB Class 1A11 <br> 5.50% 11/25/35<br>| 49363 | 37584 |
| CSMC Trust | CSMC Trust | CSMC Trust |
| &nbsp;&nbsp;&nbsp; •Series 2018-J1 Class A2 <br> 3.50% 2/25/48<br>| 2406688 | 2169465 |
| &nbsp;&nbsp;&nbsp; φSeries 2019-NQM1 Class A3 <br> 4.06% 10/25/59<br>| 444440 | 440889 |
| &nbsp;&nbsp;&nbsp; •Series 2020-RPL4 Class A1 <br> 2.00% 1/25/60<br>| 687779 | 619136 |
| &nbsp;&nbsp;&nbsp; •Series 2021-AFC1 Class A1 <br> 0.83% 3/25/56<br>| 581922 | 490645 |
| &nbsp;&nbsp;&nbsp; •Series 2021-AFC1 Class A3 <br> 1.17% 3/25/56<br>| 791246 | 672772 |
| &nbsp;&nbsp;&nbsp; •Series 2021-NQM3 Class A3 <br> 1.63% 4/25/66<br>| 1407361 | 1249657 |
| &nbsp;&nbsp;&nbsp; •Series 2021-NQM7 Class A1 <br> 1.76% 10/25/66<br>| 441476 | 390795 |
| &nbsp;&nbsp;&nbsp; •Series 2021-NQM8 Class A1 <br> 1.84% 10/25/66<br>| 2384901 | 2194434 |
| &nbsp;&nbsp;&nbsp; Series 2021-RPL2 Class A1 <br> 2.00% 1/25/60<br>| 426946 | 375925 |
| &nbsp;&nbsp;&nbsp; •Series 2021-RPL6 Class A1 <br> 2.00% 10/25/60<br>| 838461 | 758964 |
| &nbsp;&nbsp;&nbsp; •Series 2022-NQM1 Class A1 <br> 2.27% 11/25/66<br>| 2461487 | 2260693 |
| &nbsp;&nbsp; •Deephaven Residential <br> Mortgage Trust Series <br> 2022-1 Class A1 2.21% <br> 1/25/67<br>| 1602922 | 1480942 |
| &nbsp;&nbsp; •Ellington Financial Mortgage <br> Trust Series 2021-2 Class A1 <br> 0.93% 6/25/66<br>| 649270 | 548116 |
| &nbsp;&nbsp; First Horizon Alternative <br> Mortgage Securities Trust <br> Series 2005-FA8 Class 1A19 <br> 5.50% 11/25/35<br>| 46846 | 20461 |
| &nbsp;&nbsp; •Galton Funding Mortgage <br> Trust Series 2017-1 <br> Class A22 3.00% 7/25/56<br>| 87419 | 77485 |
| &nbsp;&nbsp; φGCAT Trust Series <br> 2020-NQM1 Class A3 3.55% <br> 1/25/60<br>| 1226534 | 1198684 |
| &nbsp;&nbsp; •GMACM Mortgage Loan Trust <br> Series 2005-AR3 Class 3A4 <br> 4.39% 6/19/35<br>| 22446 | 21290 |

---

*LVIP JPMorgan Core Bond Fund–38*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| •GS Mortgage-Backed Securities Trust | •GS Mortgage-Backed Securities Trust | •GS Mortgage-Backed Securities Trust |
| &nbsp;&nbsp;&nbsp; Series 2021-PJ7 Class A2 <br> 2.50% 1/25/52<br>| 841717 | $697704 |
| &nbsp;&nbsp;&nbsp; Series 2021-PJ8 Class A2 <br> 2.50% 1/25/52<br>| 1144615 | 948778 |
| &nbsp;&nbsp;&nbsp; Series 2021-PJ9 Class A2 <br> 2.50% 2/26/52<br>| 1303559 | 1080528 |
| GSR Mortgage Loan Trust | GSR Mortgage Loan Trust | GSR Mortgage Loan Trust |
| &nbsp;&nbsp;&nbsp; Series 2004-13F Class 3A3 <br> 6.00% 11/25/34<br>| 6563 | 6413 |
| &nbsp;&nbsp;&nbsp; Series 2004-6F Class 1A2 <br> 5.00% 5/25/34<br>| 12266 | 11861 |
| &nbsp;&nbsp;&nbsp; Series 2004-6F Class 3A4 <br> 6.50% 5/25/34<br>| 34372 | 34988 |
| &nbsp;&nbsp; •Impac CMB Trust Series <br> 2007-A Class A 4.77% (1 mo. <br> USD Term SOFR + 0.61%) <br> 5/25/37<br>| 760757 | 727012 |
| &nbsp;&nbsp; •Impac Secured Assets Trust <br> Series 2006-1 Class 2A1 <br> 4.97% (1 mo. USD Term <br> SOFR + 0.81%) 5/25/36<br>| 3855 | 3724 |
| •JP Morgan Mortgage Trust | •JP Morgan Mortgage Trust | •JP Morgan Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2006-A2 Class 5A3 <br> 6.71% 11/25/33<br>| 3193 | 3136 |
| &nbsp;&nbsp;&nbsp; Series 2015-1 Class B2 5.66% <br> 12/25/44<br>| 71950 | 71877 |
| &nbsp;&nbsp;&nbsp; Series 2015-4 Class B1 3.51% <br> 6/25/45<br>| 97083 | 90510 |
| &nbsp;&nbsp;&nbsp; Series 2015-5 Class B2 5.93% <br> 5/25/45<br>| 10357 | 10243 |
| &nbsp;&nbsp;&nbsp; Series 2015-6 Class B3 3.51% <br> 10/25/45<br>| 94905 | 84753 |
| &nbsp;&nbsp;&nbsp; Series 2017-1 Class B3 3.45% <br> 1/25/47<br>| 301245 | 273719 |
| &nbsp;&nbsp;&nbsp; Series 2017-5 Class A2 4.97% <br> 10/26/48<br>| 2432526 | 2453401 |
| &nbsp;&nbsp;&nbsp; Series 2018-4 Class A1 3.50% <br> 10/25/48<br>| 285250 | 256137 |
| &nbsp;&nbsp;&nbsp; Series 2020-2 Class A3 3.50% <br> 7/25/50<br>| 33843 | 30269 |
| &nbsp;&nbsp;&nbsp; Series 2020-7 Class A3 3.00% <br> 1/25/51<br>| 150281 | 129893 |
| &nbsp;&nbsp;&nbsp; Series 2021-1 Class A3 2.50% <br> 6/25/51<br>| 262691 | 217746 |
| &nbsp;&nbsp;&nbsp; Series 2021-10 Class A3 <br> 2.50% 12/25/51<br>| 556237 | 461069 |
| &nbsp;&nbsp;&nbsp; Series 2021-11 Class A3 <br> 2.50% 1/25/52<br>| 938139 | 777630 |
| &nbsp;&nbsp;&nbsp; Series 2021-12 Class A3 <br> 2.50% 2/25/52<br>| 1213665 | 1006015 |
| &nbsp;&nbsp;&nbsp; Series 2021-13 Class A3 <br> 2.50% 4/25/52<br>| 1214479 | 1006689 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| &nbsp;&nbsp; •MASTR Adjustable Rate <br> Mortgages Trust Series <br> 2004-13 Class 2A1 6.59% <br> 4/21/34<br>| 4286 | $4229 |
| MASTR Alternative Loan Trust | MASTR Alternative Loan Trust | MASTR Alternative Loan Trust |
| &nbsp;&nbsp;&nbsp; Series 2003-9 Class 8A1 <br> 6.00% 1/25/34<br>| 17506 | 16827 |
| &nbsp;&nbsp;&nbsp; Series 2004-4 Class 10A1 <br> 5.00% 5/25/24<br>| 6421 | 5515 |
| &nbsp;&nbsp;&nbsp; Series 2004-6 Class 7A1 <br> 6.00% 7/25/34<br>| 39678 | 39727 |
| &nbsp;&nbsp;&nbsp; ~^Series 2004-7 Class 30 0.00% <br> 8/25/34<br>| 2920 | 2203 |
| &nbsp;&nbsp;&nbsp; Series 2004-8 Class 6A1 <br> 5.50% 12/31/49<br>| 43 | 43 |
| MASTR Asset Securitization Trust | MASTR Asset Securitization Trust | MASTR Asset Securitization Trust |
| &nbsp;&nbsp;&nbsp; Series 2003-11 Class 9A6 <br> 5.25% 12/25/33<br>| 30673 | 30333 |
| &nbsp;&nbsp;&nbsp; ~^Series 2003-12 Class 15 <br> 0.00% 12/25/18<br>| 76 | 0 |
| &nbsp;&nbsp;&nbsp; ~^Series 2004-6 Class 15 0.00% <br> 7/25/19<br>| 82 | 81 |
| &nbsp;&nbsp; ~^MASTR Resecuritization <br> Trust Series 2005-PO Class 3 <br> 0.00% 5/28/35<br>| 4272 | 3343 |
| &nbsp;&nbsp; •MFA Trust Series 2020-NQM1 <br> Class A3 3.30% 8/25/49<br>| 283620 | 273951 |
| •Morgan Stanley Residential Mortgage Loan Trust | •Morgan Stanley Residential Mortgage Loan Trust | •Morgan Stanley Residential Mortgage Loan Trust |
| &nbsp;&nbsp;&nbsp; Series 2020-1 Class A2A <br> 2.50% 12/25/50<br>| 366913 | 300685 |
| &nbsp;&nbsp;&nbsp; Series 2021-1 Class A2 2.50% <br> 3/25/51<br>| 255409 | 211710 |
| &nbsp;&nbsp;&nbsp; Series 2021-4 Class A3 2.50% <br> 7/25/51<br>| 262677 | 217735 |
| &nbsp;&nbsp;&nbsp; Series 2021-5 Class A3 2.50% <br> 8/25/51<br>| 842132 | 698049 |
| &nbsp;&nbsp; •NACC Reperforming Loan <br> REMICS Trust Series <br> 2004-R2 Class A1 6.50% <br> 10/25/34<br>| 11958 | 10354 |
| •New Residential Mortgage Loan Trust | •New Residential Mortgage Loan Trust | •New Residential Mortgage Loan Trust |
| &nbsp;&nbsp;&nbsp; Series 2014-2A Class A3 <br> 3.75% 5/25/54<br>| 425246 | 407683 |
| &nbsp;&nbsp;&nbsp; Series 2015-1A Class A3 <br> 3.75% 5/28/52<br>| 233968 | 224970 |
| &nbsp;&nbsp;&nbsp; Series 2015-2A Class A1 <br> 3.75% 8/25/55<br>| 1431526 | 1394391 |
| &nbsp;&nbsp;&nbsp; Series 2015-2A Class A2 <br> 3.75% 8/25/55<br>| 815029 | 788966 |
| &nbsp;&nbsp;&nbsp; Series 2016-3A Class A1B <br> 3.25% 9/25/56<br>| 458529 | 430975 |
| &nbsp;&nbsp;&nbsp; Series 2016-3A Class B1 <br> 4.00% 9/25/56<br>| 1795047 | 1760658 |
| &nbsp;&nbsp;&nbsp; Series 2016-4A Class B2 <br> 4.67% 11/25/56<br>| 1041053 | 1021115 |

---

*LVIP JPMorgan Core Bond Fund–39*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| •New Residential Mortgage Loan Trust (continued) | •New Residential Mortgage Loan Trust (continued) | •New Residential Mortgage Loan Trust (continued) |
| &nbsp;&nbsp;&nbsp; Series 2017-1A Class A1 <br> 4.00% 2/25/57<br>| 1131465 | $1103764 |
| &nbsp;&nbsp;&nbsp; Series 2017-2A Class B2 <br> 4.75% 3/25/57<br>| 977981 | 973853 |
| &nbsp;&nbsp;&nbsp; Series 2017-4A Class A1 <br> 4.00% 5/25/57<br>| 1096365 | 1064012 |
| &nbsp;&nbsp;&nbsp; Series 2017-6A Class A1 <br> 4.00% 8/27/57<br>| 2340968 | 2275536 |
| &nbsp;&nbsp;&nbsp; Series 2022-NQM2 Class A1 <br> 3.08% 3/27/62<br>| 2463894 | 2348698 |
| •OBX Trust | •OBX Trust | •OBX Trust |
| &nbsp;&nbsp;&nbsp; Series 2021-NQM2 Class A1 <br> 1.10% 5/25/61<br>| 456553 | 379073 |
| &nbsp;&nbsp;&nbsp; Series 2021-NQM3 Class A1 <br> 1.05% 7/25/61<br>| 678724 | 551624 |
| &nbsp;&nbsp;&nbsp; Series 2021-NQM4 Class A1 <br> 1.96% 10/25/61<br>| 1500998 | 1288775 |
| &nbsp;&nbsp;&nbsp; Series 2022-NQM1 Class A1 <br> 2.31% 11/25/61<br>| 2338805 | 2115381 |
| &nbsp;&nbsp; \*PHH Alternative Mortgage <br> Trust Series 2007-2 Class 2X <br> 6.00% 5/25/37<br>| 51770 | 9618 |
| &nbsp;&nbsp; •PRKCM Trust Series <br> 2021-AFC2 Class A1 2.07% <br> 11/25/56<br>| 647995 | 578349 |
| &nbsp;&nbsp; φPRPM LLC Series 2024-RCF3 <br> Class A1 4.00% 5/25/54<br>| 2914717 | 2875587 |
| •RCKT Mortgage Trust | •RCKT Mortgage Trust | •RCKT Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2021-1 Class A1 2.50% <br> 3/25/51<br>| 266103 | 220575 |
| &nbsp;&nbsp;&nbsp; Series 2021-4 Class A1 2.50% <br> 9/25/51<br>| 1256872 | 1041829 |
| &nbsp;&nbsp;&nbsp; Series 2021-6 Class A1 2.50% <br> 12/25/51<br>| 560573 | 464662 |
| &nbsp;&nbsp; φRoc Mortgage Trust Series <br> 2025-RTL1 Class A1 5.63% <br> 2/25/40<br>| 3000000 | 3023068 |
| &nbsp;&nbsp; SACO I, Inc. Series 1997-2 <br> Class 1A5 7.00% 8/25/36<br>| 741 | 699 |
| &nbsp;&nbsp; •Sequoia Mortgage Trust <br> Series 2020-4 Class A2 2.50% <br> 11/25/50<br>| 217713 | 179164 |
| &nbsp;&nbsp; •SG Residential Mortgage <br> Trust Series 2022-1 Class A1 <br> 3.17% 3/27/62<br>| 2386079 | 2262129 |
| &nbsp;&nbsp; φToorak Mortgage Trust Series <br> 2025-RRTL1 Class A1 5.52% <br> 2/25/40<br>| 4205000 | 4231810 |
| Towd Point Mortgage Trust | Towd Point Mortgage Trust | Towd Point Mortgage Trust |
| &nbsp;&nbsp;&nbsp; •Series 2016-3 Class B1 4.08% <br> 4/25/56<br>| 850000 | 838658 |
| &nbsp;&nbsp;&nbsp; •Series 2017-6 Class M1 <br> 3.25% 10/25/57<br>| 1610000 | 1506515 |
| &nbsp;&nbsp;&nbsp; •Series 2018-1 Class A1 3.00% <br> 1/25/58<br>| 17068 | 16913 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** | **NON-AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS** <br> **(continued)** |
| Towd Point Mortgage Trust (continued) | Towd Point Mortgage Trust (continued) | Towd Point Mortgage Trust (continued) |
| &nbsp;&nbsp;&nbsp; •Series 2019-HY2 Class M2 <br> 6.17% (1 mo. USD Term <br> SOFR + 2.01%) 5/25/58<br>| 950000 | $960406 |
| &nbsp;&nbsp;&nbsp; •Series 2021-R1 Class A1 <br> 2.92% 11/30/60<br>| 1244127 | 1129317 |
| &nbsp;&nbsp;&nbsp; Series 2022-4 Class A1 3.75% <br> 9/25/62<br>| 2040958 | 1956192 |
| Vendee Mortgage Trust | Vendee Mortgage Trust | Vendee Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 1996-1 Class 1Z 6.75% <br> 2/15/26<br>| 6181 | 6174 |
| &nbsp;&nbsp;&nbsp; Series 1996-2 Class 1Z 6.75% <br> 6/15/26<br>| 1703 | 1715 |
| &nbsp;&nbsp;&nbsp; Series 1997-1 Class 2Z 7.50% <br> 2/15/27<br>| 9515 | 9638 |
| &nbsp;&nbsp;&nbsp; Series 1998-1 Class 2E 7.00% <br> 3/15/28<br>| 4623 | 4702 |
| ♦•WaMu Mortgage Pass-Through Certificates Trust | ♦•WaMu Mortgage Pass-Through Certificates Trust | ♦•WaMu Mortgage Pass-Through Certificates Trust |
| &nbsp;&nbsp;&nbsp; Series 2003-AR8 Class A <br> 5.47% 8/25/33<br>| 1881 | 1803 |
| &nbsp;&nbsp;&nbsp; Series 2003-AR9 Class 1A6 <br> 5.68% 9/25/33<br>| 9522 | 9117 |
| &nbsp;&nbsp;&nbsp; Series 2004-AR3 Class A2 <br> 5.37% 6/25/34<br>| 2988 | 2753 |
| &nbsp;&nbsp;&nbsp; Series 2005-AR13 <br> Class A1A1 4.85% (1 mo. <br> USD Term SOFR + 0.69%) <br> 10/25/45<br>| 541146 | 516950 |
| &nbsp;&nbsp; Washington Mutual Mortgage Pass-Through Certificates WMALT <br> Trust | &nbsp;&nbsp; Washington Mutual Mortgage Pass-Through Certificates WMALT <br> Trust | &nbsp;&nbsp; Washington Mutual Mortgage Pass-Through Certificates WMALT <br> Trust |
| &nbsp;&nbsp;&nbsp; \*♦•Series 2005-2 Class 1A4 <br> 0.78% (4.94% minus 1 mo. <br> USD Term SOFR) 4/25/35<br>| 231614 | 11975 |
| &nbsp;&nbsp;&nbsp; \*♦•Series 2005-2 Class 2A3 <br> 0.73% (4.89% minus 1 mo. <br> USD Term SOFR) 4/25/35<br>| 65445 | 2788 |
| &nbsp;&nbsp;&nbsp; \*♦Series 2005-3 Class CX 5.50% <br> 5/25/35<br>| 70010 | 12109 |
| &nbsp;&nbsp;&nbsp; ♦Series 2005-4 Class CB7 <br> 5.50% 6/25/35<br>| 53787 | 50069 |
| &nbsp;&nbsp;&nbsp; ♦Series 2005-6 Class 2A4 <br> 5.50% 8/25/35<br>| 14289 | 12307 |
| &nbsp;&nbsp; •Wells Fargo Mortgage-Backed <br> Securities Trust Series <br> 2020-1 Class A1 3.00% <br> 12/25/49<br>| 51852 | 44534 |
| **Total Non-Agency Collateralized Mortgage** <br> **Obligations** <br>**(Cost $80,113,017)** | **Total Non-Agency Collateralized Mortgage** <br> **Obligations** <br>**(Cost $80,113,017)** | **83723209** |
| **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES–2.74%** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES–2.74%** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES–2.74%** |
| &nbsp;&nbsp; •AREIT Trust Series <br> 2022-CRE6 Class A 5.64% <br> (30 day USD SOFR Average <br> + 1.25%) 1/20/37<br>| 973694 | 973701 |

---

*LVIP JPMorgan Core Bond Fund–40*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** |
| &nbsp;&nbsp; •BAHA Trust Series 2024-MAR <br> Class A 6.17% 12/10/41<br>| 5541000 | $5723049 |
| &nbsp;&nbsp; •BAMLL Re-REMICS Trust <br> Series 2024-FRR3 Class B <br> 1.45% 1/27/50<br>| 6000000 | 5681166 |
| Bank | Bank | Bank |
| &nbsp;&nbsp;&nbsp; •Series 2017-BNK5 Class B <br> 3.90% 6/15/60<br>| 354000 | 341478 |
| &nbsp;&nbsp;&nbsp; Series 2017-BNK7 Class A5 <br> 3.44% 9/15/60<br>| 1509000 | 1484114 |
| &nbsp;&nbsp;&nbsp; •Series 2018-BN14 Class C <br> 4.77% 9/15/60<br>| 1640000 | 1403148 |
| &nbsp;&nbsp;&nbsp; Series 2019-BN20 Class A3 <br> 3.01% 9/15/62<br>| 534000 | 500212 |
| &nbsp;&nbsp;&nbsp; Series 2019-BN21 Class A5 <br> 2.85% 10/17/52<br>| 1088000 | 1021166 |
| &nbsp;&nbsp;&nbsp; Series 2020-BN25 Class A5 <br> 2.65% 1/15/63<br>| 3467000 | 3196278 |
| &nbsp;&nbsp;&nbsp; •Series 2022-BNK40 Class B <br> 3.50% 3/15/64<br>| 767000 | 673920 |
| &nbsp;&nbsp; BBCMS Mortgage Trust Series <br> 2020-C7 Class A5 2.04% <br> 4/15/53<br>| 1610000 | 1431958 |
| Benchmark Mortgage Trust | Benchmark Mortgage Trust | Benchmark Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2020-B17 Class A5 <br> 2.29% 3/15/53<br>| 2037000 | 1825655 |
| &nbsp;&nbsp;&nbsp; Series 2020-B19 Class A5 <br> 1.85% 9/15/53<br>| 2610000 | 2293358 |
| &nbsp;&nbsp;&nbsp; Series 2020-B20 Class A5 <br> 2.03% 10/15/53<br>| 1915000 | 1683580 |
| &nbsp;&nbsp;&nbsp; Series 2020-B22 Class A5 <br> 1.97% 1/15/54<br>| 2110000 | 1838346 |
| &nbsp;&nbsp;&nbsp; Series 2021-B24 Class A5 <br> 2.58% 3/15/54<br>| 575000 | 512776 |
| &nbsp;&nbsp;&nbsp; Series 2021-B25 Class A5 <br> 2.58% 4/15/54<br>| 1225000 | 1094740 |
| &nbsp;&nbsp;&nbsp; •Series 2022-B32 Class B <br> 3.20% 1/15/55<br>| 780000 | 651591 |
| &nbsp;&nbsp;&nbsp; •Series 2022-B32 Class C <br> 3.57% 1/15/55<br>| 953000 | 747014 |
| &nbsp;&nbsp;&nbsp; •Series 2022-B33 Class B <br> 3.73% 3/15/55<br>| 386000 | 336583 |
| &nbsp;&nbsp;&nbsp; •Series 2022-B33 Class C <br> 3.73% 3/15/55<br>| 386000 | 306060 |
| &nbsp;&nbsp;&nbsp; •Series 2022-B34 Class A5 <br> 3.79% 4/15/55<br>| 410000 | 381772 |
| &nbsp;&nbsp;&nbsp; •Series 2022-B35 Class A5 <br> 4.59% 5/15/55<br>| 1321000 | 1291575 |
| &nbsp;&nbsp;&nbsp; •Series 2022-B36 Class A5 <br> 4.47% 7/15/55<br>| 691000 | 677719 |
| &nbsp;&nbsp; •BMO Mortgage Trust Series <br> 2022-C1 Class A5 3.37% <br> 2/15/55<br>| 308000 | 285089 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** |
| •BX Commercial Mortgage Trust | •BX Commercial Mortgage Trust | •BX Commercial Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2021-SOAR Class A <br> 4.94% (1 mo. USD Term <br> SOFR + 0.78%) 6/15/38<br>| 1130992 | $1130285 |
| &nbsp;&nbsp;&nbsp; Series 2021-XL2 Class A <br> 4.95% (1 mo. USD Term <br> SOFR + 0.80%) 10/15/38<br>| 1226263 | 1225496 |
| BX Trust | BX Trust | BX Trust |
| &nbsp;&nbsp;&nbsp; Series 2019-OC11 Class A <br> 3.20% 12/9/41<br>| 870000 | 821369 |
| &nbsp;&nbsp;&nbsp; •Series 2022-LBA6 Class A <br> 5.15% (1 mo. USD Term <br> SOFR + 1.00%) 1/15/39<br>| 1680000 | 1678950 |
| Cantor Commercial Real Estate Lending | Cantor Commercial Real Estate Lending | Cantor Commercial Real Estate Lending |
| &nbsp;&nbsp;&nbsp; Series 2019-CF1 Class A5 <br> 3.79% 5/15/52<br>| 1411000 | 1377476 |
| &nbsp;&nbsp;&nbsp; Series 2019-CF2 Class A5 <br> 2.87% 11/15/52<br>| 516000 | 484096 |
| &nbsp;&nbsp;&nbsp; Series 2019-CF3 Class A4 <br> 3.01% 1/15/53<br>| 1140000 | 1066696 |
| CD Mortgage Trust | CD Mortgage Trust | CD Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2016-CD1 Class A4 <br> 2.72% 8/10/49<br>| 1950000 | 1907137 |
| &nbsp;&nbsp;&nbsp; Series 2016-CD2 Class A3 <br> 3.25% 11/10/49<br>| 835614 | 827309 |
| &nbsp;&nbsp;&nbsp; Series 2019-CD8 Class A4 <br> 2.91% 8/15/57<br>| 1393000 | 1288166 |
| &nbsp;&nbsp; CFCRE Commercial Mortgage <br> Trust Series 2016-C7 <br> Class A3 3.84% 12/10/54<br>| 615000 | 608253 |
| Citigroup Commercial Mortgage Trust | Citigroup Commercial Mortgage Trust | Citigroup Commercial Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2016-P3 Class A4 <br> 3.33% 4/15/49<br>| 1264000 | 1252625 |
| &nbsp;&nbsp;&nbsp; Series 2016-P6 Class A4 <br> 3.46% 12/10/49<br>| 266043 | 263962 |
| &nbsp;&nbsp;&nbsp; Series 2017-C4 Class A4 <br> 3.47% 10/12/50<br>| 1642000 | 1613894 |
| &nbsp;&nbsp;&nbsp; Series 2019-C7 Class A4 <br> 3.10% 12/15/72<br>| 1032000 | 976312 |
| &nbsp;&nbsp;&nbsp; Series 2020-555 Class A <br> 2.65% 12/10/41<br>| 581000 | 525007 |
| &nbsp;&nbsp; COMM Mortgage Trust Series <br> 2016-CR28 Class A4 3.76% <br> 2/10/49<br>| 628665 | 627566 |
| CSMC Trust | CSMC Trust | CSMC Trust |
| &nbsp;&nbsp;&nbsp; Series 2014-USA Class A2 <br> 3.95% 9/15/37<br>| 885000 | 813077 |
| &nbsp;&nbsp;&nbsp; Series 2014-USA Class B <br> 4.18% 9/15/37<br>| 5620000 | 4996222 |
| &nbsp;&nbsp;&nbsp; Series 2014-USA Class D <br> 4.37% 9/15/37<br>| 100000 | 81926 |
| DB-JPM Mortgage Trust | DB-JPM Mortgage Trust | DB-JPM Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2016-C1 Class A4 <br> 3.28% 5/10/49<br>| 1097000 | 1088483 |
| &nbsp;&nbsp;&nbsp; Series 2020-C9 Class A5 <br> 1.93% 8/15/53<br>| 975000 | 865909 |

---

*LVIP JPMorgan Core Bond Fund–41*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** |
| DB-JPM Mortgage Trust (continued) | DB-JPM Mortgage Trust (continued) | DB-JPM Mortgage Trust (continued) |
| &nbsp;&nbsp;&nbsp; Series 2020-C9 Class B 2.57% <br> 8/15/53<br>| 282000 | $239736 |
| &nbsp;&nbsp; •FREMF Mortgage Trust Series <br> 2018-K73 Class C 3.98% <br> 2/25/51<br>| 2000000 | 1960024 |
| &nbsp;&nbsp; Grace Trust Series <br> 2020-GRCE Class A 2.35% <br> 12/10/40<br>| 807000 | 716184 |
| •GS Mortgage Securities Corp. Trust | •GS Mortgage Securities Corp. Trust | •GS Mortgage Securities Corp. Trust |
| &nbsp;&nbsp;&nbsp; Series 2013-PEMB Class A <br> 3.67% 3/5/33<br>| 3810000 | 3275929 |
| &nbsp;&nbsp;&nbsp; Series 2021-ROSS Class A <br> 5.57% (1 mo. USD Term <br> SOFR + 1.41%) 5/15/26<br>| 2970000 | 2810345 |
| GS Mortgage Securities Trust | GS Mortgage Securities Trust | GS Mortgage Securities Trust |
| &nbsp;&nbsp;&nbsp; Series 2017-GS6 Class A3 <br> 3.43% 5/10/50<br>| 1291000 | 1270962 |
| &nbsp;&nbsp;&nbsp; Series 2019-GC42 Class A4 <br> 3.00% 9/10/52<br>| 1733000 | 1625511 |
| &nbsp;&nbsp;&nbsp; Series 2020-GC47 Class A5 <br> 2.38% 5/12/53<br>| 1235000 | 1127822 |
| JP Morgan Chase Commercial Mortgage Securities Trust | JP Morgan Chase Commercial Mortgage Securities Trust | JP Morgan Chase Commercial Mortgage Securities Trust |
| &nbsp;&nbsp;&nbsp; Series 2013-LC11 Class B <br> 3.50% 4/15/46<br>| 128337 | 117652 |
| &nbsp;&nbsp;&nbsp; Series 2015-JP1 Class A5 <br> 3.91% 1/15/49<br>| 1563474 | 1554261 |
| &nbsp;&nbsp;&nbsp; Series 2016-JP2 Class A4 <br> 2.82% 8/15/49<br>| 923000 | 905885 |
| &nbsp;&nbsp;&nbsp; •Series 2020-MKST Class D <br> 6.26% (1 mo. USD Term <br> SOFR + 2.11%) 12/15/36<br>| 5130000 | 384750 |
| &nbsp;&nbsp; JPM-BB Commercial <br> Mortgage Securities Trust <br> Series 2015-C33 Class A4 <br> 3.77% 12/15/48<br>| 1539274 | 1535403 |
| JPM-DB Commercial Mortgage Securities Trust | JPM-DB Commercial Mortgage Securities Trust | JPM-DB Commercial Mortgage Securities Trust |
| &nbsp;&nbsp;&nbsp; Series 2016-C2 Class A4 <br> 3.14% 6/15/49<br>| 2321000 | 2251593 |
| &nbsp;&nbsp;&nbsp; Series 2016-C4 Class A3 <br> 3.14% 12/15/49<br>| 620000 | 608332 |
| &nbsp;&nbsp;&nbsp; Series 2017-C7 Class A5 <br> 3.41% 10/15/50<br>| 366000 | 357442 |
| Morgan Stanley Bank of America Merrill Lynch Trust | Morgan Stanley Bank of America Merrill Lynch Trust | Morgan Stanley Bank of America Merrill Lynch Trust |
| &nbsp;&nbsp;&nbsp; •Series 2013-C7 Class C 4.16% <br> 2/15/46<br>| 291527 | 281941 |
| &nbsp;&nbsp;&nbsp; Series 2015-C26 Class A5 <br> 3.53% 10/15/48<br>| 313746 | 312062 |
| &nbsp;&nbsp;&nbsp; Series 2016-C29 Class A4 <br> 3.33% 5/15/49<br>| 540000 | 535942 |
| &nbsp;&nbsp; Morgan Stanley Capital I <br> Trust Series 2019-L3 <br> Class A4 3.13% 11/15/52<br>| 555000 | 523477 |
| MRCD Mortgage Trust | MRCD Mortgage Trust | MRCD Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2019-PARK Class A <br> 2.72% 12/15/36<br>| 740000 | 655673 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** | **NON-AGENCY COMMERCIAL MORTGAGE-BACKED** <br> **SECURITIES (continued)** |
| MRCD Mortgage Trust (continued) | MRCD Mortgage Trust (continued) | MRCD Mortgage Trust (continued) |
| &nbsp;&nbsp;&nbsp; Series 2019-PARK Class D <br> 2.72% 12/15/36<br>| 987000 | $721139 |
| &nbsp;&nbsp; •MTN Commercial Mortgage <br> Trust Series 2022-LPFL <br> Class A 5.56% (1 mo. USD <br> Term SOFR + 1.40%) <br> 3/15/39<br>| 1030000 | 1029999 |
| Natixis Commercial Mortgage Securities Trust | Natixis Commercial Mortgage Securities Trust | Natixis Commercial Mortgage Securities Trust |
| &nbsp;&nbsp;&nbsp; Series 2019-FAME Class A <br> 3.05% 8/15/36<br>| 5440000 | 5068024 |
| &nbsp;&nbsp;&nbsp; \*•Series 2019-FAME Class XA <br> 1.50% 8/15/36<br>| 32225000 | 680231 |
| &nbsp;&nbsp; ROCK Trust Series <br> 2024-CNTR Class A 5.39% <br> 11/13/41<br>| 1500000 | 1538523 |
| &nbsp;&nbsp; SBALR Commercial Mortgage <br> Trust Series 2020-RR1 <br> Class A3 2.83% 2/13/53<br>| 811637 | 718295 |
| &nbsp;&nbsp; SLG Office Trust Series <br> 2021-OVA Class A 2.59% <br> 7/15/41<br>| 2020000 | 1793016 |
| &nbsp;&nbsp; •SMRT Commercial Mortgage <br> Trust Series 2022-MINI <br> Class A 5.15% (1 mo. USD <br> Term SOFR + 1.00%) <br> 1/15/39<br>| 1740000 | 1737824 |
| &nbsp;&nbsp; VLS Commercial Mortgage <br> Trust Series 2020-LAB <br> Class A 2.13% 10/10/42<br>| 1530000 | 1305845 |
| Wells Fargo Commercial Mortgage Trust | Wells Fargo Commercial Mortgage Trust | Wells Fargo Commercial Mortgage Trust |
| &nbsp;&nbsp;&nbsp; Series 2016-BNK1 Class A3 <br> 2.65% 8/15/49<br>| 684000 | 673207 |
| &nbsp;&nbsp;&nbsp; \*•Series 2016-BNK1 Class XA <br> 1.83% 8/15/49<br>| 11558216 | 61483 |
| &nbsp;&nbsp;&nbsp; \*•Series 2016-C36 Class XA <br> 1.29% 11/15/59<br>| 24158469 | 159001 |
| &nbsp;&nbsp;&nbsp; Series 2020-C58 Class A4 <br> 2.09% 7/15/53<br>| 284000 | 252582 |
| **Total Non-Agency Commercial Mortgage-Backed** <br> **Securities** <br>**(Cost $99,941,930)** | **Total Non-Agency Commercial Mortgage-Backed** <br> **Securities** <br>**(Cost $99,941,930)** | **100666359** |
| **ΔREGIONAL BONDS–0.07%** | **ΔREGIONAL BONDS–0.07%** | **ΔREGIONAL BONDS–0.07%** |
| **Canada—0.07%** | **Canada—0.07%** | **Canada—0.07%** |
| &nbsp;&nbsp; Province of British Columbia <br> Canada 2.25% 6/2/26<br>| 1100000 | 1087476 |
| &nbsp;&nbsp; Province of Manitoba Canada <br> 2.13% 6/22/26<br>| 660000 | 651219 |
| &nbsp;&nbsp; Province of Quebec Canada <br> 2.50% 4/20/26<br>| 730000 | 724142 |
|  |  | **2462837** |
| **Total Regional Bonds** <br>**(Cost $2,444,276)** | **Total Regional Bonds** <br>**(Cost $2,444,276)** | **2462837** |

---

*LVIP JPMorgan Core Bond Fund–42*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **ΔSOVEREIGN BONDS–0.71%** | **ΔSOVEREIGN BONDS–0.71%** | **ΔSOVEREIGN BONDS–0.71%** |
| **India—0.03%** | **India—0.03%** | **India—0.03%** |
| &nbsp;&nbsp; Export-Import Bank of India <br> 3.38% 8/5/26<br>| 990000 | $981582 |
|  |  | **981582** |
| **Luxembourg—0.16%** | **Luxembourg—0.16%** | **Luxembourg—0.16%** |
| &nbsp;&nbsp; Eagle Funding Luxco SARL <br> 5.50% 8/17/30<br>| 5604000 | 5685594 |
|  |  | **5685594** |
| **Mexico—0.50%** | **Mexico—0.50%** | **Mexico—0.50%** |
| Mexico Government International Bonds | Mexico Government International Bonds | Mexico Government International Bonds |
| &nbsp;&nbsp; 2.66% 5/24/31 | 283000 | 251417 |
| &nbsp;&nbsp; 3.50% 2/12/34 | 5067000 | 4400690 |
| &nbsp;&nbsp; 4.40% 2/12/52 | 685000 | 510702 |
| &nbsp;&nbsp; 5.38% 3/22/33 | 7013000 | 6991961 |
| &nbsp;&nbsp; 5.85% 7/2/32 | 2127000 | 2195915 |
| &nbsp;&nbsp; 6.00% 5/13/30 | 993000 | 1042451 |
| &nbsp;&nbsp; 6.63% 1/29/38 | 1338000 | 1406251 |
| &nbsp;&nbsp; 6.88% 5/13/37 | 1476000 | 1591866 |
|  |  | **18391253** |
| **Poland—0.02%** | **Poland—0.02%** | **Poland—0.02%** |
| &nbsp;&nbsp; Republic of Poland <br> Government International <br> Bonds 5.50% 3/18/54<br>| 921000 | 890436 |
|  |  | **890436** |
| **Total Sovereign Bonds** <br>**(Cost $25,333,550)** | **Total Sovereign Bonds** <br>**(Cost $25,333,550)** | **25948865** |
| **SUPRANATIONAL BANK–0.01%** | **SUPRANATIONAL BANK–0.01%** | **SUPRANATIONAL BANK–0.01%** |
| &nbsp;&nbsp; Africa Finance Corp. 5.55% <br> 10/8/29<br>| 512000 | 522767 |
| **Total Supranational Bank** <br>**(Cost $516,692)** | **Total Supranational Bank** <br>**(Cost $516,692)** | **522767** |
| **U.S. TREASURY OBLIGATIONS–31.24%** | **U.S. TREASURY OBLIGATIONS–31.24%** | **U.S. TREASURY OBLIGATIONS–31.24%** |
| U.S. Treasury Bonds | U.S. Treasury Bonds | U.S. Treasury Bonds |
| &nbsp;&nbsp; 1.13% 5/15/40 | 1220000 | 776940 |
| &nbsp;&nbsp; 1.63% 11/15/50 | 13530000 | 7259691 |
| &nbsp;&nbsp; 1.88% 2/15/51 | 26123900 | 14922257 |
| &nbsp;&nbsp; 2.00% 8/15/51 | 3085000 | 1807376 |
| &nbsp;&nbsp; 2.25% 5/15/41 | 4785000 | 3545199 |
| &nbsp;&nbsp; 2.25% 8/15/46 | 14518700 | 9686695 |
| &nbsp;&nbsp; 2.25% 8/15/49 | 1095000 | 698918 |
| &nbsp;&nbsp; 2.38% 2/15/42 | 2510000 | 1859949 |
| &nbsp;&nbsp; 2.38% 11/15/49 | 1365000 | 893115 |
| &nbsp;&nbsp; 2.38% 5/15/51 | 16350000 | 10518926 |
| &nbsp;&nbsp; 2.50% 2/15/45 | 2000000 | 1432578 |
| &nbsp;&nbsp; 2.75% 8/15/42 | 1800000 | 1400836 |
| &nbsp;&nbsp; 2.75% 11/15/42 | 8450000 | 6544459 |
| &nbsp;&nbsp; 2.88% 5/15/43 | 7470000 | 5852278 |
| &nbsp;&nbsp; 2.88% 5/15/49 | 1420000 | 1035934 |
| &nbsp;&nbsp; 2.88% 5/15/52 | 3635000 | 2593913 |
| &nbsp;&nbsp; 3.00% 11/15/44 | 663000 | 518720 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **U.S. TREASURY OBLIGATIONS (continued)** | **U.S. TREASURY OBLIGATIONS (continued)** | **U.S. TREASURY OBLIGATIONS (continued)** |
| U.S. Treasury Bonds (continued) | U.S. Treasury Bonds (continued) | U.S. Treasury Bonds (continued) |
| &nbsp;&nbsp; 3.00% 11/15/45 | 1430000 | $1107300 |
| &nbsp;&nbsp; 3.00% 2/15/47 | 28000 | 21381 |
| &nbsp;&nbsp; 3.00% 2/15/48 | 2310000 | 1744411 |
| &nbsp;&nbsp; 3.00% 8/15/48 | 530000 | 398494 |
| &nbsp;&nbsp; 3.13% 11/15/41 | 950000 | 791320 |
| &nbsp;&nbsp; 3.13% 2/15/43 | 720000 | 587672 |
| &nbsp;&nbsp; 3.13% 5/15/48 | 176200 | 135867 |
| &nbsp;&nbsp; 3.25% 5/15/42 | 110000 | 92409 |
| &nbsp;&nbsp; 3.38% 5/15/44 | 1000000 | 834531 |
| &nbsp;&nbsp; 3.50% 2/15/39 | 1037800 | 949425 |
| &nbsp;&nbsp; 3.63% 8/15/43 | 730000 | 636925 |
| &nbsp;&nbsp; 3.63% 2/15/44 | 645000 | 559865 |
| &nbsp;&nbsp; 3.63% 5/15/53 | 15170000 | 12529472 |
| &nbsp;&nbsp; 3.75% 11/15/43 | 514000 | 455111 |
| &nbsp;&nbsp; 3.88% 8/15/40 | 11875000 | 11069263 |
| &nbsp;&nbsp; 3.88% 2/15/43 | 500000 | 453809 |
| &nbsp;&nbsp; 3.88% 5/15/43 | 35110000 | 31803351 |
| &nbsp;&nbsp; 4.00% 11/15/42 | 3000000 | 2773594 |
| &nbsp;&nbsp; 4.00% 11/15/52 | 1860000 | 1646027 |
| &nbsp;&nbsp; 4.13% 8/15/44 | 18765000 | 17417732 |
| &nbsp;&nbsp; 4.25% 5/15/39 | 945000 | 930382 |
| &nbsp;&nbsp; 4.38% 8/15/43 | 6050000 | 5838723 |
| &nbsp;&nbsp; 4.50% 11/15/54 | 140000 | 134799 |
| &nbsp;&nbsp; 4.63% 11/15/44 | 17093000 | 16934088 |
| &nbsp;&nbsp; 4.63% 5/15/54 | 13800000 | 13558500 |
| &nbsp;&nbsp; 4.75% 5/15/55 | 11777000 | 11813803 |
| &nbsp;&nbsp; 5.00% 5/15/45 | 9198000 | 9551548 |
| &nbsp;&nbsp; U.S. Treasury Inflation <br> Indexed Notes 1.13% <br> 1/15/33<br>| 16830664 | 16311457 |
| U.S. Treasury Notes | U.S. Treasury Notes | U.S. Treasury Notes |
| &nbsp;&nbsp; 0.38% 9/30/27 | 1160000 | 1088180 |
| &nbsp;&nbsp; 0.88% 11/15/30 | 107605000 | 93296898 |
| &nbsp;&nbsp; 1.25% 3/31/28 | 2475000 | 2336168 |
| &nbsp;&nbsp; 1.25% 8/15/31 | 250000 | 216211 |
| &nbsp;&nbsp; 1.63% 5/15/31 | 310000 | 276033 |
| &nbsp;&nbsp; 1.88% 2/15/32 | 2950000 | 2617203 |
| &nbsp;&nbsp; 2.63% 5/31/27 | 5100000 | 5015531 |
| &nbsp;&nbsp; 2.75% 7/31/27 | 2230000 | 2195156 |
| &nbsp;&nbsp; 2.88% 8/15/28 | 148450000 | 145417213 |
| &nbsp;&nbsp; 2.88% 5/15/32 | 1630000 | 1532455 |
| &nbsp;&nbsp; 3.13% 8/31/27 | 2935000 | 2907828 |
| &nbsp;&nbsp; 3.13% 8/31/29 | 1805000 | 1768054 |
| &nbsp;&nbsp; 3.38% 5/15/33 | 37340000 | 35866820 |
| &nbsp;&nbsp; 3.63% 3/31/30 | 7150000 | 7120674 |
| &nbsp;&nbsp; 3.88% 11/30/27 | 3000000 | 3015820 |
| &nbsp;&nbsp; 3.88% 7/15/28 | 1288000 | 1296352 |
| &nbsp;&nbsp; 3.88% 4/30/30 | 6500000 | 6541133 |
| &nbsp;&nbsp; 3.88% 6/30/30 | 35590000 | 35808267 |
| &nbsp;&nbsp; 3.88% 7/31/30 | 21000000 | 21126328 |
| &nbsp;&nbsp; 3.88% 8/15/34 | 18830000 | 18541666 |
| &nbsp;&nbsp; 4.00% 7/31/32 | 59000000 | 59276562 |
| &nbsp;&nbsp; 4.00% 2/15/34 | 15877400 | 15835846 |
| &nbsp;&nbsp; 4.13% 1/31/27 | 38090000 | 38295329 |
| &nbsp;&nbsp; 4.13% 11/15/27 | 31000000 | 31316055 |

---

*LVIP JPMorgan Core Bond Fund–43*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **U.S. TREASURY OBLIGATIONS (continued)** | **U.S. TREASURY OBLIGATIONS (continued)** | **U.S. TREASURY OBLIGATIONS (continued)** |
| U.S. Treasury Notes (continued) | U.S. Treasury Notes (continued) | U.S. Treasury Notes (continued) |
| &nbsp;&nbsp; 4.13% 10/31/29 | 28840000 | $29298511 |
| &nbsp;&nbsp; 4.25% 1/15/28 | 47970000 | 48623966 |
| &nbsp;&nbsp; 4.25% 1/31/30 | 11026000 | 11259441 |
| &nbsp;&nbsp; 4.25% 11/15/34 | 15295000 | 15467666 |
| &nbsp;&nbsp; 4.38% 1/31/32 | 52655000 | 54111240 |
| &nbsp;&nbsp; 4.38% 5/15/34 | 21000000 | 21485625 |
| &nbsp;&nbsp; 4.50% 12/31/31 | 745000 | 770842 |
| &nbsp;&nbsp; 4.50% 11/15/33 | 102615000 | 106094290 |
| &nbsp;&nbsp; 4.63% 9/30/28 | 15198000 | 15625444 |
| &nbsp;&nbsp; 4.88% 10/31/30 | 24325000 | 25568806 |
| ^U.S. Treasury Strip Coupon | ^U.S. Treasury Strip Coupon | ^U.S. Treasury Strip Coupon |
| &nbsp;&nbsp; 0.00% 2/15/27 | 300000 | 285661 |
| &nbsp;&nbsp; 0.00% 5/15/27 | 725000 | 683401 |
| &nbsp;&nbsp; 0.00% 8/15/27 | 250000 | 233512 |
| &nbsp;&nbsp; 0.00% 8/15/29 | 3400000 | 2942392 |
| &nbsp;&nbsp; 0.00% 8/15/30 | 3465000 | 2874525 |
| &nbsp;&nbsp; 0.00% 11/15/30 | 3705000 | 3041114 |
| &nbsp;&nbsp; 0.00% 2/15/31 | 9830000 | 7980733 |
| &nbsp;&nbsp; 0.00% 5/15/31 | 6835000 | 5489615 |
| &nbsp;&nbsp; 0.00% 8/15/31 | 13355000 | 10608013 |
| &nbsp;&nbsp; 0.00% 11/15/31 | 7475000 | 5869264 |
| &nbsp;&nbsp; 0.00% 2/15/33 | 400000 | 296454 |
| &nbsp;&nbsp; 0.00% 5/15/33 | 1175000 | 860582 |
| &nbsp;&nbsp; 0.00% 8/15/33 | 100000 | 72377 |

---

---

| | | |
|:---|:---|:---|
|  | **Principal**<br> **Amount°**<br>| **Value**<br> **(U.S. $)**<br>|
| **U.S. TREASURY OBLIGATIONS (continued)** | **U.S. TREASURY OBLIGATIONS (continued)** | **U.S. TREASURY OBLIGATIONS (continued)** |
| ^U.S. Treasury Strip Coupon (continued) | ^U.S. Treasury Strip Coupon (continued) | ^U.S. Treasury Strip Coupon (continued) |
| &nbsp;&nbsp; 0.00% 11/15/33 | 1025000 | $732768 |
| &nbsp;&nbsp; 0.00% 2/15/34 | 775000 | 547182 |
| &nbsp;&nbsp; 0.00% 11/15/34 | 50000 | 33960 |
| &nbsp;&nbsp; 0.00% 2/15/35 | 65000 | 43588 |
| &nbsp;&nbsp; 0.00% 5/15/35 | 250000 | 165449 |
| &nbsp;&nbsp; 0.00% 11/15/40 | 850000 | 415367 |
| &nbsp;&nbsp; 0.00% 2/15/41 | 545134 | 262766 |
| &nbsp;&nbsp; 0.00% 8/15/41 | 3200000 | 1498340 |
| &nbsp;&nbsp; 0.00% 11/15/41 | 100000 | 46170 |
| &nbsp;&nbsp; 0.00% 11/15/43 | 21405000 | 8802035 |
| **Total U.S. Treasury Obligations** <br>**(Cost $1,141,485,846)** | **Total U.S. Treasury Obligations** <br>**(Cost $1,141,485,846)** | **1147227924** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | |
|:---|:---|:---|
|  | **Number of** <br>**Shares**<br>|  |
| **MONEY MARKET FUND–1.43%** | **MONEY MARKET FUND–1.43%** | **MONEY MARKET FUND–1.43%** |
| &nbsp;&nbsp; State Street Institutional <br> U.S. Government Money <br> Market Fund - Premier Class <br> (seven-day effective yield <br> 4.09%)<br>| 52542280 | 52542280 |
| **Total Money Market Fund** <br>**(Cost $52,542,280)** | **Total Money Market Fund** <br>**(Cost $52,542,280)** | **52542280** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **TOTAL INVESTMENTS–99.37% (Cost $3,590,072,160)** | **3649719621** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | |
|:---|:---|
| **RECEIVABLES AND OTHER ASSETS NET OF LIABILITIES–0.63%** | **23017122** |
| **NET ASSETS APPLICABLE TO 360,461,396 SHARES OUTSTANDING–100.00%** | **$3672736743** |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

------

---

| |
|:---|
| °Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; \*Interest only security. An interest only security is the interest only portion of a fixed income security which is sold separately from the <br> principal portion of the security. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; •Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at September 30, 2025. For securities based on a <br> published reference rate and spread, the reference rate and spread are indicated in their description above and may be subject to caps <br> and/or floors or include a multiplier. Certain variable rate securities are not based on a published reference rate and spread but are <br> determined by the issuer or agent and are based on current market conditions such as changes in current interest rate and prepayments <br> on the underlying pool of assets. These securities do not indicate a reference rate and spread in their description above. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ~Principal Only - represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these <br> securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these <br> securities increase, the yield on these securities increases. |
| ^Zero coupon security. |
| φStep coupon bond. Coupon increases/decreases periodically based on predetermined schedule. Stated rate in effect at September 30, 2025. |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ♦Pass Through Agreement. Security represents the contractual right to receive a proportionate amount of underlying payments due to the <br> counterparty pursuant to various agreements related to the rescheduling of obligations and the exchange of certain notes. |
| μFixed to variable rate investment. The rate shown reflects the fixed rate in effect at September 30, 2025. Rate will reset at a future date. |
| =The value of this security was determined using significant unobservable inputs. |
| ΔSecurities have been classified by country of origin. |

---

*LVIP JPMorgan Core Bond Fund–44*

------

**LVIP JPMorgan Core Bond Fund**

**Schedule of Investments (continued)**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

The following futures contracts were outstanding at September 30, 2025:<br>

**Futures Contracts** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Contracts to Buy (Sell)** | **Contracts to Buy (Sell)** | **Notional** <br>**Amount**<br>| **Notional** <br>**Cost (Proceeds)**<br>| **Expiration** <br>**Date**<br>| **Value/** <br>**Unrealized** <br>**Appreciation**<sup>1</sup> <br>| **Value/** <br>**Unrealized** <br>**Depreciation**<sup>1</sup> <br>|
| **Interest Rate Contracts:** | **Interest Rate Contracts:** | **Interest Rate Contracts:** | **Interest Rate Contracts:** | **Interest Rate Contracts:** | **Interest Rate Contracts:** | **Interest Rate Contracts:** |
| 257 | CBOT 10 Year U.S. Treasury Notes Futures | &nbsp;&nbsp; $28912500 | &nbsp;&nbsp; $28908836 | &nbsp;&nbsp; 12/19/25 | &nbsp;&nbsp; $3664 | &nbsp;&nbsp; $— |
| 572 | CBOT 2 Year U.S. Treasury Notes Futures | &nbsp;&nbsp; 119203907 | &nbsp;&nbsp; 119149598 | &nbsp;&nbsp; 12/31/25 | &nbsp;&nbsp; 54309 | &nbsp;&nbsp; — |
| 64 | CBOT 5 Year U.S. Treasury Notes Futures | &nbsp;&nbsp; 6988500 | &nbsp;&nbsp; 6979125 | &nbsp;&nbsp; 12/31/25 | &nbsp;&nbsp; 9375 | &nbsp;&nbsp; — |
| 214 | CBOT U.S. Long Bond Futures | &nbsp;&nbsp; 24951062 | &nbsp;&nbsp; 24443174 | &nbsp;&nbsp; 12/19/25 | &nbsp;&nbsp; 507888 | &nbsp;&nbsp; — |
| 1042 | Ultra 10 Year U.S. Treasury Notes Futures | &nbsp;&nbsp; 119911406 | &nbsp;&nbsp; 118488422 | &nbsp;&nbsp; 12/19/25 | &nbsp;&nbsp; 1422984 | &nbsp;&nbsp; — |
| 89 | Ultra U.S. Treasury Bond Futures | &nbsp;&nbsp; 10685562 | &nbsp;&nbsp; 10422509 | &nbsp;&nbsp; 12/19/25 | &nbsp;&nbsp; 263053 | &nbsp;&nbsp; — |
| **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | &nbsp;&nbsp; $2261273 | &nbsp;&nbsp; $— |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The <br> notional amounts presented above represent the Fund's total exposure in such contracts, whereas only the net unrealized appreciation <br> (depreciation) is reflected in the Fund's net assets.<br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

&nbsp;&nbsp;&nbsp;&nbsp; <sup>1</sup> Includes cumulative appreciation (depreciation) of futures contracts from the date the contracts were opened through September 30, 2025.<br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| |
|:---|
| **Summary of Abbreviations:** |
| ARM–Adjustable Rate Mortgage |
| BAMLL–Bank of America Merrill Lynch Large Loan |
| BMO–Bank of Montreal  |
| CBOT–Chicago Board of Trade |
| CLO–Collateralized Loan Obligation |
| CMT–Constant Maturity Treasury |
| COFI–Cost of Funds Index |
| DB-JPM–Deutsche Bank JPMorgan |
| FREMF–Freddie Mac Multifamily |
| GS–Goldman Sachs |
| HSBC–Hong Kong and Shanghai Banking Corporation |
| JPM-BB–JPMorgan Barclays Bank |
| JPM-DB–JPMorgan Deutsche Bank |
| LNG–Liquefied Natural Gas |
| REIT–Real Estate Investment Trust |
| REMIC–Real Estate Mortgage Investment Conduits |
| RFUCCT–Refinitiv USD IBOR Consumer Cash Fallbacks Term |
| SOFR–Secured Overnight Financing Rate |
| STACR–Structured Agency Credit Risk |
| yr.–Year |

---

*LVIP JPMorgan Core Bond Fund–45*

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST

- **b. Investment Company Act file number:** 811-08090

- **c. CIK number of Registrant:** 0000914036

- **d. LEI of Registrant:** 3EICVM5HD7FVBIM8WO57

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

  - **Street Address 1:** 1301 S. Harrison Street

  - **City:** FORT WAYNE

  - **State:** IN

  - **Foreign country:** US

  - **Zip / Postal Code:** 46802

  - **Telephone number:** 260-455-2000

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

- **a. Name of Series:** LVIP JPMorgan Core Bond Fund

- **b. EDGAR series identifier (if any):** S000079874

- **c. LEI of Series:** 549300G0KAUIXSZUYB35

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

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

- **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:** $3680057936.21

**Total Liabilities:** $11736162.02

**Net Assets:** $3668321774.19

**Delayed Delivery Securities:** $10100065.86

**Cash Not Reported:** $2793636.08

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -3185.21000000 | **1-Year:** -68066.22000000 | **5-Year:** -225899.15000000 | **10-Year:** -276778.63000000 | **30-Year:** -132869.16000000

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

- **3-Month:** -366.15000000 | **1-Year:** -3781.14000000 | **5-Year:** -12966.52000000 | **10-Year:** -12718.50000000 | **30-Year:** -21014.02000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000241300 | -0.32%               | 1.30%                | 0.96%                |
| Class ID C000241301 | -0.30%               | 1.32%                | 0.99%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-480650.10              | $-18078557.17                              |
| Month 2  | $1139146.10              | $29243100.59                               |
| Month 3  | $764264.48               | $19853505.85                               |

### 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: 3138LDJ95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1213614 | PA      | $1181698.60   | 0.03%             | 2028-07-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X5FW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    235969 | PA      | $213256.35    | 0.01%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31392K2Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18190 | PA      | $18978.12     | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31391REW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       312 | PA      | $318.63       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38374DPT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19887 | PA      | $2353.38      | 0.00%             | 2038-01-16      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    360000 | PA      | $361297.43    | 0.01%             | 2028-04-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities                | Freddie Mac Structured Pass-Through Certificates                                | CUSIP: 31393LFK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41999 | PA      | $42480.17     | 0.00%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Southwest Gas Corp                                      | Southwest Gas Corp                                                              | CUSIP: 844895AX0<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |     44000 | PA      | $33770.50     | 0.00%             | 2046-09-29      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                | Capital One Financial Corp                                                      | CUSIP: 14040HCJ2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    235000 | PA      | $208809.30    | 0.01%             | 2032-11-02      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                                      | Analog Devices Inc                                                              | CUSIP: 032654AW5<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |    227000 | PA      | $168027.85    | 0.00%             | 2041-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DQAQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149108 | PA      | $146454.96    | 0.00%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1860000 | PA      | $1646027.35   | 0.04%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bastion Funding LLC                                     | Bastion Funding I LLC                                                           | CUSIP: 07030UAA0<br>LEI: 549300NX3WVP5ASDEU57 | Long             | ABS-O            | CORP              | US        |   1779621 | PA      | $1793916.53   | 0.05%             | 2038-04-25      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                | Mars Inc                                                                        | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    740000 | PA      | $756381.03    | 0.02%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31359T5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       486 | PA      | $493.00       | 0.00%             | 2028-07-18      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L2PV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    334563 | PA      | $273689.91    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2018-J1 Trust                                                              | CUSIP: 12653TAB7<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   2406688 | PA      | $2169464.67   | 0.06%             | 2048-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BIMBO BAKERIES USA INC                                  | Bimbo Bakeries USA Inc                                                          | CUSIP: 09031WAA1<br>LEI: 549300HOXXHHT7926W92 | Long             | DBT              | CORP              | US        |    290000 | PA      | $219328.77    | 0.01%             | 2051-05-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                       | Brown & Brown Inc                                                               | CUSIP: 115236AC5<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    460000 | PA      | $409268.28    | 0.01%             | 2031-03-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    813000 | PA      | $839085.35    | 0.02%             | 2031-01-24      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| EVERGY INC                                              | Evergy Inc                                                                      | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |     90000 | PA      | $85359.69     | 0.00%             | 2029-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1789216 | PA      | $1600172.30   | 0.04%             | 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        |   2139000 | PA      | $2439963.93   | 0.07%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                   | Time Warner Cable LLC                                                           | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    250000 | PA      | $260065.43    | 0.01%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H1YX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7951747 | PA      | $382583.98    | 0.01%             | 2031-06-25      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LJX27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2004242.12   | 0.05%             | 2033-03-01      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 29379VCB7<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   1462000 | PA      | $995251.41    | 0.03%             | 2053-02-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3530000 | PA      | $3425170.86   | 0.09%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                            | Comcast Corp                                                                    | CUSIP: 20030NCT6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   2320000 | PA      | $2326808.88   | 0.06%             | 2028-10-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                      | Meta Platforms Inc                                                              | CUSIP: 30303M8H8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    593000 | PA      | $577069.78    | 0.02%             | 2032-08-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QMJN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9795657 | PA      | $8632555.63   | 0.24%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140JBPU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    994191 | PA      | $937376.29    | 0.03%             | 2059-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224772 | PA      | $194122.69    | 0.01%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                            | Broadcom Inc                                                                    | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    400000 | PA      | $341351.02    | 0.01%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2018-1 A PTT                                 | United Airlines 2018-1 Class A Pass Through Trust                               | CUSIP: 90931VAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    263491 | PA      | $247513.00    | 0.01%             | 2030-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                                 | Jersey Central Power & Light Co                                                 | CUSIP: 476556DC6<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39996.05     | 0.00%             | 2026-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XH5W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5320737 | PA      | $4489429.26   | 0.12%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                     | GS Mortgage-Backed Securities Trust 2021-PJ8                                    | CUSIP: 36262WAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1144615 | PA      | $948778.35    | 0.03%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140W0VA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2097620 | PA      | $2115692.89   | 0.06%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                     | Banc of America Funding 2005-7 Trust                                            | CUSIP: 05946XV83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4408 | PA      | $3979.19      | 0.00%             | 2035-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132WNHQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21679 | PA      | $21440.50     | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133APK73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154110 | PA      | $132156.72    | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                     | American Tower Corp                                                             | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    150000 | PA      | $135200.04    | 0.00%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| MIDAMERICAN ENERGY CO                                   | MidAmerican Energy Co                                                           | CUSIP: 595620AY1<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |    220000 | PA      | $231635.85    | 0.01%             | 2054-09-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XB4K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138204 | PA      | $119104.59    | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617F25R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    899436 | PA      | $881494.83    | 0.02%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DM5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    893964 | PA      | $766825.16    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                | RTX Corp                                                                        | CUSIP: 913017CJ6<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     80000 | PA      | $62643.49     | 0.00%             | 2046-11-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H73R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5186256 | PA      | $89392.91     | 0.00%             | 2032-03-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140MKAF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204697 | PA      | $195574.15    | 0.01%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                            | CaixaBank SA                                                                    | CUSIP: 12803RAH7<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   2135000 | PA      | $2268547.03   | 0.06%             | 2035-06-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140JWR36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36660 | PA      | $35075.71     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPK49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1881747 | PA      | $1791931.85   | 0.05%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVMH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1411304 | PA      | $1352860.54   | 0.04%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QHMG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    438609 | PA      | $394574.36    | 0.01%             | 2041-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 29379VCH4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    384000 | PA      | $379540.86    | 0.01%             | 2055-02-16      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| NASDAQ INC                                              | Nasdaq Inc                                                                      | CUSIP: 63111XAJ0<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |    109000 | PA      | $114448.92    | 0.00%             | 2034-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                  | Santander Drive Auto Receivables Trust 2023-6                                   | CUSIP: 80287DAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2200000 | PA      | $2274163.32   | 0.06%             | 2031-03-17      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133ASGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    304595 | PA      | $261146.56    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                          | Home Depot Inc/The                                                              | CUSIP: 437076CQ3<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    235000 | PA      | $176059.00    | 0.00%             | 2052-04-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust           | Bridgecrest Lending Auto Securitization Trust 2025-3                            | CUSIP: 107920AF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4511469.60   | 0.12%             | 2031-05-15      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINANCIAL INC                                | Prudential Financial Inc                                                        | CUSIP: 74432QCF0<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    773000 | PA      | $584511.66    | 0.02%             | 2051-03-13      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LH2Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1042537 | PA      | $1048895.13   | 0.03%             | 2032-12-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                  | Cascade MH Asset Trust 2021-MH1                                                 | CUSIP: 14731QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    590494 | PA      | $535867.01    | 0.01%             | 2046-02-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                   | OneMain Direct Auto Receivables Trust 2023-1                                    | CUSIP: 682685AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    682000 | PA      | $710119.68    | 0.02%             | 2033-02-14      | Fixed         | 7.07%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON & CO                                   | Becton Dickinson & Co                                                           | CUSIP: 075887BG3<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    340000 | PA      | $304490.64    | 0.01%             | 2044-12-15      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                            | Broadcom Inc                                                                    | CUSIP: 11135FCY5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2710000 | PA      | $2701732.20   | 0.07%             | 2036-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| CHILE ELECTRICITY LUX                                   | Chile Electricity Lux Mpc II Sarl                                               | CUSIP: 16882LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    591391 | PA      | $610775.37    | 0.02%             | 2035-10-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| BANQUE FED CRED MUTUEL                                  | Banque Federative du Credit Mutuel SA                                           | CUSIP: 06675DCN0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |   1715000 | PA      | $1785599.35   | 0.05%             | 2030-01-22      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 383739LD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68753 | PA      | $70699.99     | 0.00%             | 2031-03-16      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31392R3H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5071 | PA      | $5224.09      | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                     | Elevance Health Inc                                                             | CUSIP: 036752AB9<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    330000 | PA      | $327662.35    | 0.01%             | 2027-12-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                         | Cameron LNG LLC                                                                 | CUSIP: 133434AD2<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |    188000 | PA      | $160775.86    | 0.00%             | 2039-01-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DNK77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4241927 | PA      | $4077541.28   | 0.11%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140J2WF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $961989.19    | 0.03%             | 2031-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DPR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300576 | PA      | $294738.47    | 0.01%             | 2050-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38385BGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9016715 | PA      | $8310113.73   | 0.23%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140MGQV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148455 | PA      | $137718.77    | 0.00%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                    | Bank of America Corp                                                            | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    260000 | PA      | $258322.94    | 0.01%             | 2028-04-24      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                              | US Bancorp                                                                      | CUSIP: 91159HHU7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    539000 | PA      | $538627.47    | 0.01%             | 2025-11-17      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                     | DT Auto Owner Trust 2022-3                                                      | CUSIP: 23345RAG1<br>LEI: 549300XVMF0FUK76JG97 | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $768745.13    | 0.02%             | 2028-07-17      | Fixed         | 8.14%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                      | Banco Santander SA                                                              | CUSIP: 05964HAU9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    400000 | PA      | $415522.11    | 0.01%             | 2028-08-08      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AWPE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    223711 | PA      | $205254.56    | 0.01%             | 2047-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE HOLDINGS FINA                                | Blackstone Holdings Finance Co LLC                                              | CUSIP: 09256BAH0<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |     21000 | PA      | $18249.14     | 0.00%             | 2045-07-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AX4N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    728915 | PA      | $94705.63     | 0.00%             | 2057-10-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABE65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1286766 | PA      | $1103154.13   | 0.03%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $1049226.36   | 0.03%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VEA8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   2680000 | PA      | $2641229.51   | 0.07%             | 2033-08-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179W5F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    984315 | PA      | $962170.15    | 0.03%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38381DND8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3458159 | PA      | $231202.16    | 0.01%             | 2063-11-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                          | Air Lease Corp                                                                  | CUSIP: 00914AAG7<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    799000 | PA      | $744045.31    | 0.02%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Frontier Issuer LLC                                     | Frontier Issuer LLC                                                             | CUSIP: 35910EAK0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    607000 | PA      | $625649.10    | 0.02%             | 2054-06-20      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H4BR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11593775 | PA      | $206451.50    | 0.01%             | 2031-09-25      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES                                   | TransCanada PipeLines Ltd                                                       | CUSIP: 89352HAD1<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |     70000 | PA      | $75012.01     | 0.00%             | 2037-10-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| FW ENERGY ASSET ISSUER LLC                              | FW ENERGY ASSET ISSUER LLC                                                      | CUSIP: 302704AB7<br>LEI: 254900YOL2L2C8PFZR08 | Long             | ABS-O            | CORP              | US        |    990480 | PA      | $1012206.76   | 0.03%             | 2044-08-25      | Fixed         | 8.11%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                             | Southern Co/The                                                                 | CUSIP: 842587DR5<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   1620000 | PA      | $1665449.38   | 0.05%             | 2033-06-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XBNZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    242191 | PA      | $233762.17    | 0.01%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38385B5F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  25538781 | PA      | $24300795.89  | 0.66%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                     | American Tower Corp                                                             | CUSIP: 03027XAY6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    230000 | PA      | $172461.76    | 0.00%             | 2049-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179UEA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    252275 | PA      | $249253.18    | 0.01%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LGYW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $292817.29    | 0.01%             | 2032-07-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities                  | Natixis Commercial Mortgage Securities Trust 2019-FAME                          | CUSIP: 63873VAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  32225000 | PA      | $680231.08    | 0.02%             | 2036-08-15      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                  | Extra Space Storage LP                                                          | CUSIP: 30225VAP2<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |    300000 | PA      | $268958.04    | 0.01%             | 2030-10-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DM2N4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    261025 | PA      | $231323.09    | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617VKGV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    244465 | PA      | $209054.50    | 0.01%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138LKTC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1045491 | PA      | $998697.46    | 0.03%             | 2029-10-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XCDQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1054937 | PA      | $946419.11    | 0.03%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31335BZT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    571097 | PA      | $594931.07    | 0.02%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                | Angel Oak Mortgage Trust 2021-7                                                 | CUSIP: 03464JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    534903 | PA      | $469087.02    | 0.01%             | 2066-10-25      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| Apple Inc                                               | Apple Inc                                                                       | CUSIP: 037833BA7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     82000 | PA      | $65098.33     | 0.00%             | 2045-02-09      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 31329KXS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    327481 | PA      | $315489.04    | 0.01%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                    | Royal Bank of Canada                                                            | CUSIP: 78016FZQ0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   1930000 | PA      | $1872669.23   | 0.05%             | 2032-05-04      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3133TGCG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1588 | PA      | $1626.84      | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                | Constellation Brands Inc                                                        | CUSIP: 21036PBL1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20107.34     | 0.00%             | 2032-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                | Constellation Brands Inc                                                        | CUSIP: 21036PBH0<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    100000 | PA      | $88148.00     | 0.00%             | 2031-08-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133A7M97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    441915 | PA      | $408051.33    | 0.01%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1876902 | PA      | $1442994.05   | 0.04%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31371NT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1672 | PA      | $1691.51      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1851725 | PA      | $1758631.72   | 0.05%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XLCK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    792061 | PA      | $817462.01    | 0.02%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                         | Impac CMB Trust Series 2007-A                                                   | CUSIP: 452550AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    760757 | PA      | $727011.71    | 0.02%             | 2037-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PVT BANK                                 | Morgan Stanley Private Bank NA                                                  | CUSIP: 61776NVG5<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |    393000 | PA      | $398868.78    | 0.01%             | 2031-07-18      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1280000 | PA      | $1163788.76   | 0.03%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                                 | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    550000 | PA      | $560783.62    | 0.02%             | 2035-02-15      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Brookfield Finance Inc                                  | Brookfield Finance Inc                                                          | CUSIP: 11271LAB8<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |      9000 | PA      | $7886.58      | 0.00%             | 2047-09-20      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Tampa Electric Co                                       | Tampa Electric Co                                                               | CUSIP: 875127BF8<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |    100000 | PA      | $84686.07     | 0.00%             | 2049-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140HNWU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161129 | PA      | $159000.68    | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                              | GLS Auto Receivables Issuer Trust 2024-2                                        | CUSIP: 37964VAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4545000 | PA      | $4643301.99   | 0.13%             | 2030-02-15      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KKS75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1633082 | PA      | $1405992.51   | 0.04%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                                 | Southern Co Gas Capital Corp                                                    | CUSIP: 001192AK9<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     42000 | PA      | $36093.81     | 0.00%             | 2043-06-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                              | Intel Corp                                                                      | CUSIP: 458140CJ7<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    100000 | PA      | $96707.33     | 0.00%             | 2053-02-10      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                       | Atmos Energy Corp                                                               | CUSIP: 049560BB0<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    943000 | PA      | $877729.59    | 0.02%             | 2054-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HOLDINGS                                 | Duquesne Light Holdings Inc                                                     | CUSIP: 266233AH8<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    210000 | PA      | $188742.94    | 0.01%             | 2030-10-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418B2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    322140 | PA      | $306407.32    | 0.01%             | 2036-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XPHG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2409772 | PA      | $2233815.85   | 0.06%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140MJ6K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77307 | PA      | $66120.95     | 0.00%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128HDR92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       226 | PA      | $225.57       | 0.00%             | 2030-04-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CLX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  31000000 | PA      | $31316054.61  | 0.85%             | 2027-11-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1813227 | PA      | $1562330.39   | 0.04%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                                  | Roper Technologies Inc                                                          | CUSIP: 776696AJ5<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |   1694000 | PA      | $1695927.11   | 0.05%             | 2034-10-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140KBZX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    594132 | PA      | $544728.43    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31394BFH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164309 | PA      | $167377.05    | 0.00%             | 2034-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7404618 | PA      | $6351806.30   | 0.17%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                                 | SCF Equipment Leasing 2024-1 LLC                                                | CUSIP: 783896AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2558000 | PA      | $2648809.51   | 0.07%             | 2032-09-20      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                              | AbbVie Inc                                                                      | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1190000 | PA      | $1002552.26   | 0.03%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Texas Natural Gas Securitization Finance Corp           | TEXAS NATURAL GAS SECURITIZTN FIN CORP REVENUE                                  | CUSIP: 88258MAB1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    275000 | PA      | $280138.62    | 0.01%             | 2041-04-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31392CA46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6329 | PA      | $6594.32      | 0.00%             | 2032-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29273VBB5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    585000 | PA      | $574400.32    | 0.02%             | 2054-09-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LHCW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $96648.34     | 0.00%             | 2032-08-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  47970000 | PA      | $48623965.90  | 1.33%             | 2028-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                       | EOG Resources Inc                                                               | CUSIP: 26875PAY7<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |   1061000 | PA      | $1085609.07   | 0.03%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31402RLV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6304 | PA      | $6395.18      | 0.00%             | 2034-10-01      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617MQCZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    341412 | PA      | $291321.17    | 0.01%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38380PXV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1336702 | PA      | $1029671.78   | 0.03%             | 2063-01-16      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                      | Banco Santander SA                                                              | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $195163.88    | 0.01%             | 2027-09-14      | Fixed         | 1.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140NXWL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2868600 | PA      | $2934338.70   | 0.08%             | 2034-04-01      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Nuveen LLC                                              | Nuveen LLC                                                                      | CUSIP: 67080LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    160000 | PA      | $159496.52    | 0.00%             | 2028-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust                  | Banc of America Alternative Loan Trust 2004-6                                   | CUSIP: 05948KSR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1357 | PA      | $752.80       | 0.00%             | 2034-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38379RLZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    862896 | PA      | $18043.33     | 0.00%             | 2058-08-16      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                        | SMB Private Education Loan Trust 2021-C                                         | CUSIP: 83208AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1296044 | PA      | $1194194.08   | 0.03%             | 2053-01-15      | Fixed         | 1.39%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                        | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526DB2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1100000 | PA      | $1110402.48   | 0.03%             | 2031-08-04      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    200000 | PA      | $142609.51    | 0.00%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38381H8D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4546088 | PA      | $246803.92    | 0.01%             | 2064-06-16      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1327923 | PA      | $1080913.46   | 0.03%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179XQS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    377174 | PA      | $337307.03    | 0.01%             | 2053-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                                    | Shell Finance US Inc                                                            | CUSIP: 822905AG0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1890000 | PA      | $1341556.85   | 0.04%             | 2050-04-06      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H9PB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $968497.30    | 0.03%             | 2032-12-25      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140KRQ69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191810 | PA      | $164835.70    | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DSU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68916 | PA      | $64197.92     | 0.00%             | 2040-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136BLRM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3350000 | PA      | $2890272.47   | 0.08%             | 2031-09-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QNXN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    377347 | PA      | $356578.85    | 0.01%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes                  | NRZ Excess Spread-Collateralized Notes                                          | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    452840 | PA      | $443046.96    | 0.01%             | 2026-11-25      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| FORD FOUNDATION/THE                                     | Ford Foundation/The                                                             | CUSIP: 34531XAC8<br>LEI: 54930013YZ3DULPNNT44 | Long             | DBT              | CORP              | US        |     90000 | PA      | $51968.87     | 0.00%             | 2070-06-01      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DLY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80223 | PA      | $69466.49     | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Brean Asset Backed Securities Trust                     | Brean Asset Backed Securities Trust 2025-RM12                                   | CUSIP: 10638KAA2<br>LEI: 98450003CE714EY3D313 | Long             | ABS-MBS          | CORP              | US        |   4615000 | PA      | $4464622.07   | 0.12%             | 2065-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                     | GS Mortgage-Backed Securities Trust 2021-PJ7                                    | CUSIP: 36262CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    841717 | PA      | $697704.37    | 0.02%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133C1NL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    345862 | PA      | $349978.12    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                  | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAB1<br>LEI: N/A                  | Long             | DBT              |  | US        |    255000 | PA      | $252488.42    | 0.01%             | 2029-12-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XBSR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123011 | PA      | $106705.73    | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                     | American Express Co                                                             | CUSIP: 025816EK1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    770000 | PA      | $783404.44    | 0.02%             | 2033-07-20      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMERICAN PIPE                                | Plains All American Pipeline LP                                                 | CUSIP: 72650RBQ4<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |   1340000 | PA      | $1398465.85   | 0.04%             | 2035-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFLM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    805946 | PA      | $714535.36    | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGY52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    229673 | PA      | $195453.86    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   3950000 | PA      | $3835726.97   | 0.10%             | 2030-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFN23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141063 | PA      | $126249.93    | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                              | AbbVie Inc                                                                      | CUSIP: 00287YAM1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    370000 | PA      | $333687.84    | 0.01%             | 2042-11-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC             | BBCMS Mortgage Trust 2020-C7                                                    | CUSIP: 05492VAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1610000 | PA      | $1431958.31   | 0.04%             | 2053-04-15      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KNNT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    829983 | PA      | $729378.81    | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                           | DTE Energy Co                                                                   | CUSIP: 233331BK2<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    614000 | PA      | $629135.28    | 0.02%             | 2029-03-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136BPHK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3875000 | PA      | $3690842.95   | 0.10%             | 2032-08-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS PLC                                  | BP Capital Markets PLC                                                          | CUSIP: 05565QDV7<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |    507000 | PA      | $503416.52    | 0.01%             | 2030-03-22      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MASCO CORP                                              | Masco Corp                                                                      | CUSIP: 574599BP0<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |     56000 | PA      | $50064.90     | 0.00%             | 2030-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133ARH40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133446 | PA      | $114860.78    | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KMY82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1693961 | PA      | $1446439.60   | 0.04%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XCPG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2487814 | PA      | $2291064.00   | 0.06%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XKS27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    257899 | PA      | $258489.71    | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MetLife Inc                                             | MetLife Inc                                                                     | CUSIP: 59156RAP3<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |   1220000 | PA      | $1283823.08   | 0.03%             | 2036-12-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    223132 | PA      | $189689.95    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Renew Financial                                         | Renew 2017-1                                                                    | CUSIP: 75973LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     24762 | PA      | $23129.93     | 0.00%             | 2052-09-20      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYZJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1520978 | PA      | $1550943.10   | 0.04%             | 2043-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X72U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    293369 | PA      | $300526.84    | 0.01%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                                | Burlington Northern Santa Fe LLC                                                | CUSIP: 12189LAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $22402.54     | 0.00%             | 2042-09-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                               | Kroger Co/The                                                                   | CUSIP: 501044DW8<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    350000 | PA      | $341131.08    | 0.01%             | 2054-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                     | New Residential Mortgage Loan Trust 2017-4                                      | CUSIP: 64829NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1096365 | PA      | $1064011.51   | 0.03%             | 2057-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140KKH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105251 | PA      | $86078.43     | 0.00%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2024-2                   | CUSIP: 35563PX46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5274806 | PA      | $4565751.50   | 0.12%             | 2064-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140NEPD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    635684 | PA      | $637139.19    | 0.02%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QEZW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    473734 | PA      | $442185.17    | 0.01%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                            | Barclays PLC                                                                    | CUSIP: 06738ECZ6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    885000 | PA      | $923599.13    | 0.03%             | 2036-02-25      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                    | Bank of America Corp                                                            | CUSIP: 06051GHS1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    720000 | PA      | $614289.50    | 0.02%             | 2050-03-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                 | Bristol-Myers Squibb Co                                                         | CUSIP: 110122CN6<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    410000 | PA      | $407968.23    | 0.01%             | 2026-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                   | Time Warner Cable LLC                                                           | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   1695000 | PA      | $1852111.47   | 0.05%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| AMER AIRLN 15-2 A PASS T                                | American Airlines 2015-2 Class A Pass Through Trust                             | CUSIP: 02377BAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2199669 | PA      | $2143829.98   | 0.06%             | 2027-09-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133BMRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    202738 | PA      | $206693.17    | 0.01%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Blackbird Capital Aircraft                              | Blackbird Capital II Aircraft Lease Ltd                                         | CUSIP: 09229CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    602076 | PA      | $568764.31    | 0.02%             | 2046-07-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132E0CW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2950193 | PA      | $2714068.31   | 0.07%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                             | Citibank NA                                                                     | CUSIP: 17325FBC1<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |   1071000 | PA      | $1087966.58   | 0.03%             | 2026-12-04      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                  | Pacific Gas and Electric Co                                                     | CUSIP: 694308KX4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2620000 | PA      | $2742034.67   | 0.07%             | 2035-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617X5VE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    600053 | PA      | $523046.23    | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                  | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RBU0<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    980000 | PA      | $1092290.57   | 0.03%             | 2034-10-25      | Fixed         | 6.47%                 | No            |                  2 | On Loan: No      |
| Halliburton Co                                          | Halliburton Co                                                                  | CUSIP: 406216BJ9<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29546.51     | 0.00%             | 2035-11-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    913000 | PA      | $958148.87    | 0.03%             | 2036-04-23      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Continental Finance Credit Credit Card ABS Master Trust | Continental Finance Credit Card ABS Master Trust                                | CUSIP: 66981PAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    910000 | PA      | $912905.18    | 0.02%             | 2030-10-15      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                        | BAT Capital Corp                                                                | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    754000 | PA      | $632258.72    | 0.02%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31393DJU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1278 | PA      | $1263.73      | 0.00%             | 2033-07-25      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132XGT55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $403049.05    | 0.01%             | 2030-02-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38380RKU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2050963 | PA      | $134606.72    | 0.00%             | 2060-11-16      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1943000 | PA      | $2024798.63   | 0.06%             | 2028-11-10      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| NP SPE X LP                                             | NP SPE X LP                                                                     | CUSIP: 62947AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1691025 | PA      | $1395159.18   | 0.04%             | 2051-03-19      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| BARRICK NA FINANCE LLC                                  | Barrick North America Finance LLC                                               | CUSIP: 06849RAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1070000 | PA      | $1100270.92   | 0.03%             | 2041-05-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140GTF21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161072 | PA      | $154857.50    | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133BGM47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    147452 | PA      | $145818.67    | 0.00%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust              | JPMBB Commercial Mortgage Securities Trust 2015-C33                             | CUSIP: 46645JAD4<br>LEI: 549300UOGMFS1M8XVM16 | Long             | ABS-MBS          | CORP              | US        |   1539274 | PA      | $1535402.84   | 0.04%             | 2048-12-15      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                       | State Street Corp                                                               | CUSIP: 857477DB6<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    370000 | PA      | $379846.96    | 0.01%             | 2030-04-24      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31292HNH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1288 | PA      | $1328.89      | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                              | AMSR 2023-SFR2 Trust                                                            | CUSIP: 00178YAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1890287.40   | 0.05%             | 2040-06-17      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38381HK26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1073218 | PA      | $58818.38     | 0.00%             | 2065-07-16      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912834KP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3200000 | PA      | $1498340.42   | 0.04%             | 2041-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                   | General Dynamics Corp                                                           | CUSIP: 369550BH0<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |     50000 | PA      | $45712.35     | 0.00%             | 2040-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132WKFA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    323128 | PA      | $292309.91    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                     | Southern California Edison Co                                                   | CUSIP: 842400GJ6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     80000 | PA      | $78615.28     | 0.00%             | 2028-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                          | Amazon.com Inc                                                                  | CUSIP: 023135CJ3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    390000 | PA      | $316342.73    | 0.01%             | 2052-04-13      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFA68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    439007 | PA      | $376701.65    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGP86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2270082 | PA      | $2104808.66   | 0.06%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138L9P63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    427694 | PA      | $411193.29    | 0.01%             | 2030-04-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QANG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177332 | PA      | $175640.63    | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Constellation Brands Inc                                | Constellation Brands Inc                                                        | CUSIP: 21036PBD9<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     25000 | PA      | $23268.61     | 0.00%             | 2048-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                      | Banco Santander SA                                                              | CUSIP: 05964HAY1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    600000 | PA      | $641514.47    | 0.02%             | 2028-11-07      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                             | Cencora Inc                                                                     | CUSIP: 03073EAY1<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |   2185000 | PA      | $2231392.55   | 0.06%             | 2035-02-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2021-DNA6                                         | CUSIP: 35564KKY4<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | USGSE             | US        |   2114262 | PA      | $2122236.13   | 0.06%             | 2041-10-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XLA24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    424969 | PA      | $425941.86    | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H8UB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14569287 | PA      | $244714.49    | 0.01%             | 2032-07-25      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133USH95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    720118 | PA      | $669458.82    | 0.02%             | 2050-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGNF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    723771 | PA      | $649382.17    | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38375UNP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77020 | PA      | $76873.51     | 0.00%             | 2064-07-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    738076 | PA      | $637894.60    | 0.02%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QM6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    782579 | PA      | $687890.65    | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X8CP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    443670 | PA      | $379717.07    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                  | Lending Funding Trust 2020-2                                                    | CUSIP: 51507KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $982304.60    | 0.03%             | 2031-04-21      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140J9NP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    697387 | PA      | $658243.98    | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPT73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    394008 | PA      | $392577.37    | 0.01%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENTERGY TEXAS INC                                       | Entergy Texas Inc                                                               | CUSIP: 29365TAJ3<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |    309000 | PA      | $224358.19    | 0.01%             | 2049-09-30      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9K29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2228854 | PA      | $1926314.72   | 0.05%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KL2H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5432420 | PA      | $4639405.61   | 0.13%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38380LHH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95484 | PA      | $94973.68     | 0.00%             | 2068-07-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XKLX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    399911 | PA      | $398577.77    | 0.01%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DN6L2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    842725 | PA      | $823693.11    | 0.02%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXU59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    907270 | PA      | $821565.42    | 0.02%             | 2062-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140KYPB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    501365 | PA      | $410827.34    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                   | Northrop Grumman Corp                                                           | CUSIP: 666807BT8<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    140000 | PA      | $139471.35    | 0.00%             | 2040-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                                | Public Service Enterprise Group Inc                                             | CUSIP: 744573AZ9<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |    870000 | PA      | $900505.05    | 0.02%             | 2034-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125019 | PA      | $119610.00    | 0.00%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EIDP INC                                                | EIDP Inc                                                                        | CUSIP: 263534CS6<br>LEI: GLU7INWNWH88J9XBXD45 | Long             | DBT              | CORP              | US        |   2120000 | PA      | $2180662.55   | 0.06%             | 2032-05-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                  | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KDF4<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    277000 | PA      | $293416.68    | 0.01%             | 2055-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UDR Inc                                                 | UDR Inc                                                                         | CUSIP: 90265EAL4<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              |  | US        |     28000 | PA      | $27709.74     | 0.00%             | 2026-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    129444 | PA      | $119643.81    | 0.00%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                     | Global Payments Inc                                                             | CUSIP: 37940XAH5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     92000 | PA      | $82499.56     | 0.00%             | 2031-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179XNC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1229754 | PA      | $1123538.87   | 0.03%             | 2052-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                  | NXP BV / NXP Funding LLC / NXP USA Inc                                          | CUSIP: 62954HBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    140000 | PA      | $141839.43    | 0.00%             | 2033-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133C8DQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    237727 | PA      | $241516.23    | 0.01%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KLBE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    575656 | PA      | $443955.28    | 0.01%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                          | Home Depot Inc/The                                                              | CUSIP: 437076BS0<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     90000 | PA      | $72667.39     | 0.00%             | 2047-06-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                                          | Consumer Portfolio Services Auto Trust 2025-B                                   | CUSIP: 12630SAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4290000 | PA      | $4326934.33   | 0.12%             | 2031-07-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| NNN REIT INC                                            | NNN REIT Inc                                                                    | CUSIP: 637417AJ5<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              |  | US        |     58000 | PA      | $57634.03     | 0.00%             | 2026-12-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| PACKAGING CORP OF AMERIC                                | Packaging Corp of America                                                       | CUSIP: 695156AY5<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | DBT              | CORP              | US        |   1225000 | PA      | $1249062.93   | 0.03%             | 2035-08-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                         | AREIT 2022-CRE6 Trust                                                           | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    973694 | PA      | $973700.80    | 0.03%             | 2037-01-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2096000 | PA      | $2230519.90   | 0.06%             | 2029-10-24      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2017-BNK7                                                                  | CUSIP: 06541XAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1509000 | PA      | $1484113.72   | 0.04%             | 2060-09-15      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QDKQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1045746 | PA      | $896375.63    | 0.02%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179UML3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    701754 | PA      | $670087.09    | 0.02%             | 2049-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38380R4L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1646678 | PA      | $93549.09     | 0.00%             | 2063-05-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H9JG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1150000 | PA      | $1113073.96   | 0.03%             | 2032-10-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CHC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  37340000 | PA      | $35866820.50  | 0.98%             | 2033-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                    | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1196000 | PA      | $736701.32    | 0.02%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140GPAP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    780434 | PA      | $770756.73    | 0.02%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     95000 | PA      | $84787.38     | 0.00%             | 2032-07-21      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31393ANT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37999 | PA      | $37681.56     | 0.00%             | 2033-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    625322 | PA      | $550097.44    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                 | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111FA6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     38000 | PA      | $39321.06     | 0.00%             | 2040-06-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                            | Drive Auto Receivables Trust 2025-1                                             | CUSIP: 262102AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5400000 | PA      | $5467494.60   | 0.15%             | 2032-09-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140HF4E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252710 | PA      | $215973.71    | 0.01%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U3D3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    325000 | PA      | $337694.72    | 0.01%             | 2034-04-24      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    285277 | PA      | $258685.94    | 0.01%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31393CRH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6403 | PA      | $6609.33      | 0.00%             | 2033-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                                | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MDS6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    400000 | PA      | $414422.49    | 0.01%             | 2030-04-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AFRX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172987 | PA      | $141107.54    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                              | AbbVie Inc                                                                      | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    530000 | PA      | $523915.51    | 0.01%             | 2026-11-21      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DNFT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    293278 | PA      | $263996.66    | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L2PU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    589013 | PA      | $482687.81    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XCB80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86092 | PA      | $73491.37     | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XDRK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227144 | PA      | $185811.55    | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1083000 | PA      | $1003601.62   | 0.03%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFY47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    815332 | PA      | $777122.75    | 0.02%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                       | NatWest Group PLC                                                               | CUSIP: 639057AV0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    690000 | PA      | $707516.37    | 0.02%             | 2031-05-23      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAPITAL C                                | American Water Capital Corp                                                     | CUSIP: 03040WAX3<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    225000 | PA      | $163352.68    | 0.00%             | 2050-05-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                   | Toronto-Dominion Bank/The                                                       | CUSIP: 89115A2M3<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    240000 | PA      | $245706.68    | 0.01%             | 2028-01-10      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                       | Kinder Morgan Inc                                                               | CUSIP: 49456BAH4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    550000 | PA      | $534214.63    | 0.01%             | 2045-06-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140NYP54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2502000 | PA      | $2553166.20   | 0.07%             | 2035-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    480000 | PA      | $402237.85    | 0.01%             | 2063-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31384VZF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         4 | PA      | $3.80         | 0.00%             | 2030-06-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    590000 | PA      | $616096.33    | 0.02%             | 2035-01-23      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-2 A PTT                                 | United Airlines 2016-2 Class A Pass Through Trust                               | CUSIP: 90932DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    199559 | PA      | $189222.06    | 0.01%             | 2028-10-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                 | GSR Mortgage Loan Trust 2004-6F                                                 | CUSIP: 36228F2E5<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | ABS-MBS          | CORP              | US        |     12266 | PA      | $11860.97     | 0.00%             | 2034-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE INSURANCE                                 | New York Life Insurance Co                                                      | CUSIP: 64952GAQ1<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |    105000 | PA      | $83422.08     | 0.00%             | 2069-05-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust 2025-2                                      | CUSIP: 30168JAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8100000 | PA      | $8311926.78   | 0.23%             | 2031-07-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                                | Alexandria Real Estate Equities Inc                                             | CUSIP: 015271AP4<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              |  | US        |     23000 | PA      | $22909.88     | 0.00%             | 2026-04-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1740000 | PA      | $1625915.87   | 0.04%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                   | Mexico Government International Bond                                            | CUSIP: 91087BBK5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   7013000 | PA      | $6991961.00   | 0.19%             | 2033-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617MB5B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52870 | PA      | $50191.27     | 0.00%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1128739 | PA      | $968015.80    | 0.03%             | 2062-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NUCOR CORP                                              | Nucor Corp                                                                      | CUSIP: 670346BA2<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |    759000 | PA      | $771676.45    | 0.02%             | 2035-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXUL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    674335 | PA      | $672107.51    | 0.02%             | 2061-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                       | EOG Resources Inc                                                               | CUSIP: 26875PBA8<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    309000 | PA      | $323502.07    | 0.01%             | 2055-07-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1278000 | PA      | $1270402.12   | 0.03%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| DTE ELECTRIC CO                                         | DTE Electric Co                                                                 | CUSIP: 23338VAR7<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    226000 | PA      | $169003.35    | 0.00%             | 2052-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FGSM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    232985 | PA      | $202401.33    | 0.01%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                                 | Dell International LLC / EMC Corp                                               | CUSIP: 24703TAE6<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |    292000 | PA      | $293624.15    | 0.01%             | 2026-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2021-HQA2                                         | CUSIP: 35564KFV6<br>LEI: 5493000ISM9M3KNO6J64 | Long             | ABS-MBS          | USGSE             | US        |   1720090 | PA      | $1761320.50   | 0.05%             | 2033-12-25      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Alabama Power Co                                        | Alabama Power Co                                                                | CUSIP: 010392EZ7<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |     62000 | PA      | $67898.71     | 0.00%             | 2038-05-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XJV91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1434781 | PA      | $1318532.46   | 0.04%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1610127 | PA      | $1489338.26   | 0.04%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140KQPL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    519437 | PA      | $423249.08    | 0.01%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KGNJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    311074 | PA      | $279045.79    | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DQJE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144019 | PA      | $143948.37    | 0.00%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    525545 | PA      | $454212.01    | 0.01%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20755TAC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1073000 | PA      | $1072995.60   | 0.03%             | 2045-05-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                             | Exelon Corp                                                                     | CUSIP: 30161NBN0<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   1140000 | PA      | $1183203.33   | 0.03%             | 2034-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAQ8<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    220000 | PA      | $215901.52    | 0.01%             | 2027-06-14      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1102108 | PA      | $912526.32    | 0.02%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                                | Electricite de France SA                                                        | CUSIP: 268317AZ7<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |    960000 | PA      | $1021103.94   | 0.03%             | 2034-04-22      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                    | CUSIP: 20030NDG3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    570000 | PA      | $551452.18    | 0.02%             | 2030-04-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31397LC23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5378 | PA      | $635.65       | 0.00%             | 2038-07-25      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXHG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    979100 | PA      | $1018179.86   | 0.03%             | 2058-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                            | Broadcom Inc                                                                    | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2778000 | PA      | $2403430.15   | 0.07%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136BNET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1290000 | PA      | $1133543.00   | 0.03%             | 2032-04-25      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                  | Lending Funding Trust 2020-2                                                    | CUSIP: 51507KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1305000 | PA      | $1282386.31   | 0.03%             | 2031-04-21      | Fixed         | 2.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1118382 | PA      | $946725.19    | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1511000 | PA      | $1500132.75   | 0.04%             | 2028-06-05      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FEXM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    258251 | PA      | $228086.07    | 0.01%             | 2048-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                            | Ford Credit Auto Owner Trust 2024-B                                             | CUSIP: 34531QAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1213000 | PA      | $1230894.66   | 0.03%             | 2029-04-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                            | UBS Group AG                                                                    | CUSIP: 225401BM9<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    475000 | PA      | $473388.50    | 0.01%             | 2031-09-23      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VFD1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    680000 | PA      | $534942.99    | 0.01%             | 2050-03-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X9XJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    557774 | PA      | $580389.29    | 0.02%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128JNBN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11125 | PA      | $11300.71     | 0.00%             | 2035-03-01      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                  | CVS Pass-Through Trust                                                          | CUSIP: 126650BY5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     53417 | PA      | $54282.81     | 0.00%             | 2034-01-10      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| NEVADA POWER CO                                         | Nevada Power Co                                                                 | CUSIP: 641423CG1<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    160000 | PA      | $166443.08    | 0.00%             | 2054-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136BLW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1288991.40   | 0.04%             | 2031-11-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2021-11                                                | CUSIP: 46654KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    938139 | PA      | $777629.60    | 0.02%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133A0MT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38931 | PA      | $34930.98     | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138WJSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189393 | PA      | $171215.43    | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EU81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1748328 | PA      | $1740604.84   | 0.05%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810QA9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1037800 | PA      | $949424.84    | 0.03%             | 2039-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31358SU66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       598 | PA      | $77.15        | 0.00%             | 2031-01-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 61747YFS9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    870000 | PA      | $891629.32    | 0.02%             | 2030-07-19      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XBQ37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2057304 | PA      | $1756959.13   | 0.05%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                                 | Dell International LLC / EMC Corp                                               | CUSIP: 24703DBJ9<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |    287000 | PA      | $293281.36    | 0.01%             | 2028-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYVX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2204648 | PA      | $1858499.18   | 0.05%             | 2041-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                        | Altria Group Inc                                                                | CUSIP: 02209SBM4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    610000 | PA      | $472815.20    | 0.01%             | 2041-02-04      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140JBGA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13767825 | PA      | $11535585.42  | 0.31%             | 2032-11-01      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31359S6G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21643 | PA      | $2347.81      | 0.00%             | 2031-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38380R4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1949867 | PA      | $117307.34    | 0.00%             | 2062-10-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                            | NiSource Inc                                                                    | CUSIP: 65473PAS4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1134435.17   | 0.03%             | 2029-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust          | Morgan Stanley Residential Mortgage Loan Trust 2021-1                           | CUSIP: 61772AAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255409 | PA      | $211710.43    | 0.01%             | 2051-03-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KN6U2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    308679 | PA      | $291647.29    | 0.01%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31385JEL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9801 | PA      | $10256.39     | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LGT69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96951 | PA      | $94297.00     | 0.00%             | 2032-07-01      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                          | Microsoft Corp                                                                  | CUSIP: 594918CC6<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |   2220000 | PA      | $1405419.86   | 0.04%             | 2050-06-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179TV77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    291686 | PA      | $288386.96    | 0.01%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140HY3U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1495509 | PA      | $1203486.38   | 0.03%             | 2035-07-01      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140Q7SL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3801 | PA      | $3355.04      | 0.00%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| O'Reilly Automotive Inc                                 | O'Reilly Automotive Inc                                                         | CUSIP: 67103HAE7<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |     80000 | PA      | $79773.06     | 0.00%             | 2026-03-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                         | CVS Health Corp                                                                 | CUSIP: 126650DH0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    230000 | PA      | $228032.80    | 0.01%             | 2027-04-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust           | Bridgecrest Lending Auto Securitization Trust 2024-3                            | CUSIP: 10805NAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2255000 | PA      | $2280850.19   | 0.06%             | 2029-07-16      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418D3X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3871482 | PA      | $3132010.93   | 0.09%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XDBN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263824 | PA      | $237035.17    | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31292G2S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1842 | PA      | $1903.01      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                           | Citigroup Inc                                                                   | CUSIP: 172967LD1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    200000 | PA      | $199183.53    | 0.01%             | 2028-01-10      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                                  | ConocoPhillips Co                                                               | CUSIP: 20826FBL9<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    651000 | PA      | $659494.81    | 0.02%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                       | HSBC Holdings PLC                                                               | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $188787.71    | 0.01%             | 2029-08-17      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XDGD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1025142 | PA      | $875555.82    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EQT Corp                                                | EQT Corp                                                                        | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     45000 | PA      | $44710.97     | 0.00%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $2773593.75   | 0.08%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COSTCO WHOLESALE CORP                                   | Costco Wholesale Corp                                                           | CUSIP: 22160KAN5<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | DBT              | CORP              | US        |    930000 | PA      | $893439.24    | 0.02%             | 2027-06-20      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X8DY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    734067 | PA      | $690124.37    | 0.02%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                | Benchmark 2021-B25 Mortgage Trust                                               | CUSIP: 08163DAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1225000 | PA      | $1094740.24   | 0.03%             | 2054-04-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYZB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152857 | PA      | $156532.01    | 0.00%             | 2043-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XJAH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    927460 | PA      | $854612.46    | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X7FP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2173542 | PA      | $2034442.27   | 0.06%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                                | Alexandria Real Estate Equities Inc                                             | CUSIP: 015271AS8<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              |  | US        |    125000 | PA      | $95879.09     | 0.00%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KNK69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5967255 | PA      | $5087235.31   | 0.14%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179UPA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    216082 | PA      | $206242.27    | 0.01%             | 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        |    511440 | PA      | $455293.46    | 0.01%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                    | Fannie Mae REMIC Trust 2003-W1                                                  | CUSIP: 31392GVX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     80351 | PA      | $79293.26     | 0.00%             | 2042-12-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    460694 | PA      | $377561.55    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 29379VCK7<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    574000 | PA      | $579953.71    | 0.02%             | 2031-01-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HBC93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4180000 | PA      | $4290979.84   | 0.12%             | 2030-11-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Halliburton Co                                          | Halliburton Co                                                                  | CUSIP: 406216BK6<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    220000 | PA      | $200031.47    | 0.01%             | 2045-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                           | MASTR Alternative Loan Trust 2004-4                                             | CUSIP: 576434QG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6421 | PA      | $5515.18      | 0.00%             | 2024-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38378KYP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    269622 | PA      | $247630.01    | 0.01%             | 2047-11-16      | Variable      | 2.78%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                                     | Oportun Issuance Trust 2021-C                                                   | CUSIP: 68377WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    665164 | PA      | $652617.20    | 0.02%             | 2031-10-08      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136BPWE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7500000 | PA      | $6481960.50   | 0.18%             | 2032-04-25      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                     | Global Payments Inc                                                             | CUSIP: 37940XAN2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     91000 | PA      | $93061.33     | 0.00%             | 2029-08-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2025-2                               | CUSIP: 35563VAY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5197987 | PA      | $4409539.82   | 0.12%             | 2065-06-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38375UY79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    443142 | PA      | $16624.17     | 0.00%             | 2067-11-20      | Variable      | 2.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XJ7B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2292173 | PA      | $2288276.95   | 0.06%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DH EUROPE FINANCE II                                    | DH Europe Finance II Sarl                                                       | CUSIP: 23291KAJ4<br>LEI: 222100KDGL314CKTZ511 | Long             | DBT              | CORP              | LU        |    184000 | PA      | $150754.81    | 0.00%             | 2039-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                       | L3Harris Technologies Inc                                                       | CUSIP: 502431AT6<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |   1080000 | PA      | $1124274.96   | 0.03%             | 2031-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622AAZZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    439447 | PA      | $357859.48    | 0.01%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                       | L3Harris Technologies Inc                                                       | CUSIP: 413875AS4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    440000 | PA      | $438596.58    | 0.01%             | 2035-04-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                   | Foundry JV Holdco LLC                                                           | CUSIP: 350930AH6<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    683000 | PA      | $725621.01    | 0.02%             | 2036-01-25      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38382KQ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1106703 | PA      | $163139.98    | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                        | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CX5<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    520000 | PA      | $527446.62    | 0.01%             | 2030-09-11      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                              | AMSR 2021-SFR1 Trust                                                            | CUSIP: 00179DAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5059000 | PA      | $4793262.87   | 0.13%             | 2038-06-17      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X6L74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    909202 | PA      | $882618.52    | 0.02%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AGRD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63049 | PA      | $51663.40     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust 2017-4                          | CUSIP: 35563PDD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9026633 | PA      | $8128616.39   | 0.22%             | 2057-06-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    270000 | PA      | $267975.04    | 0.01%             | 2028-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                           | MASTR Alternative Loan Trust 2003-9                                             | CUSIP: 576434LD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17506 | PA      | $16826.92     | 0.00%             | 2034-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9M92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1620827 | PA      | $1406433.05   | 0.04%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Inflation-Indexed Notes                                           | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16830664 | PA      | $16311457.20  | 0.44%             | 2033-01-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                             | Hertz Vehicle Financing III LP                                                  | CUSIP: 42806MAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1840000 | PA      | $1790057.80   | 0.05%             | 2027-12-27      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                      | BX Trust 2019-OC11                                                              | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    870000 | PA      | $821368.48    | 0.02%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| PFIZER INVESTMENT ENTER                                 | Pfizer Investment Enterprises Pte Ltd                                           | CUSIP: 716973AE2<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |    210000 | PA      | $212152.85    | 0.01%             | 2033-05-19      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| STARBUCKS CORP                                          | Starbucks Corp                                                                  | CUSIP: 855244BH1<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |    850000 | PA      | $874363.60    | 0.02%             | 2031-02-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPXB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    211867 | PA      | $215616.20    | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DMVK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138364 | PA      | $123584.90    | 0.00%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140M32Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    401683 | PA      | $323880.53    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31374CQU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    669211 | PA      | $669793.19    | 0.02%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                          | Microsoft Corp                                                                  | CUSIP: 594918CF9<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     40000 | PA      | $26028.08     | 0.00%             | 2062-03-17      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XMBQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1508750 | PA      | $1281552.04   | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                  | BP Capital Markets America Inc                                                  | CUSIP: 10373QBE9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    150000 | PA      | $149635.87    | 0.00%             | 2026-02-11      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp                                          | Microsoft Corp                                                                  | CUSIP: 594918BS2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18256.28     | 0.00%             | 2036-08-08      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XK6S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    223158 | PA      | $222042.48    | 0.01%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                   | Truist Financial Corp                                                           | CUSIP: 89788MAQ5<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   1420000 | PA      | $1538003.46   | 0.04%             | 2029-10-30      | Fixed         | 7.16%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                                    | FirstKey Homes 2021-SFR1 Trust                                                  | CUSIP: 33767WAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5378425.80   | 0.15%             | 2038-08-17      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KPY85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4657869 | PA      | $4663076.56   | 0.13%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                 | Hyundai Capital America                                                         | CUSIP: 44891ABP1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    130000 | PA      | $125071.47    | 0.00%             | 2027-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                          | Carvana Auto Receivables Trust 2023-P4                                          | CUSIP: 14687NAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    631000 | PA      | $654829.72    | 0.02%             | 2029-09-10      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38375UWR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43420 | PA      | $43610.67     | 0.00%             | 2066-05-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1432578.12   | 0.04%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFVE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74843 | PA      | $61470.25     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31396LVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8502 | PA      | $7277.72      | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                               | CUSIP: 36295VE39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    407047 | PA      | $429716.86    | 0.01%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3133TCTN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6532 | PA      | $6684.13      | 0.00%             | 2028-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31397ELL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7112 | PA      | $613.53       | 0.00%             | 2037-01-15      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                  | Mizuho Financial Group Inc                                                      | CUSIP: 60687YCR8<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    400000 | PA      | $421726.61    | 0.01%             | 2031-05-27      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| ENTERGY TEXAS INC                                       | Entergy Texas Inc                                                               | CUSIP: 29365TAN4<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |    100000 | PA      | $101415.89    | 0.00%             | 2053-09-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                | AT&T Inc                                                                        | CUSIP: 00206RAG7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    390000 | PA      | $424448.19    | 0.01%             | 2038-01-15      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9C69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    933150 | PA      | $813995.35    | 0.02%             | 2040-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179SJU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    384141 | PA      | $368358.69    | 0.01%             | 2046-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                            | Comcast Corp                                                                    | CUSIP: 20030NCK5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    110000 | PA      | $85990.10     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAP INTL                                  | TotalEnergies Capital International SA                                          | CUSIP: 89153VAX7<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |    350000 | PA      | $265378.35    | 0.01%             | 2041-06-29      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617FRAU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    961830 | PA      | $1013787.52   | 0.03%             | 2072-07-20      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                            | Broadcom Inc                                                                    | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    650000 | PA      | $648256.80    | 0.02%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38382HM98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    765743 | PA      | $115863.42    | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179T4Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7442 | PA      | $7357.70      | 0.00%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31416BNE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171656 | PA      | $175922.92    | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X8LV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1323671 | PA      | $1081512.73   | 0.03%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                       | GLS Auto Select Receivables Trust 2023-2                                        | CUSIP: 36269EAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4250000 | PA      | $4339296.75   | 0.12%             | 2029-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140KNVZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    480339 | PA      | $389663.16    | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FINANCE CORP                                  | Bunge Ltd Finance Corp                                                          | CUSIP: 120568BE9<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |   1081000 | PA      | $1077290.47   | 0.03%             | 2029-09-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                   | Entergy Louisiana LLC                                                           | CUSIP: 29364WBQ0<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |   2355000 | PA      | $2411189.26   | 0.07%             | 2055-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   2140000 | PA      | $2102517.43   | 0.06%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                          | Solventum Corp                                                                  | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |   1410000 | PA      | $1467992.43   | 0.04%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYC2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    250000 | PA      | $193290.75    | 0.01%             | 2042-04-22      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CET4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5100000 | PA      | $5015531.25   | 0.14%             | 2027-05-31      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                               | CUSIP: 36209CR24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       156 | PA      | $157.50       | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                                     | SG Residential Mortgage Trust 2022-1                                            | CUSIP: 78433QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2386079 | PA      | $2262128.91   | 0.06%             | 2062-03-27      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust           | Bridgecrest Lending Auto Securitization Trust 2024-1                            | CUSIP: 107933AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2341000 | PA      | $2365618.66   | 0.06%             | 2029-04-16      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                                  | NXP BV / NXP Funding LLC / NXP USA Inc                                          | CUSIP: 62954HAU2<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    370000 | PA      | $281112.62    | 0.01%             | 2041-05-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                     | Citigroup Commercial Mortgage Trust 2020-555                                    | CUSIP: 17328EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    581000 | PA      | $525007.05    | 0.01%             | 2041-12-10      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140MHS83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130936 | PA      | $116199.42    | 0.00%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138WJWF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    732231 | PA      | $663985.25    | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                               | CUSIP: 3622ABDD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    234247 | PA      | $211716.91    | 0.01%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                                | Rogers Communications Inc                                                       | CUSIP: 775109DF5<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |    955000 | PA      | $968833.60    | 0.03%             | 2034-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QS3T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2118738 | PA      | $2154062.02   | 0.06%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                            | Broadcom Inc                                                                    | CUSIP: 11135FAQ4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    230000 | PA      | $229095.16    | 0.01%             | 2030-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140M33H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    356045 | PA      | $304982.10    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H0GP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4615138 | PA      | $44041.33     | 0.00%             | 2028-03-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179XLD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    543805 | PA      | $487625.66    | 0.01%             | 2052-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179XFD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    293246 | PA      | $252897.10    | 0.01%             | 2052-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128JLW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4573 | PA      | $4641.76      | 0.00%             | 2034-04-01      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X9VH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75611 | PA      | $72951.99     | 0.00%             | 2039-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXEF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3186916 | PA      | $3010601.49   | 0.08%             | 2056-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                  | CHL Mortgage Pass-Through Trust 2004-HYB3                                       | CUSIP: 12669FYY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5904 | PA      | $5560.32      | 0.00%             | 2034-06-20      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 313920LG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9994 | PA      | $10501.50     | 0.00%             | 2031-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                  | Standard Chartered PLC                                                          | CUSIP: 85325C2A9<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    478000 | PA      | $486409.73    | 0.01%             | 2030-10-15      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31392KMK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2507 | PA      | $234.38       | 0.00%             | 2032-03-15      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2018-1 B PTT                                 | United Airlines 2018-1 Class B Pass Through Trust                               | CUSIP: 90932NAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     48538 | PA      | $48281.95     | 0.00%             | 2026-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                  | PNC Financial Services Group Inc/The                                            | CUSIP: 693475CC7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    430000 | PA      | $448662.77    | 0.01%             | 2036-01-29      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                              | US Bancorp                                                                      | CUSIP: 91159HJC5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    130000 | PA      | $126649.50    | 0.00%             | 2028-01-27      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XLYF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1062924 | PA      | $1098781.83   | 0.03%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E                                         | San Diego Gas & Electric Co                                                     | CUSIP: 797440BF0<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |     70000 | PA      | $72073.25     | 0.00%             | 2035-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                         | Danske Bank A/S                                                                 | CUSIP: 23636ABK6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1425000 | PA      | $1451928.17   | 0.04%             | 2031-03-04      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3133TLUH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2906 | PA      | $3011.58      | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140NBPD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221398 | PA      | $225412.09    | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BMO 2022-C1 Mortgage Trust                              | BMO 2022-C1 Mortgage Trust                                                      | CUSIP: 05609MCC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    308000 | PA      | $285088.93    | 0.01%             | 2055-02-15      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L4F53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132987 | PA      | $109089.97    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X4P75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272591 | PA      | $274218.14    | 0.01%             | 2038-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| XYLEM INC                                               | Xylem Inc/NY                                                                    | CUSIP: 98419MAL4<br>LEI: 549300DF5MV96DRYLQ48 | Long             | DBT              | CORP              | US        |    110000 | PA      | $98817.78     | 0.00%             | 2031-01-30      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128337P9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6835000 | PA      | $5489614.73   | 0.15%             | 2031-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB37<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1345000 | PA      | $1384602.35   | 0.04%             | 2035-07-23      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA                                  | Skandinaviska Enskilda Banken AB                                                | CUSIP: 830505BB8<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |   1630000 | PA      | $1689656.58   | 0.05%             | 2029-03-05      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                  | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822DQ4<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   2380000 | PA      | $2418345.68   | 0.07%             | 2036-09-12      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38382KS87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    328259 | PA      | $49594.52     | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                     | New Residential Mortgage Loan Trust 2016-3                                      | CUSIP: 64829HAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    458529 | PA      | $430974.60    | 0.01%             | 2056-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $453808.60    | 0.01%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                   | Mexico Government International Bond                                            | CUSIP: 91087BBF6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1338000 | PA      | $1406251.38   | 0.04%             | 2038-01-29      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                               | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29                     | CUSIP: 61766EBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540000 | PA      | $535942.12    | 0.01%             | 2049-05-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138EPVM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    522288 | PA      | $535112.50    | 0.01%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    480677 | PA      | $429518.29    | 0.01%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                             | Aker BP ASA                                                                     | CUSIP: 00973RAP8<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    325000 | PA      | $301311.01    | 0.01%             | 2054-10-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622AAVM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    450391 | PA      | $371797.26    | 0.01%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                            | WP Carey Inc                                                                    | CUSIP: 92936UAH2<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              |  | US        |    180000 | PA      | $150262.38    | 0.00%             | 2033-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXWK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    273062 | PA      | $258448.51    | 0.01%             | 2062-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                               | CUSIP: 3617MN3S0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    133641 | PA      | $118276.18    | 0.00%             | 2050-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132A9T64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65037 | PA      | $63338.97     | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QFS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    552949 | PA      | $565482.94    | 0.02%             | 2047-11-01      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                      | F&G Global Funding                                                              | CUSIP: 30321L2A9<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |    185000 | PA      | $181374.10    | 0.00%             | 2026-06-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1211008 | PA      | $1238814.94   | 0.03%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                  | Aviation Capital Group LLC                                                      | CUSIP: 05369AAA9<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   1376000 | PA      | $1351361.36   | 0.04%             | 2027-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                         | Cigna Group/The                                                                 | CUSIP: 125523CZ1<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   3400000 | PA      | $3443329.53   | 0.09%             | 2036-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2021-1                                                 | CUSIP: 46592EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    262691 | PA      | $217746.12    | 0.01%             | 2051-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                         | Cigna Group/The                                                                 | CUSIP: 125523AK6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    700000 | PA      | $628384.74    | 0.02%             | 2048-12-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                 | HCA Inc                                                                         | CUSIP: 404119BY4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    125000 | PA      | $120445.34    | 0.00%             | 2039-06-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee                   | VOLT XCVII LLC                                                                  | CUSIP: 91835EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33418 | PA      | $33412.39     | 0.00%             | 2051-04-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYWA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148343 | PA      | $128300.45    | 0.00%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MBS3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    480000 | PA      | $474723.44    | 0.01%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617MW7E7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    780370 | PA      | $709482.47    | 0.02%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CJJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 102615000 | PA      | $106094289.84 | 2.89%             | 2033-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137H24R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1248377 | PA      | $177608.48    | 0.00%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                     | NatWest Markets PLC                                                             | CUSIP: 63906YAJ7<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |    345000 | PA      | $357840.70    | 0.01%             | 2029-05-17      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179U4A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    580565 | PA      | $502963.57    | 0.01%             | 2049-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2014-USA OA LLC                                                            | CUSIP: 12649AAJ8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   5620000 | PA      | $4996222.15   | 0.14%             | 2037-09-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FVQG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    779241 | PA      | $129399.85    | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1078300 | PA      | $932109.33    | 0.03%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ADC6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    289000 | PA      | $306230.07    | 0.01%             | 2034-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XDND4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144456 | PA      | $118169.25    | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Trust 2022-LBA6                                                              | CUSIP: 12433EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1680000 | PA      | $1678949.50   | 0.05%             | 2039-01-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                | Capital One Financial Corp                                                      | CUSIP: 14040HCH6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     74000 | PA      | $72103.50     | 0.00%             | 2027-11-02      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L5GE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58029 | PA      | $49938.03     | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                    | Bank of America Corp                                                            | CUSIP: 06051GFC8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1660000 | PA      | $1623309.57   | 0.04%             | 2044-01-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14518700 | PA      | $9686695.16   | 0.26%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| KBC GROUP NV                                            | KBC Group NV                                                                    | CUSIP: 48241FAD6<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |    670000 | PA      | $681511.89    | 0.02%             | 2030-10-16      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                                  | Galaxy Pipeline Assets Bidco Ltd                                                | CUSIP: 36321PAE0<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |    216595 | PA      | $183925.35    | 0.01%             | 2040-09-30      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    625000 | PA      | $563311.82    | 0.02%             | 2032-05-01      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| PPL ELECTRIC UTILITIES                                  | PPL Electric Utilities Corp                                                     | CUSIP: 69351UBB8<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |    225000 | PA      | $219340.77    | 0.01%             | 2053-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust                            | Mastr Resecuritization Trust 2005-PO                                            | CUSIP: 576435BB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4272 | PA      | $3343.23      | 0.00%             | 2035-05-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXUH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    746776 | PA      | $698943.50    | 0.02%             | 2061-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Equity Loan Trust                      | CWHEQ Revolving Home Equity Loan Trust Series 2006-I                            | CUSIP: 12668FAB0<br>LEI: 254900WKCCG7QRE77W83 | Long             | ABS-O            | CORP              | US        |    341449 | PA      | $327371.67    | 0.01%             | 2037-01-15      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LGTW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95077 | PA      | $91739.71     | 0.00%             | 2032-06-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140MAWL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152039 | PA      | $152505.24    | 0.00%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2014-USA OA LLC                                                            | CUSIP: 12649AAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    885000 | PA      | $813076.67    | 0.02%             | 2037-09-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                              | US Bancorp                                                                      | CUSIP: 91159HJP6<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    325000 | PA      | $333707.28    | 0.01%             | 2027-10-26      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KN6X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1865602 | PA      | $1776568.99   | 0.05%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                            | Barclays PLC                                                                    | CUSIP: 06738ECY9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    935000 | PA      | $964127.70    | 0.03%             | 2031-02-25      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2021-13                                                | CUSIP: 46592XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1214479 | PA      | $1006689.35   | 0.03%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DUB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    396808 | PA      | $359887.73    | 0.01%             | 2040-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                        | Freddie Mac Strips                                                              | CUSIP: 3128HXKY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70030 | PA      | $66688.34     | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                | Florida Power & Light Co                                                        | CUSIP: 341081GM3<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    210000 | PA      | $206148.26    | 0.01%             | 2053-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Ventas Realty LP                                        | Ventas Realty LP                                                                | CUSIP: 92277GAG2<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              |  | US        |      9000 | PA      | $8981.18      | 0.00%             | 2026-01-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617YMN65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105693 | PA      | $94389.37     | 0.00%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133B6T83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76824 | PA      | $65867.02     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FWG95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1475103 | PA      | $75718.05     | 0.00%             | 2030-06-25      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| Amazon.com Inc                                          | Amazon.com Inc                                                                  | CUSIP: 023135BC9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $1018785.17   | 0.03%             | 2027-08-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LGN24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $97332.42     | 0.00%             | 2032-07-01      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                            | CD 2019-CD8 Mortgage Trust                                                      | CUSIP: 12515BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1393000 | PA      | $1288166.44   | 0.04%             | 2057-08-15      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| MACQUARIE AIRFINANCE HLD                                | Macquarie Airfinance Holdings Ltd                                               | CUSIP: 55609NAE8<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |   1995000 | PA      | $2022889.34   | 0.06%             | 2030-03-17      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622AAZY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    724450 | PA      | $596245.57    | 0.02%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential 2022-SFR2 Trust                                            | CUSIP: 74332VAJ4<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   2700000 | PA      | $2672709.21   | 0.07%             | 2027-04-17      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPXE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1965522 | PA      | $2009625.64   | 0.05%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XK2J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    294483 | PA      | $294164.29    | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9KX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156551 | PA      | $135887.26    | 0.00%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617JYLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102754 | PA      | $93734.18     | 0.00%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                            | UBS Group AG                                                                    | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    840000 | PA      | $777308.19    | 0.02%             | 2032-05-14      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                                    | WEC Energy Group Inc                                                            | CUSIP: 92939UAM8<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |    155000 | PA      | $157047.23    | 0.00%             | 2026-09-12      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| TYSON FOODS INC                                         | Tyson Foods Inc                                                                 | CUSIP: 902494BM4<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |    880000 | PA      | $927287.88    | 0.03%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                           | AEP Texas Inc                                                                   | CUSIP: 00108WAR1<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    219000 | PA      | $225215.17    | 0.01%             | 2033-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31339NJ23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2914 | PA      | $3234.82      | 0.00%             | 2032-02-15      | Floating      | 7.83%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                     | COMM 2016-CR28 Mortgage Trust                                                   | CUSIP: 12593YBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    628665 | PA      | $627565.69    | 0.02%             | 2049-02-10      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust            | Wells Fargo Mortgage Backed Securities 2020-1 Trust                             | CUSIP: 95002KAA1<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |     51852 | PA      | $44534.20     | 0.00%             | 2049-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2024-1 AA PTT                                | United Airlines 2024-1 Class AA Pass Through Trust                              | CUSIP: 90932WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2688012 | PA      | $2764944.25   | 0.08%             | 2037-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XDMP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267254 | PA      | $238876.47    | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    176200 | PA      | $135866.72    | 0.00%             | 2048-05-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31415PZX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       369 | PA      | $382.35       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136ADA74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18504 | PA      | $13937.65     | 0.00%             | 2043-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Nvent Finance Sarl                                      | nVent Finance Sarl                                                              | CUSIP: 67078AAD5<br>LEI: 549300KO1OQ4MVFB6X02 | Long             | DBT              | CORP              | LU        |     75000 | PA      | $75272.86     | 0.00%             | 2028-04-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BDR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1349494 | PA      | $215475.66    | 0.01%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                              | GLS Auto Receivables Issuer Trust 2025-1                                        | CUSIP: 36271KAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5104265.50   | 0.14%             | 2030-11-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2017-5                                                 | CUSIP: 46590YAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2432526 | PA      | $2453400.76   | 0.07%             | 2048-10-26      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    250000 | PA      | $216210.94    | 0.01%             | 2031-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                | RTX Corp                                                                        | CUSIP: 75513EAD3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    570000 | PA      | $522051.54    | 0.01%             | 2030-07-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABUA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    428972 | PA      | $380445.20    | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                           | AIB Group PLC                                                                   | CUSIP: 00135TAE4<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |   2340000 | PA      | $2461645.37   | 0.07%             | 2035-03-28      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    651000 | PA      | $405755.41    | 0.01%             | 2061-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31397LRU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6726 | PA      | $370.59       | 0.00%             | 2038-06-25      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QLNT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3017720 | PA      | $2574928.85   | 0.07%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                               | CUSIP: 36208HR40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       289 | PA      | $290.70       | 0.00%             | 2027-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                         | BAE Systems PLC                                                                 | CUSIP: 05523RAF4<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $176001.82    | 0.00%             | 2031-02-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138LMF32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1494066 | PA      | $1436397.07   | 0.04%             | 2030-03-01      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                 | HCA Inc                                                                         | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    521000 | PA      | $488777.16    | 0.01%             | 2032-03-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                | OBX 2022-NQM1 Trust                                                             | CUSIP: 67114VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2338805 | PA      | $2115381.22   | 0.06%             | 2061-11-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                              | AbbVie Inc                                                                      | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    510000 | PA      | $456417.04    | 0.01%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAX9<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1750000 | PA      | $1775069.85   | 0.05%             | 2030-01-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES 2015-1AA                                | Delta Air Lines 2015-1 Class AA Pass Through Trust                              | CUSIP: 24736XAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    225519 | PA      | $222308.49    | 0.01%             | 2027-07-30      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAV3<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    715000 | PA      | $730453.03    | 0.02%             | 2035-10-30      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABJF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210795 | PA      | $180714.98    | 0.00%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                    | Glencore Funding LLC                                                            | CUSIP: 378272BU1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   1020000 | PA      | $1061568.06   | 0.03%             | 2034-04-04      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                | Pioneer Natural Resources Co                                                    | CUSIP: 723787AR8<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |   5390000 | PA      | $4846163.93   | 0.13%             | 2031-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| MTN Commercial Mortgage Trust 2022-LPFL                 | MTN Commercial Mortgage Trust 2022-LPFL                                         | CUSIP: 62475WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1030000 | PA      | $1029998.87   | 0.03%             | 2039-03-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418ECH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365004 | PA      | $324154.71    | 0.01%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities                | Freddie Mac Structured Pass-Through Certificates                                | CUSIP: 31393RGJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    128971 | PA      | $100529.14    | 0.00%             | 2043-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140H3XP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    636367 | PA      | $600267.58    | 0.02%             | 2037-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2023-1                   | CUSIP: 35563PK73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1134667 | PA      | $949346.59    | 0.03%             | 2062-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810QX9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1800000 | PA      | $1400835.94   | 0.04%             | 2042-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 2YR NOTE (CBT) DEC25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       572 | NC      | $54308.61     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31359UZG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4560 | PA      | $4671.90      | 0.00%             | 2028-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179VMG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1066696 | PA      | $1050848.37   | 0.03%             | 2050-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                                | Delta Air Lines Inc / SkyMiles IP Ltd                                           | CUSIP: 830867AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     96666 | PA      | $96547.95     | 0.00%             | 2025-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                                | Baltimore Gas and Electric Co                                                   | CUSIP: 059165ES5<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    850000 | PA      | $867775.99    | 0.02%             | 2054-06-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                             | Aker BP ASA                                                                     | CUSIP: 00973RAN3<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    600000 | PA      | $589788.33    | 0.02%             | 2034-10-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AMS72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    434716 | PA      | $388682.14    | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                                | Constellation Energy Generation LLC                                             | CUSIP: 210385AE0<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    330000 | PA      | $367762.12    | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                            | UBS Group AG                                                                    | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1320000 | PA      | $1331292.07   | 0.04%             | 2028-05-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                        | Duke Energy Corp                                                                | CUSIP: 26441CCK9<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1310000 | PA      | $1305239.41   | 0.04%             | 2055-09-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140HVY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1001478 | PA      | $943057.62    | 0.03%             | 2029-11-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                   | Mexico Government International Bonds                                           | CUSIP: 91087BAS9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    685000 | PA      | $510701.75    | 0.01%             | 2052-02-12      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                     | Elevance Health Inc                                                             | CUSIP: 036752AG8<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     55000 | PA      | $54970.21     | 0.00%             | 2028-03-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38374TRY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26046 | PA      | $1610.52      | 0.00%             | 2039-04-20      | Floating      | 2.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LHKP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $1044576.53   | 0.03%             | 2032-11-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XPNL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7637240 | PA      | $6457332.47   | 0.18%             | 2052-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                   | CUSIP: 097023CD5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    830000 | PA      | $800881.83    | 0.02%             | 2029-03-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CNR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  59000000 | PA      | $59276562.50  | 1.62%             | 2032-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXKP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    800335 | PA      | $776532.80    | 0.02%             | 2058-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179TXX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    104810 | PA      | $106237.36    | 0.00%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206406 | PA      | $178525.31    | 0.00%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X9LP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    409354 | PA      | $335688.66    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XL6W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1699302 | PA      | $1455251.93   | 0.04%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US ULTRA BOND CBT DEC25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        89 | NC      | $263053.42    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                               | CUSIP: 36178DH20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14131 | PA      | $12944.96     | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L1UL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197507 | PA      | $161806.34    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128337W4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     50000 | PA      | $33960.14     | 0.00%             | 2034-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418BZK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240989 | PA      | $225068.54    | 0.01%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140M1CG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    880918 | PA      | $747139.40    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD GRP/CO                                | JBS USA Holding Lux Sarl / JBS USA Foods Group Holdings Inc / JBS USA Food Co   | CUSIP: 472140AE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2629000 | PA      | $2684761.09   | 0.07%             | 2036-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292925 | PA      | $251613.37    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KPYZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162481 | PA      | $159039.44    | 0.00%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QP4C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136309 | PA      | $137834.46    | 0.00%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EV98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1454590 | PA      | $1490244.14   | 0.04%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                  | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BU8<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    671000 | PA      | $760211.32    | 0.02%             | 2034-10-20      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QMK52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    212614 | PA      | $190468.87    | 0.01%             | 2041-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                  | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KAT7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     27000 | PA      | $26772.86     | 0.00%             | 2027-05-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29273VAW0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    472000 | PA      | $457098.56    | 0.01%             | 2054-05-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                           | Citigroup Inc                                                                   | CUSIP: 172967EW7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     50000 | PA      | $64100.71     | 0.00%             | 2039-07-15      | Fixed         | 8.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179W2W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1987313 | PA      | $1822592.69   | 0.05%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31359WMT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8419 | PA      | $551.14       | 0.00%             | 2029-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                | Benchmark 2020-B22 Mortgage Trust                                               | CUSIP: 08163BBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2110000 | PA      | $1838345.73   | 0.05%             | 2054-01-15      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133USHZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    243582 | PA      | $208296.55    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    760000 | PA      | $785568.91    | 0.02%             | 2042-03-25      | Floating      | 7.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    852237 | PA      | $695002.10    | 0.02%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                              | MFA 2020-NQM1 Trust                                                             | CUSIP: 552754AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    283620 | PA      | $273951.03    | 0.01%             | 2049-08-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| UDR INC                                                 | UDR Inc                                                                         | CUSIP: 90265EAQ3<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              |  | US        |    150000 | PA      | $143420.92    | 0.00%             | 2030-01-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1120000 | PA      | $1007249.50   | 0.03%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RMY5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    266000 | PA      | $273960.93    | 0.01%             | 2035-08-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                               | ONEOK Inc                                                                       | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    140000 | PA      | $140044.81    | 0.00%             | 2031-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AJZN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    864243 | PA      | $32996.11     | 0.00%             | 2029-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LFY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    298949 | PA      | $285433.42    | 0.01%             | 2032-06-01      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128K7DW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17346 | PA      | $18127.21     | 0.00%             | 2035-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp                                         | McDonald's Corp                                                                 | CUSIP: 58013MFA7<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $980261.38    | 0.03%             | 2045-12-09      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38383CNR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    411721 | PA      | $77989.14     | 0.00%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                  | CUSIP: 09659W2F0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1360000 | PA      | $1364088.08   | 0.04%             | 2028-08-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38382HY87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    307143 | PA      | $45867.02     | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DOC DR LLC                                              | DOC DR LLC                                                                      | CUSIP: 71951QAC6<br>LEI: 549300P6Q1UMT0X60U20 | Long             | DBT              |  | US        |    130000 | PA      | $115846.73    | 0.00%             | 2031-11-01      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418BY91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98196 | PA      | $97462.95     | 0.00%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418ED72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55722 | PA      | $51000.04     | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust 2025-4                                      | CUSIP: 30167KAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6400000 | PA      | $6420439.68   | 0.18%             | 2032-01-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SY                                | American Transmission Systems Inc                                               | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    240000 | PA      | $215319.03    | 0.01%             | 2032-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QP3N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143831 | PA      | $143574.04    | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                             | RCKT Mortgage Trust 2021-1                                                      | CUSIP: 749350AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    266103 | PA      | $220574.55    | 0.01%             | 2051-03-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPP69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    403683 | PA      | $411001.62    | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Salomon Brothers Mortgage Securities VII                | Citigroup Global Markets Mortgage Securities VII Inc                            | CUSIP: 79549AYG8<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |      1834 | PA      | $1811.44      | 0.00%             | 2033-09-25      | Variable      | 6.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622ACKW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    394128 | PA      | $395122.22    | 0.01%             | 2053-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                              | AbbVie Inc                                                                      | CUSIP: 00287YAR0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98129.99     | 0.00%             | 2035-05-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967NF4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     75000 | PA      | $54966.05     | 0.00%             | 2042-11-03      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9GP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    549677 | PA      | $476437.41    | 0.01%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138WDH95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4906359 | PA      | $4612563.84   | 0.13%             | 2044-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128334W7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $72376.51     | 0.00%             | 2033-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                   | Texas Instruments Inc                                                           | CUSIP: 882926AA6<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |    276000 | PA      | $256489.63    | 0.01%             | 2063-05-18      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CMC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    745000 | PA      | $770842.19    | 0.02%             | 2031-12-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                            | UBS Group AG                                                                    | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $247905.86    | 0.01%             | 2029-01-12      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PDU3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1770000 | PA      | $1325138.43   | 0.04%             | 2049-08-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LLP62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $511575.05    | 0.01%             | 2028-09-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UNIV SOUTHERN CALIFORNIA                                | University of Southern California                                               | CUSIP: 914886AD8<br>LEI: 0GMCSQ6M60R4T46U5511 | Long             | DBT              | CORP              | US        |    110000 | PA      | $64780.13     | 0.00%             | 2120-10-01      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ELECTRIC                                 | Public Service Electric and Gas Co                                              | CUSIP: 74456QCG9<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |   1785000 | PA      | $1181741.36   | 0.03%             | 2051-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FXC89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    734313 | PA      | $99278.55     | 0.00%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Amgen Inc                                               | Amgen Inc                                                                       | CUSIP: 031162CF5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    300000 | PA      | $262064.55    | 0.01%             | 2051-06-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                            | Comcast Corp                                                                    | CUSIP: 20030NCE9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    152000 | PA      | $117217.13    | 0.00%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BG4M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    366760 | PA      | $334541.59    | 0.01%             | 2046-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                              | GLS Auto Receivables Issuer Trust 2025-3                                        | CUSIP: 37989YAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2970000 | PA      | $2978706.85   | 0.08%             | 2031-06-16      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1565270 | PA      | $1405283.17   | 0.04%             | 2062-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PEW8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    320000 | PA      | $293211.76    | 0.01%             | 2053-04-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L06A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    474966 | PA      | $389224.28    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137AJYN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    291939 | PA      | $32069.75     | 0.00%             | 2041-12-15      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| NORTHWESTERN MEMORIAL                                   | Northwestern Memorial Healthcare Obligated Group                                | CUSIP: 668103AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    882000 | PA      | $545319.28    | 0.01%             | 2051-07-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                              | Leidos Inc                                                                      | CUSIP: 52532XAK1<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    862000 | PA      | $895517.24    | 0.02%             | 2032-03-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26123900 | PA      | $14922257.48  | 0.41%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                          | NRG Energy Inc                                                                  | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    210000 | PA      | $201304.82    | 0.01%             | 2027-12-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140J8VU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3227492 | PA      | $2938766.32   | 0.08%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ASCENSION HEALTH                                        | Ascension Health                                                                | CUSIP: 04352EAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    190000 | PA      | $178599.10    | 0.00%             | 2029-11-15      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                  | Morgan Stanley Bank NA                                                          | CUSIP: 61690U4T4<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    285000 | PA      | $285788.96    | 0.01%             | 2026-04-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140NXB85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1861000 | PA      | $1848132.39   | 0.05%             | 2035-01-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179UCB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    108588 | PA      | $103887.95    | 0.00%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Reynolds American Inc                                   | Reynolds American Inc                                                           | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    150000 | PA      | $148645.84    | 0.00%             | 2045-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co                                    | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    153000 | PA      | $127324.73    | 0.00%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                              | Leidos Inc                                                                      | CUSIP: 52532XAL9<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |   1173000 | PA      | $1215375.48   | 0.03%             | 2035-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912833X88<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    250000 | PA      | $165449.33    | 0.00%             | 2035-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132WKLT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    790166 | PA      | $717396.98    | 0.02%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE OKLAHOMA                                 | Public Service Co of Oklahoma                                                   | CUSIP: 744533BJ8<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    175000 | PA      | $194892.09    | 0.01%             | 2037-11-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179RXC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37686 | PA      | $34204.05     | 0.00%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPUU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    479798 | PA      | $480896.13    | 0.01%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Trust 2020-GC47                                          | CUSIP: 36258RBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1235000 | PA      | $1127822.01   | 0.03%             | 2053-05-12      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| TENNESSEE GAS PIPELINE                                  | Tennessee Gas Pipeline Co LLC                                                   | CUSIP: 880451AZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1214000 | PA      | $1137039.11   | 0.03%             | 2030-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp                                        | Duke Energy Corp                                                                | CUSIP: 26441CAX3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    240000 | PA      | $236188.79    | 0.01%             | 2027-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFAK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1677995 | PA      | $1539411.57   | 0.04%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| APA CORP                                                | APA Corp                                                                        | CUSIP: 03743QBA5<br>LEI: 549300VCIWLRHYVSHC79 | Long             | DBT              | CORP              | US        |   1690000 | PA      | $1654575.07   | 0.05%             | 2037-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities                | Freddie Mac Structured Pass-Through Certificates                                | CUSIP: 31394JY35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11364 | PA      | $11945.31     | 0.00%             | 2043-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140F9WR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    618986 | PA      | $559572.51    | 0.02%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    553657 | PA      | $555745.16    | 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        |    457072 | PA      | $452703.64    | 0.01%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                     | Southern California Edison Co                                                   | CUSIP: 842400HV8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    115000 | PA      | $107988.34    | 0.00%             | 2053-03-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128334V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $296453.68    | 0.01%             | 2033-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QRVY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    471799 | PA      | $459065.58    | 0.01%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L6TB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187150 | PA      | $153317.84    | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31393UWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       162 | PA      | $165.48       | 0.00%             | 2034-01-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                | Benchmark 2022-B33 Mortgage Trust                                               | CUSIP: 08163PBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    386000 | PA      | $306060.44    | 0.01%             | 2055-03-15      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XCQ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    877572 | PA      | $787617.58    | 0.02%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                        | FirstEnergy Corp                                                                | CUSIP: 337932AN7<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    250000 | PA      | $247814.23    | 0.01%             | 2026-01-15      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFTH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    373653 | PA      | $320957.99    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                                | Penske Truck Leasing Co Lp / PTL Finance Corp                                   | CUSIP: 709599CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $102827.98    | 0.00%             | 2029-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3133TAUE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       151 | PA      | $150.92       | 0.00%             | 2027-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                       | NatWest Group PLC                                                               | CUSIP: 639057AK4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    440000 | PA      | $458770.63    | 0.01%             | 2029-09-13      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                         | CVS Health Corp                                                                 | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    840000 | PA      | $762522.26    | 0.02%             | 2045-07-20      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138EPNQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    349909 | PA      | $359467.91    | 0.01%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17093000 | PA      | $16934088.43  | 0.46%             | 2044-11-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                     | New Residential Mortgage Loan Trust 2017-1                                      | CUSIP: 64829JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1131465 | PA      | $1103763.78   | 0.03%             | 2057-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133D4R39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1325502 | PA      | $1183319.85   | 0.03%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38383LDU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    728010 | PA      | $606185.43    | 0.02%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                  | SLM Private Credit Student Loan Trust 2005-B                                    | CUSIP: 78443CCB8<br>LEI: 549300FE2YWO5PJ3Q820 | Long             | ABS-O            | CORP              | US        |    407456 | PA      | $397678.38    | 0.01%             | 2039-06-15      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| CKE Restaurants Holdings Inc                            | Hardee's Funding LLC                                                            | CUSIP: 411707AK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2211825 | PA      | $2051069.12   | 0.06%             | 2051-06-20      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                        | Societe Generale SA                                                             | CUSIP: 83368RBZ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1208000 | PA      | $1221064.29   | 0.03%             | 2027-02-19      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 61747YFG5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    120000 | PA      | $125028.13    | 0.00%             | 2034-07-21      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                 | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111FY4<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    200000 | PA      | $159228.57    | 0.00%             | 2050-04-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31398NJQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    606058 | PA      | $63538.91     | 0.00%             | 2040-09-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| MYMICHIGAN HEALTH                                       | MyMichigan Health                                                               | CUSIP: 597861AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     80000 | PA      | $56795.41     | 0.00%             | 2050-06-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    210495 | PA      | $195881.34    | 0.01%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                                 | KazMunayGas National Co JSC                                                     | CUSIP: 48667QAP0<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |   2050000 | PA      | $1909026.09   | 0.05%             | 2047-04-19      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2667642 | PA      | $2160098.46   | 0.06%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SACO I Trust                                            | SACO I Inc                                                                      | CUSIP: 073919AK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       741 | PA      | $699.35       | 0.00%             | 2036-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE REG FINANCE                                  | Blackstone Reg Finance Co LLC                                                   | CUSIP: 092914AA8<br>LEI: 254900S2G1V55FTA4590 | Long             | DBT              | CORP              | US        |    872000 | PA      | $881101.10    | 0.02%             | 2034-12-06      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    730000 | PA      | $636925.00    | 0.02%             | 2043-08-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| NNN REIT INC                                            | NNN REIT Inc                                                                    | CUSIP: 637417AL0<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              |  | US        |    150000 | PA      | $150347.32    | 0.00%             | 2028-10-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| AstraZeneca PLC                                         | AstraZeneca PLC                                                                 | CUSIP: 046353AD0<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |     50000 | PA      | $56997.65     | 0.00%             | 2037-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LLQ79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $1123344.08   | 0.03%             | 2028-09-01      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FRUL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5190762 | PA      | $281319.07    | 0.01%             | 2030-01-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                | Benchmark 2022-B34 Mortgage Trust                                               | CUSIP: 08161YBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410000 | PA      | $381771.54    | 0.01%             | 2055-04-15      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                  | Extra Space Storage LP                                                          | CUSIP: 30225VAS6<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |   1004000 | PA      | $1033156.86   | 0.03%             | 2034-02-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132A5EL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9876 | PA      | $9502.00      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Amazon.com Inc                                          | Amazon.com Inc                                                                  | CUSIP: 023135BM7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    150000 | PA      | $126035.07    | 0.00%             | 2057-08-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MID-AMERICA APARTMENTS                                  | Mid-America Apartments LP                                                       | CUSIP: 59523UAS6<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              |  | US        |    150000 | PA      | $130359.66    | 0.00%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H93E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8352223 | PA      | $152227.61    | 0.00%             | 2032-08-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AJE90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    158286 | PA      | $129465.69    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                        | Duke Energy Corp                                                                | CUSIP: 26441CCA1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    880000 | PA      | $926258.00    | 0.03%             | 2053-09-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| American Tower Trust I                                  | American Tower Trust #1                                                         | CUSIP: 03027WAK8<br>LEI: 5493004YGM0MQZJOEJ36 | Long             | DBT              |  | US        |    160000 | PA      | $157278.34    | 0.00%             | 2028-03-23      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 313399C47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9915 | PA      | $10170.35     | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                               | Towd Point Mortgage Trust 2016-3                                                | CUSIP: 89172YAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    850000 | PA      | $838658.11    | 0.02%             | 2056-04-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                                   | Southern California Gas Co                                                      | CUSIP: 842434CU4<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    195000 | PA      | $182006.46    | 0.00%             | 2030-02-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179XDA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72603 | PA      | $62826.01     | 0.00%             | 2052-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179T7K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    365886 | PA      | $349564.17    | 0.01%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    489000 | PA      | $505923.21    | 0.01%             | 2031-01-24      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXRT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    559730 | PA      | $489069.33    | 0.01%             | 2060-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31307XB76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22672 | PA      | $21822.28     | 0.00%             | 2033-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179YFE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14239009 | PA      | $12282093.18  | 0.33%             | 2053-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LJP91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $204624.70    | 0.01%             | 2033-01-01      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FMU42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3700000 | PA      | $143142.27    | 0.00%             | 2029-06-25      | Variable      | 1.28%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PDV1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    490000 | PA      | $359127.82    | 0.01%             | 2059-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                           | CoreVest American Finance 2019-2Trust                                           | CUSIP: 21872GAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $480075.50    | 0.01%             | 2052-06-15      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    655816 | PA      | $619530.97    | 0.02%             | 2057-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138EK7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390672 | PA      | $379961.70    | 0.01%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BXG Receivables Note Trust                              | BXG Receivables Note Trust 2022-A                                               | CUSIP: 12434KAC0<br>LEI: 549300MVRSYZ837KPY83 | Long             | ABS-O            | CORP              | US        |    348924 | PA      | $343836.21    | 0.01%             | 2037-09-28      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                  | Pacific Gas and Electric Co                                                     | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    140000 | PA      | $134573.92    | 0.00%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                 | WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust                  | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    541146 | PA      | $516949.81    | 0.01%             | 2045-10-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| ALIBABA GROUP HOLDING                                   | Alibaba Group Holding Ltd                                                       | CUSIP: 01609WBK7<br>LEI: 5493001NTNQJDH60PM02 | Long             | DBT              | CORP              | KY        |    771000 | PA      | $807240.62    | 0.02%             | 2035-05-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                            | Bridge 2024-SFR1 Trust                                                          | CUSIP: 10806DAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1526000 | PA      | $1475079.67   | 0.04%             | 2040-08-17      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW USA INFRA HLDS                                | South Bow USA Infrastructure Holdings LLC                                       | CUSIP: 83007CAB8<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    335000 | PA      | $337867.79    | 0.01%             | 2027-09-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc            | BAMLL Re-REMIC Trust 2024-FRR3                                                  | CUSIP: 054988AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5681166.00   | 0.15%             | 2050-01-27      | Variable      | 1.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AP3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    711241 | PA      | $616511.09    | 0.02%             | 2045-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418BYV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    436139 | PA      | $414678.36    | 0.01%             | 2036-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GA95<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2780000 | PA      | $2961980.63   | 0.08%             | 2035-04-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179SQV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148022 | PA      | $134122.33    | 0.00%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                          | Amazon.com Inc                                                                  | CUSIP: 023135BZ8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    750000 | PA      | $674744.60    | 0.02%             | 2031-05-12      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QPHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    495671 | PA      | $439393.49    | 0.01%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1320000 | PA      | $1348699.49   | 0.04%             | 2035-12-03      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912834MZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21405000 | PA      | $8802035.03   | 0.24%             | 2043-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140JMGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137508 | PA      | $139589.15    | 0.00%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGFQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2897801 | PA      | $2596146.75   | 0.07%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                 | HCA Inc                                                                         | CUSIP: 404121AK1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   2877000 | PA      | $2951199.07   | 0.08%             | 2034-09-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H9C98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2005000 | PA      | $1931894.89   | 0.05%             | 2032-09-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31396LD23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16110 | PA      | $1594.95      | 0.00%             | 2036-12-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGG45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    479622 | PA      | $440147.95    | 0.01%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                             | Oracle Corp                                                                     | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   4830000 | PA      | $3400124.48   | 0.09%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOB FUNDING                                 | Corebridge Global Funding                                                       | CUSIP: 00138CBH0<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    745000 | PA      | $748316.67    | 0.02%             | 2032-08-21      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Brookfield Finance Inc                                  | Brookfield Finance Inc                                                          | CUSIP: 11271LAC6<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |     55000 | PA      | $54607.28     | 0.00%             | 2028-01-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31396FSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20399 | PA      | $25985.85     | 0.00%             | 2035-12-15      | Floating      | 10.77%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31392K5C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6961 | PA      | $7277.93      | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                                | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MDZ0<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   1500000 | PA      | $1526664.29   | 0.04%             | 2033-07-08      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    305597 | PA      | $284539.39    | 0.01%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 86765BAK5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     60000 | PA      | $61145.14     | 0.00%             | 2042-02-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    671000 | PA      | $692002.94    | 0.02%             | 2031-04-23      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FVQ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    293332 | PA      | $45683.49     | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                                 | Southern Co Gas Capital Corp                                                    | CUSIP: 001192AH6<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     96000 | PA      | $99538.28     | 0.00%             | 2041-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                               | Kroger Co/The                                                                   | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    460000 | PA      | $463905.25    | 0.01%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XDLR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222139 | PA      | $188535.01    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                | Mars Inc                                                                        | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    840000 | PA      | $855772.87    | 0.02%             | 2030-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFUJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73484 | PA      | $60150.79     | 0.00%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179VFS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    698205 | PA      | $688553.13    | 0.02%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136B4KB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    463217 | PA      | $451830.36    | 0.01%             | 2029-02-25      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                              | Intel Corp                                                                      | CUSIP: 458140BJ8<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    800000 | PA      | $531590.89    | 0.01%             | 2049-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                            | UBS Group AG                                                                    | CUSIP: 225401BP2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   2010000 | PA      | $2000308.85   | 0.05%             | 2037-03-23      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622AC5Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1132792 | PA      | $1148640.20   | 0.03%             | 2054-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGRZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137416 | PA      | $125962.08    | 0.00%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                              | Pfizer Inc                                                                      | CUSIP: 717081FA6<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    760000 | PA      | $479355.97    | 0.01%             | 2050-05-28      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                               | Towd Point Mortgage Trust 2019-HY2                                              | CUSIP: 89177HAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    950000 | PA      | $960405.92    | 0.03%             | 2058-05-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QNL26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    837982 | PA      | $718739.96    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31307WYS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43585 | PA      | $42148.58     | 0.00%             | 2033-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FF3Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2264878 | PA      | $22240.20     | 0.00%             | 2027-12-25      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                            | CD 2016-CD2 Mortgage Trust                                                      | CUSIP: 12515ABD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    835614 | PA      | $827309.38    | 0.02%             | 2049-11-10      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 31339U3D0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10175390 | PA      | $8657649.27   | 0.24%             | 2049-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31398SND1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218010 | PA      | $194526.12    | 0.01%             | 2040-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AQPP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1448936 | PA      | $1240161.34   | 0.03%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38721 | PA      | $36016.53     | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROP LP                                    | COPT Defense Properties LP                                                      | CUSIP: 22003BAL0<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              |  | US        |    470000 | PA      | $465207.80    | 0.01%             | 2026-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912834JH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    850000 | PA      | $415367.03    | 0.01%             | 2040-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                      | Alternative Loan Trust 2004-2CB                                                 | CUSIP: 12667FAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    276168 | PA      | $280400.12    | 0.01%             | 2034-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan Trust                    | GMACM Mortgage Loan Trust 2005-AR3                                              | CUSIP: 36185N7E4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22446 | PA      | $21290.22     | 0.00%             | 2035-06-19      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                     | New Residential Mortgage Loan Trust 2017-6                                      | CUSIP: 64830BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2340968 | PA      | $2275535.47   | 0.06%             | 2057-08-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                       | NatWest Group PLC                                                               | CUSIP: 639057AJ7<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    830000 | PA      | $834964.38    | 0.02%             | 2027-03-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| American Tower Corp                                     | American Tower Corp                                                             | CUSIP: 03027XAK6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     44000 | PA      | $43678.32     | 0.00%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3885768 | PA      | $3168877.25   | 0.09%             | 2061-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DN5J8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    238986 | PA      | $204515.91    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FLYL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1841650 | PA      | $81440.32     | 0.00%             | 2034-03-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140N6NC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    445533 | PA      | $435876.23    | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FINANCE CORP                                  | Bunge Ltd Finance Corp                                                          | CUSIP: 120568BC3<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |    400000 | PA      | $366724.11    | 0.01%             | 2031-05-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XADE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    748554 | PA      | $612357.65    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGGN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142542 | PA      | $122492.80    | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                          | NRG Energy Inc                                                                  | CUSIP: 629377CN0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    185000 | PA      | $184023.27    | 0.01%             | 2025-12-02      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VBG8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    680000 | PA      | $551728.92    | 0.02%             | 2042-11-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| EVERGY MISSOURI W STORM                                 | Evergy Missouri West Storm Funding I LLC                                        | CUSIP: 30037HAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1439788 | PA      | $1465772.74   | 0.04%             | 2038-12-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                 | Hyundai Capital America                                                         | CUSIP: 44891ACG0<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   1280000 | PA      | $1291850.85   | 0.04%             | 2026-06-26      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPCK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    219132 | PA      | $223264.47    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SIEMENS FUNDING BV                                      | Siemens Funding BV                                                              | CUSIP: 82622RAD8<br>LEI: 213800CCRGH2TO338X64 | Long             | DBT              | CORP              | NL        |    404000 | PA      | $414388.06    | 0.01%             | 2032-05-28      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| KEYCORP                                                 | KeyCorp                                                                         | CUSIP: 49326EEN9<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |     55000 | PA      | $54813.88     | 0.00%             | 2033-06-01      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    140000 | PA      | $143931.92    | 0.00%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2021-SOAR                                          | CUSIP: 05608WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1130992 | PA      | $1130285.13   | 0.03%             | 2038-06-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| MCCORMICK & CO                                          | McCormick & Co Inc/MD                                                           | CUSIP: 579780AQ0<br>LEI: 549300JQQA6MQ4OJP259 | Long             | DBT              | CORP              | US        |    342000 | PA      | $316571.33    | 0.01%             | 2030-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABB35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    607570 | PA      | $523180.02    | 0.01%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810QK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11875000 | PA      | $11069262.73  | 0.30%             | 2040-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                   | Time Warner Cable LLC                                                           | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    521000 | PA      | $545080.83    | 0.01%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                       | NatWest Group PLC                                                               | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   1660000 | PA      | $1686085.72   | 0.05%             | 2029-05-18      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XLPT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76088 | PA      | $78052.57     | 0.00%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138EKLG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60765 | PA      | $57355.13     | 0.00%             | 2042-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Halliburton Co                                          | Halliburton Co                                                                  | CUSIP: 406216AW1<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |     60000 | PA      | $67186.96     | 0.00%             | 2038-09-15      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9198000 | PA      | $9551548.13   | 0.26%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1180000 | PA      | $1217581.36   | 0.03%             | 2035-07-19      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Parker-Hannifin Corp                                    | Parker-Hannifin Corp                                                            | CUSIP: 70109HAN5<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |     30000 | PA      | $26631.31     | 0.00%             | 2044-11-21      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140HV4V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    674501 | PA      | $631679.84    | 0.02%             | 2029-10-01      | Fixed         | 2.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QSAY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    662424 | PA      | $672239.81    | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                 | HCA Inc                                                                         | CUSIP: 404119CW7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   2435000 | PA      | $2444813.66   | 0.07%             | 2064-04-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDN1<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    600000 | PA      | $595570.59    | 0.02%             | 2028-04-06      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XABM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141755 | PA      | $116472.97    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418ELW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    921607 | PA      | $899866.57    | 0.02%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179XNB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    811692 | PA      | $726273.06    | 0.02%             | 2052-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CNN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21000000 | PA      | $21126328.02  | 0.58%             | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1420000 | PA      | $1035934.38   | 0.03%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TR 2013                                | CVS Pass-Through Trust Series 2013                                              | CUSIP: 12665UAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    119371 | PA      | $114251.57    | 0.00%             | 2036-01-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3961428 | PA      | $3539802.81   | 0.10%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140NBEP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101845 | PA      | $106169.69    | 0.00%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                | Benchmark 2020-B20 Mortgage Trust                                               | CUSIP: 08162XBG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1915000 | PA      | $1683580.10   | 0.05%             | 2053-10-15      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136B8UA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150411 | PA      | $134678.73    | 0.00%             | 2037-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                               | CUSIP: 3617MKLU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    198124 | PA      | $181465.69    | 0.00%             | 2050-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31339LQS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       878 | PA      | $842.59       | 0.00%             | 2031-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31393UZU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25590 | PA      | $26142.52     | 0.00%             | 2034-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140M2SK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    832194 | PA      | $740725.59    | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                  | Santander Drive Auto Receivables Trust 2022-6                                   | CUSIP: 802918AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5553708.05   | 0.15%             | 2031-02-18      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| ONEOK Partners LP                                       | ONEOK Partners LP                                                               | CUSIP: 68268NAC7<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |     15000 | PA      | $16390.55     | 0.00%             | 2036-10-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BMY69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1366610 | PA      | $1029302.72   | 0.03%             | 2042-06-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38381ETV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4932586 | PA      | $240715.61    | 0.01%             | 2061-02-16      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGQ44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1119407 | PA      | $984861.67    | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ACCENTURE CAPITAL INC                                   | Accenture Capital Inc                                                           | CUSIP: 00440KAD5<br>LEI: 254900FRO0P7RIINYT25 | Long             | DBT              | CORP              | US        |   1637000 | PA      | $1614448.82   | 0.04%             | 2034-10-04      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132A9T23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61699 | PA      | $60132.75     | 0.00%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179TXV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136534 | PA      | $130933.95    | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                      | Aqua Finance Issuer Trust 2025-B                                                | CUSIP: 03837GAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3395000 | PA      | $3435458.89   | 0.09%             | 2051-05-17      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                            | Bridge 2024-SFR1 Trust                                                          | CUSIP: 10806DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    875000 | PA      | $854793.98    | 0.02%             | 2040-08-17      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179XLJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1288900 | PA      | $1301935.87   | 0.04%             | 2052-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corp Trust 2013-PEMB                                     | CUSIP: 36197VAA6<br>LEI: 549300E4QCAQ0FY44H36 | Long             | ABS-MBS          | CORP              | US        |   3810000 | PA      | $3275929.06   | 0.09%             | 2033-03-05      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140JNRV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74556 | PA      | $74583.50     | 0.00%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XKSW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164327 | PA      | $169448.30    | 0.00%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOSTON GAS COMPANY                                      | Boston Gas Co                                                                   | CUSIP: 100743AJ2<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |     22000 | PA      | $18969.45     | 0.00%             | 2042-02-15      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38382NT31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1243255 | PA      | $220849.42    | 0.01%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                            | Comcast Corp                                                                    | CUSIP: 20030NBS9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    840000 | PA      | $836591.44    | 0.02%             | 2026-03-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   1610000 | PA      | $1627822.62   | 0.04%             | 2049-01-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                   | Vendee Mortgage Trust 1997-1                                                    | CUSIP: 911760KE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9515 | PA      | $9637.57      | 0.00%             | 2027-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XG4L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73990 | PA      | $64531.03     | 0.00%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XLTR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3960538 | PA      | $3716603.37   | 0.10%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UDR INC                                                 | UDR Inc                                                                         | CUSIP: 90265EAT7<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              |  | US        |    160000 | PA      | $136399.85    | 0.00%             | 2032-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    861976 | PA      | $773876.36    | 0.02%             | 2062-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1525000 | PA      | $1523974.51   | 0.04%             | 2026-05-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                 | BPCE SA                                                                         | CUSIP: 05571AAZ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    900000 | PA      | $939940.66    | 0.03%             | 2031-01-14      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                      | Credit Agricole SA                                                              | CUSIP: 22535WAK3<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    736000 | PA      | $757307.49    | 0.02%             | 2030-01-10      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3133TE4B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       782 | PA      | $799.19       | 0.00%             | 2028-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XKHM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    420628 | PA      | $408890.04    | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                    | FREMF 2018-K733 Mortgage Trust                                                  | CUSIP: 35708YAU0<br>LEI: 549300KQ08QVSM4XK212 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1960024.40   | 0.05%             | 2051-02-25      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418ECZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    830872 | PA      | $731967.23    | 0.02%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                       | Credit Acceptance Auto Loan Trust 2023-3                                        | CUSIP: 224936AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    623150 | PA      | $626899.12    | 0.02%             | 2033-08-15      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   4205000 | PA      | $3872357.08   | 0.11%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38374NPM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    356773 | PA      | $381261.05    | 0.01%             | 2036-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36202CTT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        86 | PA      | $86.01        | 0.00%             | 2027-01-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QC6H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    359948 | PA      | $342410.87    | 0.01%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    996286 | PA      | $861598.06    | 0.02%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    494048 | PA      | $430070.06    | 0.01%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                                    | FirstKey Homes 2020-SFR2 Trust                                                  | CUSIP: 33767JAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850000 | PA      | $846348.74    | 0.02%             | 2037-10-19      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                                 | Kinder Morgan Energy Partners LP                                                | CUSIP: 494550BU9<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    440000 | PA      | $424744.14    | 0.01%             | 2044-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                | Virginia Electric and Power Co                                                  | CUSIP: 927804FE9<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     70000 | PA      | $77044.62     | 0.00%             | 2037-11-30      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RHY3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   2642000 | PA      | $2732458.12   | 0.07%             | 2030-06-20      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                     | Carrier Global Corp                                                             | CUSIP: 14448CAS3<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |     24000 | PA      | $17898.59     | 0.00%             | 2050-04-05      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QRDB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1264967 | PA      | $1325699.16   | 0.04%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912833PE4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    250000 | PA      | $233511.50    | 0.01%             | 2027-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136B3YD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $861921.54    | 0.02%             | 2036-01-25      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                              | AMSR 2022-SFR3 Trust                                                            | CUSIP: 66981YAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $970318.40    | 0.03%             | 2039-10-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912833XY1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3465000 | PA      | $2874525.30   | 0.08%             | 2030-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LG5U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    486290 | PA      | $469210.49    | 0.01%             | 2032-08-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X6MU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    873821 | PA      | $843854.94    | 0.02%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                            | NiSource Inc                                                                    | CUSIP: 65473PAL9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    190000 | PA      | $165005.62    | 0.00%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418BLU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127349 | PA      | $123913.77    | 0.00%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                              | US Bancorp                                                                      | CUSIP: 91159HJR2<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    482000 | PA      | $507493.68    | 0.01%             | 2035-01-23      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179Q6P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8008 | PA      | $7475.61      | 0.00%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LGX98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95479 | PA      | $94205.79     | 0.00%             | 2032-07-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    710000 | PA      | $742172.02    | 0.02%             | 2036-01-24      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140MQAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69212 | PA      | $66028.31     | 0.00%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GMRF Mortgage Acquisition Co., LLC                      | Galton Funding Mortgage Trust 2017-1                                            | CUSIP: 36416UAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87419 | PA      | $77485.27     | 0.00%             | 2056-07-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJWC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7545 | PA      | $7273.97      | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                      | Wendy's Funding LLC                                                             | CUSIP: 95058XAK4<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |   1731754 | PA      | $1608264.57   | 0.04%             | 2051-06-15      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1839180.92   | 0.05%             | 2033-07-22      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                                 | Southern Co Gas Capital Corp                                                    | CUSIP: 8426EPAB4<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     21000 | PA      | $16614.46     | 0.00%             | 2046-10-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYV71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    509639 | PA      | $440785.16    | 0.01%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                         | CVS Health Corp                                                                 | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    180000 | PA      | $156440.96    | 0.00%             | 2031-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CHEVRON USA INC                                         | Chevron USA Inc                                                                 | CUSIP: 166756AR7<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |    500000 | PA      | $500110.97    | 0.01%             | 2028-01-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2021-XL2                                           | CUSIP: 05609KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1226263 | PA      | $1225495.83   | 0.03%             | 2038-10-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KKJ34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    728680 | PA      | $596979.22    | 0.02%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140JBZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1642342 | PA      | $1426802.73   | 0.04%             | 2032-03-01      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                   | Mexico Government International Bonds                                           | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   5067000 | PA      | $4400689.50   | 0.12%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                     | CommonSpirit Health                                                             | CUSIP: 20268JAE3<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    145000 | PA      | $145000.00    | 0.00%             | 2025-10-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                                | Burlington Northern Santa Fe LLC                                                | CUSIP: 12189LAX9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     35000 | PA      | $32123.42     | 0.00%             | 2045-09-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWFF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6811075 | PA      | $6636406.25   | 0.18%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 61748UAF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1955000 | PA      | $2046897.79   | 0.06%             | 2036-01-18      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                  | BP Capital Markets America Inc                                                  | CUSIP: 10373QBN9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    370000 | PA      | $232469.45    | 0.01%             | 2050-11-10      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                       | L3Harris Technologies Inc                                                       | CUSIP: 502431AQ2<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    297000 | PA      | $309574.55    | 0.01%             | 2033-07-31      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                     | DT Auto Owner Trust 2022-3                                                      | CUSIP: 23345RAE6<br>LEI: 549300XVMF0FUK76JG97 | Long             | ABS-O            | CORP              | US        |    298730 | PA      | $299851.80    | 0.01%             | 2028-07-17      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| BANQUE FED CRED MUTUEL                                  | Banque Federative du Credit Mutuel SA                                           | CUSIP: 06675FAZ0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    760000 | PA      | $761370.82    | 0.02%             | 2026-01-26      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| VM DEBT 2019 1 TR                                       | VM DEBT 2019 1 TR                                                               | CUSIP: 91834VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $951341.00    | 0.03%             | 2027-07-18      | Fixed         | 7.46%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                  | General Motors Financial Co Inc                                                 | CUSIP: 37045XFG6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    263000 | PA      | $271444.18    | 0.01%             | 2032-04-04      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    750000 | PA      | $729078.95    | 0.02%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Hartford Insurance Group Inc/The                        | Hartford Insurance Group Inc/The                                                | CUSIP: 416515BB9<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | DBT              | CORP              | US        |     70000 | PA      | $60842.24     | 0.00%             | 2043-04-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31392EXS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14355 | PA      | $1226.93      | 0.00%             | 2032-10-18      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140MRBS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    336721 | PA      | $336396.35    | 0.01%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                         | CFCRE Commercial Mortgage Trust 2016-C7                                         | CUSIP: 12532BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    615000 | PA      | $608253.08    | 0.02%             | 2054-12-10      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136ATQK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    669017 | PA      | $46133.93     | 0.00%             | 2046-09-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3133TDUF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12579 | PA      | $12882.17     | 0.00%             | 2028-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPAG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    601596 | PA      | $588248.67    | 0.02%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Non Gold Pool                                                       | CUSIP: 31337NHS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       295 | PA      | $294.00       | 0.00%             | 2027-01-01      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                       | Credit Acceptance Auto Loan Trust 2025-1                                        | CUSIP: 22536KAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4535000 | PA      | $4628498.10   | 0.13%             | 2035-07-16      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LJLM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $499393.96    | 0.01%             | 2033-02-01      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QEKE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2004637 | PA      | $1725320.47   | 0.05%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179SWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50968 | PA      | $46118.74     | 0.00%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LEYK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1985000 | PA      | $1742195.28   | 0.05%             | 2032-01-01      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                              | AMSR 2021-SFR4 Trust                                                            | CUSIP: 66982FAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2335274 | PA      | $2277551.63   | 0.06%             | 2038-12-17      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                            | ING Groep NV                                                                    | CUSIP: 456837AH6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $199159.70    | 0.01%             | 2027-03-29      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                          | Home Depot Inc/The                                                              | CUSIP: 437076CA8<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    320000 | PA      | $313705.46    | 0.01%             | 2027-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                               | Prosus NV                                                                       | CUSIP: 74365PAA6<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    600000 | PA      | $576424.17    | 0.02%             | 2030-01-21      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X9M93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    369848 | PA      | $350558.06    | 0.01%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Republic of Poland Government International Bonds       | Republic of Poland Government International Bonds                               | CUSIP: 731011AZ5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    921000 | PA      | $890436.21    | 0.02%             | 2054-03-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1856749 | PA      | $1514185.11   | 0.04%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                | Occidental Petroleum Corp                                                       | CUSIP: 674599CX1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    342000 | PA      | $285987.24    | 0.01%             | 2039-08-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179XQW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1854417 | PA      | $1854127.68   | 0.05%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Agate Bay Mortgage Loan Trust                           | Agate Bay Mortgage Trust 2015-1                                                 | CUSIP: 00841WBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38301 | PA      | $37447.00     | 0.00%             | 2045-01-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617BFM90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147991 | PA      | $136188.01    | 0.00%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BAKER HUGHES LLC/CO-OBL                                 | Baker Hughes Holdings LLC / Baker Hughes Co-Obligor Inc                         | CUSIP: 05723KAG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    180000 | PA      | $173151.50    | 0.00%             | 2029-11-07      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QM4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    808544 | PA      | $690305.41    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                             | Oracle Corp                                                                     | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2310000 | PA      | $2121126.20   | 0.06%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                   | Wells Fargo Commercial Mortgage Trust 2020-C58                                  | CUSIP: 95002UAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    284000 | PA      | $252582.41    | 0.01%             | 2053-07-15      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BBMQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    338851 | PA      | $55940.88     | 0.00%             | 2050-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                | Capital One Financial Corp                                                      | CUSIP: 14040HDE2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    990000 | PA      | $1027832.92   | 0.03%             | 2030-02-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAU9<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   2415000 | PA      | $2442445.68   | 0.07%             | 2030-09-11      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                              | Fiserv Inc                                                                      | CUSIP: 337738BQ0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   1475000 | PA      | $1490693.38   | 0.04%             | 2035-08-11      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                              | Intel Corp                                                                      | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    800000 | PA      | $507584.63    | 0.01%             | 2051-08-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140Q9XL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23375 | PA      | $23117.25     | 0.00%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179RS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    160710 | PA      | $149700.81    | 0.00%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corp Trust 2021-ROSS                                     | CUSIP: 36264YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2970000 | PA      | $2810344.68   | 0.08%             | 2026-05-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| OHIO POWER COMPANY                                      | Ohio Power Co                                                                   | CUSIP: 677415CV1<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |    345000 | PA      | $349703.99    | 0.01%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                   | CUSIP: 097023BX2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    224000 | PA      | $218678.91    | 0.01%             | 2028-03-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                | Western Midstream Operating LP                                                  | CUSIP: 958667AC1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    110000 | PA      | $107369.65    | 0.00%             | 2030-02-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BH7G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2496535 | PA      | $393627.95    | 0.01%             | 2051-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XCM62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1009308 | PA      | $895729.96    | 0.02%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QKDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    532034 | PA      | $479209.92    | 0.01%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KKK24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2400236 | PA      | $2066479.64   | 0.06%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138WEW39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35045 | PA      | $31883.64     | 0.00%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Brookfield Finance Inc                                  | Brookfield Finance Inc                                                          | CUSIP: 11271LAD4<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |     54000 | PA      | $54896.96     | 0.00%             | 2029-03-29      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                     | Nomura Holdings Inc                                                             | CUSIP: 65535HBM0<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    800000 | PA      | $836985.65    | 0.02%             | 2028-07-12      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                          | Home Depot Inc/The                                                              | CUSIP: 437076CP5<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |   1690000 | PA      | $1582752.94   | 0.04%             | 2032-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                              | AMSR 2021-SFR4 Trust                                                            | CUSIP: 66982FAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3800000 | PA      | $3699265.04   | 0.10%             | 2038-12-17      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                                  | CenterPoint Energy Inc                                                          | CUSIP: 15189TBA4<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |    230000 | PA      | $225723.44    | 0.01%             | 2026-06-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912833XP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3400000 | PA      | $2942392.37   | 0.08%             | 2029-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L3JA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187016 | PA      | $152856.72    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TR BK LT                                | Sumitomo Mitsui Trust Bank Ltd                                                  | CUSIP: 86563VAV1<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |    403000 | PA      | $398147.17    | 0.01%             | 2026-03-25      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138LL2N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2688035 | PA      | $2584013.69   | 0.07%             | 2030-01-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3142FFGX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8400000 | PA      | $8214700.03   | 0.22%             | 2034-11-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                       | Citigroup Mortgage Loan Trust Inc                                               | CUSIP: 17307GPS1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     27315 | PA      | $23385.10     | 0.00%             | 2035-02-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                    | Targa Resources Corp                                                            | CUSIP: 87612GAK7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   1425000 | PA      | $1450003.83   | 0.04%             | 2035-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QKQY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    751871 | PA      | $675893.74    | 0.02%             | 2041-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1511000 | PA      | $1386159.85   | 0.04%             | 2033-02-24      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 10YR ULTRA FUT DEC25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      1042 | NC      | $1422984.35   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FUVK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    355753 | PA      | $309438.91    | 0.01%             | 2045-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967NS6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    300000 | PA      | $302255.96    | 0.01%             | 2028-05-24      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| GRAY OAK PIPELINE LLC                                   | Gray Oak Pipeline LLC                                                           | CUSIP: 38937LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    165000 | PA      | $164841.57    | 0.00%             | 2025-10-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DNEW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    335429 | PA      | $309070.40    | 0.01%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS            | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-2 Trust  | CUSIP: 9393363R2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65445 | PA      | $2788.06      | 0.00%             | 2035-04-25      | Floating      | 0.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140JBF92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8226713 | PA      | $6873613.10   | 0.19%             | 2032-11-01      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Capital Automotive LP                                   | Cars Net Lease Mortgage Notes Series 2020-1                                     | CUSIP: 14576AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    156200 | PA      | $147023.78    | 0.00%             | 2050-12-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38376JFW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59214 | PA      | $4400.18      | 0.00%             | 2038-02-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 9128284V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 148450000 | PA      | $145417212.52 | 3.96%             | 2028-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20755CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    582660 | PA      | $584739.77    | 0.02%             | 2043-10-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                           | CoreVest American Finance 2020-3 Trust                                          | CUSIP: 21873CAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    810000 | PA      | $744850.81    | 0.02%             | 2053-08-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                      | Credit Agricole SA                                                              | CUSIP: 22535WAP2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    824000 | PA      | $839807.57    | 0.02%             | 2029-01-09      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                                  | Cox Communications Inc                                                          | CUSIP: 224044CM7<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    180000 | PA      | $105128.09    | 0.00%             | 2050-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Constellation Brands Inc                                | Constellation Brands Inc                                                        | CUSIP: 21036PAT5<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     65000 | PA      | $54600.44     | 0.00%             | 2047-05-09      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PT PERTAMINA (PERSERO)                                  | Pertamina Persero PT                                                            | CUSIP: 69369EAD1<br>LEI: 254900NDAKGNZ2IBBL45 | Long             | DBT              | CORP              | ID        |   1360000 | PA      | $1393599.86   | 0.04%             | 2042-05-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31393EQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1944 | PA      | $2036.88      | 0.00%             | 2033-09-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                 | Bristol-Myers Squibb Co                                                         | CUSIP: 110122EL8<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $1021476.73   | 0.03%             | 2064-02-22      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140JBUY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1678079 | PA      | $1489020.57   | 0.04%             | 2032-02-01      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133BUGZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160688 | PA      | $166804.11    | 0.00%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                                | Baltimore Gas and Electric Co                                                   | CUSIP: 059165EM8<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    110000 | PA      | $71595.24     | 0.00%             | 2050-06-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31393UVB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       270 | PA      | $257.70       | 0.00%             | 2033-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Merck & Co Inc                                          | Merck & Co Inc                                                                  | CUSIP: 58933YAW5<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    220000 | PA      | $178668.23    | 0.00%             | 2049-03-07      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31397PAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5954 | PA      | $363.40       | 0.00%             | 2037-11-15      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HB2L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    691000 | PA      | $700719.61    | 0.02%             | 2030-10-25      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                           | MASTR Alternative Loan Trust 2004-7                                             | CUSIP: 576434TQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2920 | PA      | $2203.22      | 0.00%             | 2034-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XBX62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93620 | PA      | $80410.00     | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                                    | BAT International Finance PLC                                                   | CUSIP: 05530QAN0<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |    160000 | PA      | $158061.84    | 0.00%             | 2026-03-25      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                        | Bank of Montreal                                                                | CUSIP: 06368MXV1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   2450000 | PA      | $2437873.63   | 0.07%             | 2031-09-22      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EHF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2017571 | PA      | $1972193.05   | 0.05%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                                   | Bank of Ireland Group PLC                                                       | CUSIP: 06279JAD1<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   3300000 | PA      | $3422279.19   | 0.09%             | 2030-03-20      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1430000 | PA      | $1107300.39   | 0.03%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GGM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1260000 | PA      | $1384163.32   | 0.04%             | 2041-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72658 | PA      | $70294.43     | 0.00%             | 2059-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XKYL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    494376 | PA      | $403701.43    | 0.01%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VMWARE LLC                                              | VMware LLC                                                                      | CUSIP: 928563AE5<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    135000 | PA      | $135055.28    | 0.00%             | 2027-05-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    825000 | PA      | $862698.61    | 0.02%             | 2029-09-15      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                | Pioneer Natural Resources Co                                                    | CUSIP: 723787AT4<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    160000 | PA      | $158537.81    | 0.00%             | 2026-01-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                    | Fannie Mae REMIC Trust 2004-W11                                                 | CUSIP: 31394AB47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3159 | PA      | $3263.25      | 0.00%             | 2044-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AGNG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70447 | PA      | $57904.32     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes                  | NRZ Excess Spread-Collateralized Notes Series 2020-PLS1                         | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    236521 | PA      | $235675.20    | 0.01%             | 2025-12-25      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFNN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1483002 | PA      | $1215688.22   | 0.03%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TEXTRON INC                                             | Textron Inc                                                                     | CUSIP: 883203CE9<br>LEI: 3PPKBHUG1HD6BO7RNR87 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1861931.14   | 0.05%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                  | PNC Financial Services Group Inc/The                                            | CUSIP: 693475CA1<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $1044168.86   | 0.03%             | 2032-10-21      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                    | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    206000 | PA      | $117629.49    | 0.00%             | 2063-11-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                                  | ConocoPhillips Co                                                               | CUSIP: 20826FBF2<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |   1434000 | PA      | $1477689.56   | 0.04%             | 2033-09-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                                 | Southern Co Gas Capital Corp                                                    | CUSIP: 001192AM5<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     17000 | PA      | $16894.45     | 0.00%             | 2026-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| DP Lion Holdco LLC                                      | DP Lion Holdco LLC                                                              | CUSIP: 23359MAA8<br>LEI: 254900327YUW2NAXPW14 | Long             | ABS-O            | CORP              | US        |   1570592 | PA      | $1614527.91   | 0.04%             | 2043-11-30      | Fixed         | 8.24%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                        | ABN AMRO Bank NV                                                                | CUSIP: 00084DAW0<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    900000 | PA      | $851389.56    | 0.02%             | 2029-12-13      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140MNP83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    492962 | PA      | $456965.53    | 0.01%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ACCENTURE CAPITAL INC                                   | Accenture Capital Inc                                                           | CUSIP: 00440KAC7<br>LEI: 254900FRO0P7RIINYT25 | Long             | DBT              | CORP              | US        |   3313000 | PA      | $3308054.12   | 0.09%             | 2031-10-04      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PEA6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     80000 | PA      | $49491.25     | 0.00%             | 2060-05-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| JOHNSON & JOHNSON                                       | Johnson & Johnson                                                               | CUSIP: 478160CR3<br>LEI: 549300G0CFPGEF6X2043 | Long             | DBT              | CORP              | US        |   1390000 | PA      | $979900.63    | 0.03%             | 2040-09-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35590000 | PA      | $35808266.71  | 0.98%             | 2030-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Triumph Rail LLC                                        | Triumph Rail Holdings LLC                                                       | CUSIP: 89683LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1301535 | PA      | $1244227.26   | 0.03%             | 2051-06-19      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                   | Continental Resources Inc/OK                                                    | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |   1520000 | PA      | $1510377.79   | 0.04%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                 | Bristol-Myers Squibb Co                                                         | CUSIP: 110122DR6<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    175000 | PA      | $122814.67    | 0.00%             | 2040-11-13      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Intel Corp                                              | Intel Corp                                                                      | CUSIP: 458140BG4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    590000 | PA      | $435782.68    | 0.01%             | 2047-12-08      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                            | UBS Group AG                                                                    | CUSIP: 902613BQ0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    642000 | PA      | $668262.67    | 0.02%             | 2036-05-09      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust          | Morgan Stanley Residential Mortgage Loan Trust 2021-5                           | CUSIP: 61772NAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    842132 | PA      | $698048.66    | 0.02%             | 2051-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                         | MVW 2019-2 LLC                                                                  | CUSIP: 55400DAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     96076 | PA      | $95323.86     | 0.00%             | 2038-10-20      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622AB4U3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    980745 | PA      | $955027.60    | 0.03%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                  | BP Capital Markets America Inc                                                  | CUSIP: 10373QBT6<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    630000 | PA      | $571303.70    | 0.02%             | 2032-01-12      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFMF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62424 | PA      | $56314.61     | 0.00%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SLC Student Loan Trust                                  | SLC Student Loan Trust 2008-1                                                   | CUSIP: 78444LAD5<br>LEI: 5493007QNQ56NU0MGE13 | Long             | ABS-O            | CORP              | US        |    689359 | PA      | $689328.24    | 0.02%             | 2032-12-15      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2018-BNK14                                                                 | CUSIP: 06035RAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1640000 | PA      | $1403147.92   | 0.04%             | 2060-09-15      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                   | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    810000 | PA      | $793490.94    | 0.02%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XLET1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289312 | PA      | $273658.76    | 0.01%             | 2051-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPTL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    469657 | PA      | $459159.52    | 0.01%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XBQ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139360 | PA      | $119696.35    | 0.00%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16350000 | PA      | $10518925.86  | 0.29%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31283HCS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        62 | PA      | $62.23        | 0.00%             | 2028-07-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| WW Grainger Inc                                         | WW Grainger Inc                                                                 | CUSIP: 384802AB0<br>LEI: 549300TWZSP6O1IH2V34 | Long             | DBT              | CORP              | US        |     77000 | PA      | $69545.92     | 0.00%             | 2045-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| General Motors                                          | GMF Floorplan Owner Revolving Trust                                             | CUSIP: 361886DA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2514000 | PA      | $2553095.47   | 0.07%             | 2029-03-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                   | Entergy Louisiana LLC                                                           | CUSIP: 29364WAX6<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |     38000 | PA      | $35640.85     | 0.00%             | 2031-06-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| PIEDMONT NATURAL GAS CO                                 | Piedmont Natural Gas Co Inc                                                     | CUSIP: 720186AL9<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |    200000 | PA      | $195088.60    | 0.01%             | 2029-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                           | DTE Energy Co                                                                   | CUSIP: 233331BJ5<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    350000 | PA      | $356064.77    | 0.01%             | 2028-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ERVZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    334309 | PA      | $303153.09    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    135588 | PA      | $121520.40    | 0.00%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                        | BAT Capital Corp                                                                | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    600000 | PA      | $593862.66    | 0.02%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                        | SMB Private Education Loan Trust 2021-C                                         | CUSIP: 83208AAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    566004 | PA      | $552597.34    | 0.02%             | 2053-01-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133ABUR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300591 | PA      | $258791.57    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QNXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134159 | PA      | $126778.51    | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                  | Diamondback Energy Inc                                                          | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1350719.57   | 0.04%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31403QVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8180 | PA      | $8397.07      | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Cherry Securitization Trust                             | Cherry Securitization Trust 2025-1                                              | CUSIP: 16473RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1300000 | PA      | $1321111.09   | 0.04%             | 2032-11-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                | Lloyds Banking Group PLC                                                        | CUSIP: 53944YBA0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    420000 | PA      | $439261.07    | 0.01%             | 2030-06-05      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    690000 | PA      | $665608.60    | 0.02%             | 2034-11-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622ACQF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1449979 | PA      | $1493644.43   | 0.04%             | 2053-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MA'ADEN SUKUK LTD                                       | Ma'aden Sukuk Ltd                                                               | CUSIP: 55407NAA0<br>LEI: 254900QDNU6I6VA8UL14 | Long             | DBT              | CORP              | KY        |    297000 | PA      | $306471.41    | 0.01%             | 2030-02-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29273VBE9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2065158.96   | 0.06%             | 2035-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                 | Hyundai Capital America                                                         | CUSIP: 44891ADG9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    850000 | PA      | $851679.38    | 0.02%             | 2029-09-26      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133APLD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    201808 | PA      | $173582.23    | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGJB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1633253 | PA      | $1510708.82   | 0.04%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Gracechurch Mortgage Finance Plc                        | Grace Trust 2020-GRCE                                                           | CUSIP: 38406JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    807000 | PA      | $716184.09    | 0.02%             | 2040-12-10      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DUWZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5627529 | PA      | $4979330.13   | 0.14%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                      | Credit Agricole SA                                                              | CUSIP: 22535WAS6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    585000 | PA      | $581404.51    | 0.02%             | 2033-09-25      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XBUL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    430103 | PA      | $413525.52    | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1230000 | PA      | $1236732.41   | 0.03%             | 2031-04-04      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FEXL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    397622 | PA      | $352980.96    | 0.01%             | 2048-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHUBB INA HOLDINGS LLC                                  | Chubb INA Holdings LLC                                                          | CUSIP: 00440EAV9<br>LEI: CZCBJZWDMLTHWJDXU843 | Long             | DBT              | CORP              | US        |    450000 | PA      | $448114.76    | 0.01%             | 2026-05-03      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 29379VCG6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    407000 | PA      | $410383.26    | 0.01%             | 2035-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EHJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1029728 | PA      | $974004.99    | 0.03%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418D4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    834731 | PA      | $723511.02    | 0.02%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HAAJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6797106 | PA      | $134093.98    | 0.00%             | 2033-05-25      | Variable      | 0.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617Q2CM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    293609 | PA      | $258757.99    | 0.01%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXA7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    215000 | PA      | $198841.82    | 0.01%             | 2039-04-23      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BBME9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1657503.40   | 0.05%             | 2050-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38375Y6G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23045 | PA      | $2006.17      | 0.00%             | 2039-02-20      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                                | Constellation Energy Generation LLC                                             | CUSIP: 30161MAG8<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    100000 | PA      | $108627.74    | 0.00%             | 2039-10-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KQ3M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    508335 | PA      | $530045.66    | 0.01%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31283YQW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14857 | PA      | $15170.55     | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                             | Walmart Inc                                                                     | CUSIP: 931142ET6<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    180000 | PA      | $158805.73    | 0.00%             | 2031-09-22      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 313920BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5259 | PA      | $5498.74      | 0.00%             | 2031-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38375LT67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20296 | PA      | $2015.32      | 0.00%             | 2037-11-20      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                       | Credit Acceptance Auto Loan Trust 2024-1                                        | CUSIP: 22537GAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3910000 | PA      | $4023868.98   | 0.11%             | 2034-07-17      | Fixed         | 6.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38375K4K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77531 | PA      | $7807.68      | 0.00%             | 2037-08-20      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                     | Citigroup Commercial Mortgage Trust 2019-C7                                     | CUSIP: 17328CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1032000 | PA      | $976312.14    | 0.03%             | 2072-12-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140KXAB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119600 | PA      | $102543.94    | 0.00%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                | RTX Corp                                                                        | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    980000 | PA      | $979244.35    | 0.03%             | 2028-11-16      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| UBS AG LONDON                                           | UBS AG/London                                                                   | CUSIP: 902674A26<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $177337.48    | 0.00%             | 2048-06-26      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                  | Pacific Gas and Electric Co                                                     | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    488000 | PA      | $524572.72    | 0.01%             | 2033-06-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179UQ54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    181202 | PA      | $174087.90    | 0.00%             | 2049-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FJEH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    395000 | PA      | $394645.88    | 0.01%             | 2028-08-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GC51<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    850000 | PA      | $881254.24    | 0.02%             | 2056-01-28      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617QY2Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85913 | PA      | $75875.97     | 0.00%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 61772BAC7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    265000 | PA      | $207212.80    | 0.01%             | 2042-04-22      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| DP WORLD LTD UAE                                        | DP World Ltd/United Arab Emirates                                               | CUSIP: 000000000<br>LEI: 549300M3U2DNF4QVSS04 | Long             | DBT              | CORP              | AE        |   1030000 | PA      | $890218.70    | 0.02%             | 2049-09-30      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                         | Goodgreen 2017-2 Trust                                                          | CUSIP: 38218QAA8<br>LEI: 549300X0P2BXCQULUH20 | Long             | ABS-O            | CORP              | KY        |    100127 | PA      | $90421.83     | 0.00%             | 2053-10-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    241740 | PA      | $225206.86    | 0.01%             | 2062-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140HSEN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $298397.90    | 0.01%             | 2028-12-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EER7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151349 | PA      | $139736.31    | 0.00%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Steele Creek CLO Ltd                                    | Steele Creek Clo 2017-1 Ltd                                                     | CUSIP: 85816VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     42946 | PA      | $42958.33     | 0.00%             | 2030-10-15      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                  | Sequoia Mortgage Trust 2020-4                                                   | CUSIP: 81748RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    217713 | PA      | $179163.83    | 0.00%             | 2050-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                                | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MBP4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    345000 | PA      | $329849.50    | 0.01%             | 2029-07-16      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                   | CUSIP: 097023BU8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    240000 | PA      | $235152.41    | 0.01%             | 2027-03-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| BRITISH COLUMBIA PROV OF                                | Province of British Columbia Canada                                             | CUSIP: 11070TAK4<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |   1100000 | PA      | $1087476.15   | 0.03%             | 2026-06-02      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MBJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    364000 | PA      | $372576.72    | 0.01%             | 2029-01-19      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                         | CVS Health Corp                                                                 | CUSIP: 126650DU1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    330000 | PA      | $337638.14    | 0.01%             | 2033-02-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                              | Navient Student Loan Trust 2016-3                                               | CUSIP: 63940HAC7<br>LEI: 549300761SV59SBM0Z40 | Long             | ABS-O            | CORP              | US        |    870164 | PA      | $880637.12    | 0.02%             | 2065-06-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWDN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    429590 | PA      | $330073.86    | 0.01%             | 2052-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31396XUU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28612 | PA      | $2627.57      | 0.00%             | 2037-09-25      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L3G88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    248113 | PA      | $202794.64    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133D4QF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    453782 | PA      | $392187.94    | 0.01%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                                | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                       | CUSIP: 71568PAC3<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |    990000 | PA      | $986187.31    | 0.03%             | 2027-05-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| GM Financial Automobile Leasing Trust                   | GM Financial Automobile Leasing Trust 2024-1                                    | CUSIP: 36269FAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    796370 | PA      | $798923.37    | 0.02%             | 2027-03-22      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Jonah Energy LLC                                        | Jonah Energy Abs I LLC                                                          | CUSIP: 47987EAC1<br>LEI: 2549003KXV9PPFRCPA79 | Long             | ABS-O            | CORP              | US        |    281966 | PA      | $284097.88    | 0.01%             | 2037-12-10      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140NYMH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4770000 | PA      | $4851036.58   | 0.13%             | 2035-05-01      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                  | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BM6<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    361000 | PA      | $368350.61    | 0.01%             | 2034-01-24      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810QT8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    950000 | PA      | $791320.31    | 0.02%             | 2041-11-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                 | Exxon Mobil Corp                                                                | CUSIP: 30231GBG6<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |     90000 | PA      | $77139.05     | 0.00%             | 2050-03-19      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                   | Time Warner Cable LLC                                                           | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    100000 | PA      | $91644.19     | 0.00%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138WJWA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94195 | PA      | $91017.44     | 0.00%             | 2037-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Trust 2015-5                                                          | CUSIP: 46644XBD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10357 | PA      | $10243.37     | 0.00%             | 2045-05-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133BQRW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    250681 | PA      | $245219.60    | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                     | Southern California Edison Co                                                   | CUSIP: 842400EZ2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     80000 | PA      | $80275.44     | 0.00%             | 2036-01-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179V4V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    258022 | PA      | $222325.19    | 0.01%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXG4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    400000 | PA      | $374671.40    | 0.01%             | 2030-02-07      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFUG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    370092 | PA      | $317894.27    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BPPT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1493068 | PA      | $207256.31    | 0.01%             | 2050-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SLST                                      | Seasoned Loans Structured Transaction Trust Series 2025-1                       | CUSIP: 35564CTW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7673751 | PA      | $7040161.04   | 0.19%             | 2035-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KPZH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    873888 | PA      | $893500.75    | 0.02%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ADS1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    234000 | PA      | $240822.89    | 0.01%             | 2032-05-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABFG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    426054 | PA      | $364330.90    | 0.01%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38382LNV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4556052 | PA      | $665200.45    | 0.02%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LJGG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1070000 | PA      | $1087484.65   | 0.03%             | 2033-02-01      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending                   | Cantor Commercial Real Estate Lending 2019-CF3                                  | CUSIP: 12529TAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1140000 | PA      | $1066695.72   | 0.03%             | 2053-01-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1716658 | PA      | $1672810.38   | 0.05%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FWGJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    730802 | PA      | $694703.02    | 0.02%             | 2050-05-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                        | Societe Generale SA                                                             | CUSIP: 83368RCG5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   4286000 | PA      | $4408828.02   | 0.12%             | 2031-05-22      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                   | Toorak Mortgage Trust 2025-RRTL1                                                | CUSIP: 89053JAB3<br>LEI: 25490023B58UP9CM5N96 | Long             | ABS-MBS          | CORP              | US        |   4205000 | PA      | $4231810.24   | 0.12%             | 2040-02-25      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| KBC GROUP NV                                            | KBC Group NV                                                                    | CUSIP: 48241FAE4<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |   3065000 | PA      | $3048768.89   | 0.08%             | 2031-09-23      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGWS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1824096 | PA      | $1691759.75   | 0.05%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 61747YFH3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    669000 | PA      | $711057.33    | 0.02%             | 2029-11-01      | Fixed         | 6.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                               | CUSIP: 3622ACCD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    706499 | PA      | $740687.25    | 0.02%             | 2042-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38377LK72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18012 | PA      | $19586.36     | 0.00%             | 2040-10-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| RT FIN 2023 LLC                                         | RT FIN 2023 LLC                                                                 | CUSIP: 74983KAA9<br>LEI: 2549000QL0MZ8X7VL058 | Long             | ABS-O            | CORP              | US        |   2001275 | PA      | $2036082.96   | 0.06%             | 2043-10-15      | Fixed         | 7.85%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RKQ6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2055158.20   | 0.06%             | 2031-08-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                     | Global Payments Inc                                                             | CUSIP: 37940XAB8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    236000 | PA      | $224125.44    | 0.01%             | 2029-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179UGB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    918603 | PA      | $850442.29    | 0.02%             | 2048-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                                  | Santander Holdings USA Inc                                                      | CUSIP: 80282KBJ4<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1520766.69   | 0.04%             | 2030-01-09      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LEZ34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2843321 | PA      | $2433886.78   | 0.07%             | 2034-01-01      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                                 | Nationwide Building Society                                                     | CUSIP: 63861VAB3<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    525000 | PA      | $524503.01    | 0.01%             | 2029-03-08      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QKDF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    518972 | PA      | $467445.11    | 0.01%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                 | BPCE SA                                                                         | CUSIP: 05571AAY1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1350000 | PA      | $1414067.07   | 0.04%             | 2035-05-30      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XD6Y7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    360127 | PA      | $311694.64    | 0.01%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                          | Merck & Co Inc                                                                  | CUSIP: 58933YBF1<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    170000 | PA      | $107339.37    | 0.00%             | 2051-12-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    505000 | PA      | $509823.91    | 0.01%             | 2035-12-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABKA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    291321 | PA      | $249318.42    | 0.01%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38381DXB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3922190 | PA      | $261646.92    | 0.01%             | 2063-07-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138L9US9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    650000 | PA      | $623351.54    | 0.02%             | 2030-04-01      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                               | CUSIP: 36206APU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         2 | PA      | $1.76         | 0.00%             | 2025-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38375QK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11997 | PA      | $1105.95      | 0.00%             | 2038-06-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179XS98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79481 | PA      | $73014.61     | 0.00%             | 2053-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133B3XG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    698655 | PA      | $598250.68    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                      | HERO Funding Trust 2016-3                                                       | CUSIP: 42770XAA5<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | US        |     13587 | PA      | $12642.78     | 0.00%             | 2042-09-20      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                           | Boeing Co/The                                                                   | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1227067.44   | 0.03%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                        | Crown Castle Inc                                                                | CUSIP: 22822VAE1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |     24000 | PA      | $23892.64     | 0.00%             | 2027-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LNA23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    580271 | PA      | $499279.47    | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1450000 | PA      | $1295155.85   | 0.04%             | 2031-07-23      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2475000 | PA      | $2336167.97   | 0.06%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179XFJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    553565 | PA      | $553962.58    | 0.02%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG                                | New York Life Global Funding                                                    | CUSIP: 64953BBF4<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |    845000 | PA      | $856928.81    | 0.02%             | 2026-09-18      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA PRIN STRIPS                                        | Fannie Mae Principal Strip                                                      | CUSIP: 31364EBA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGSE             | US        |    630000 | PA      | $571004.19    | 0.02%             | 2028-03-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SIEMENS FUNDING BV                                      | Siemens Funding BV                                                              | CUSIP: 82622RAC0<br>LEI: 213800CCRGH2TO338X64 | Long             | DBT              | CORP              | NL        |    320000 | PA      | $325757.57    | 0.01%             | 2030-05-28      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Volkswagen Auto Lease Trust                             | Volkswagen Auto Lease Trust 2024-A                                              | CUSIP: 92866EAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2947000 | PA      | $2973106.88   | 0.08%             | 2027-06-21      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XMYJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2164313 | PA      | $1924084.56   | 0.05%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XF6U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1274205 | PA      | $1094496.76   | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABYM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    248407 | PA      | $223516.82    | 0.01%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY                                  | PG&E Wildfire Recovery Funding LLC                                              | CUSIP: 693342AJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    110000 | PA      | $106339.61    | 0.00%             | 2047-12-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                         | Cigna Group/The                                                                 | CUSIP: 125523BZ2<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     83000 | PA      | $83001.08     | 0.00%             | 2026-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                  | Marvell Technology Inc                                                          | CUSIP: 573874AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    360000 | PA      | $332476.54    | 0.01%             | 2031-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BCL99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1202503 | PA      | $976187.38    | 0.03%             | 2050-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corp                                    | Lockheed Martin Corp                                                            | CUSIP: 539830BK4<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    640000 | PA      | $626337.48    | 0.02%             | 2036-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138Y4M48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4878980 | PA      | $4711574.46   | 0.13%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                    | Fannie Mae REMIC Trust 1999-W1                                                  | CUSIP: 31359VHH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3878 | PA      | $3544.37      | 0.00%             | 2029-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138LNXQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    482202 | PA      | $476628.23    | 0.01%             | 2028-06-01      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 61747YGA7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    477000 | PA      | $503263.69    | 0.01%             | 2036-04-17      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGL64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    758037 | PA      | $696861.94    | 0.02%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                  | Pacific Gas and Electric Co                                                     | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    720000 | PA      | $545510.40    | 0.01%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179XXS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    806235 | PA      | $804756.05    | 0.02%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                               | CUSIP: 36209JCQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       468 | PA      | $471.18       | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Eaton Corp                                              | Eaton Corp                                                                      | CUSIP: 278062AE4<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |    780000 | PA      | $689300.90    | 0.02%             | 2042-11-02      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LN5G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    266563 | PA      | $228658.88    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                         | MVW 2023-1 LLC                                                                  | CUSIP: 62848PAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    619427 | PA      | $635636.34    | 0.02%             | 2040-10-20      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XLHW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    717283 | PA      | $720216.65    | 0.02%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAPITAL C                                | American Water Capital Corp                                                     | CUSIP: 03040WAP0<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |     52000 | PA      | $42682.15     | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                 | MPLX LP                                                                         | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    470000 | PA      | $437548.82    | 0.01%             | 2049-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38375BMT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41392 | PA      | $41233.26     | 0.00%             | 2061-08-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136AN6U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180167 | PA      | $178066.95    | 0.00%             | 2027-04-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138WKUN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    619113 | PA      | $594344.10    | 0.02%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| State Street Global Advisors                            | State Street Institutional US Government Money Market Fund                      | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |  52542280 | NS      | $52542280.28  | 1.43%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617LAZA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    386204 | PA      | $384798.71    | 0.01%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                                | Comision Federal de Electricidad                                                | CUSIP: 200447AK6<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |    690000 | PA      | $609633.35    | 0.02%             | 2033-07-26      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AFRZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    231918 | PA      | $190404.84    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                  | Santander Drive Auto Receivables Trust 2022-5                                   | CUSIP: 80287HAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5553715.75   | 0.15%             | 2030-12-16      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                       | HSBC Holdings PLC                                                               | CUSIP: 404280CY3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1985000 | PA      | $1789149.92   | 0.05%             | 2032-11-22      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Truist Bank                                             | Truist Bank                                                                     | CUSIP: 07330MAC1<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |   1905000 | PA      | $1919241.32   | 0.05%             | 2029-09-17      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QPAD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1076318 | PA      | $995682.69    | 0.03%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31402C4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130235 | PA      | $133705.17    | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                         | CVS Health Corp                                                                 | CUSIP: 126650DR8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    590000 | PA      | $512127.35    | 0.01%             | 2031-09-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    470326 | PA      | $434841.70    | 0.01%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFCD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    290553 | PA      | $284961.99    | 0.01%             | 2051-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PUB SVC ELEC & GAS                                      | Public Service Electric and Gas Co                                              | CUSIP: 74456QAU0<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |     28000 | PA      | $28624.72     | 0.00%             | 2039-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31359PSF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       441 | PA      | $449.06       | 0.00%             | 2027-05-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                       | HSBC Holdings PLC                                                               | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1740000 | PA      | $1713657.53   | 0.05%             | 2030-05-22      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| DTE ELECT SECUR FND II                                  | DTE Electric Securitization Funding II LLC                                      | CUSIP: 23346TAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    950000 | PA      | $1027384.16   | 0.03%             | 2037-09-01      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KPN95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1051515 | PA      | $1053736.10   | 0.03%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    237146 | PA      | $215872.29    | 0.01%             | 2040-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                   | Vendee Mortgage Trust 1996-2                                                    | CUSIP: 911760HH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1703 | PA      | $1715.10      | 0.00%             | 2026-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                     | American Express Co                                                             | CUSIP: 025816DP1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1317445.91   | 0.04%             | 2028-02-16      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                        | SMB Private Education Loan Trust 2022-C                                         | CUSIP: 78449CAA6<br>LEI: 549300XC4C7GRVLU6076 | Long             | ABS-O            | CORP              | US        |   2429323 | PA      | $2423732.49   | 0.07%             | 2050-05-16      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38376CXX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13064 | PA      | $11009.22     | 0.00%             | 2037-11-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                      | Coterra Energy Inc                                                              | CUSIP: 127097AM5<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |   1165000 | PA      | $1174298.39   | 0.03%             | 2035-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DUYP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7104842 | PA      | $6962608.60   | 0.19%             | 2054-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622ACA67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    400403 | PA      | $378803.99    | 0.01%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137BWS62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1404153 | PA      | $1267014.55   | 0.03%             | 2047-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                 | BPCE SA                                                                         | CUSIP: 05583JAJ1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $220465.29    | 0.01%             | 2032-01-20      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31394LME9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       113 | PA      | $12.49        | 0.00%             | 2029-12-20      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| HALEON US CAPITAL LLC                                   | Haleon US Capital LLC                                                           | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    590000 | PA      | $583872.87    | 0.02%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179XXZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    149674 | PA      | $134782.49    | 0.00%             | 2053-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd                                             | Nutrien Ltd                                                                     | CUSIP: 67077MAT5<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |     25000 | PA      | $24962.26     | 0.00%             | 2029-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                  | Anglo American Capital PLC                                                      | CUSIP: 034863BE9<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |   2465000 | PA      | $2587121.25   | 0.07%             | 2034-04-05      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133B3ZF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152216 | PA      | $130749.56    | 0.00%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVKT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500672 | PA      | $481282.56    | 0.01%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128337Q7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7475000 | PA      | $5869263.78   | 0.16%             | 2031-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                            | Barclays PLC                                                                    | CUSIP: 06738ECJ2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    750000 | PA      | $765193.90    | 0.02%             | 2027-09-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179XHZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    838180 | PA      | $838739.39    | 0.02%             | 2052-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QNSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    839157 | PA      | $745486.15    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                  | Pacific Gas and Electric Co                                                     | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    360000 | PA      | $320724.76    | 0.01%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY COMPANY/THE                                 | Walt Disney Co/The                                                              | CUSIP: 254687EH5<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    350000 | PA      | $404310.93    | 0.01%             | 2037-11-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| SAFEHOLD GL HOLDINGS LLC                                | Safehold GL Holdings LLC                                                        | CUSIP: 78646UAB5<br>LEI: 54930012UY5Z4Q8NL108 | Long             | DBT              |  | US        |    400000 | PA      | $354931.60    | 0.01%             | 2032-01-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                     | Quanta Services Inc                                                             | CUSIP: 74762EAP7<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   1830000 | PA      | $1834700.68   | 0.05%             | 2035-08-09      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER CO                                    | Appalachian Power Co                                                            | CUSIP: 037735CY1<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |    209000 | PA      | $152021.50    | 0.00%             | 2050-05-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X66J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1392081 | PA      | $1374516.55   | 0.04%             | 2049-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133BSPH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    386188 | PA      | $399078.64    | 0.01%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128337U8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1025000 | PA      | $732768.46    | 0.02%             | 2033-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140KLVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106237 | PA      | $86975.44     | 0.00%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                | Angel Oak Mortgage Trust 2022-3                                                 | CUSIP: 03464TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1194412 | PA      | $1161065.99   | 0.03%             | 2067-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KEYCORP                                                 | KeyCorp                                                                         | CUSIP: 49326EEQ2<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |   1465000 | PA      | $1504250.78   | 0.04%             | 2031-04-04      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XCXQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1178010 | PA      | $1011139.60   | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3133TU3J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       960 | PA      | $1010.24      | 0.00%             | 2031-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                              | AbbVie Inc                                                                      | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     60000 | PA      | $59063.99     | 0.00%             | 2035-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| EMERSON ELECTRIC CO                                     | Emerson Electric Co                                                             | CUSIP: 291011BS2<br>LEI: FGLT0EWZSUIRRITFOA30 | Long             | DBT              | CORP              | US        |   1120000 | PA      | $719450.85    | 0.02%             | 2051-12-21      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFBC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    347058 | PA      | $309319.40    | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137A5UU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    407000 | PA      | $390688.95    | 0.01%             | 2041-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                               | ONEOK Inc                                                                       | CUSIP: 682680CF8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    419000 | PA      | $395565.46    | 0.01%             | 2054-11-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140GTF39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137306 | PA      | $133681.29    | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                   | Toronto-Dominion Bank/The                                                       | CUSIP: 89115A2E1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   1180000 | PA      | $1179104.46   | 0.03%             | 2032-06-08      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                                    | Shell Finance US Inc                                                            | CUSIP: 822905AF2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    150000 | PA      | $140744.57    | 0.00%             | 2029-11-07      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                  | Mizuho Financial Group Inc                                                      | CUSIP: 60687YDL0<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   1965000 | PA      | $1988130.68   | 0.05%             | 2031-07-08      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38378MVC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    232658 | PA      | $30197.00     | 0.00%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                            | AutoZone Inc                                                                    | CUSIP: 053332BA9<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    180000 | PA      | $156728.89    | 0.00%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                 | BPCE SA                                                                         | CUSIP: 05571AAV7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    592000 | PA      | $612216.49    | 0.02%             | 2030-01-18      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912833PC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $285661.13    | 0.01%             | 2027-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYX79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    974994 | PA      | $991308.96    | 0.03%             | 2042-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                   | Mexico Government International Bonds                                           | CUSIP: 91087BBB5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    993000 | PA      | $1042451.40   | 0.03%             | 2030-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1308000 | PA      | $1233652.47   | 0.03%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31395D7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2943 | PA      | $3438.56      | 0.00%             | 2036-06-25      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179UH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    307062 | PA      | $311401.57    | 0.01%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2015-4                                                 | CUSIP: 46644VBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97083 | PA      | $90510.06     | 0.00%             | 2045-06-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                     | American Tower Corp                                                             | CUSIP: 03027XBD1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    130000 | PA      | $87069.15     | 0.00%             | 2050-06-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                 | HCA Inc                                                                         | CUSIP: 404119DB2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1249000 | PA      | $1305797.33   | 0.04%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                       | Brown & Brown Inc                                                               | CUSIP: 115236AN1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   1570000 | PA      | $1652072.75   | 0.05%             | 2055-06-23      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPWC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    490134 | PA      | $477677.73    | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418AHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86069 | PA      | $83922.15     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138M1MA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90585 | PA      | $88325.36     | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                   | FMC GMSR Issuer Trust                                                           | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4200000 | PA      | $4032362.04   | 0.11%             | 2026-07-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XLL71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1160064 | PA      | $1222447.40   | 0.03%             | 2042-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38375BM82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65401 | PA      | $65167.99     | 0.00%             | 2063-02-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38380QDH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95145 | PA      | $94187.19     | 0.00%             | 2070-07-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| PFIZER INVESTMENT ENTER                                 | Pfizer Investment Enterprises Pte Ltd                                           | CUSIP: 716973AG7<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |    515000 | PA      | $497689.10    | 0.01%             | 2053-05-19      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                                  | GE HealthCare Technologies Inc                                                  | CUSIP: 36266GAC1<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    273000 | PA      | $282987.87    | 0.01%             | 2035-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FORTIS INC                                              | Fortis Inc/Canada                                                               | CUSIP: 349553AM9<br>LEI: 549300MQYQ9Y065XPR71 | Long             | DBT              | CORP              | CA        |     85000 | PA      | $84021.86     | 0.00%             | 2026-10-04      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                                 | Jersey Central Power & Light Co                                                 | CUSIP: 476556CX1<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |     30000 | PA      | $32551.45     | 0.00%             | 2037-06-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                    | Fannie Mae REMIC Trust 2003-W1                                                  | CUSIP: 31392GWB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12418 | PA      | $12235.04     | 0.00%             | 2042-12-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136A92R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    644852 | PA      | $582081.75    | 0.02%             | 2042-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGLT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140145 | PA      | $130208.44    | 0.00%             | 2051-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LLKV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1307248 | PA      | $1320332.84   | 0.04%             | 2033-09-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                      | Alternative Loan Trust 2005-28CB                                                | CUSIP: 12667GWT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    137146 | PA      | $121187.05    | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967QH7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $1070756.73   | 0.03%             | 2036-09-11      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DQAY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    516477 | PA      | $524435.74    | 0.01%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFYA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1151411 | PA      | $1107251.24   | 0.03%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes                  | NRZ Excess Spread-Collateralized Notes                                          | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    475096 | PA      | $467495.49    | 0.01%             | 2026-07-25      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140J9T68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1609803 | PA      | $1459816.80   | 0.04%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    286442 | PA      | $246718.43    | 0.01%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXEE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168680 | PA      | $159348.71    | 0.00%             | 2056-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7330826 | PA      | $6316479.39   | 0.17%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    319372 | PA      | $273598.35    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X7WN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    957442 | PA      | $779334.25    | 0.02%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133B2MQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    213050 | PA      | $190032.47    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY FINANCIAL LLC                                | OBX 2021-NQM3 Trust                                                             | CUSIP: 67114JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    678725 | PA      | $551624.25    | 0.02%             | 2061-07-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                            | Synopsys Inc                                                                    | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |   1797000 | PA      | $1813587.77   | 0.05%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38377WFA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34553 | PA      | $2853.52      | 0.00%             | 2041-05-20      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179UEB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    508177 | PA      | $515750.87    | 0.01%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                               | ONEOK Inc                                                                       | CUSIP: 682680CE1<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    256000 | PA      | $252461.98    | 0.01%             | 2034-11-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GLU1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    420000 | PA      | $450032.59    | 0.01%             | 2034-09-15      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1272726 | PA      | $1259053.50   | 0.03%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG                                | New York Life Global Funding                                                    | CUSIP: 64952WCH4<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |     65000 | PA      | $64157.16     | 0.00%             | 2026-07-14      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1805000 | PA      | $1768053.91   | 0.05%             | 2029-08-31      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    595268 | PA      | $569514.39    | 0.02%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ONE GAS INC                                             | ONE Gas Inc                                                                     | CUSIP: 68235PAH1<br>LEI: 549300HXDWI0LATTX840 | Long             | DBT              | CORP              | US        |    200000 | PA      | $181684.71    | 0.00%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179UKZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    361710 | PA      | $367195.52    | 0.01%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                   | Athene Global Funding                                                           | CUSIP: 04685A2K6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    515000 | PA      | $507662.85    | 0.01%             | 2026-11-12      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XJGY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    626933 | PA      | $614381.91    | 0.02%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                 | Bristol-Myers Squibb Co                                                         | CUSIP: 110122CQ9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    114000 | PA      | $103275.30    | 0.00%             | 2039-06-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X4QY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158352 | PA      | $144888.69    | 0.00%             | 2046-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132XGQC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $195844.78    | 0.01%             | 2032-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                              | Leidos Inc                                                                      | CUSIP: 52532XAH8<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |   1370000 | PA      | $1222450.37   | 0.03%             | 2031-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133BAUR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140424 | PA      | $129948.08    | 0.00%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XKYE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    455343 | PA      | $456385.48    | 0.01%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1380064 | PA      | $1382202.22   | 0.04%             | 2044-05-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Starwood Commercial Mortgage Trust                      | STWD 2022-FL3 Ltd                                                               | CUSIP: 78485KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1158886 | PA      | $1158339.98   | 0.03%             | 2038-11-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X5EM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130415 | PA      | $128090.59    | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31392F6E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1368 | PA      | $1476.56      | 0.00%             | 2032-12-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                       | Credit Acceptance Auto Loan Trust 2023-2                                        | CUSIP: 22537EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    554497 | PA      | $556152.13    | 0.02%             | 2033-05-16      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11                  | CUSIP: 46639YAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128337 | PA      | $117651.75    | 0.00%             | 2046-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1160000 | PA      | $1088179.69   | 0.03%             | 2027-09-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31394TXA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57917 | PA      | $58803.22     | 0.00%             | 2034-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38382DF20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    496392 | PA      | $485276.48    | 0.01%             | 2048-03-20      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                              | US Bancorp                                                                      | CUSIP: 91159HJH4<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    120000 | PA      | $120080.64    | 0.00%             | 2026-10-21      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Seasoned Credit Risk Transfer Trust Series 2025-1                               | CUSIP: 35563PYZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7523747 | PA      | $6439971.05   | 0.18%             | 2064-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ETD29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    402914 | PA      | $403884.52    | 0.01%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LKKY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $406665.62    | 0.01%             | 2030-06-01      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                  | Pacific Gas and Electric Co                                                     | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    230000 | PA      | $173402.17    | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                   | Northrop Grumman Corp                                                           | CUSIP: 666807BU5<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |   3390000 | PA      | $3264457.21   | 0.09%             | 2050-05-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    276000 | PA      | $286033.12    | 0.01%             | 2029-07-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31396YTG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4720 | PA      | $374.07       | 0.00%             | 2038-03-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                            | Huntington Bank Auto Credit-Linked Notes Series 2025-2                          | CUSIP: 44644NAN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8112239 | PA      | $8132083.84   | 0.22%             | 2033-09-20      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                                  | Sempra                                                                          | CUSIP: 816851BT5<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |   1404000 | PA      | $1434593.16   | 0.04%             | 2054-10-01      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 61747YFZ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    132000 | PA      | $136302.21    | 0.00%             | 2031-04-17      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38382HS35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    220424 | PA      | $31782.24     | 0.00%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138EQ7G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    179274 | PA      | $183813.97    | 0.01%             | 2041-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                                | Constellation Energy Generation LLC                                             | CUSIP: 210385AC4<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |     66000 | PA      | $70506.72     | 0.00%             | 2033-03-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                       | Atmos Energy Corp                                                               | CUSIP: 049560AW5<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    417000 | PA      | $264155.68    | 0.01%             | 2052-02-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31335B4Y9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30689 | PA      | $27827.31     | 0.00%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133BWD34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    168030 | PA      | $175200.65    | 0.00%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SIERRA PACIFIC POWER CO                                 | Sierra Pacific Power Co                                                         | CUSIP: 826418BQ7<br>LEI: QB888G5GSVGE1LD1WV84 | Long             | DBT              | CORP              | US        |    290000 | PA      | $295286.02    | 0.01%             | 2054-03-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2014-USA OA LLC                                                            | CUSIP: 12649AAN9<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $81925.78     | 0.00%             | 2037-09-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QRRN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    615538 | PA      | $601310.66    | 0.02%             | 2053-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWAN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    502003 | PA      | $408310.08    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXWT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    752108 | PA      | $729468.06    | 0.02%             | 2062-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                      | Alternative Loan Trust 2005-54CB                                                | CUSIP: 12668APD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49363 | PA      | $37584.31     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1023000 | PA      | $1024143.16   | 0.03%             | 2028-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AUE38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    378212 | PA      | $337748.62    | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AFRICA FINANCE CORP                                     | Africa Finance Corp                                                             | CUSIP: 00830YAF8<br>LEI: 213800LXFHRRXIJRXW97 | Long             | DBT              | NUSS              | XX        |    512000 | PA      | $522766.89    | 0.01%             | 2029-10-08      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133A7L56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    650240 | PA      | $618895.73    | 0.02%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                     | Banc of America Funding 2005-6 Trust                                            | CUSIP: 05946XP23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38743 | PA      | $35486.40     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DQF92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    519774 | PA      | $528368.72    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L05E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177378 | PA      | $144954.65    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    530000 | PA      | $398493.75    | 0.01%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                   | MASTR Adjustable Rate Mortgages Trust 2004-13                                   | CUSIP: 576433UE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4286 | PA      | $4228.74      | 0.00%             | 2034-04-21      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136AC7M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40531 | PA      | $39260.96     | 0.00%             | 2043-02-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3133TDA22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       400 | PA      | $22.47        | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31359PE36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       585 | PA      | $589.46       | 0.00%             | 2027-07-18      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AFGA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    950522 | PA      | $819457.17    | 0.02%             | 2043-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L7FS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51432 | PA      | $44188.08     | 0.00%             | 2051-04-01      | 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        |    506000 | PA      | $506736.84    | 0.01%             | 2045-01-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LRT40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    342269 | PA      | $293997.47    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KLJ57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    249909 | PA      | $214219.41    | 0.01%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31408CDM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43691 | PA      | $44697.90     | 0.00%             | 2035-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31393Y4T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1248 | PA      | $1309.64      | 0.00%             | 2034-07-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1028355 | PA      | $835246.66    | 0.02%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYVJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1576683 | PA      | $1331593.14   | 0.04%             | 2041-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                 | Bristol-Myers Squibb Co                                                         | CUSIP: 110122EK0<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    113000 | PA      | $112622.62    | 0.00%             | 2054-02-22      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                  | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664BV2<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |     62000 | PA      | $55922.74     | 0.00%             | 2043-05-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138L5FA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135606 | PA      | $135168.52    | 0.00%             | 2025-12-01      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    308375 | PA      | $295033.30    | 0.01%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140J9H53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    516266 | PA      | $488936.74    | 0.01%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KRCQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143635 | PA      | $151119.81    | 0.00%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31398NAJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190113 | PA      | $192104.58    | 0.01%             | 2040-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                                 | KazMunayGas National Co JSC                                                     | CUSIP: 48667QAQ8<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |    800000 | PA      | $822029.99    | 0.02%             | 2030-04-24      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER                                    | Niagara Mohawk Power Corp                                                       | CUSIP: 653522DV1<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    820000 | PA      | $846191.29    | 0.02%             | 2055-07-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8769.40      | 0.00%             | 2032-03-15      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | Csmc 2022-Nqm1 Trust                                                            | CUSIP: 126416AA4<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   2461487 | PA      | $2260692.91   | 0.06%             | 2066-11-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132M8NU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11522 | PA      | $11018.89     | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                      | Credit Agricole SA                                                              | CUSIP: 22535WAR8<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   2646000 | PA      | $2714347.03   | 0.07%             | 2031-05-27      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179UCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3362525 | PA      | $3117372.05   | 0.08%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617MSZE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    901516 | PA      | $805109.90    | 0.02%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                     | New Residential Mortgage Loan Trust 2022-SFR1                                   | CUSIP: 64831KAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1375000 | PA      | $1339105.49   | 0.04%             | 2039-02-17      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Masco Corp                                              | Masco Corp                                                                      | CUSIP: 574599AY2<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |     80000 | PA      | $87802.01     | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| POTOMAC ELECTRIC POWER                                  | Potomac Electric Power Co                                                       | CUSIP: 737679DB3<br>LEI: 549300BXF2DWUNN57U06 | Long             | DBT              | CORP              | US        |     75000 | PA      | $83977.45     | 0.00%             | 2037-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US LONG BOND(CBT) DEC25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       214 | NC      | $507888.34    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ORACLE CORP                                             | Oracle Corp                                                                     | CUSIP: 68389XCN3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    540000 | PA      | $547573.08    | 0.01%             | 2030-05-06      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140KEEM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1262034 | PA      | $1065708.00   | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FYUL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6407118 | PA      | $144108.91    | 0.00%             | 2031-03-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                | Benchmark 2022-B35 Mortgage Trust                                               | CUSIP: 08163RBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1321000 | PA      | $1291575.25   | 0.04%             | 2055-05-15      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13800000 | PA      | $13558500.00  | 0.37%             | 2054-05-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VDC5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    480000 | PA      | $391757.02    | 0.01%             | 2046-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFSY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147540 | PA      | $126466.59    | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1029976 | PA      | $883188.84    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140JBLD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83648 | PA      | $68747.14     | 0.00%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Amazon.com Inc                                          | Amazon.com Inc                                                                  | CUSIP: 023135BJ4<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    460000 | PA      | $389152.46    | 0.01%             | 2047-08-22      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGTL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156454 | PA      | $143860.02    | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Nevada Power Co                                         | Nevada Power Co                                                                 | CUSIP: 641423CC0<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98386.67     | 0.00%             | 2029-05-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140HPA80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147674 | PA      | $147956.88    | 0.00%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1095000 | PA      | $698917.97    | 0.02%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140W0J97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1321736 | PA      | $1350664.76   | 0.04%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    245000 | PA      | $244563.41    | 0.01%             | 2026-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Porsche Innovative Lease Owner Trust                    | Porsche Innovative Lease Owner Trust 2024-1                                     | CUSIP: 73328AAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1733000 | PA      | $1741849.39   | 0.05%             | 2027-11-22      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3133TPGX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1944 | PA      | $2038.79      | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                | Corebridge Financial Inc                                                        | CUSIP: 21871XAF6<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    130000 | PA      | $128001.69    | 0.00%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179XVS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79617 | PA      | $79637.26     | 0.00%             | 2053-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BGVA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2392678 | PA      | $359558.70    | 0.01%             | 2049-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ABN4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    190000 | PA      | $129500.71    | 0.00%             | 2051-02-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                  | CUSIP: 09659W2W3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    635000 | PA      | $656638.95    | 0.02%             | 2030-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XKM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    408669 | PA      | $406146.15    | 0.01%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DQXK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    444701 | PA      | $444964.49    | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                                | NIKE Inc                                                                        | CUSIP: 654106AL7<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |    330000 | PA      | $267393.34    | 0.01%             | 2040-03-27      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    420000 | PA      | $381620.69    | 0.01%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| MEMORIAL HEALTH SERVICES                                | Memorial Health Services                                                        | CUSIP: 58601VAC6<br>LEI: 549300FTIZOMIONZZ882 | Long             | DBT              | CORP              | US        |    245000 | PA      | $176263.57    | 0.00%             | 2049-11-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FGZU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    588000 | PA      | $586428.98    | 0.02%             | 2028-06-25      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31405FTF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3528 | PA      | $3603.19      | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622AAVK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    502771 | PA      | $411300.90    | 0.01%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810TR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15170000 | PA      | $12529471.88  | 0.34%             | 2053-05-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DQBZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    239924 | PA      | $244074.76    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                        | Altria Group Inc                                                                | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   1730000 | PA      | $1522867.60   | 0.04%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                  | Santander Drive Auto Receivables Trust 2022-4                                   | CUSIP: 80286FAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2950000 | PA      | $2965747.40   | 0.08%             | 2029-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2018-4                                                 | CUSIP: 46649CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    285250 | PA      | $256136.79    | 0.01%             | 2048-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4785000 | PA      | $3545199.04   | 0.10%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ABL8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1358000 | PA      | $1020432.52   | 0.03%             | 2041-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140MGNF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    350076 | PA      | $300147.08    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                                   | Aon North America Inc                                                           | CUSIP: 03740MAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    439000 | PA      | $457241.93    | 0.01%             | 2031-03-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140M2PG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    317575 | PA      | $271231.44    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                | Benchmark 2022-B32 Mortgage Trust                                               | CUSIP: 08163NBQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    953000 | PA      | $747013.62    | 0.02%             | 2055-01-15      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QFB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    503438 | PA      | $432640.26    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                        | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CU1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   2159000 | PA      | $2309392.98   | 0.06%             | 2029-11-20      | Fixed         | 6.82%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                            | AES Corp/The                                                                    | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1656142.18   | 0.05%             | 2032-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                  | SLM Private Credit Student Loan Trust 2006-A                                    | CUSIP: 78443CCL6<br>LEI: 549300I2YWZ9E1B0EY33 | Long             | ABS-O            | CORP              | US        |    403298 | PA      | $387110.54    | 0.01%             | 2039-06-15      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                     | DT Auto Owner Trust 2023-2                                                      | CUSIP: 23346CAE8<br>LEI: 549300XVMF0FUK76JG97 | Long             | ABS-O            | CORP              | US        |    956000 | PA      | $960067.02    | 0.03%             | 2029-02-15      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2020-2                                                 | CUSIP: 46591TAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33843 | PA      | $30268.47     | 0.00%             | 2050-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132AAK52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    401580 | PA      | $388046.26    | 0.01%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                 | WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust                   | CUSIP: 92922FBV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9522 | PA      | $9117.44      | 0.00%             | 2033-09-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                      | Alternative Loan Trust 2005-22T1                                                | CUSIP: 12667GGP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    242525 | PA      | $14422.59     | 0.00%             | 2035-06-25      | Floating      | 0.80%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                       | NatWest Group PLC                                                               | CUSIP: 639057AS7<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   1000000 | PA      | $1018432.27   | 0.03%             | 2030-08-15      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140HX6D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1255644 | PA      | $1147908.62   | 0.03%             | 2030-04-01      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L13J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108228 | PA      | $88340.47     | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL FINANCIAL GRP                                 | Principal Financial Group Inc                                                   | CUSIP: 74251VAP7<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |    825000 | PA      | $822668.64    | 0.02%             | 2028-02-15      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC                                | Thermo Fisher Scientific Inc                                                    | CUSIP: 883556CL4<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |    330000 | PA      | $291584.20    | 0.01%             | 2031-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DMVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    491994 | PA      | $482180.28    | 0.01%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                             | PRKCM 2021-AFC2 Trust                                                           | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    647995 | PA      | $578349.08    | 0.02%             | 2056-11-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                                   | Bank of Ireland Group PLC                                                       | CUSIP: 06279JAB5<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    206000 | PA      | $201319.28    | 0.01%             | 2027-09-30      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                               | ONEOK Inc                                                                       | CUSIP: 682680BN2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   1340000 | PA      | $1425478.00   | 0.04%             | 2053-09-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X9R23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185635 | PA      | $159297.03    | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-NQM8                                                                  | CUSIP: 12659FAA3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   2384901 | PA      | $2194433.63   | 0.06%             | 2066-10-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| BIOGEN INC                                              | Biogen Inc                                                                      | CUSIP: 09062XAL7<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1152742.87   | 0.03%             | 2035-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                                   | Tennessee Valley Authority                                                      | CUSIP: 880591ES7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    101000 | PA      | $83621.84     | 0.00%             | 2065-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Salomon Brothers Mortgage Securities VII                | Citigroup Global Markets Mortgage Securities VII Inc                            | CUSIP: 79549AXS3<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |        43 | PA      | $42.26        | 0.00%             | 2018-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132H7EG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98924 | PA      | $95103.40     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                             | Exelon Corp                                                                     | CUSIP: 30161NBK6<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    300000 | PA      | $310818.62    | 0.01%             | 2033-03-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XKNS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    537107 | PA      | $565977.07    | 0.02%             | 2041-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                       | HSBC Holdings PLC                                                               | CUSIP: 404280CK3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $271525.93    | 0.01%             | 2031-08-18      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XCCC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118975 | PA      | $106841.41    | 0.00%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWER0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    907467 | PA      | $858360.04    | 0.02%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MetLife Inc                                             | MetLife Inc                                                                     | CUSIP: 59156RBD9<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |     28000 | PA      | $24083.37     | 0.00%             | 2042-08-13      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust                          | PHH Alternative Mortgage Trust Series 2007-2                                    | CUSIP: 69337HAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51770 | PA      | $9618.27      | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137H7G72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1300000 | PA      | $1200372.29   | 0.03%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912834JP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    545134 | PA      | $262766.14    | 0.01%             | 2041-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     39000 | PA      | $38172.02     | 0.00%             | 2028-01-21      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                               | ONEOK Inc                                                                       | CUSIP: 682680BH5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    320000 | PA      | $324053.41    | 0.01%             | 2026-11-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136B2HC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64657 | PA      | $62984.16     | 0.00%             | 2028-04-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFMQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142088 | PA      | $123255.20    | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                               | Towd Point Mortgage Trust 2018-1                                                | CUSIP: 89176EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17068 | PA      | $16912.74     | 0.00%             | 2058-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1160000 | PA      | $959220.68    | 0.03%             | 2049-07-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABUF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    574970 | PA      | $507378.20    | 0.01%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                  | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KCQ1<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    170000 | PA      | $160310.85    | 0.00%             | 2053-02-28      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QP2U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220261 | PA      | $214680.56    | 0.01%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QLMX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1059158 | PA      | $862068.11    | 0.02%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617YDD41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    140751 | PA      | $123874.17    | 0.00%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON & CO                                   | Becton Dickinson & Co                                                           | CUSIP: 075887BX6<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |     75000 | PA      | $66269.07     | 0.00%             | 2047-06-06      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                          | Home Depot Inc/The                                                              | CUSIP: 437076CC4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    530000 | PA      | $434290.91    | 0.01%             | 2040-04-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LG3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $194257.19    | 0.01%             | 2032-07-01      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38374XAF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13685 | PA      | $3013.65      | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SMURFIT WESTROCK FIN                                    | Smurfit Westrock Financing DAC                                                  | CUSIP: 83272YAB8<br>LEI: 6354005S6ZLHLVX7VT12 | Long             | DBT              | CORP              | IE        |   1505000 | PA      | $1550858.33   | 0.04%             | 2035-01-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust              | JPMDB Commercial Mortgage Securities Trust 2016-C2                              | CUSIP: 46590LAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2321000 | PA      | $2251592.58   | 0.06%             | 2049-06-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                       | Atmos Energy Corp                                                               | CUSIP: 049560AZ8<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1084402.19   | 0.03%             | 2033-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp                                          | Air Lease Corp                                                                  | CUSIP: 00912XBF0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    286000 | PA      | $287319.01    | 0.01%             | 2028-10-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 313637QD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    894225 | PA      | $883497.06    | 0.02%             | 2028-08-01      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| PACKAGING CORP OF AMERIC                                | Packaging Corp of America                                                       | CUSIP: 695156AV1<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | DBT              | CORP              | US        |    155000 | PA      | $123090.43    | 0.00%             | 2049-12-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                 | BPCE SA                                                                         | CUSIP: 056121AA4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   2820000 | PA      | $2893162.98   | 0.08%             | 2031-05-28      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                        | Societe Generale SA                                                             | CUSIP: 83368RBJ0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   3970000 | PA      | $3611727.79   | 0.10%             | 2033-01-21      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                  | Williams Cos Inc/The                                                            | CUSIP: 969457CP3<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    910000 | PA      | $944353.92    | 0.03%             | 2035-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FMU26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2233921 | PA      | $61408.92     | 0.00%             | 2029-06-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31397KTW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    387825 | PA      | $35229.22     | 0.00%             | 2037-10-15      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XEAL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    372266 | PA      | $322199.39    | 0.01%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DV7A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1344192 | PA      | $1144783.54   | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Boston Scientific Corp                                  | Boston Scientific Corp                                                          | CUSIP: 101137AT4<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |     49000 | PA      | $46752.13     | 0.00%             | 2039-03-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                             | Oracle Corp                                                                     | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    450000 | PA      | $361413.53    | 0.01%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179WFH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54700 | PA      | $48877.94     | 0.00%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AJFA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200753 | PA      | $164054.11    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                               | ONEOK Inc                                                                       | CUSIP: 682680BL6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $1092200.17   | 0.03%             | 2033-09-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                   | OneMain Direct Auto Receivables Trust 2019-1                                    | CUSIP: 68267EAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $997002.60    | 0.03%             | 2028-11-14      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| SMRT                                                    | SMRT 2022-MINI                                                                  | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1740000 | PA      | $1737823.96   | 0.05%             | 2039-01-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                                 | Southern Co Gas Capital Corp                                                    | CUSIP: 8426EPAK4<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    945000 | PA      | $947470.33    | 0.03%             | 2035-09-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L0FH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148240 | PA      | $121267.57    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MONONGAHELA POWER CO                                    | Monongahela Power Co                                                            | CUSIP: 609935AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    140000 | PA      | $147967.06    | 0.00%             | 2034-02-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYWF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    391891 | PA      | $349850.46    | 0.01%             | 2042-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                   | Entergy Louisiana LLC                                                           | CUSIP: 29364WBA5<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38395.44     | 0.00%             | 2033-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H7M91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2037000 | PA      | $1833934.53   | 0.05%             | 2032-04-25      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140HNWF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    182574 | PA      | $178946.10    | 0.00%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                  | Extra Space Storage LP                                                          | CUSIP: 30225VAN7<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |    150000 | PA      | $148461.98    | 0.00%             | 2029-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133B33Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136361 | PA      | $120880.15    | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38379UN36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2281848 | PA      | $78169.50     | 0.00%             | 2056-09-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                 | PORT AUTH OF NEW YORK & NEW JERSEY NY                                           | CUSIP: 73358WCW2<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |    130000 | PA      | $138548.79    | 0.00%             | 2040-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31397RVN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81710 | PA      | $84647.67     | 0.00%             | 2038-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140K0SW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1411686 | PA      | $1263852.36   | 0.03%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                                      | Athene Holding Ltd                                                              | CUSIP: 04686JAM3<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |    501000 | PA      | $513161.78    | 0.01%             | 2055-06-28      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending                   | Cantor Commercial Real Estate Lending 2019-CF1                                  | CUSIP: 12529MAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1411000 | PA      | $1377476.05   | 0.04%             | 2052-05-15      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                | Benchmark 2020-B17 Mortgage Trust                                               | CUSIP: 08162MAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2037000 | PA      | $1825655.34   | 0.05%             | 2053-03-15      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3510000 | PA      | $3196334.50   | 0.09%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ERNP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27240 | PA      | $24600.12     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132XGT63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $202314.34    | 0.01%             | 2030-02-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                                   | Southern California Gas Co                                                      | CUSIP: 842434CX8<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    200000 | PA      | $218260.49    | 0.01%             | 2052-11-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QADH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206512 | PA      | $203647.50    | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                         | Goodgreen 2019-2                                                                | CUSIP: 38218EAA5<br>LEI: 549300X0P2BXCQULUH20 | Long             | ABS-O            | CORP              | KY        |    186173 | PA      | $160353.07    | 0.00%             | 2055-04-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                  | CHL Mortgage Pass-Through Trust 2004-HYB1                                       | CUSIP: 12669FNP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4751 | PA      | $4359.89      | 0.00%             | 2034-05-20      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAP INTL                                  | TotalEnergies Capital International SA                                          | CUSIP: 89153VAU3<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |    145000 | PA      | $106075.83    | 0.00%             | 2049-07-12      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                  | CUSIP: 09659W2Z6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2945000 | PA      | $3024990.82   | 0.08%             | 2030-11-19      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| APA INFRASTRUCTURE LTD                                  | APA Infrastructure Ltd                                                          | CUSIP: 00188LAA5<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |   1752000 | PA      | $1775629.43   | 0.05%             | 2034-09-16      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38376RLL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    196726 | PA      | $196682.66    | 0.01%             | 2065-11-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137F86B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1122796 | PA      | $188549.81    | 0.01%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                 | Hyundai Capital America                                                         | CUSIP: 44891ABS5<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    115000 | PA      | $114063.35    | 0.00%             | 2026-01-08      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust              | JPMDB Commercial Mortgage Securities Trust 2016-C4                              | CUSIP: 46646RAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    620000 | PA      | $608331.54    | 0.02%             | 2049-12-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE TELEKOM INT FIN                                | Deutsche Telekom International Finance BV                                       | CUSIP: 25156PAR4<br>LEI: 529900ERDFHS6C1M4U58 | Long             | DBT              | CORP              | NL        |    150000 | PA      | $140045.47    | 0.00%             | 2042-03-06      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                  | Pacific Gas and Electric Co                                                     | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     33000 | PA      | $25109.78     | 0.00%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                       | Sierra Timeshare 2025-1 Receivables Funding LLC                                 | CUSIP: 82653CAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2902234 | PA      | $2932248.35   | 0.08%             | 2042-01-21      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDV3<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   1955000 | PA      | $1996288.95   | 0.05%             | 2031-05-27      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                          | Morgan Stanley                                                                  | CUSIP: 61747YDY8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     85000 | PA      | $74559.30     | 0.00%             | 2045-01-27      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138EKZC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72847 | PA      | $75174.50     | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-AFC1 Trust                                                            | CUSIP: 12657LAC8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    791246 | PA      | $672772.30    | 0.02%             | 2056-03-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                           | MASTR Alternative Loan Trust 2004-6                                             | CUSIP: 576434SK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39678 | PA      | $39727.20     | 0.00%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DNBV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    157091 | PA      | $139543.23    | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                | EQT Corp                                                                        | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    680000 | PA      | $740345.57    | 0.02%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities                | Freddie Mac Structured Pass-Through Certificates                                | CUSIP: 31392MEN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4994 | PA      | $4785.45      | 0.00%             | 2032-07-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179WZA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3150277 | PA      | $2813379.93   | 0.08%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                    | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    481000 | PA      | $285430.01    | 0.01%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                     | Elevance Health Inc                                                             | CUSIP: 036752AU7<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    490000 | PA      | $410256.57    | 0.01%             | 2052-05-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1990000 | PA      | $2014047.58   | 0.05%             | 2033-05-24      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1398000 | PA      | $1445679.74   | 0.04%             | 2031-04-23      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| EVERGY METRO                                            | Evergy Metro Inc                                                                | CUSIP: 30037DAD7<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |     80000 | PA      | $83200.11     | 0.00%             | 2034-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                   | Wells Fargo Commercial Mortgage Trust 2016-C36                                  | CUSIP: 95000MBS9<br>LEI: 549300BSYX29G4VVM177 | Long             | ABS-MBS          | CORP              | US        |  24158469 | PA      | $159001.38    | 0.00%             | 2059-11-15      | Variable      | 1.29%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL FINANCIAL GRP                                 | Principal Financial Group Inc                                                   | CUSIP: 74251VAR3<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29417.51     | 0.00%             | 2029-05-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| TRANE TECH FIN LTD                                      | Trane Technologies Financing Ltd                                                | CUSIP: 892938AA9<br>LEI: 549300A5OEF3CJI2CO89 | Long             | DBT              | CORP              | IE        |    150000 | PA      | $156077.45    | 0.00%             | 2033-03-03      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                   | Truist Financial Corp                                                           | CUSIP: 89788MAS1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    800000 | PA      | $839496.82    | 0.02%             | 2035-01-24      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XLBB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    874090 | PA      | $746457.29    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                 | WaMu Mortgage Pass-Through Certificates Series 2003-AR8 Trust                   | CUSIP: 92922FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1881 | PA      | $1803.08      | 0.00%             | 2033-08-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140EXDX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24813 | PA      | $22429.27     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    280000 | PA      | $244209.91    | 0.01%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | JP Morgan Chase Commercial Mortgage Securities Trust 2015-JP1                   | CUSIP: 46590KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1563474 | PA      | $1554260.89   | 0.04%             | 2049-01-15      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LJPM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96461 | PA      | $98058.21     | 0.00%             | 2033-01-01      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179TXW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15296 | PA      | $15112.75     | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                | RTX Corp                                                                        | CUSIP: 75513ECK5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     90000 | PA      | $77075.50     | 0.00%             | 2047-04-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELEC POWER                                 | Southwestern Electric Power Co                                                  | CUSIP: 845437BR2<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |   1547000 | PA      | $1542028.27   | 0.04%             | 2028-09-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                                | Penske Truck Leasing Co Lp / PTL Finance Corp                                   | CUSIP: 709599AW4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $24739.87     | 0.00%             | 2026-11-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AJBJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    256547 | PA      | $209661.85    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38379QAH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98941 | PA      | $101252.13    | 0.00%             | 2038-01-20      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDP6<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    500000 | PA      | $474862.95    | 0.01%             | 2033-04-06      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136AT5G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87209 | PA      | $82896.78     | 0.00%             | 2039-07-25      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                                | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MCW8<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    370000 | PA      | $390165.33    | 0.01%             | 2030-01-13      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    306436 | PA      | $274870.86    | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                           | Boeing Co/The                                                                   | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    675000 | PA      | $735152.56    | 0.02%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38374XBQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18354 | PA      | $4286.53      | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38375Y5V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7142 | PA      | $595.62       | 0.00%             | 2039-02-16      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L1TP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    293990 | PA      | $240104.77    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Orchard Trust Co. LLC                                   | Orchard Trust Co. LLC                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6285000 | PA      | $6219203.91   | 0.17%             | 2032-08-01      | Fixed         | 4.23%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179V7E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4214012 | PA      | $3638147.71   | 0.10%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140JHYV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225155 | PA      | $222266.81    | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LJUG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1600000 | PA      | $1611623.95   | 0.04%             | 2030-03-01      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 61747YFD2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1605000 | PA      | $1642928.61   | 0.04%             | 2029-04-20      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3618JJQ31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1081689 | PA      | $1078232.46   | 0.03%             | 2054-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CLEVELAND ELECTRIC ILLUM                                | Cleveland Electric Illuminating Co/The                                          | CUSIP: 186108CL8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     65000 | PA      | $64351.78     | 0.00%             | 2030-11-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617XVY72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    880749 | PA      | $828506.14    | 0.02%             | 2052-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ventas Realty LP                                        | Ventas Realty LP                                                                | CUSIP: 92277GAL1<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              |  | US        |     49000 | PA      | $48808.63     | 0.00%             | 2027-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GVS0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    810000 | PA      | $739954.07    | 0.02%             | 2045-10-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| First Investors Auto Owner Trust                        | First Investors Auto Owner Trust 2023-1                                         | CUSIP: 320986AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4125014.00   | 0.11%             | 2029-12-17      | Fixed         | 6.81%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    520000 | PA      | $504634.86    | 0.01%             | 2027-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133ANC36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    199671 | PA      | $171803.01    | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31393HGW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    224289 | PA      | $232598.08    | 0.01%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                                  | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RCB1<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    633000 | PA      | $650177.09    | 0.02%             | 2031-02-11      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38380LXV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27587 | PA      | $27536.71     | 0.00%             | 2069-08-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| TOLEDO EDISON COMPANY                                   | Toledo Edison Co/The                                                            | CUSIP: 889175BD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $54290.85     | 0.00%             | 2037-05-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                               | CUSIP: 3622A2CE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    156068 | PA      | $143100.09    | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                             | Oracle Corp                                                                     | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1595000 | PA      | $1596917.94   | 0.04%             | 2032-09-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QERD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55217 | PA      | $48417.49     | 0.00%             | 2040-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA                                  | Skandinaviska Enskilda Banken AB                                                | CUSIP: 830505BK8<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |   1660000 | PA      | $1663739.37   | 0.05%             | 2030-09-03      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9LV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    864201 | PA      | $799513.23    | 0.02%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                       | NatWest Group PLC                                                               | CUSIP: 780097BA8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    283000 | PA      | $283848.53    | 0.01%             | 2026-04-05      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XK2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1129580 | PA      | $1114844.23   | 0.03%             | 2050-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                           | Citigroup Inc                                                                   | CUSIP: 172967LP4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    605000 | PA      | $599661.98    | 0.02%             | 2028-07-24      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KLGL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1086077 | PA      | $887339.11    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                      | Banco Santander SA                                                              | CUSIP: 05964HBG9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    600000 | PA      | $629800.02    | 0.02%             | 2031-07-15      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust             | MF1 2022-FL10 LLC                                                               | CUSIP: 55285BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1309052 | PA      | $1310940.21   | 0.04%             | 2037-09-17      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138L5KB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284461 | PA      | $284770.74    | 0.01%             | 2030-11-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd                                             | Nutrien Ltd                                                                     | CUSIP: 67077MAU2<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |     40000 | PA      | $36494.72     | 0.00%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE OKLAHOMA                                 | Public Service Co of Oklahoma                                                   | CUSIP: 744533BR0<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    310000 | PA      | $313827.23    | 0.01%             | 2035-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| CGI INC                                                 | CGI Inc                                                                         | CUSIP: 12532HAF1<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |    370000 | PA      | $325299.92    | 0.01%             | 2031-09-14      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133BWGF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55592 | PA      | $57966.70     | 0.00%             | 2053-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136B4KJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125938 | PA      | $123219.36    | 0.00%             | 2029-01-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 18-1 A PTT                                  | British Airways 2018-1 Class A Pass Through Trust                               | CUSIP: 11043HAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     57593 | PA      | $55487.71     | 0.00%             | 2031-09-20      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSUR & ANNUITY                                | Teachers Insurance & Annuity Association of America                             | CUSIP: 878091BF3<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |     50000 | PA      | $41487.56     | 0.00%             | 2047-05-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                                  | ConocoPhillips Co                                                               | CUSIP: 20826FBM7<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    495000 | PA      | $484925.51    | 0.01%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities                | Freddie Mac Structured Pass-Through Certificates                                | CUSIP: 31394JY76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5797 | PA      | $4909.95      | 0.00%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                               | Apple Inc                                                                       | CUSIP: 037833EK2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    965000 | PA      | $615883.37    | 0.02%             | 2051-08-05      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Trust 2015-1                                                          | CUSIP: 46643UDP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71950 | PA      | $71876.50     | 0.00%             | 2044-12-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                   | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CBJ2<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |   2444000 | PA      | $2512678.06   | 0.07%             | 2033-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138LPCN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1200000 | PA      | $1186612.09   | 0.03%             | 2030-02-01      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24325000 | PA      | $25568805.60  | 0.70%             | 2030-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| BROOKLYN UNION GAS CO                                   | Brooklyn Union Gas Co/The                                                       | CUSIP: 114259AQ7<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |     80000 | PA      | $64340.17     | 0.00%             | 2048-03-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617YMMJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    484633 | PA      | $432804.10    | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HALEON US CAPITAL LLC                                   | Haleon US Capital LLC                                                           | CUSIP: 36264FAM3<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    640000 | PA      | $606490.12    | 0.02%             | 2032-03-24      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| The BAHA Trust                                          | BAHA Trust 2024-MAR                                                             | CUSIP: 05493XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5541000 | PA      | $5723049.00   | 0.16%             | 2041-12-10      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                 | MPLX LP                                                                         | CUSIP: 55336VAN0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    550000 | PA      | $460516.41    | 0.01%             | 2048-04-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9E91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    938233 | PA      | $816724.49    | 0.02%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2017-BNK5                                                                  | CUSIP: 06541WBB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    354000 | PA      | $341478.06    | 0.01%             | 2060-06-15      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    110000 | PA      | $92408.59     | 0.00%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31392BVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       413 | PA      | $497.55       | 0.00%             | 2032-02-25      | Floating      | 10.66%                | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128334Z0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     65000 | PA      | $43588.49     | 0.00%             | 2035-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FELLS POINT FUNDING TR                                  | Fells Point Funding Trust                                                       | CUSIP: 314382AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1585000 | PA      | $1559320.32   | 0.04%             | 2027-01-31      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140KLH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    565675 | PA      | $485005.21    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31394ATX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6978 | PA      | $7456.06      | 0.00%             | 2032-11-25      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132L8N86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    243454 | PA      | $240723.74    | 0.01%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622ACQE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1014768 | PA      | $1029214.53   | 0.03%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F1G44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    215000 | PA      | $212680.02    | 0.01%             | 2027-04-25      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending                   | Cantor Commercial Real Estate Lending 2019-CF2                                  | CUSIP: 12528YAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    516000 | PA      | $484096.34    | 0.01%             | 2052-11-15      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622ACP46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    713271 | PA      | $627111.86    | 0.02%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                    | CUSIP: 20030NCZ2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    400000 | PA      | $279629.67    | 0.01%             | 2050-02-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31398R2K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204642 | PA      | $209224.01    | 0.01%             | 2040-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31335B5H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1363108 | PA      | $1275914.03   | 0.03%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AEP TRANSMISSION CO LLC                                 | AEP Transmission Co LLC                                                         | CUSIP: 00115AAL3<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |     35000 | PA      | $24000.82     | 0.00%             | 2049-09-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                   | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    200000 | PA      | $198485.27    | 0.01%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3139204E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       643 | PA      | $662.14       | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP2                   | CUSIP: 46590MAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    923000 | PA      | $905884.90    | 0.02%             | 2049-08-15      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                     | Toyota Auto Receivables 2024-B Owner Trust                                      | CUSIP: 89237NAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2477000 | PA      | $2514708.11   | 0.07%             | 2029-01-16      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XB5S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    627233 | PA      | $559539.51    | 0.02%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617XXCU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1223297 | PA      | $1278981.62   | 0.03%             | 2072-02-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| ITC Holdings Corp                                       | ITC Holdings Corp                                                               | CUSIP: 465685AH8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |   1405000 | PA      | $1347402.49   | 0.04%             | 2043-07-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133B5EE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    326048 | PA      | $289068.14    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PINE STREET TRUST III                                   | Pine Street Trust III                                                           | CUSIP: 72284KAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1030176.74   | 0.03%             | 2054-05-15      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| UNION ELECTRIC CO                                       | Union Electric Co                                                               | CUSIP: 906548CY6<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |   1580000 | PA      | $1627816.76   | 0.04%             | 2034-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132ACYK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    201018 | PA      | $202686.32    | 0.01%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3618AWYA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    744398 | PA      | $754994.80    | 0.02%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAM3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    160000 | PA      | $158352.15    | 0.00%             | 2026-02-21      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140M4UV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    812324 | PA      | $691264.47    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31393FQX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12992 | PA      | $13457.36     | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                   | Truist Financial Corp                                                           | CUSIP: 89788MAU6<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   1440000 | PA      | $1476422.06   | 0.04%             | 2031-05-20      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156770 | PA      | $127380.37    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABLA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    358520 | PA      | $307360.78    | 0.01%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 19-1 AA PTT                                 | British Airways 2019-1 Class AA Pass Through Trust                              | CUSIP: 11043XAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    110011 | PA      | $104006.45    | 0.00%             | 2032-12-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Emera US Finance LP                                     | Emera US Finance LP                                                             | CUSIP: 29103DAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    130000 | PA      | $112172.22    | 0.00%             | 2046-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31416YJD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65936 | PA      | $65150.11     | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                          | Carvana Auto Receivables Trust 2023-P3                                          | CUSIP: 14688GAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    178301 | PA      | $179576.68    | 0.00%             | 2028-08-10      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2021-12                                                | CUSIP: 46592WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1213665 | PA      | $1006014.77   | 0.03%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                | Constellation Brands Inc                                                        | CUSIP: 21036PBF4<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    420000 | PA      | $392972.52    | 0.01%             | 2030-05-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X9HW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    422944 | PA      | $341991.36    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                   | Truist Financial Corp                                                           | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2023209.78   | 0.06%             | 2027-06-08      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                    | FREMF 2016-K59 Mortgage Trust                                                   | CUSIP: 30295RAS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    180000 | PA      | $177503.04    | 0.00%             | 2049-11-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1090000 | PA      | $928145.08    | 0.03%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                  | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822DK7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $206082.37    | 0.01%             | 2031-04-24      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132WKPM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    201043 | PA      | $181753.38    | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                            | CD 2016-CD1 Mortgage Trust                                                      | CUSIP: 12514MBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1950000 | PA      | $1907137.44   | 0.05%             | 2049-08-10      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35110000 | PA      | $31803351.08  | 0.87%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NNN REIT INC                                            | NNN REIT Inc                                                                    | CUSIP: 637417AT3<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              |  | US        |    640000 | PA      | $663944.79    | 0.02%             | 2034-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LHTB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $992332.19    | 0.03%             | 2032-10-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                                | Intercontinental Exchange Inc                                                   | CUSIP: 45866FAH7<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    230000 | PA      | $194515.12    | 0.01%             | 2048-09-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617MB4M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59673 | PA      | $55543.70     | 0.00%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                              | GLS Auto Receivables Issuer Trust 2025-2                                        | CUSIP: 37989BAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5600000 | PA      | $5663719.04   | 0.15%             | 2031-01-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                          | Home Depot Inc/The                                                              | CUSIP: 437076DE9<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    592000 | PA      | $606193.83    | 0.02%             | 2034-06-25      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LHAF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    936000 | PA      | $901282.92    | 0.02%             | 2032-09-01      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38381HB67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    900000 | PA      | $623865.87    | 0.02%             | 2064-10-16      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140J2H58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1142778 | PA      | $1006146.59   | 0.03%             | 2030-10-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                               | Towd Point Mortgage Trust 2021-R1                                               | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1244127 | PA      | $1129317.36   | 0.03%             | 2060-11-30      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| New York State Dormitory Authority                      | NEW YORK ST DORM AUTH ST PERSONAL INCOME TAX REVENUE                            | CUSIP: 649902T37<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |     30000 | PA      | $30910.20     | 0.00%             | 2040-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31389DSX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48803 | PA      | $46487.18     | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXG89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    811062 | PA      | $786935.03    | 0.02%             | 2057-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138LJB66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    981264 | PA      | $962886.76    | 0.03%             | 2027-07-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                | RTX Corp                                                                        | CUSIP: 75513ECR0<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    221000 | PA      | $228899.20    | 0.01%             | 2033-02-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FCJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    208000 | PA      | $205277.28    | 0.01%             | 2027-11-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XJKX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78093 | PA      | $67687.85     | 0.00%             | 2042-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    572000 | PA      | $549950.92    | 0.01%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3                   | CUSIP: 35563PLJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    295000 | PA      | $246946.86    | 0.01%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE OKLAHOMA                                 | Public Service Co of Oklahoma                                                   | CUSIP: 744533BQ2<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    280000 | PA      | $287967.77    | 0.01%             | 2033-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KRCR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    196794 | PA      | $206849.47    | 0.01%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31403R2E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4489 | PA      | $4607.13      | 0.00%             | 2028-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LHSH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1405000 | PA      | $1386517.49   | 0.04%             | 2032-11-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                      | Essex Portfolio LP                                                              | CUSIP: 29717PBA4<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              |  | US        |    420000 | PA      | $436198.05    | 0.01%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NNN REIT INC                                            | NNN REIT Inc                                                                    | CUSIP: 637417AS5<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              |  | US        |    150000 | PA      | $156904.61    | 0.00%             | 2033-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140NY6C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $5012104.20   | 0.14%             | 2032-08-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BBEM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1159915 | PA      | $1043074.10   | 0.03%             | 2050-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                    | CUSIP: 20030NDL2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    930000 | PA      | $567757.37    | 0.02%             | 2051-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133BREB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156027 | PA      | $155634.27    | 0.00%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| YALE-NEW HAVEN HLTH SRVC                                | Yale-New Haven Health Services Corp                                             | CUSIP: 98459HAA0<br>LEI: 549300AVJD56IH6OKW11 | Long             | DBT              | CORP              | US        |    200000 | PA      | $118111.66    | 0.00%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QBDT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91660 | PA      | $92515.41     | 0.00%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                               | CUSIP: 36178WDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22986 | PA      | $21028.58     | 0.00%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                            | UBS Group AG                                                                    | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1280000 | PA      | $1265464.28   | 0.03%             | 2031-04-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                  | Pacific Gas and Electric Co                                                     | CUSIP: 694308KR7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2890000 | PA      | $2994513.21   | 0.08%             | 2034-05-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    461945 | PA      | $412778.31    | 0.01%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1392023 | PA      | $1296281.91   | 0.04%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VMWARE LLC                                              | VMware LLC                                                                      | CUSIP: 928563AJ4<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    404000 | PA      | $395019.44    | 0.01%             | 2026-08-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| NRG Energy Inc                                          | NRG Energy Inc                                                                  | CUSIP: 629377CL4<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    110000 | PA      | $109074.88    | 0.00%             | 2029-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                               | Towd Point Mortgage Trust 2022-4                                                | CUSIP: 89180YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2040958 | PA      | $1956191.82   | 0.05%             | 2062-09-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust 2022-6                                      | CUSIP: 30168AAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1032000 | PA      | $1063611.81   | 0.03%             | 2029-04-06      | Fixed         | 8.03%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18830000 | PA      | $18541665.63  | 0.51%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                     | Bank of Nova Scotia/The                                                         | CUSIP: 06417XAP6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    111000 | PA      | $113643.86    | 0.00%             | 2030-02-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    432000 | PA      | $432930.79    | 0.01%             | 2045-02-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38383CRU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57210 | PA      | $46898.01     | 0.00%             | 2051-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EEE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    780604 | PA      | $717695.24    | 0.02%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Medtronic Inc                                           | Medtronic Inc                                                                   | CUSIP: 585055BU9<br>LEI: D56MRZY2INAN94ZONZ37 | Long             | DBT              | CORP              | US        |    100000 | PA      | $91870.91     | 0.00%             | 2045-03-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BCER7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    431611 | PA      | $77159.91     | 0.00%             | 2050-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XQFW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    925780 | PA      | $948383.53    | 0.03%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138LHPS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    923882 | PA      | $852516.93    | 0.02%             | 2037-03-01      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140HTWQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    273151 | PA      | $265038.02    | 0.01%             | 2029-05-01      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1365000 | PA      | $893115.24    | 0.02%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AGCY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    901939 | PA      | $740365.52    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XA3J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96364 | PA      | $89629.28     | 0.00%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust                 | DBJPM 20-C9 Mortgage Trust                                                      | CUSIP: 233063AT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    975000 | PA      | $865909.20    | 0.02%             | 2053-08-15      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYVS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2178654 | PA      | $1889718.02   | 0.05%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Prudential Financial Inc                                | Prudential Financial Inc                                                        | CUSIP: 744320AY8<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |     61000 | PA      | $48868.51     | 0.00%             | 2047-12-07      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                        | Duke Energy Corp                                                                | CUSIP: 26441CCF0<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1515414.59   | 0.04%             | 2054-06-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-1                   | CUSIP: 35563PJE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2471012 | PA      | $2204728.38   | 0.06%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FMC GMSR ISSUER TRUST                                   | FMC GMSR Issuer Trust                                                           | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1486002.15   | 0.04%             | 2026-01-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179UQ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    208530 | PA      | $211542.02    | 0.01%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KJDA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    918894 | PA      | $808760.51    | 0.02%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                            | UBS Group AG                                                                    | CUSIP: 225401BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    390000 | PA      | $488617.97    | 0.01%             | 2033-11-15      | Fixed         | 9.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LRTA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    350409 | PA      | $300862.55    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                          | Morgan Stanley                                                                  | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    209000 | PA      | $210000.51    | 0.01%             | 2030-01-23      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418D3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2068069 | PA      | $1949962.73   | 0.05%             | 2036-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                  | Santander Drive Auto Receivables Trust 2024-2                                   | CUSIP: 80286YAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2249000 | PA      | $2322058.77   | 0.06%             | 2031-08-15      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29278NAE3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    335000 | PA      | $330156.10    | 0.01%             | 2048-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38382EDT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    227792 | PA      | $44315.22     | 0.00%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                              | US Bancorp                                                                      | CUSIP: 91159HJK7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   1407000 | PA      | $1422564.57   | 0.04%             | 2029-02-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd         | Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd                          | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    826091 | PA      | $826090.84    | 0.02%             | 2037-01-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                          | Home Depot Inc/The                                                              | CUSIP: 437076CD2<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    680000 | PA      | $491103.21    | 0.01%             | 2050-04-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Corp                                        | FirstEnergy Corp                                                                | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |   1610000 | PA      | $1600126.16   | 0.04%             | 2027-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128337T1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1175000 | PA      | $860582.11    | 0.02%             | 2033-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31393CVP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8070 | PA      | $1254.31      | 0.00%             | 2033-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XDN77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    264986 | PA      | $250748.94    | 0.01%             | 2051-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                 | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JBR4<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    215000 | PA      | $145498.68    | 0.00%             | 2049-09-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| MID-AMERICA APARTMENTS                                  | Mid-America Apartments LP                                                       | CUSIP: 59523UAQ0<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              |  | US        |    230000 | PA      | $228273.20    | 0.01%             | 2029-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                                 | American Electric Power Co Inc                                                  | CUSIP: 025537AN1<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    260000 | PA      | $237951.29    | 0.01%             | 2030-03-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    310000 | PA      | $325624.34    | 0.01%             | 2034-07-25      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXKN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1265683 | PA      | $1202728.80   | 0.03%             | 2058-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGJR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2146771 | PA      | $1892521.29   | 0.05%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGX95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    615735 | PA      | $567568.54    | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Diamond Infrastructure Funding LLC                      | Diamond Infrastructure Funding LLC                                              | CUSIP: 25265LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2280000 | PA      | $2186648.14   | 0.06%             | 2049-04-15      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QNVN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1770095 | PA      | $1684371.66   | 0.05%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38376JJB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    236000 | PA      | $238788.58    | 0.01%             | 2039-11-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs       | United States Small Business Administration                                     | CUSIP: 83162CB51<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    155592 | PA      | $146731.97    | 0.00%             | 2039-04-01      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                                 | HCA Inc                                                                         | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    245000 | PA      | $233720.26    | 0.01%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H14D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2939426 | PA      | $60490.15     | 0.00%             | 2028-05-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                            | Barclays PLC                                                                    | CUSIP: 06738ECG8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    853000 | PA      | $917639.38    | 0.03%             | 2034-05-09      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                        | Freddie Mac Strips                                                              | CUSIP: 3132HTJV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43622 | PA      | $39649.11     | 0.00%             | 2043-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                                   | Tennessee Valley Authority                                                      | CUSIP: 880591EJ7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |     93000 | PA      | $83421.26     | 0.00%             | 2060-09-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| UDR INC                                                 | UDR Inc                                                                         | CUSIP: 90265EAR1<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              |  | US        |     25000 | PA      | $23080.53     | 0.00%             | 2031-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                  | Marvell Technology Inc                                                          | CUSIP: 573874AS3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4602000 | PA      | $4744353.44   | 0.13%             | 2035-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LGTM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96973 | PA      | $93938.35     | 0.00%             | 2032-06-01      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1771000 | PA      | $1706699.40   | 0.05%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                    | Fannie Mae REMIC Trust 1999-W4                                                  | CUSIP: 31359VA94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13497 | PA      | $13656.58     | 0.00%             | 2029-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                        | Freddie Mac Strips                                                              | CUSIP: 31325WSM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    204909 | PA      | $21978.79     | 0.00%             | 2046-12-15      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     28000 | PA      | $21380.63     | 0.00%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1070000 | PA      | $996036.15    | 0.03%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    514000 | PA      | $455110.86    | 0.01%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140JBVE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164255 | PA      | $134788.54    | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYU64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1215039 | PA      | $1050306.21   | 0.03%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                  | Santander Drive Auto Receivables Trust 2024-3                                   | CUSIP: 80287LAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5055000 | PA      | $5183152.34   | 0.14%             | 2031-10-15      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F9YZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1486337 | PA      | $45966.75     | 0.00%             | 2030-12-25      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X8P84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    517442 | PA      | $519356.35    | 0.01%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                  | Pacific Gas and Electric Co                                                     | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     55000 | PA      | $44125.90     | 0.00%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DM5S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2087648 | PA      | $1780571.49   | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                 | Hyundai Capital America                                                         | CUSIP: 44891ABW6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     45000 | PA      | $44139.88     | 0.00%             | 2026-06-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                                 | Nationwide Building Society                                                     | CUSIP: 63861VAE7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   2165000 | PA      | $2129568.11   | 0.06%             | 2030-07-18      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9GU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    591617 | PA      | $512052.26    | 0.01%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust 2023-5                                      | CUSIP: 30168DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1824000 | PA      | $1860378.40   | 0.05%             | 2029-01-16      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-RPL6 Trust                                                            | CUSIP: 12657GAA3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    838461 | PA      | $758964.32    | 0.02%             | 2060-10-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                               | CUSIP: 36206JBD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       190 | PA      | $190.53       | 0.00%             | 2027-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QEYV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    513061 | PA      | $417838.65    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31416RRG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    341517 | PA      | $344129.87    | 0.01%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ROCC Trust                                              | ROCK Trust 2024-CNTR                                                            | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1538522.70   | 0.04%             | 2041-11-13      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FINANCE CORP                                  | Bunge Ltd Finance Corp                                                          | CUSIP: 120568BN9<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |    400000 | PA      | $374615.58    | 0.01%             | 2031-04-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK OP LLC                                       | Healthpeak OP LLC                                                               | CUSIP: 42250PAD5<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              |  | US        |    330000 | PA      | $309001.10    | 0.01%             | 2028-12-01      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                                 | Honeywell International Inc                                                     | CUSIP: 438516CT1<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |   1160000 | PA      | $1116520.66   | 0.03%             | 2054-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                  | BP Capital Markets America Inc                                                  | CUSIP: 10373QCA6<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |   1270000 | PA      | $1311761.46   | 0.04%             | 2034-11-17      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                          | Eli Lilly & Co                                                                  | CUSIP: 532457CH9<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    210000 | PA      | $193824.83    | 0.01%             | 2063-02-27      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H74C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5273648 | PA      | $107854.00    | 0.00%             | 2055-04-25      | Variable      | 0.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XA5B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77165 | PA      | $74239.42     | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                            | Enbridge Inc                                                                    | CUSIP: 29250NCA1<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    590000 | PA      | $598922.58    | 0.02%             | 2027-04-05      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L0RZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68541 | PA      | $61494.05     | 0.00%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WESTPAC NEW ZEALAND LTD                                 | Westpac New Zealand Ltd                                                         | CUSIP: 96122FAA5<br>LEI: 549300MW73M5PK1PNG73 | Long             | DBT              | CORP              | NZ        |    560000 | PA      | $569455.84    | 0.02%             | 2028-02-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                   | Mexico Government International Bond                                            | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   2127000 | PA      | $2195914.80   | 0.06%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QPKX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3871845 | PA      | $3657544.49   | 0.10%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2020-7                                                 | CUSIP: 46591XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150281 | PA      | $129893.11    | 0.00%             | 2051-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                  | BP Capital Markets America Inc                                                  | CUSIP: 10373QBS8<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    135000 | PA      | $87855.81     | 0.00%             | 2052-03-17      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABCA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    353833 | PA      | $302800.40    | 0.01%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    475000 | PA      | $342116.78    | 0.01%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X3CH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95020 | PA      | $91298.22     | 0.00%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities                  | Natixis Commercial Mortgage Securities Trust 2019-FAME                          | CUSIP: 63873VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5440000 | PA      | $5068024.22   | 0.14%             | 2036-08-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418BKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203376 | PA      | $197887.24    | 0.01%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QNM82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    207463 | PA      | $190315.66    | 0.01%             | 2042-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LHQV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    478083 | PA      | $475465.43    | 0.01%             | 2032-10-01      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| SBALR Commercial Mortgage 2020-RR1 Trust                | SBALR Commercial Mortgage 2020-RR1 Trust                                        | CUSIP: 78397EAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    811637 | PA      | $718295.21    | 0.02%             | 2053-02-13      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3133TM7F7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3651 | PA      | $3764.88      | 0.00%             | 2029-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                     | Dominion Energy Inc                                                             | CUSIP: 25746UDV8<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    479000 | PA      | $495730.50    | 0.01%             | 2055-05-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                    | Glencore Funding LLC                                                            | CUSIP: 378272AN8<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    400000 | PA      | $398097.22    | 0.01%             | 2027-03-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FPJQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1018390 | PA      | $9619.30      | 0.00%             | 2027-06-25      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2D4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1290000 | PA      | $1289448.31   | 0.04%             | 2029-01-24      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3133TQBZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43939 | PA      | $46029.67     | 0.00%             | 2030-10-15      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31414B7L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1215 | PA      | $1257.98      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RMZ2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    264000 | PA      | $273642.41    | 0.01%             | 2056-08-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31406H3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18596 | PA      | $19055.82     | 0.00%             | 2035-01-01      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                | Benchmark 2021-B24 Mortgage Trust                                               | CUSIP: 08163CBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    575000 | PA      | $512775.69    | 0.01%             | 2054-03-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31335BE93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    449593 | PA      | $444736.49    | 0.01%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 5YR NOTE (CBT) DEC25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        64 | NC      | $9374.70      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    279066 | PA      | $241709.33    | 0.01%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent                                   | American Homes 4 Rent 2015-SFR2 Trust                                           | CUSIP: 02666BAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $199587.98    | 0.01%             | 2052-10-17      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38380JBV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    571504 | PA      | $17275.37     | 0.00%             | 2059-12-16      | Variable      | 0.52%                 | No            |                  2 | On Loan: No      |
| NGPL PIPECO LLC                                         | NGPL PipeCo LLC                                                                 | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |   1015000 | PA      | $919419.75    | 0.03%             | 2031-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                        | SMB Private Education Loan Trust 2020-A                                         | CUSIP: 78449UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    305375 | PA      | $296224.41    | 0.01%             | 2037-09-15      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X9S63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1224073 | PA      | $1001353.47   | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136A5UD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122926 | PA      | $119840.65    | 0.00%             | 2042-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                  | Philip Morris International Inc                                                 | CUSIP: 718172CP2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    810000 | PA      | $738156.55    | 0.02%             | 2030-05-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVKS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    508210 | PA      | $502753.53    | 0.01%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                           | Corevest American Finance 2019-3 Trust                                          | CUSIP: 21872NAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $671263.53    | 0.02%             | 2052-10-15      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| INTUIT INC                                              | Intuit Inc                                                                      | CUSIP: 46124HAH9<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |    110000 | PA      | $110801.85    | 0.00%             | 2053-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FW ENERGY ASSET ISSUER LLC                              | FW ENERGY ASSET ISSUER LLC                                                      | CUSIP: 302704AA9<br>LEI: 254900YOL2L2C8PFZR08 | Long             | ABS-O            | CORP              | US        |   3110592 | PA      | $3169637.28   | 0.09%             | 2044-08-25      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3085000 | PA      | $1807376.19   | 0.05%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BAS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    666368 | PA      | $420890.43    | 0.01%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3618JHTU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1136402 | PA      | $1157499.16   | 0.03%             | 2054-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                  | CVS Pass-Through Trust                                                          | CUSIP: 126650BS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     45006 | PA      | $47960.30     | 0.00%             | 2032-01-10      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                               | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7                      | CUSIP: 61690KAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    291527 | PA      | $281940.88    | 0.01%             | 2046-02-15      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140NCRY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246038 | PA      | $255977.76    | 0.01%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418AS33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156030 | PA      | $146886.00    | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                            | CaixaBank SA                                                                    | CUSIP: 12803RAM6<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   6516000 | PA      | $6673879.23   | 0.18%             | 2036-07-03      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754EAB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1550000 | PA      | $1601316.63   | 0.04%             | 2043-07-25      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PDZ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    380000 | PA      | $244972.19    | 0.01%             | 2050-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128337N4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3705000 | PA      | $3041113.76   | 0.08%             | 2030-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KNHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    137511 | PA      | $126574.99    | 0.00%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418FHZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1474024 | PA      | $1506639.67   | 0.04%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31416MV68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59546 | PA      | $59543.08     | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QM6A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2579111 | PA      | $2287562.09   | 0.06%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                    | Fannie Mae Trust 2004-W2                                                        | CUSIP: 31393XGQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3758 | PA      | $3896.73      | 0.00%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CFH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2935000 | PA      | $2907828.33   | 0.08%             | 2027-08-31      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                   | Mexico Government International Bonds                                           | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1476000 | PA      | $1591866.00   | 0.04%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622ACEG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    464562 | PA      | $469452.69    | 0.01%             | 2053-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                                | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MDG2<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    310000 | PA      | $323735.71    | 0.01%             | 2028-09-14      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38383FHR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    867341 | PA      | $772101.71    | 0.02%             | 2051-06-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS CORP                                       | ITC Holdings Corp                                                               | CUSIP: 465685AQ8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93718.50     | 0.00%             | 2030-05-14      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38381HN49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    600000 | PA      | $422717.46    | 0.01%             | 2064-10-16      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                        | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CW7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    985000 | PA      | $1025686.28   | 0.03%             | 2029-05-10      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| CLEVELAND ELECTRIC ILLUM                                | Cleveland Electric Illuminating Co/The                                          | CUSIP: 186108CK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    325000 | PA      | $319186.62    | 0.01%             | 2028-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                   | CWABS Inc Asset-Backed Certificates Series 2004-1                               | CUSIP: 126671Y91<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1056 | PA      | $1006.69      | 0.00%             | 2034-04-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AYSU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128267 | PA      | $11524.48     | 0.00%             | 2047-11-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179UZW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    212050 | PA      | $214937.62    | 0.01%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31396CJT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51924 | PA      | $53054.39     | 0.00%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FEBR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $985234.10    | 0.03%             | 2027-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.                              | Impac Secured Assets Trust 2006-1                                               | CUSIP: 45254TTN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3855 | PA      | $3723.72      | 0.00%             | 2036-05-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                          | Carvana Auto Receivables Trust 2023-N1                                          | CUSIP: 14688FAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1529520 | PA      | $1531643.05   | 0.04%             | 2027-11-10      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                   | Entergy Louisiana LLC                                                           | CUSIP: 29364WAY4<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |     59000 | PA      | $58049.66     | 0.00%             | 2026-10-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132E0DY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2201902 | PA      | $2244346.00   | 0.06%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                     | New Residential Mortgage Loan Trust 2016-3                                      | CUSIP: 64829HAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1795047 | PA      | $1760658.12   | 0.05%             | 2056-09-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KMJG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    498763 | PA      | $444073.55    | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132ADXY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    337438 | PA      | $332428.26    | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140JB2H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    844481 | PA      | $737838.64    | 0.02%             | 2061-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BAYP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7359067 | PA      | $5777139.80   | 0.16%             | 2050-06-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                    | FREMF 2019-K102 Mortgage Trust                                                  | CUSIP: 30312WAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    750000 | PA      | $710057.03    | 0.02%             | 2051-12-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 31329NP69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4508552 | PA      | $4212436.53   | 0.11%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38378KJP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2946612 | PA      | $7661.49      | 0.00%             | 2048-10-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138L9U26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    626269 | PA      | $597980.87    | 0.02%             | 2030-06-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| STEEL DYNAMICS INC                                      | Steel Dynamics Inc                                                              | CUSIP: 858119BN9<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |    126000 | PA      | $119832.92    | 0.00%             | 2027-10-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| BG BETA I LTD                                           | BG BETA I LTD                                                                   | CUSIP: 05593PAD8<br>LEI: 254900Z3OU5JTNX05R08 | Long             | ABS-O            | CORP              | KY        |   2646000 | PA      | $2706352.61   | 0.07%             | 2054-07-16      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL                                   | Takeda Pharmaceutical Co Ltd                                                    | CUSIP: 874060AZ9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |   1044000 | PA      | $706637.83    | 0.02%             | 2050-07-09      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179QRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20464 | PA      | $19679.73     | 0.00%             | 2044-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140J2VV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1300000 | PA      | $1139480.20   | 0.03%             | 2031-01-01      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                  | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BW4<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    459000 | PA      | $484031.84    | 0.01%             | 2035-01-22      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6050000 | PA      | $5838722.63   | 0.16%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9QC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1883445 | PA      | $1680233.03   | 0.05%             | 2042-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31335BXV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    354550 | PA      | $320317.07    | 0.01%             | 2048-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1313352 | PA      | $1130440.86   | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                 | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111FQ1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     54000 | PA      | $45162.18     | 0.00%             | 2058-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LGZM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    190640 | PA      | $186212.78    | 0.01%             | 2032-07-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB86<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    738000 | PA      | $749386.47    | 0.02%             | 2045-11-19      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XKHN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    606726 | PA      | $593537.19    | 0.02%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                | Benchmark 2020-B19 Mortgage Trust                                               | CUSIP: 08162WBC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2610000 | PA      | $2293358.45   | 0.06%             | 2053-09-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                                   | Entergy Louisiana LLC                                                           | CUSIP: 29364WBD9<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    130000 | PA      | $83415.52     | 0.00%             | 2051-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136BQSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9405000 | PA      | $9447301.81   | 0.26%             | 2033-03-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                        | Deutsche Bank AG/New York NY                                                    | CUSIP: 25160PAH0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    350000 | PA      | $342331.34    | 0.01%             | 2028-01-07      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                  | Santander Drive Auto Receivables Trust 2025-1                                   | CUSIP: 80288DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    672000 | PA      | $682014.75    | 0.02%             | 2031-03-17      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68305 | PA      | $58106.54     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38383R7N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    300000 | PA      | $238655.19    | 0.01%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617XXDC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1036289 | PA      | $1084803.21   | 0.03%             | 2072-03-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X5TL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230788 | PA      | $226971.83    | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2019-BNK20                                                                 | CUSIP: 06540AAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    534000 | PA      | $500212.11    | 0.01%             | 2062-09-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31339DW95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3326 | PA      | $3616.58      | 0.00%             | 2032-02-15      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                     | Southern California Edison Co                                                   | CUSIP: 842400HX4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    290000 | PA      | $280075.70    | 0.01%             | 2053-12-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                  | Mizuho Financial Group Inc                                                      | CUSIP: 60687YDM8<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   4255000 | PA      | $4373857.51   | 0.12%             | 2036-07-08      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| PG&E RECOVERY FND LLC                                   | PG&E Recovery Funding LLC                                                       | CUSIP: 71710TAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1865000 | PA      | $1848312.52   | 0.05%             | 2049-06-01      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KHGR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    220253 | PA      | $210597.88    | 0.01%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LRUQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139960 | PA      | $120096.46    | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31384JEW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       386 | PA      | $385.75       | 0.00%             | 2030-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                  | Lendmark Funding Trust 2021-1                                                   | CUSIP: 52607MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4600000 | PA      | $4383152.78   | 0.12%             | 2031-11-20      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABUU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    566186 | PA      | $500387.24    | 0.01%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38148YAA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    400000 | PA      | $358535.43    | 0.01%             | 2038-10-31      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    973835 | PA      | $931705.28    | 0.03%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L1TN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168614 | PA      | $139653.65    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31359ULQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1355 | PA      | $1387.44      | 0.00%             | 2028-08-18      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS            | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-3 Trust  | CUSIP: 9393365L3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70010 | PA      | $12108.62     | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                                | Virginia Electric and Power Co                                                  | CUSIP: 927804GU2<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |   2800000 | PA      | $2816298.10   | 0.08%             | 2055-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| DTE ELECTRIC CO                                         | DTE Electric Co                                                                 | CUSIP: 23338VAT3<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |    185000 | PA      | $183385.93    | 0.00%             | 2053-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XKTY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    621889 | PA      | $633163.68    | 0.02%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING                                      | CNO Global Funding                                                              | CUSIP: 18977W2D1<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |   2350000 | PA      | $2410925.56   | 0.07%             | 2027-06-04      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RKA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    381000 | PA      | $275510.79    | 0.01%             | 2051-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                  | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822CE2<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    590000 | PA      | $589365.87    | 0.02%             | 2028-04-19      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                                    | FirstKey Homes 2022-SFR3 Trust                                                  | CUSIP: 33768EAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    784000 | PA      | $780276.71    | 0.02%             | 2038-07-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                                    | FirstKey Homes 2021-SFR1 Trust                                                  | CUSIP: 33767WAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5142000 | PA      | $5031419.23   | 0.14%             | 2038-08-17      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LG2W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99841 | PA      | $99719.97     | 0.00%             | 2032-07-01      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1278169.51   | 0.03%             | 2032-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                  | Pacific Gas and Electric Co                                                     | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    180000 | PA      | $122797.07    | 0.00%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QLRB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2064087 | PA      | $1767326.35   | 0.05%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133APF79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    220402 | PA      | $189239.82    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38380AK63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    386982 | PA      | $51292.47     | 0.00%             | 2046-10-16      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136B6XU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    457153 | PA      | $421018.69    | 0.01%             | 2031-10-25      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                                 | Fannie Mae Grantor Trust 2017-T1                                                | CUSIP: 3136AV6R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    660510 | PA      | $646041.35    | 0.02%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| KLA CORP                                                | KLA Corp                                                                        | CUSIP: 482480AL4<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    520000 | PA      | $527687.20    | 0.01%             | 2032-07-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| ONESKY CLASS A LOAN TRU                                 | OneSky Class A Loan Trust 2021-1                                                | CUSIP: 68278AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    517047 | PA      | $496795.56    | 0.01%             | 2029-07-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ROC Securities Trust                                    | Roc Mortgage Trust 2025-RTL1                                                    | CUSIP: 77119RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $3023067.60   | 0.08%             | 2040-02-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140KLJH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    382137 | PA      | $311052.82    | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FW3E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    352418 | PA      | $58788.64     | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BHGV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1059564 | PA      | $887645.61    | 0.02%             | 2051-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CFIN 2022-RTL1 ISSUER LLC                               | CFIN 2022-RTL1 Issuer LLC                                                       | CUSIP: 12531CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    162995 | PA      | $161896.23    | 0.00%             | 2026-02-16      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                  | Marvell Technology Inc                                                          | CUSIP: 573874AP9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    380000 | PA      | $396431.16    | 0.01%             | 2029-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XCZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    680694 | PA      | $584895.80    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622AANA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1074663 | PA      | $997631.92    | 0.03%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                                | Constellation Brands Inc                                                        | CUSIP: 21036PBK3<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    490000 | PA      | $491410.04    | 0.01%             | 2027-05-09      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    396000 | PA      | $404747.64    | 0.01%             | 2042-01-25      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36202CSM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       497 | PA      | $497.73       | 0.00%             | 2026-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Ohio Inc                                    | Duke Energy Ohio Inc                                                            | CUSIP: 26442EAE0<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |     46000 | PA      | $35591.77     | 0.00%             | 2046-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                  | Williams Cos Inc/The                                                            | CUSIP: 96950FAP9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    360000 | PA      | $323505.87    | 0.01%             | 2045-01-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 86765BAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     50000 | PA      | $45796.07     | 0.00%             | 2044-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QLMW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    570033 | PA      | $465600.54    | 0.01%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust             | Bear Stearns ARM Trust 2006-1                                                   | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20075 | PA      | $19516.36     | 0.00%             | 2036-02-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QQSQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    729160 | PA      | $743803.32    | 0.02%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36180BAT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44422 | PA      | $43808.03     | 0.00%             | 2032-12-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38376R5A0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91591 | PA      | $91372.90     | 0.00%             | 2067-06-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XC6P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132223 | PA      | $114642.62    | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                             | Oracle Corp                                                                     | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    120000 | PA      | $113068.20    | 0.00%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138EPDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221501 | PA      | $232279.49    | 0.01%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO                                          | PECO Energy Co                                                                  | CUSIP: 693304AY3<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |    100000 | PA      | $64384.55     | 0.00%             | 2050-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XJCE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1692890 | PA      | $1378223.74   | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29273VAS9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    565000 | PA      | $594489.12    | 0.02%             | 2028-12-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                           | MASTR Alternative Loan Trust 2004-8                                             | CUSIP: 576434UW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        43 | PA      | $42.86        | 0.00%             | 2049-12-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                          | Air Lease Corp                                                                  | CUSIP: 00914AAV4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    207000 | PA      | $210166.15    | 0.01%             | 2029-03-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                   | FMC GMSR Issuer Trust                                                           | CUSIP: 30259RAR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5675000 | PA      | $5740973.58   | 0.16%             | 2027-03-26      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    137528 | PA      | $122890.30    | 0.00%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HA4L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    815000 | PA      | $825722.06    | 0.02%             | 2031-01-25      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XAFA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    312236 | PA      | $268413.03    | 0.01%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418B6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    701237 | PA      | $666015.94    | 0.02%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COCA-COLA FEMSA SAB CV                                  | Coca-Cola Femsa SAB de CV                                                       | CUSIP: 191241AJ7<br>LEI: 5493008KEVFYPMGTXO33 | Long             | DBT              | CORP              | MX        |    215000 | PA      | $179213.06    | 0.00%             | 2032-09-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 21-1B PTT                                  | American Airlines 2021-1 Class B Pass Through Trust                             | CUSIP: 02376LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3650000 | PA      | $3485861.69   | 0.10%             | 2030-07-11      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                                          | CPS Auto Receivables Trust 2023-D                                               | CUSIP: 12598VAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3686000 | PA      | $3741002.86   | 0.10%             | 2030-01-15      | Fixed         | 7.17%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F84J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4156391 | PA      | $164938.08    | 0.00%             | 2029-12-25      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                | Foundation Finance Trust 2023-2                                                 | CUSIP: 35042RAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2622147 | PA      | $2806744.94   | 0.08%             | 2049-06-15      | Fixed         | 9.10%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK OP LLC                                       | Healthpeak OP LLC                                                               | CUSIP: 42250PAA1<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              |  | US        |     90000 | PA      | $85055.83     | 0.00%             | 2030-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XA7H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291655 | PA      | $245889.18    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X3CE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    294519 | PA      | $282541.94    | 0.01%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    175000 | PA      | $180829.19    | 0.00%             | 2029-07-20      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QPKM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158926 | PA      | $146161.41    | 0.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QNW73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72112 | PA      | $66008.66     | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                        | Societe Generale SA                                                             | CUSIP: 83368RCF7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   4045000 | PA      | $4262977.20   | 0.12%             | 2033-04-13      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LGY48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $98935.28     | 0.00%             | 2032-07-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LGVR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95028 | PA      | $92732.75     | 0.00%             | 2032-07-01      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                          | Merck & Co Inc                                                                  | CUSIP: 58933YBG9<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    245000 | PA      | $147046.97    | 0.00%             | 2061-12-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                        | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CY3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    535000 | PA      | $545541.96    | 0.01%             | 2035-09-11      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                     | New Residential Mortgage Loan Trust 2022-NQM2                                   | CUSIP: 64831MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2463894 | PA      | $2348698.39   | 0.06%             | 2062-03-27      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LGY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    800000 | PA      | $771128.61    | 0.02%             | 2032-07-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                     | CommonSpirit Health                                                             | CUSIP: 20268JAG8<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    140000 | PA      | $104959.87    | 0.00%             | 2050-10-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                         | Danske Bank A/S                                                                 | CUSIP: 23636ABH3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    970000 | PA      | $1009211.18   | 0.03%             | 2030-03-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DQC53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    218303 | PA      | $218066.94    | 0.01%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XLKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    401659 | PA      | $407123.30    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                  | BP Capital Markets America Inc                                                  | CUSIP: 10373QBP4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    345000 | PA      | $222935.98    | 0.01%             | 2051-06-04      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                 | BPCE SA                                                                         | CUSIP: 05571AAS4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    975000 | PA      | $1087685.26   | 0.03%             | 2034-10-19      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31392KUY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3761 | PA      | $347.72       | 0.00%             | 2032-03-15      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                | Vistra Operations Co LLC                                                        | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    425000 | PA      | $439799.35    | 0.01%             | 2034-12-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617MKP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    485178 | PA      | $413853.33    | 0.01%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                   | Uber Technologies Inc                                                           | CUSIP: 90353TAP5<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    615000 | PA      | $616154.36    | 0.02%             | 2034-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| SCE RECOVERY FUNDING LLC                                | SCE Recovery Funding LLC                                                        | CUSIP: 78433LAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    110000 | PA      | $106072.29    | 0.00%             | 2047-12-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                                | Alexandria Real Estate Equities Inc                                             | CUSIP: 015271AW9<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              |  | US        |    240000 | PA      | $202869.02    | 0.01%             | 2032-05-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp                                   | Norfolk Southern Corp                                                           | CUSIP: 655844BV9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     40000 | PA      | $31900.86     | 0.00%             | 2052-08-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L2QE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    605828 | PA      | $495599.48    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Granite Park Equipment Leasing LLC                      | Granite Park Equipment Leasing 2023-1 LLC                                       | CUSIP: 387422AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1231807 | PA      | $1251500.90   | 0.03%             | 2032-09-20      | Fixed         | 6.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X4PF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    829186 | PA      | $804043.39    | 0.02%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Province of Quebec                                      | Province of Quebec Canada                                                       | CUSIP: 748149AJ0<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    730000 | PA      | $724142.12    | 0.02%             | 2026-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133BYCW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    338408 | PA      | $343156.46    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                     | Southern California Edison Co                                                   | CUSIP: 842400FV0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    100000 | PA      | $80205.82     | 0.00%             | 2042-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust 2020-1   | Morgan Stanley Residential Mortgage Loan Trust 2020-1                           | CUSIP: 61771QAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    366913 | PA      | $300684.80    | 0.01%             | 2050-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                 | BPCE SA                                                                         | CUSIP: 05583JAN2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $250937.34    | 0.01%             | 2027-01-18      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| MUTUAL OF OMAHA GLOBAL                                  | Mutual of Omaha Cos Global Funding                                              | CUSIP: 62829D2A7<br>LEI: 635400AL5J3F1ZPTAN95 | Long             | DBT              | CORP              | US        |    250000 | PA      | $253495.14    | 0.01%             | 2026-07-27      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VFU3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    647000 | PA      | $412945.12    | 0.01%             | 2050-11-20      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| SOUTH BOW USA INFRA HLDS                                | South Bow USA Infrastructure Holdings LLC                                       | CUSIP: 83007CAD4<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    385000 | PA      | $389419.65    | 0.01%             | 2029-10-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                | Lloyds Banking Group PLC                                                        | CUSIP: 53944YAP8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    245000 | PA      | $241056.18    | 0.01%             | 2027-05-11      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9JN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1040011 | PA      | $905324.65    | 0.02%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                          | Home Depot Inc/The                                                              | CUSIP: 437076DB5<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    226000 | PA      | $229740.45    | 0.01%             | 2027-06-25      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                                    | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAX4<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    200000 | PA      | $182346.55    | 0.00%             | 2039-10-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418AJY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46737 | PA      | $45513.60     | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMEREN ILLINOIS CO                                      | Ameren Illinois Co                                                              | CUSIP: 02361DAU4<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |    185000 | PA      | $129666.88    | 0.00%             | 2050-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31393KSG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37104 | PA      | $38457.03     | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1220000 | PA      | $776939.85    | 0.02%             | 2040-05-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABU83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    358809 | PA      | $317227.18    | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617VUD53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1239498 | PA      | $1300354.65   | 0.04%             | 2071-08-20      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGWP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    145610 | PA      | $124813.90    | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L7PC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127243 | PA      | $104227.30    | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                 | GSR Mortgage Loan Trust 2004-13F                                                | CUSIP: 36242DLW1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | ABS-MBS          | CORP              | US        |      6563 | PA      | $6413.27      | 0.00%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                  | CUSIP: 09659W2H6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    960000 | PA      | $982317.05    | 0.03%             | 2030-01-10      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133A7RS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1242416 | PA      | $1049144.27   | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MidAmerican Energy Co                                   | MidAmerican Energy Co                                                           | CUSIP: 595620AT2<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |    820000 | PA      | $808044.79    | 0.02%             | 2029-04-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                    | FREMF 2017-K71 Mortgage Trust                                                   | CUSIP: 35708WAS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    259000 | PA      | $254194.59    | 0.01%             | 2050-11-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                   | Wells Fargo Commercial Mortgage Trust 2016-BNK1                                 | CUSIP: 95000GAY0<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |    684000 | PA      | $673207.44    | 0.02%             | 2049-08-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VDU5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    430000 | PA      | $434527.72    | 0.01%             | 2037-03-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3133TDBK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5784 | PA      | $5916.04      | 0.00%             | 2028-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31396XXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16228 | PA      | $1536.43      | 0.00%             | 2037-10-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                                   | Aon North America Inc                                                           | CUSIP: 03740MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1690000 | PA      | $1760480.18   | 0.05%             | 2034-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| DP WORLD LTD UAE                                        | DP World Ltd/United Arab Emirates                                               | CUSIP: 23330JAB7<br>LEI: 549300M3U2DNF4QVSS04 | Long             | DBT              | CORP              | AE        |   3080000 | PA      | $3030643.83   | 0.08%             | 2048-09-25      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                  | CHL Mortgage Pass-Through Trust 2005-16                                         | CUSIP: 12669G3R0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21852 | PA      | $13266.97     | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-NQM3                                                                  | CUSIP: 12660LAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   1407361 | PA      | $1249657.16   | 0.03%             | 2066-04-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                  | Williams Cos Inc/The                                                            | CUSIP: 969457CJ7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    200000 | PA      | $210042.30    | 0.01%             | 2033-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38374TXN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8623 | PA      | $158.82       | 0.00%             | 2039-03-20      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                  | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664CR0<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    910000 | PA      | $779912.63    | 0.02%             | 2049-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD GRP/CO                                | JBS USA Holding Lux Sarl / JBS USA Foods Group Holdings Inc / JBS USA Food Co   | CUSIP: 472140AG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    551000 | PA      | $564989.89    | 0.02%             | 2056-03-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 293791AP4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    370000 | PA      | $420266.30    | 0.01%             | 2034-10-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                     | New Residential Mortgage Loan Trust 2017-2                                      | CUSIP: 64829KAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    977981 | PA      | $973853.30    | 0.03%             | 2057-03-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138LC7C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    425773 | PA      | $422278.25    | 0.01%             | 2026-03-01      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418MZV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169726 | PA      | $180090.47    | 0.00%             | 2035-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BKYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8725110 | PA      | $8059412.44   | 0.22%             | 2047-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CVS PASS THRU TR 2009                                   | CVS Pass-Through Trust Series 2009                                              | CUSIP: 126659AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     44881 | PA      | $49007.78     | 0.00%             | 2031-07-10      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FIN US INC                                   | Stellantis Finance US Inc                                                       | CUSIP: 85855CAB6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    200000 | PA      | $171516.99    | 0.00%             | 2031-09-15      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Apple Inc                                               | Apple Inc                                                                       | CUSIP: 037833DD9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    140000 | PA      | $112580.27    | 0.00%             | 2047-09-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AJ6W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131848 | PA      | $107857.92    | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XHWC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    934961 | PA      | $885662.59    | 0.02%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                     | New Residential Mortgage Loan Trust 2015-2                                      | CUSIP: 64829EAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    815029 | PA      | $788966.41    | 0.02%             | 2055-08-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179VDS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    187344 | PA      | $189890.74    | 0.01%             | 2050-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                             | Oracle Corp                                                                     | CUSIP: 68389XCC7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2010000 | PA      | $1986245.28   | 0.05%             | 2026-03-25      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AKJH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121372 | PA      | $99431.22     | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31396PRZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42337 | PA      | $3444.90      | 0.00%             | 2036-08-25      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179V7F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5852876 | PA      | $5230075.60   | 0.14%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                      | Banco Santander SA                                                              | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $199700.99    | 0.01%             | 2028-03-24      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2230000 | PA      | $2195156.25   | 0.06%             | 2027-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31339GK42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19590 | PA      | $20412.81     | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                        | ABN AMRO Bank NV                                                                | CUSIP: 00084DBF6<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   2200000 | PA      | $2281321.53   | 0.06%             | 2035-12-03      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                       | NatWest Group PLC                                                               | CUSIP: 78009PEH0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    215000 | PA      | $219587.50    | 0.01%             | 2030-01-27      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                     | Global Payments Inc                                                             | CUSIP: 37940XAD4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     48000 | PA      | $44423.63     | 0.00%             | 2030-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                            | Broadcom Inc                                                                    | CUSIP: 11135FCM1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    357000 | PA      | $367924.60    | 0.01%             | 2035-07-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust            | American Credit Acceptance Receivables Trust 2023-4                             | CUSIP: 02530CAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3558621 | PA      | $3593842.99   | 0.10%             | 2030-09-12      | Fixed         | 6.99%                 | No            |                  2 | On Loan: No      |
| VODAFONE GROUP PLC                                      | Vodafone Group PLC                                                              | CUSIP: 92857WBY5<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |     35000 | PA      | $34067.00     | 0.00%             | 2053-02-10      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                       | HSBC Holdings PLC                                                               | CUSIP: 404280DW6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $219970.93    | 0.01%             | 2044-03-09      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136B35Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    285713 | PA      | $276985.79    | 0.01%             | 2031-02-25      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FREM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1900000 | PA      | $99569.88     | 0.00%             | 2030-01-25      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                | Benchmark 2022-B36 Mortgage Trust                                               | CUSIP: 08163QBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    691000 | PA      | $677718.57    | 0.02%             | 2055-07-15      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31393EKS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10869 | PA      | $10139.79     | 0.00%             | 2033-08-25      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE / IRELAND DAC                                 | Aircastle Ltd / Aircastle Ireland DAC                                           | CUSIP: 00929JAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1080000 | PA      | $1101739.03   | 0.03%             | 2030-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABV33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    808999 | PA      | $713969.64    | 0.02%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                             | Freddie Mac REMICS                                                              | CUSIP: 31339WBV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5741 | PA      | $6036.74      | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L6TA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125217 | PA      | $102778.39    | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Diversified ABS VIII LLC                                | Diversified ABS Phase VIII LLC                                                  | CUSIP: 255123AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1220347 | PA      | $1234607.06   | 0.03%             | 2044-05-30      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L3H79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141399 | PA      | $115873.15    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    269000 | PA      | $273284.77    | 0.01%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912833PD6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    725000 | PA      | $683401.18    | 0.02%             | 2027-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BIMBO BAKERIES USA INC                                  | Bimbo Bakeries USA Inc                                                          | CUSIP: 09031WAC7<br>LEI: 549300HOXXHHT7926W92 | Long             | DBT              | CORP              | US        |    200000 | PA      | $209258.64    | 0.01%             | 2029-01-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179VZV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130544 | PA      | $128565.26    | 0.00%             | 2050-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    155000 | PA      | $158339.93    | 0.00%             | 2029-02-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE HOLDCO                                | Columbia Pipelines Holding Co LLC                                               | CUSIP: 19828AAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    421000 | PA      | $427496.60    | 0.01%             | 2031-10-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418CJA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1527 | PA      | $1376.21      | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XD6D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150206 | PA      | $128807.90    | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                            | Enbridge Inc                                                                    | CUSIP: 29250NCJ2<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    340000 | PA      | $347696.66    | 0.01%             | 2030-06-20      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1495000 | PA      | $1034095.93   | 0.03%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                             | Prologis LP                                                                     | CUSIP: 74340XBQ3<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              |  | US        |    150000 | PA      | $82365.11     | 0.00%             | 2050-10-15      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38375BXT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33676 | PA      | $33375.91     | 0.00%             | 2062-10-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DN5L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77517 | PA      | $66556.77     | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1390000 | PA      | $1316054.20   | 0.04%             | 2030-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LHSL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1245000 | PA      | $1207753.96   | 0.03%             | 2032-10-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                | Devon Energy Corp                                                               | CUSIP: 25179MBF9<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    640000 | PA      | $641477.65    | 0.02%             | 2030-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31393T4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17341 | PA      | $1440.85      | 0.00%             | 2033-11-25      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    945000 | PA      | $930382.03    | 0.03%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                      | Essex Portfolio LP                                                              | CUSIP: 29717PAV9<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              |  | US        |    145000 | PA      | $129231.46    | 0.00%             | 2032-03-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| ERAC USA Finance LLC                                    | ERAC USA Finance LLC                                                            | CUSIP: 26884TAE2<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |     12000 | PA      | $12252.93     | 0.00%             | 2042-03-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                              | Fiserv Inc                                                                      | CUSIP: 337738AT5<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69554.60     | 0.00%             | 2026-07-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BANCO NACIONAL DE PANAMA                                | Banco Nacional de Panama                                                        | CUSIP: 059626AC5<br>LEI: 529900H2Q7WMDKKIW109 | Long             | DBT              | CORP              | PA        |    300000 | PA      | $262871.76    | 0.01%             | 2030-08-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Black Diamond CLO                                       | Black Diamond CLO 2017-2 DAC                                                    | CUSIP: 000000000<br>LEI: 549300PKZ3LBLGCJNI86 | Long             | ABS-CBDO         | CORP              | IE        |      2041 | PA      | $2040.99      | 0.00%             | 2032-01-20      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                             | Oracle Corp                                                                     | CUSIP: 68389XDB8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2754000 | PA      | $2764758.78   | 0.08%             | 2055-08-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                               | CUSIP: 36178NF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120915 | PA      | $110817.95    | 0.00%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133B1TB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138263 | PA      | $118647.38    | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                  | Standard Chartered PLC                                                          | CUSIP: 853254DB3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    693000 | PA      | $707392.24    | 0.02%             | 2028-05-14      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences Inc                                     | Gilead Sciences Inc                                                             | CUSIP: 375558BF9<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    160000 | PA      | $159732.10    | 0.00%             | 2026-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                | Mars Inc                                                                        | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   2804000 | PA      | $2844451.01   | 0.08%             | 2045-05-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee                   | VOLT XCV LLC                                                                    | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     67956 | PA      | $67944.34     | 0.00%             | 2051-03-27      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AHNE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57957 | PA      | $43999.57     | 0.00%             | 2043-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XDN69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130754 | PA      | $112000.85    | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LGMC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $97420.13     | 0.00%             | 2032-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                                       | CUSIP: 3136FCZH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5222 | PA      | $912.30       | 0.00%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4283382 | PA      | $256056.28    | 0.01%             | 2030-04-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                                | NIKE Inc                                                                        | CUSIP: 654106AJ2<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |    320000 | PA      | $315020.76    | 0.01%             | 2027-03-27      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X4MM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141629 | PA      | $138748.95    | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Suncor Energy Inc                                       | Suncor Energy Inc                                                               | CUSIP: 867229AD8<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |     60000 | PA      | $63174.58     | 0.00%             | 2034-12-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LGXN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97332 | PA      | $96619.80     | 0.00%             | 2032-07-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138WHSS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84064 | PA      | $76074.17     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFA27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126448 | PA      | $109157.51    | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                       | HSBC Holdings PLC                                                               | CUSIP: 404280EN5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2090000 | PA      | $2155842.69   | 0.06%             | 2030-11-19      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QFR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1833571 | PA      | $1792113.14   | 0.05%             | 2048-11-01      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-1 B PTT                                 | United Airlines 2016-1 Class B Pass Through Trust                               | CUSIP: 90933HAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     23604 | PA      | $23477.64     | 0.00%             | 2026-01-07      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                               | CUSIP: 3617MB5P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25372 | PA      | $24081.84     | 0.00%             | 2050-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ANCHOR MTG TR 2024 RTL1                                 | ANCHOR MTG TR 2024 RTL1                                                         | CUSIP: 03332JAA9<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $4065578.80   | 0.11%             | 2031-03-25      | Variable      | 8.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QSTW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2254996 | PA      | $2260865.76   | 0.06%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QAJA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    331368 | PA      | $326638.77    | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FYAR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    459881 | PA      | $405536.42    | 0.01%             | 2041-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                              | US Bancorp                                                                      | CUSIP: 91159HJQ4<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    217000 | PA      | $224360.33    | 0.01%             | 2030-01-23      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31395R2E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79363 | PA      | $81662.73     | 0.00%             | 2035-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617K1ZG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    503499 | PA      | $477974.85    | 0.01%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179TZ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    345793 | PA      | $342070.22    | 0.01%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                                | CenterPoint Energy Houston Electric LLC                                         | CUSIP: 15189XAS7<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8035.57      | 0.00%             | 2048-03-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                     | Banc of America Funding 2004-1 Trust                                            | CUSIP: 05946XGF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5168 | PA      | $3996.77      | 0.00%             | 2034-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CF Industries Inc                                       | CF Industries Inc                                                               | CUSIP: 12527GAF0<br>LEI: 5FVKT86LAD2F40NPC183 | Long             | DBT              | CORP              | US        |    740000 | PA      | $746775.61    | 0.02%             | 2034-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPRD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    739615 | PA      | $758969.20    | 0.02%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                         | BAE Systems PLC                                                                 | CUSIP: 05523RAC1<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |     51000 | PA      | $53246.34     | 0.00%             | 2041-10-11      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622AAVN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    111361 | PA      | $91309.85     | 0.00%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LAQA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1195159 | PA      | $1062619.34   | 0.03%             | 2029-12-01      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179UGE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    211384 | PA      | $214132.79    | 0.01%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CMS Energy Corp                                         | CMS Energy Corp                                                                 | CUSIP: 125896BR0<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |     47000 | PA      | $46122.97     | 0.00%             | 2027-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VGZ1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    475000 | PA      | $483034.07    | 0.01%             | 2035-04-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY                                  | PG&E Wildfire Recovery Funding LLC                                              | CUSIP: 693342AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    160000 | PA      | $152709.68    | 0.00%             | 2036-06-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38379R5W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    841669 | PA      | $21855.28     | 0.00%             | 2057-04-16      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DSP22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1785798 | PA      | $1812561.99   | 0.05%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31396WCQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21523 | PA      | $1716.29      | 0.00%             | 2037-06-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1387081 | PA      | $1232551.94   | 0.03%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XDF35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    574024 | PA      | $497897.34    | 0.01%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                | Capital One Financial Corp                                                      | CUSIP: 14040HDN2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1815000 | PA      | $1795037.65   | 0.05%             | 2036-09-11      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38378NWU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3510 | PA      | $3420.11      | 0.00%             | 2048-06-16      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                  | CUSIP: 09659W2U7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    320000 | PA      | $291218.36    | 0.01%             | 2033-01-20      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                               | Kroger Co/The                                                                   | CUSIP: 501044CN9<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |     18000 | PA      | $18005.15     | 0.00%             | 2040-07-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                                | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                      | CUSIP: 47214BAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    381000 | PA      | $421196.85    | 0.01%             | 2034-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DNWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1286867 | PA      | $1185726.46   | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128LXC32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86971 | PA      | $87712.13     | 0.00%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROP LP                                    | COPT Defense Properties LP                                                      | CUSIP: 22003BAM8<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              |  | US        |    326000 | PA      | $295122.67    | 0.01%             | 2031-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ETN44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390833 | PA      | $406158.72    | 0.01%             | 2041-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136BP3K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $192433.44    | 0.01%             | 2032-09-25      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                                     | Abbott Laboratories                                                             | CUSIP: 002824BG4<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |    620000 | PA      | $625679.31    | 0.02%             | 2036-11-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY INC                                     | Cheniere Energy Inc                                                             | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |    710000 | PA      | $731896.59    | 0.02%             | 2034-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                     | CommonSpirit Health                                                             | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    145000 | PA      | $134005.69    | 0.00%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L05B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187093 | PA      | $152040.73    | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133JLYK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86346 | PA      | $70533.50     | 0.00%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MACQUARIE AIRFINANCE HLD                                | Macquarie Airfinance Holdings Ltd                                               | CUSIP: 55609NAF5<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |   1865000 | PA      | $1896778.65   | 0.05%             | 2028-03-27      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133ALHV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133847 | PA      | $116105.55    | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QHG66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1726927 | PA      | $1403169.38   | 0.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KRCS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    360971 | PA      | $378529.39    | 0.01%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140Q9HZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292679 | PA      | $289045.75    | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                        | MASTR Asset Securitization Trust 2004-6                                         | CUSIP: 57643MDJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        82 | PA      | $81.44        | 0.00%             | 2019-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LKSB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3210000 | PA      | $3197905.91   | 0.09%             | 2035-06-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5900484 | PA      | $5068375.28   | 0.14%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AHB63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210655 | PA      | $172627.61    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X9MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68647 | PA      | $66637.52     | 0.00%             | 2037-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31396YCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15963 | PA      | $1221.15      | 0.00%             | 2038-02-25      | Floating      | 1.44%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VGK4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    200000 | PA      | $158021.67    | 0.00%             | 2041-03-22      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HAMS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $101871.56    | 0.00%             | 2028-09-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31393L2Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67199 | PA      | $68925.66     | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                | OBX 2021-NQM2 Trust                                                             | CUSIP: 670857AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    456553 | PA      | $379073.09    | 0.01%             | 2061-05-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2022-DNA1                                         | CUSIP: 35564KQC6<br>LEI: 5493000ISBDRXIMCHZ70 | Long             | ABS-MBS          | USGSE             | US        |   1001000 | PA      | $1017346.93   | 0.03%             | 2042-01-25      | Floating      | 6.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWNX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4275581 | PA      | $4312420.33   | 0.12%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XLWE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271133 | PA      | $250416.77    | 0.01%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYTE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50567 | PA      | $47188.98     | 0.00%             | 2040-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| O'Reilly Automotive Inc                                 | O'Reilly Automotive Inc                                                         | CUSIP: 67103HAF4<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |     49000 | PA      | $48563.42     | 0.00%             | 2027-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FUNDING ASIA                                 | Prudential Funding Asia PLC                                                     | CUSIP: 744330AA9<br>LEI: 2549005TNASWKLR0XC37 | Long             | DBT              | CORP              | GB        |   1200000 | PA      | $1150480.74   | 0.03%             | 2030-04-14      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                  | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   4655000 | PA      | $4885536.78   | 0.13%             | 2033-01-13      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                  | CHL Mortgage Pass-Through Trust 2005-22                                         | CUSIP: 126694LU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47975 | PA      | $40292.90     | 0.00%             | 2035-11-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| CADENCE DESIGN SYS INC                                  | Cadence Design Systems Inc                                                      | CUSIP: 127387AP3<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | DBT              | CORP              | US        |   1594000 | PA      | $1591425.07   | 0.04%             | 2034-09-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 17327CAY9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    503000 | PA      | $507909.04    | 0.01%             | 2056-03-04      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CJA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15198000 | PA      | $15625443.75  | 0.43%             | 2028-09-30      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138EPZW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200675 | PA      | $208047.21    | 0.01%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                  | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KCV0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   2836000 | PA      | $2775691.86   | 0.08%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 29379VAM5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    206000 | PA      | $247259.61    | 0.01%             | 2038-04-15      | Fixed         | 7.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38380PWC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1466355 | PA      | $85208.11     | 0.00%             | 2060-05-16      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31406YB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12185 | PA      | $12427.68     | 0.00%             | 2035-05-01      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622AAHA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59999 | PA      | $54730.96     | 0.00%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                          | Amazon.com Inc                                                                  | CUSIP: 023135BT2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   5570000 | PA      | $3440955.90   | 0.09%             | 2050-06-03      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                             | RCKT Mortgage Trust 2021-4                                                      | CUSIP: 74938VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1256872 | PA      | $1041829.16   | 0.03%             | 2051-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X9AZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    709329 | PA      | $608174.98    | 0.02%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138W5GH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75438 | PA      | $69097.66     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179YKL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4084792 | PA      | $3525995.15   | 0.10%             | 2053-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QS3Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3429098 | PA      | $3477918.23   | 0.09%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XC5B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111893 | PA      | $106316.57    | 0.00%             | 2041-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                | OBX 2021-NQM4 Trust                                                             | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500998 | PA      | $1288775.01   | 0.04%             | 2061-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWDT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1346981 | PA      | $1232837.49   | 0.03%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1A PTT                                  | Air Canada 2017-1 Class A Pass Through Trust                                    | CUSIP: 00908PAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    118696 | PA      | $111878.32    | 0.00%             | 2030-01-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31402AF27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4492 | PA      | $4594.26      | 0.00%             | 2033-07-01      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                    | Bank of America Corp                                                            | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2840000 | PA      | $2813964.39   | 0.08%             | 2028-07-21      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138X6PV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162873 | PA      | $149167.06    | 0.00%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LYB INT FINANCE III                                     | LYB International Finance III LLC                                               | CUSIP: 50249AAF0<br>LEI: 984500A51LA0B8EB4053 | Long             | DBT              | CORP              | US        |     79000 | PA      | $79000.00     | 0.00%             | 2025-10-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9F58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    269997 | PA      | $234862.82    | 0.01%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38379VHX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    696134 | PA      | $85360.28     | 0.00%             | 2046-02-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617XXDJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1255169 | PA      | $1311298.31   | 0.04%             | 2072-04-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132WKPD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    213621 | PA      | $193921.80    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                               | CUSIP: 36210APW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       371 | PA      | $373.80       | 0.00%             | 2028-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QQWS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265750 | PA      | $279127.77    | 0.01%             | 2052-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179XX35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    167581 | PA      | $158913.20    | 0.00%             | 2053-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3635000 | PA      | $2593913.28   | 0.07%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XAH96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    759551 | PA      | $621350.47    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                            | Hilton Grand Vacations Trust 2025-2                                             | CUSIP: 43285JAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3005941 | PA      | $3014998.07   | 0.08%             | 2044-05-25      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179TE35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    161597 | PA      | $160057.50    | 0.00%             | 2047-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MRCD Mortgage Trust                                     | MRCD 2019-MARK Mortgage Trust                                                   | CUSIP: 55348UAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    987000 | PA      | $721138.62    | 0.02%             | 2036-12-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                  | Pacific Gas and Electric Co                                                     | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    595000 | PA      | $590890.00    | 0.02%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                     | Southern California Edison Co                                                   | CUSIP: 842400JD6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1416017.34   | 0.04%             | 2054-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3133TBT26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       945 | PA      | $949.66       | 0.00%             | 2027-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92332 | PA      | $88108.11     | 0.00%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ventas Realty LP                                        | Ventas Realty LP                                                                | CUSIP: 92277GAJ6<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              |  | US        |     25000 | PA      | $24738.91     | 0.00%             | 2026-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179XNF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    155929 | PA      | $156218.06    | 0.00%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                            | Barclays PLC                                                                    | CUSIP: 06738ECU7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1262000 | PA      | $1280758.43   | 0.03%             | 2030-09-10      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABKC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1250091 | PA      | $1066714.28   | 0.03%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179VHV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98063 | PA      | $96556.30     | 0.00%             | 2050-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                               | CUSIP: 36290UE28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22984 | PA      | $23743.39     | 0.00%             | 2037-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133B0SH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1816470 | PA      | $1560295.81   | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KN6W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1779745 | PA      | $1693555.06   | 0.05%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2020-BNK25                                                                 | CUSIP: 06539WBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3467000 | PA      | $3196277.92   | 0.09%             | 2063-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133D3X67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122113 | PA      | $109404.74    | 0.00%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QMVA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194760 | PA      | $164805.94    | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYUH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2017813 | PA      | $1690984.81   | 0.05%             | 2040-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                | Benchmark 2022-B33 Mortgage Trust                                               | CUSIP: 08163PBM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    386000 | PA      | $336583.24    | 0.01%             | 2055-03-15      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179WVV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    639816 | PA      | $571686.23    | 0.02%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L5GZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133850 | PA      | $109496.88    | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133WKN51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    350741 | PA      | $350750.15    | 0.01%             | 2038-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    645000 | PA      | $559865.04    | 0.02%             | 2044-02-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| ERAC USA Finance LLC                                    | ERAC USA Finance LLC                                                            | CUSIP: 26882PBE1<br>LEI: LTKX5ODQW6Z7BQ2K1V47 | Long             | DBT              | CORP              | US        |    160000 | PA      | $186647.48    | 0.01%             | 2037-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38382JZK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    319445 | PA      | $47153.13     | 0.00%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                              | AbbVie Inc                                                                      | CUSIP: 00287YDU0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    455000 | PA      | $468206.05    | 0.01%             | 2034-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XQUL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    621187 | PA      | $527567.50    | 0.01%             | 2053-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XLE46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84116 | PA      | $68486.49     | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31397PFM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18326 | PA      | $1662.28      | 0.00%             | 2037-11-15      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179XLH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1171540 | PA      | $1172321.43   | 0.03%             | 2052-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140M7SP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64011 | PA      | $56745.61     | 0.00%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Improvement Loan Trust        | GoodLeap Sustainable Home Solutions Trust 2022-1                                | CUSIP: 38237JAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1079037 | PA      | $971327.63    | 0.03%             | 2049-01-20      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-2 AA PTT                                | United Airlines 2016-2 Class AA Pass Through Trust                              | CUSIP: 90932EAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     62362 | PA      | $59398.88     | 0.00%             | 2028-10-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| EVERGY METRO                                            | Evergy Metro Inc                                                                | CUSIP: 485134BR0<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |     50000 | PA      | $41144.74     | 0.00%             | 2048-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DQB70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    161760 | PA      | $164468.16    | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                   | Continental Resources Inc/OK                                                    | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20624.68     | 0.00%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                                | Octane Receivables Trust 2022-2                                                 | CUSIP: 67578XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1442653.66   | 0.04%             | 2030-02-20      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT                                | Element Fleet Management Corp                                                   | CUSIP: 286181AH5<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |    235000 | PA      | $238040.78    | 0.01%             | 2026-06-26      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PEF5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    140000 | PA      | $95474.45     | 0.00%             | 2051-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617MJGU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    662078 | PA      | $623417.42    | 0.02%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DQQY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    735243 | PA      | $747937.26    | 0.02%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                     | Citigroup Commercial Mortgage Trust 2016-P3                                     | CUSIP: 29429CAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1264000 | PA      | $1252624.63   | 0.03%             | 2049-04-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140K1HB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    477987 | PA      | $450954.47    | 0.01%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38382Q2F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100435 | PA      | $79746.27     | 0.00%             | 2050-07-20      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                            | Barclays PLC                                                                    | CUSIP: 06738EBD6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1450000 | PA      | $1471572.98   | 0.04%             | 2029-05-16      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3618BJF98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    546798 | PA      | $554494.80    | 0.02%             | 2063-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential 2022-SFR2 Trust                                            | CUSIP: 74332VAA3<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    540598 | PA      | $530404.90    | 0.01%             | 2027-04-17      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3133TV5T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5247 | PA      | $5599.79      | 0.00%             | 2031-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                               | CIM Trust 2021-R6                                                               | CUSIP: 12567RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    613127 | PA      | $565448.98    | 0.02%             | 2061-07-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31371HDQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       245 | PA      | $250.22       | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21000000 | PA      | $21485625.00  | 0.59%             | 2034-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                        | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526DA4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   3227000 | PA      | $3305620.95   | 0.09%             | 2031-05-09      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer LLC                                     | DataBank Issuer                                                                 | CUSIP: 23802WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1387000 | PA      | $1370202.74   | 0.04%             | 2051-02-27      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                     | American Tower Corp                                                             | CUSIP: 03027XBG4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    275000 | PA      | $243207.55    | 0.01%             | 2030-10-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 61747YEX9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2070000 | PA      | $2071317.76   | 0.06%             | 2026-10-16      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                              | US Bancorp                                                                      | CUSIP: 91159HJT8<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    634000 | PA      | $650251.06    | 0.02%             | 2031-02-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LG2B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $98163.09     | 0.00%             | 2032-07-01      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2006-A2                                                | CUSIP: 466247K93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3193 | PA      | $3135.67      | 0.00%             | 2033-11-25      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                         | MVW 2023-2 LLC                                                                  | CUSIP: 55400WAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    854666 | PA      | $878420.74    | 0.02%             | 2040-11-20      | Fixed         | 7.06%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                              | AbbVie Inc                                                                      | CUSIP: 00287YBD0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    110000 | PA      | $102017.36    | 0.00%             | 2048-11-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    226000 | PA      | $155740.68    | 0.00%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EV72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    826486 | PA      | $822408.56    | 0.02%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFZR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    661405 | PA      | $586366.84    | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ATLANTIC CITY ELECTRIC                                  | Atlantic City Electric Co                                                       | CUSIP: 048303CH2<br>LEI: 549300S5TW3VP5V06B73 | Long             | DBT              | CORP              | US        |    147000 | PA      | $146728.33    | 0.00%             | 2028-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617Y5UR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    302574 | PA      | $284996.91    | 0.01%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                             | Prologis LP                                                                     | CUSIP: 74340XBY6<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              |  | US        |     95000 | PA      | $90433.50     | 0.00%             | 2029-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 10YR NOTE (CBT)DEC25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       257 | NC      | $3663.53      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AIR LEASE CORP                                          | Air Lease Corp                                                                  | CUSIP: 00914AAJ1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   1958000 | PA      | $1949346.81   | 0.05%             | 2026-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617LCEY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    240008 | PA      | $238911.64    | 0.01%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYWT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    461593 | PA      | $427363.18    | 0.01%             | 2042-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ENZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177025 | PA      | $167085.28    | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AGRB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183026 | PA      | $149638.35    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XKGX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    302343 | PA      | $294589.51    | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                              | US Bancorp                                                                      | CUSIP: 91159HJM3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    840000 | PA      | $874209.50    | 0.02%             | 2029-06-12      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                 | Bristol-Myers Squibb Co                                                         | CUSIP: 110122DW5<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    714000 | PA      | $532855.99    | 0.01%             | 2052-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617K1Y72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72884 | PA      | $69188.99     | 0.00%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                     | New Residential Mortgage Loan Trust 2014-2                                      | CUSIP: 64828YAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425246 | PA      | $407683.35    | 0.01%             | 2054-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XBUW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97650 | PA      | $93886.72     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36202CS61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        54 | PA      | $54.58        | 0.00%             | 2026-12-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| AMPHENOL CORP                                           | Amphenol Corp                                                                   | CUSIP: 032095AL5<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |    622000 | PA      | $551986.14    | 0.02%             | 2031-09-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    515418 | PA      | $396274.75    | 0.01%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corporation                     | NACC Reperforming Loan REMIC Trust 2004-R2                                      | CUSIP: 62951MAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11958 | PA      | $10353.90     | 0.00%             | 2034-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                        | Crown Castle Inc                                                                | CUSIP: 22822VBE0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |    665000 | PA      | $699721.40    | 0.02%             | 2034-03-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                          | Microsoft Corp                                                                  | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    820000 | PA      | $556145.59    | 0.02%             | 2052-03-17      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418BSJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170432 | PA      | $161899.19    | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LLQG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $206695.03    | 0.01%             | 2028-09-01      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| KLA CORP                                                | KLA Corp                                                                        | CUSIP: 482480AJ9<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    150000 | PA      | $107302.00    | 0.00%             | 2050-03-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                | Lloyds Banking Group PLC                                                        | CUSIP: 53944YAZ6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   1180000 | PA      | $1197582.34   | 0.03%             | 2028-01-05      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    140000 | PA      | $134799.22    | 0.00%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                       | HSBC Holdings PLC                                                               | CUSIP: 404280EW5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2010000 | PA      | $2068391.99   | 0.06%             | 2031-05-13      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DSJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95599 | PA      | $81284.45     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Merchants Fleet Funding LLC                             | Merchants Fleet Funding LLC                                                     | CUSIP: 588926AA3<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |   1621479 | PA      | $1631278.06   | 0.04%             | 2036-05-20      | Fixed         | 7.21%                 | No            |                  2 | On Loan: No      |
| NY STATE ELECTRIC & GAS                                 | New York State Electric & Gas Corp                                              | CUSIP: 649840CQ6<br>LEI: 549300GEC6J0YHUXA160 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49383.55     | 0.00%             | 2026-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| KENVUE INC                                              | Kenvue Inc                                                                      | CUSIP: 49177JAK8<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |    930000 | PA      | $945398.85    | 0.03%             | 2033-03-22      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QKC48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1569970 | PA      | $1274996.47   | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                    | Bank of America Corp                                                            | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    890000 | PA      | $883433.32    | 0.02%             | 2030-02-07      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X44M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    690354 | PA      | $698262.82    | 0.02%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGV97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211845 | PA      | $194032.21    | 0.01%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KQKR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    598588 | PA      | $599957.86    | 0.02%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LK3F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1550000 | PA      | $1565323.87   | 0.04%             | 2033-09-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                               | CUSIP: 36295VFH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    401163 | PA      | $423514.92    | 0.01%             | 2038-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HACKENSACK MERIDIAN HLTH                                | Hackensack Meridian Health Inc                                                  | CUSIP: 404530AD9<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |    230000 | PA      | $148585.16    | 0.00%             | 2050-09-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418D6L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    571419 | PA      | $491120.05    | 0.01%             | 2041-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133APF61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    215162 | PA      | $185069.44    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY PENN ELECTRI                                | FirstEnergy Pennsylvania Electric Co                                            | CUSIP: 708696BY4<br>LEI: O1PLQWO3TX952VMBJ146 | Long             | DBT              | CORP              | US        |     19000 | PA      | $18541.71     | 0.00%             | 2028-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFRD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152096 | PA      | $139982.47    | 0.00%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                              | US Bancorp                                                                      | CUSIP: 91159HJN1<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    330000 | PA      | $351644.03    | 0.01%             | 2034-06-12      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125028 | PA      | $116400.13    | 0.00%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWV2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     45000 | PA      | $44616.34     | 0.00%             | 2029-04-23      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XKW89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1342086 | PA      | $1096219.48   | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                              | Intel Corp                                                                      | CUSIP: 458140BK5<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     50000 | PA      | $29629.24     | 0.00%             | 2060-02-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp                                         | McDonald's Corp                                                                 | CUSIP: 58013MEZ3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     60000 | PA      | $59577.64     | 0.00%             | 2035-12-09      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                  | Williams Cos Inc/The                                                            | CUSIP: 969457CQ1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    350000 | PA      | $361089.49    | 0.01%             | 2055-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136B2HA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    445094 | PA      | $439003.57    | 0.01%             | 2028-07-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                           | UniCredit SpA                                                                   | CUSIP: 904678AW9<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    200000 | PA      | $196846.86    | 0.01%             | 2027-06-03      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XH3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1120875 | PA      | $956413.82    | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC Series 2019-NQM1                                                           | CUSIP: 12655VAC8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    444440 | PA      | $440888.63    | 0.01%             | 2059-10-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128JNN35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4873 | PA      | $4972.71      | 0.00%             | 2037-01-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2022-2                   | CUSIP: 35563PG37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4171325 | PA      | $3870567.20   | 0.11%             | 2062-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2015-1A PTT                                  | Air Canada 2015-1 Class A Pass Through Trust                                    | CUSIP: 009090AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     52600 | PA      | $51802.30     | 0.00%             | 2027-03-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                                | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                       | CUSIP: 71568PAE9<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |    490000 | PA      | $503381.90    | 0.01%             | 2028-05-21      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                   | CWABS Inc Asset-Backed Certificates Series 2004-1                               | CUSIP: 126671Z25<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4162 | PA      | $4259.80      | 0.00%             | 2034-03-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                            | Chevron Corp                                                                    | CUSIP: 166764BX7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $194390.68    | 0.01%             | 2027-05-11      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Commonwealth Edison Co                                  | Commonwealth Edison Co                                                          | CUSIP: 202795JJ0<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |     30000 | PA      | $23228.57     | 0.00%             | 2046-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                | Pioneer Natural Resources Co                                                    | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    920000 | PA      | $826235.77    | 0.02%             | 2030-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                         | CVS Health Corp                                                                 | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    740000 | PA      | $716844.51    | 0.02%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XDQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    796718 | PA      | $711137.16    | 0.02%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PG&E RECOVERY FND LLC                                   | PG&E Recovery Funding LLC                                                       | CUSIP: 71710TAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    245000 | PA      | $247359.70    | 0.01%             | 2047-07-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LKUL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1050000 | PA      | $1069552.91   | 0.03%             | 2031-11-01      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                     | Quanta Services Inc                                                             | CUSIP: 74762EAF9<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    360000 | PA      | $336076.22    | 0.01%             | 2030-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KPYT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1652503 | PA      | $1561293.46   | 0.04%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QP3Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    827711 | PA      | $847187.16    | 0.02%             | 2052-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INTUIT INC                                              | Intuit Inc                                                                      | CUSIP: 46124HAG1<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |    350000 | PA      | $365904.37    | 0.01%             | 2033-09-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                                           | Sutter Health                                                                   | CUSIP: 86944BAL7<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |    400000 | PA      | $400623.62    | 0.01%             | 2053-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                      | Credit Agricole SA                                                              | CUSIP: 22535WAN7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   5900000 | PA      | $6202877.09   | 0.17%             | 2036-01-09      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| SIGECO SECURITIZATION I                                 | Sigeco Securitization I LLC                                                     | CUSIP: 82655KAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    229135 | PA      | $235251.95    | 0.01%             | 2036-11-15      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179TG33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    194473 | PA      | $176098.33    | 0.00%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X4W69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246292 | PA      | $246960.60    | 0.01%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H7ZB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $1015981.01   | 0.03%             | 2032-06-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                                 | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    810000 | PA      | $864299.40    | 0.02%             | 2033-11-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                                | Sumitomo Mitsui Financial Group Inc                                             | CUSIP: 86562MAK6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     25000 | PA      | $24744.02     | 0.00%             | 2026-10-19      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| CSX Corp                                                | CSX Corp                                                                        | CUSIP: 126408HN6<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    108000 | PA      | $97694.80     | 0.00%             | 2048-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                      | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    590000 | PA      | $426720.98    | 0.01%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| ESSEX PORTFOLIO LP                                      | Essex Portfolio LP                                                              | CUSIP: 29717PAW7<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              |  | US        |    200000 | PA      | $172802.64    | 0.00%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| UNION ELECTRIC CO                                       | Union Electric Co                                                               | CUSIP: 906548CW0<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |    250000 | PA      | $244890.40    | 0.01%             | 2053-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LUFQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    450117 | PA      | $385088.80    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                     | New Residential Mortgage Loan Trust 2015-1                                      | CUSIP: 64829CAD0<br>LEI: 549300RCJSGOC0A85G53 | Long             | ABS-MBS          | CORP              | US        |    233968 | PA      | $224970.25    | 0.01%             | 2052-05-28      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2022-DNA4                                         | CUSIP: 35564KWT2<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | USGSE             | US        |    700000 | PA      | $726963.58    | 0.02%             | 2042-05-25      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179WT57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51171 | PA      | $51510.42     | 0.00%             | 2051-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QFW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1019841 | PA      | $1028047.46   | 0.03%             | 2050-02-01      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                  | CHL Mortgage Pass-Through Trust 2004-7                                          | CUSIP: 12669FXJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9398 | PA      | $8511.25      | 0.00%             | 2034-06-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| UPX HIL 2025-1 Issuer Trust                             | UPX HIL 2025-1 Issuer Trust                                                     | CUSIP: 916925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7587385 | PA      | $7619718.37   | 0.21%             | 2047-01-25      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-AFC1 Trust                                                            | CUSIP: 12657LAA2<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    581922 | PA      | $490645.18    | 0.01%             | 2056-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                      | Hero Funding 2017-3                                                             | CUSIP: 42771AAB2<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |     61738 | PA      | $58017.99     | 0.00%             | 2048-09-20      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AYBT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144119 | PA      | $122932.02    | 0.00%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140J9T84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1279080 | PA      | $1155931.17   | 0.03%             | 2048-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMER AIRLN 15-1 A PTT                                   | American Airlines 2015-1 Class A Pass Through Trust                             | CUSIP: 023770AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    799232 | PA      | $786054.55    | 0.02%             | 2027-05-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL                                   | Takeda Pharmaceutical Co Ltd                                                    | CUSIP: 874060BL9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    386000 | PA      | $394572.62    | 0.01%             | 2044-07-05      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Southern Power Co                                       | Southern Power Co                                                               | CUSIP: 843646AH3<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |     50000 | PA      | $47995.75     | 0.00%             | 2041-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11026000 | PA      | $11259441.15  | 0.31%             | 2030-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132G7JJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    129919 | PA      | $127362.87    | 0.00%             | 2033-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2022-DNA2                                         | CUSIP: 35564KRE1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | USGSE             | US        |    707364 | PA      | $708802.06    | 0.02%             | 2042-02-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                                  | Brixmor Operating Partnership LP                                                | CUSIP: 11120VAL7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              |  | US        |    105000 | PA      | $93246.25     | 0.00%             | 2031-08-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHILDREN'S HOSPITAL/DC                                  | Children's Hospital/DC                                                          | CUSIP: 16876DAA6<br>LEI: 549300C1PQZDYQ6KZS51 | Long             | DBT              | CORP              | US        |    180000 | PA      | $116361.65    | 0.00%             | 2050-07-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140NXF73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12390774 | PA      | $12425366.20  | 0.34%             | 2032-01-01      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                           | Citigroup Inc                                                                   | CUSIP: 172967MD0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1540000 | PA      | $1373766.39   | 0.04%             | 2048-07-23      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                          | Morgan Stanley Capital I Trust 2019-L3                                          | CUSIP: 61691UBE8<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |    555000 | PA      | $523477.00    | 0.01%             | 2052-11-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERG                                | Berkshire Hathaway Energy Co                                                    | CUSIP: 084659BC4<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |    923000 | PA      | $585807.98    | 0.02%             | 2051-05-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                                | Canadian Pacific Railway Co                                                     | CUSIP: 13648TAF4<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    197000 | PA      | $175810.55    | 0.00%             | 2048-05-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38378TPZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136417 | PA      | $122112.99    | 0.00%             | 2042-08-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128334X5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    775000 | PA      | $547182.13    | 0.01%             | 2034-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1780000 | PA      | $1782076.85   | 0.05%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp                                      | Union Pacific Corp                                                              | CUSIP: 907818ER5<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    150000 | PA      | $114146.90    | 0.00%             | 2067-09-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                | Devon Energy Corp                                                               | CUSIP: 25179MAN3<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    150000 | PA      | $130793.27    | 0.00%             | 2042-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   7300000 | PA      | $6817141.28   | 0.19%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                                    | FirstKey Homes 2022-SFR2 Trust                                                  | CUSIP: 33767PAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $888452.37    | 0.02%             | 2039-07-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYV30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    297752 | PA      | $250909.49    | 0.01%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16-3 AA PTT                                | American Airlines 2016-3 Class AA Pass Through Trust                            | CUSIP: 023771R91<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75983 | PA      | $73046.43     | 0.00%             | 2028-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LRU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129490 | PA      | $111378.86    | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| REGENERON PHARMACEUTICAL                                | Regeneron Pharmaceuticals Inc                                                   | CUSIP: 75886FAE7<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | DBT              | CORP              | US        |    460000 | PA      | $405716.50    | 0.01%             | 2030-09-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QNUG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1136785 | PA      | $1046033.42   | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31404EVB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4284 | PA      | $4357.63      | 0.00%             | 2034-01-01      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                      | Meta Platforms Inc                                                              | CUSIP: 30303M8V7<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   1731000 | PA      | $1710196.06   | 0.05%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31412UP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1807 | PA      | $1815.82      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                              | GLS Auto Receivables Issuer Trust 2023-3                                        | CUSIP: 36267PAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    523000 | PA      | $527602.30    | 0.01%             | 2029-05-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                 | Shell International Finance BV                                                  | CUSIP: 822582BT8<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    610000 | PA      | $605872.20    | 0.02%             | 2026-05-10      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPNP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    611352 | PA      | $634230.43    | 0.02%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                          | Long Beach Mortgage Loan Trust 2004-1                                           | CUSIP: 542514EU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13925 | PA      | $13882.84     | 0.00%             | 2034-02-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| EASTERN ENERGY GAS                                      | Eastern Energy Gas Holdings LLC                                                 | CUSIP: 27636AAC6<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |    655000 | PA      | $686464.01    | 0.02%             | 2055-01-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38380RNG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    162029 | PA      | $118732.41    | 0.00%             | 2063-06-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140Q9XA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    406079 | PA      | $388432.75    | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ADU6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    721000 | PA      | $736475.44    | 0.02%             | 2055-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities                | Freddie Mac Structured Pass-Through Certificates                                | CUSIP: 31393LFM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17878 | PA      | $18937.41     | 0.00%             | 2043-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179UD82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93455 | PA      | $86582.86     | 0.00%             | 2048-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138LDPQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    793131 | PA      | $753574.90    | 0.02%             | 2036-03-01      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 31329QHG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    166832 | PA      | $164451.63    | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ERXG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    346126 | PA      | $341267.14    | 0.01%             | 2036-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XCLU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    848111 | PA      | $726177.74    | 0.02%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| First Help Financial LLC                                | FHF Issuer Trust 2023-2                                                         | CUSIP: 30333LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1015005 | PA      | $1027578.10   | 0.03%             | 2029-10-15      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31394FN50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9078 | PA      | $9386.93      | 0.00%             | 2035-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140NX5B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2989528 | PA      | $3042581.22   | 0.08%             | 2035-04-01      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 61747YFR1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1271000 | PA      | $1354940.56   | 0.04%             | 2035-04-19      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                    | FREMF 2019-KBF3 Mortgage Trust                                                  | CUSIP: 30311TAC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    546382 | PA      | $543417.38    | 0.01%             | 2029-01-25      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    694248 | PA      | $709292.08    | 0.02%             | 2049-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31398PKD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5374 | PA      | $521.50       | 0.00%             | 2040-04-25      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                           | AIB Group PLC                                                                   | CUSIP: 00135TAD6<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |   1490000 | PA      | $1581691.53   | 0.04%             | 2029-09-13      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                             | Citibank NA                                                                     | CUSIP: 17325FBF4<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    423000 | PA      | $425858.33    | 0.01%             | 2026-04-30      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617B8HH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    157352 | PA      | $144802.46    | 0.00%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38376RDY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    159581 | PA      | $159127.39    | 0.00%             | 2065-07-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                       | State Street Corp                                                               | CUSIP: 857477CL5<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    682000 | PA      | $692497.60    | 0.02%             | 2027-03-18      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| TEXAS HEALTH RESOURCES                                  | Texas Health Resources                                                          | CUSIP: 882484AC2<br>LEI: 54930008C10TUBW7Z611 | Long             | DBT              | CORP              | US        |    140000 | PA      | $79957.32     | 0.00%             | 2050-11-15      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPYG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    307754 | PA      | $311546.51    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CNM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1288000 | PA      | $1296351.88   | 0.04%             | 2028-07-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132XGNV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1200000 | PA      | $1155967.68   | 0.03%             | 2032-08-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Ohio State University/The                               | OHIO ST UNIV                                                                    | CUSIP: 677632PA3<br>LEI: JFC10ZULKO4X2E3HBY86 | Long             | DBT              | MUN               | US        |     98000 | PA      | $83477.58     | 0.00%             | 2111-06-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234896 | PA      | $210602.08    | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                | Mars Inc                                                                        | CUSIP: 571676BC8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   1122000 | PA      | $1136525.63   | 0.03%             | 2055-05-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| M&T BANK CORPORATION                                    | M&T Bank Corp                                                                   | CUSIP: 55261FAY0<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |   2565000 | PA      | $2626833.04   | 0.07%             | 2031-07-08      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                    | Deephaven Residential Mortgage Trust 2022-1                                     | CUSIP: 24382JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1602922 | PA      | $1480941.94   | 0.04%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31403DVZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16354 | PA      | $17237.05     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31397WHQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63775 | PA      | $5838.27      | 0.00%             | 2038-06-15      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS            | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-6 Trust  | CUSIP: 92922FY44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14289 | PA      | $12306.90     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    100000 | PA      | $102777.44    | 0.00%             | 2030-01-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                                        | SLG Office Trust 2021-OVA                                                       | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2020000 | PA      | $1793016.03   | 0.05%             | 2041-07-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE ENTRMN                                | Time Warner Cable Enterprises LLC                                               | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     90000 | PA      | $105587.03    | 0.00%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| AEP Texas Inc                                           | AEP Texas Inc                                                                   | CUSIP: 00108WAJ9<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    133000 | PA      | $103876.93    | 0.00%             | 2049-05-01      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DMT62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174313 | PA      | $144033.89    | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810RJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    663000 | PA      | $518719.80    | 0.01%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANQUE FED CRED MUTUEL                                  | Banque Federative du Credit Mutuel SA                                           | CUSIP: 06675FAY3<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    245000 | PA      | $238890.42    | 0.01%             | 2026-10-04      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31396HUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6145 | PA      | $5219.34      | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFX30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    693469 | PA      | $620370.09    | 0.02%             | 2042-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                 | CarMax Auto Owner Trust 2023-4                                                  | CUSIP: 14318XAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    433980 | PA      | $439794.45    | 0.01%             | 2028-07-17      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70038 | PA      | $60338.43     | 0.00%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                         | CVS Health Corp                                                                 | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1271000 | PA      | $1271837.56   | 0.03%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                            | CaixaBank SA                                                                    | CUSIP: 12803RAB0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    427000 | PA      | $436300.82    | 0.01%             | 2027-09-13      | Fixed         | 6.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2022-DNA3                                         | CUSIP: 35564KUX5<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | USGSE             | US        |   2640000 | PA      | $2715183.50   | 0.07%             | 2042-04-25      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                      | VICI Properties LP                                                              | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |    748000 | PA      | $756675.87    | 0.02%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                        | MASTR Asset Securitization Trust 2003-12                                        | CUSIP: 55265K4B2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        76 | PA      | $0.00         | 0.00%             | 2018-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FXQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    597332 | PA      | $541533.03    | 0.01%             | 2060-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QMMN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    366719 | PA      | $326452.31    | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                   | Vendee Mortgage Trust 1996-1                                                    | CUSIP: 92260MAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6181 | PA      | $6174.47      | 0.00%             | 2026-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138W9BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164162 | PA      | $150382.04    | 0.00%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                           | Citigroup Inc                                                                   | CUSIP: 172967LW9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     74000 | PA      | $73820.82     | 0.00%             | 2029-04-23      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust                 | DBJPM 16-C1 Mortgage Trust                                                      | CUSIP: 23312LAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1097000 | PA      | $1088482.89   | 0.03%             | 2049-05-10      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| ENTERGY ARKANSAS LLC                                    | Entergy Arkansas LLC                                                            | CUSIP: 29366MAA6<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |    906000 | PA      | $742221.68    | 0.02%             | 2049-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31403DET2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5952 | PA      | $6107.00      | 0.00%             | 2033-04-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                     | GS Mortgage-Backed Securities Trust 2021-PJ9                                    | CUSIP: 36263CAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1303559 | PA      | $1080527.81   | 0.03%             | 2052-02-26      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31393X5V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12461 | PA      | $14011.62     | 0.00%             | 2034-05-25      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                     | New Residential Mortgage Loan Trust 2016-4                                      | CUSIP: 64829LAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1041053 | PA      | $1021115.41   | 0.03%             | 2056-11-25      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38381EX45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2531500 | PA      | $104885.13    | 0.00%             | 2062-02-16      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136BCGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275743 | PA      | $263522.76    | 0.01%             | 2030-10-25      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                   | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    560000 | PA      | $559437.23    | 0.02%             | 2060-05-01      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EPB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1623081 | PA      | $1581288.38   | 0.04%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132A5EF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12135 | PA      | $11675.33     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140GTFZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105356 | PA      | $101388.55    | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3618AWYK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1040745 | PA      | $1055559.81   | 0.03%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                        | Deutsche Bank AG/New York NY                                                    | CUSIP: 25160PAQ0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   4145000 | PA      | $4234106.14   | 0.12%             | 2029-01-10      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3133TJVQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       331 | PA      | $364.87       | 0.00%             | 2029-03-15      | Floating      | 11.18%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9K86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    155491 | PA      | $134244.03    | 0.00%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                        | Puget Energy Inc                                                                | CUSIP: 745310AQ5<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    650000 | PA      | $670749.43    | 0.02%             | 2035-03-15      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3618BJF80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    593068 | PA      | $587228.44    | 0.02%             | 2063-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| John Deere Owner Trust                                  | John Deere Owner Trust 2023-B                                                   | CUSIP: 477920AD4<br>LEI: 549300MS3JZB0OWONQ39 | Long             | ABS-O            | CORP              | US        |   1100000 | PA      | $1114806.11   | 0.03%             | 2030-05-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31402Q4R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8232 | PA      | $8419.26      | 0.00%             | 2034-08-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                 | MPLX LP                                                                         | CUSIP: 55336VBX7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   1580000 | PA      | $1610163.83   | 0.04%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218103 | PA      | $188636.47    | 0.01%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Suncor Energy Inc                                       | Suncor Energy Inc                                                               | CUSIP: 71644EAJ1<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |     79000 | PA      | $87105.42     | 0.00%             | 2038-05-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                        | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    786000 | PA      | $825409.30    | 0.02%             | 2029-01-18      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                               | Boeing Co/The                                                                   | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    320000 | PA      | $236422.39    | 0.01%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                                 | Jersey Central Power & Light Co                                                 | CUSIP: 476556DF9<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    430000 | PA      | $435794.95    | 0.01%             | 2035-01-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X9LZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154231 | PA      | $132348.33    | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Halliburton Co                                          | Halliburton Co                                                                  | CUSIP: 406216BG5<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19977.54     | 0.00%             | 2025-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                            | Chevron Corp                                                                    | CUSIP: 166764CA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    460000 | PA      | $319139.54    | 0.01%             | 2050-05-11      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LGR53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1386000 | PA      | $1322084.19   | 0.04%             | 2032-06-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179UH54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    449516 | PA      | $443853.75    | 0.01%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI HC FIN AMER                                  | Mitsubishi HC Finance America LLC                                               | CUSIP: 606790AB9<br>LEI: 3538008O2MCHLB9FAL82 | Long             | DBT              | CORP              | US        |    210000 | PA      | $218247.01    | 0.01%             | 2028-09-12      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                                  | Brixmor Operating Partnership LP                                                | CUSIP: 11120VAK9<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              |  | US        |    200000 | PA      | $190480.50    | 0.01%             | 2028-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                | RTX Corp                                                                        | CUSIP: 75513EAC5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   1520000 | PA      | $1033639.66   | 0.03%             | 2050-07-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                | Florida Power & Light Co                                                        | CUSIP: 341081GZ4<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    880000 | PA      | $921766.84    | 0.03%             | 2065-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                     | Gilead Sciences Inc                                                             | CUSIP: 375558BS1<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |   3535000 | PA      | $2595399.79   | 0.07%             | 2040-10-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140NSQX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    649817 | PA      | $677434.08    | 0.02%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp                                   | Norfolk Southern Corp                                                           | CUSIP: 655844BM9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     70000 | PA      | $58964.90     | 0.00%             | 2042-10-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140JWMU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62759 | PA      | $60411.35     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                  | PNC Financial Services Group Inc/The                                            | CUSIP: 693475CD5<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   1923000 | PA      | $1963749.60   | 0.05%             | 2031-05-13      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp                                       | Atmos Energy Corp                                                               | CUSIP: 049560AQ8<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    155000 | PA      | $127039.15    | 0.00%             | 2049-03-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AF6L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139908 | PA      | $114653.39    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    340000 | PA      | $343199.54    | 0.01%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                                | Delta Air Lines Inc / SkyMiles IP Ltd                                           | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   1580000 | PA      | $1588884.34   | 0.04%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABFC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    406963 | PA      | $348893.11    | 0.01%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Quest Diagnostics Inc                                   | Quest Diagnostics Inc                                                           | CUSIP: 74834LAZ3<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |     17000 | PA      | $16919.30     | 0.00%             | 2026-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 313921M70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15899 | PA      | $16780.04     | 0.00%             | 2031-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                                | Constellation Energy Generation LLC                                             | CUSIP: 210385AF7<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    698000 | PA      | $707234.69    | 0.02%             | 2054-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                            | UBS Group AG                                                                    | CUSIP: 225401BG2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    539000 | PA      | $588521.30    | 0.02%             | 2034-09-22      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                   | Vendee Mortgage Trust 1998-1                                                    | CUSIP: 911760LH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4623 | PA      | $4701.84      | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                             | Oracle Corp                                                                     | CUSIP: 68389XCP8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    310000 | PA      | $312804.94    | 0.01%             | 2033-02-06      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179W5E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1076233 | PA      | $1021083.25   | 0.03%             | 2052-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                            | Comcast Corp                                                                    | CUSIP: 20030NBH3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    167000 | PA      | $163602.94    | 0.00%             | 2033-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYWN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    385835 | PA      | $333223.43    | 0.01%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CORNING INC                                             | Corning Inc                                                                     | CUSIP: 219350BP9<br>LEI: 549300X2937PB0CJ7I56 | Long             | DBT              | CORP              | US        |    284000 | PA      | $222350.70    | 0.01%             | 2049-11-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179U6Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    133009 | PA      | $134820.43    | 0.00%             | 2049-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES                                   | Huntington Bancshares Inc/OH                                                    | CUSIP: 446150BE3<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |    780000 | PA      | $803920.75    | 0.02%             | 2031-01-15      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                             | Viatris Inc                                                                     | CUSIP: 92556VAC0<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    589000 | PA      | $566974.51    | 0.02%             | 2027-06-22      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31392HY64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64481 | PA      | $65310.10     | 0.00%             | 2042-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                                 | SCF Equipment Leasing 2023-1 LLC                                                | CUSIP: 784024AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3815000 | PA      | $3970293.01   | 0.11%             | 2033-08-22      | Fixed         | 6.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L4HK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    271984 | PA      | $222887.00    | 0.01%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XK5J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152570 | PA      | $148029.56    | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    195000 | PA      | $190410.53    | 0.01%             | 2027-10-21      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                         | McDonald's Corp                                                                 | CUSIP: 58013MFR0<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    500000 | PA      | $411076.81    | 0.01%             | 2050-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ETHB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    606116 | PA      | $604586.01    | 0.02%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                          | PEAC Solutions Receivables 2024-1 LLC                                           | CUSIP: 69433BAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2566135.75   | 0.07%             | 2030-11-20      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QNT69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1724715 | PA      | $1642403.44   | 0.04%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XJWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1606306 | PA      | $1424731.29   | 0.04%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                              | AbbVie Inc                                                                      | CUSIP: 00287YDA4<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    200000 | PA      | $188638.83    | 0.01%             | 2044-06-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                   | Northrop Grumman Corp                                                           | CUSIP: 666807CM2<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    729000 | PA      | $694100.20    | 0.02%             | 2054-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                  | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1061000 | PA      | $1105656.38   | 0.03%             | 2028-10-18      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                     | New Residential Mortgage Loan Trust 2015-2                                      | CUSIP: 64829EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1431526 | PA      | $1394390.69   | 0.04%             | 2055-08-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2020-RPL4 Trust                                                            | CUSIP: 126405AA7<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    687779 | PA      | $619135.56    | 0.02%             | 2060-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                       | Credit Acceptance Auto Loan Trust 2022-3                                        | CUSIP: 22534QAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    900000 | PA      | $907344.72    | 0.02%             | 2033-02-15      | Fixed         | 8.45%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                              | Humana Inc                                                                      | CUSIP: 444859BK7<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    840000 | PA      | $799540.81    | 0.02%             | 2029-08-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X5YV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214268 | PA      | $199451.93    | 0.01%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                  | Mizuho Financial Group Inc                                                      | CUSIP: 60687YBA6<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    220000 | PA      | $208242.36    | 0.01%             | 2030-09-13      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Trust 2017-GS6                                           | CUSIP: 36253PAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1291000 | PA      | $1270961.61   | 0.03%             | 2050-05-10      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     55000 | PA      | $52068.93     | 0.00%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                   | Westlake Automobile Receivables Trust 2023-3                                    | CUSIP: 96041CAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1013468.20   | 0.03%             | 2028-09-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                  | Aviation Capital Group LLC                                                      | CUSIP: 05369AAQ4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    607000 | PA      | $621739.73    | 0.02%             | 2029-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                | Benchmark 2022-B32 Mortgage Trust                                               | CUSIP: 08163NBP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    780000 | PA      | $651590.47    | 0.02%             | 2055-01-15      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYVB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2106420 | PA      | $1780314.73   | 0.05%             | 2041-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABCD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    549716 | PA      | $471276.45    | 0.01%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                 | WaMu Mortgage Pass-Through Certificates Series 2004-AR3 Trust                   | CUSIP: 92922FNJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2988 | PA      | $2752.84      | 0.00%             | 2034-06-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38378WRW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    211491 | PA      | $196847.94    | 0.01%             | 2043-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NEW ENGLAND POWER CO                                    | New England Power Co                                                            | CUSIP: 644188BF0<br>LEI: 549300DTVRGN9GYD5U85 | Long             | DBT              | CORP              | US        |     45000 | PA      | $35313.25     | 0.00%             | 2047-12-05      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XBYG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    419494 | PA      | $361810.30    | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                        | Freddie Mac Strips                                                              | CUSIP: 31325VKQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    505643 | PA      | $56052.07     | 0.00%             | 2044-08-15      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XHBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    937847 | PA      | $833478.23    | 0.02%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140J7RS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    458209 | PA      | $476747.93    | 0.01%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DNTU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153889 | PA      | $136569.18    | 0.00%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BHDV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    885078 | PA      | $675205.89    | 0.02%             | 2051-05-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust             | Bear Stearns ARM Trust 2003-7                                                   | CUSIP: 07384MYS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2813 | PA      | $2826.06      | 0.00%             | 2033-10-25      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust              | Mercury Financial Credit Card Master Trust                                      | CUSIP: 58940BAZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4075000 | PA      | $4106922.74   | 0.11%             | 2029-07-20      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                               | Prosus NV                                                                       | CUSIP: 74365PAD0<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   2720000 | PA      | $1903472.62   | 0.05%             | 2050-08-03      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EDL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158186 | PA      | $136123.44    | 0.00%             | 2042-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                                | Baltimore Gas and Electric Co                                                   | CUSIP: 059165EQ9<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    385000 | PA      | $377915.02    | 0.01%             | 2053-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD GRP/CO                                | JBS USA Holding Lux Sarl / JBS USA Foods Group Holdings Inc / JBS USA Food Co   | CUSIP: 472140AJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2295000 | PA      | $2359351.80   | 0.06%             | 2066-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                           | Boeing Co/The                                                                   | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1190000 | PA      | $1262883.92   | 0.03%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9PY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1074803 | PA      | $928916.87    | 0.03%             | 2042-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133BTCA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    371893 | PA      | $369853.83    | 0.01%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENI USA INC                                             | Eni USA Inc                                                                     | CUSIP: 51808BAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $53054.80     | 0.00%             | 2027-11-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                                | Constellation Energy Generation LLC                                             | CUSIP: 30161MAN3<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2533725.20   | 0.07%             | 2042-06-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BKUK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7629866 | PA      | $6463569.82   | 0.18%             | 2051-03-25      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Verizon Master Trust                                    | Verizon Master Trust                                                            | CUSIP: 92348KCQ4<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-O            | CORP              | US        |   1473000 | PA      | $1505270.48   | 0.04%             | 2030-04-22      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp                                       | Atmos Energy Corp                                                               | CUSIP: 049560AM7<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |     50000 | PA      | $42689.14     | 0.00%             | 2044-10-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622AAKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    584131 | PA      | $513762.54    | 0.01%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133BMLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1226026 | PA      | $1158736.85   | 0.03%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CarMax Select Receivables Trust                         | CarMax Select Receivables Trust 2025-A                                          | CUSIP: 14319UAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8100000 | PA      | $8278944.39   | 0.23%             | 2031-07-15      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132A5GE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4231392 | PA      | $3823921.21   | 0.10%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JBS USA SARL/FOOD/GRP                                   | JBS USA LUX Sarl / JBS USA Food Co / JBS USA Foods Group                        | CUSIP: 472140AC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1225000 | PA      | $1275463.61   | 0.03%             | 2055-02-25      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| MRCD Mortgage Trust                                     | MRCD 2019-MARK Mortgage Trust                                                   | CUSIP: 55348UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    740000 | PA      | $655673.23    | 0.02%             | 2036-12-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418ET67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    843723 | PA      | $852033.78    | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Woodward Capital Management                             | RCKT Mortgage Trust 2021-6                                                      | CUSIP: 74939KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    560573 | PA      | $464662.30    | 0.01%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| WRKCo Inc                                               | WRKCo Inc                                                                       | CUSIP: 92940PAE4<br>LEI: 549300JEB576INN13W07 | Long             | DBT              | CORP              | US        |     35000 | PA      | $34709.98     | 0.00%             | 2028-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| NORINCHUKIN BANK                                        | Norinchukin Bank/The                                                            | CUSIP: 656029AQ8<br>LEI: 5493007VSMFZCPV1NB83 | Long             | DBT              | CORP              | JP        |   3200000 | PA      | $3252092.93   | 0.09%             | 2035-09-09      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| WOODSIDE FINANCE LTD                                    | Woodside Finance Ltd                                                            | CUSIP: 980236AU7<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |    570000 | PA      | $591803.20    | 0.02%             | 2032-05-19      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                                 | Dell International LLC / EMC Corp                                               | CUSIP: 24703TAN6<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |   3180000 | PA      | $3282919.68   | 0.09%             | 2032-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Dupont De Nemours Inc                                   | DuPont de Nemours Inc                                                           | CUSIP: 26078JAE0<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |    626000 | PA      | $641346.81    | 0.02%             | 2038-11-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31339WCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8559 | PA      | $9007.83      | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                             | Cencora Inc                                                                     | CUSIP: 03073EAU9<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1586942.03   | 0.04%             | 2034-02-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31413GEC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1853 | PA      | $1916.76      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                     | American Tower Corp                                                             | CUSIP: 03027XBK5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     85000 | PA      | $55069.12     | 0.00%             | 2051-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                   | Mexico Government International Bonds                                           | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    283000 | PA      | $251417.20    | 0.01%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 9128334S6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13355000 | PA      | $10608013.26  | 0.29%             | 2031-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS            | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust  | CUSIP: 9393366B4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53787 | PA      | $50068.86     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XADY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138792 | PA      | $114365.94    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38375BR95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2509 | PA      | $2386.77      | 0.00%             | 2063-04-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAW1<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1140000 | PA      | $1151444.97   | 0.03%             | 2028-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER                                    | Niagara Mohawk Power Corp                                                       | CUSIP: 65364UAN6<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    250000 | PA      | $225030.84    | 0.01%             | 2030-06-27      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31393XV87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32848 | PA      | $32504.68     | 0.00%             | 2034-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                       | Kinder Morgan Inc                                                               | CUSIP: 49456BAX9<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    315000 | PA      | $322573.55    | 0.01%             | 2033-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                | Florida Power & Light Co                                                        | CUSIP: 341081EU7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     50000 | PA      | $52122.61     | 0.00%             | 2035-09-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38374GDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4934 | PA      | $5403.89      | 0.00%             | 2034-04-16      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                             | Oracle Corp                                                                     | CUSIP: 68389XBJ3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    110000 | PA      | $85687.10     | 0.00%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31392CKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9094 | PA      | $8546.57      | 0.00%             | 2032-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                    | Glencore Funding LLC                                                            | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    750000 | PA      | $684185.27    | 0.02%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2450000 | PA      | $2195841.70   | 0.06%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QMZ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2803433 | PA      | $2426414.51   | 0.07%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AJPD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400362 | PA      | $397755.70    | 0.01%             | 2044-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                                 | SCF Equipment Trust 2016-1 LLC                                                  | CUSIP: 78437DAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1032000 | PA      | $1066625.25   | 0.03%             | 2035-11-20      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                    | Targa Resources Corp                                                            | CUSIP: 87612GAP6<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   2171000 | PA      | $2205144.14   | 0.06%             | 2030-09-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 31329KVG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49712 | PA      | $47197.35     | 0.00%             | 2036-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                 | BPCE SA                                                                         | CUSIP: 056121AB2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   3385000 | PA      | $3564725.83   | 0.10%             | 2036-05-28      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    720000 | PA      | $587671.88    | 0.02%             | 2043-02-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BSP98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18917698 | PA      | $109996.96    | 0.00%             | 2026-08-25      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                                   | Aon North America Inc                                                           | CUSIP: 03740MAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    620000 | PA      | $624390.14    | 0.02%             | 2054-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ABX2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    680000 | PA      | $598213.12    | 0.02%             | 2031-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HOLDINGS                                 | Duquesne Light Holdings Inc                                                     | CUSIP: 266233AG0<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    160000 | PA      | $156723.10    | 0.00%             | 2027-08-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                                 | Dell International LLC / EMC Corp                                               | CUSIP: 24703TAD8<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |    128000 | PA      | $129032.34    | 0.00%             | 2026-06-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                            | Enbridge Inc                                                                    | CUSIP: 29250NCK9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    533000 | PA      | $549663.42    | 0.01%             | 2035-06-20      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3210000 | PA      | $2953484.47   | 0.08%             | 2031-06-03      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XKR69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    404906 | PA      | $383501.09    | 0.01%             | 2051-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Baxalta Inc                                             | Baxalta Inc                                                                     | CUSIP: 07177MAN3<br>LEI: 5493000JW8DCO3T45R55 | Long             | DBT              | CORP              | US        |      3000 | PA      | $2874.87      | 0.00%             | 2045-06-23      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31394GBQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9454 | PA      | $9265.93      | 0.00%             | 2032-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                          | Home Partners of America 2020-2 Trust                                           | CUSIP: 437301AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    796455 | PA      | $721860.62    | 0.02%             | 2041-01-17      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust          | Morgan Stanley Residential Mortgage Loan Trust 2021-4                           | CUSIP: 61772MAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    262677 | PA      | $217734.54    | 0.01%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QPJ24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    207332 | PA      | $208035.46    | 0.01%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622AAKL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    294788 | PA      | $277309.98    | 0.01%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11777000 | PA      | $11813803.13  | 0.32%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136BCGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4326925 | PA      | $194820.66    | 0.01%             | 2030-10-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BDY93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1168612 | PA      | $208721.75    | 0.01%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QGXH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1344496 | PA      | $1092715.56   | 0.03%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                | Lloyds Banking Group PLC                                                        | CUSIP: 53944YAX1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   1285000 | PA      | $1347067.83   | 0.04%             | 2035-01-05      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CMH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  38090000 | PA      | $38295328.72  | 1.04%             | 2027-01-31      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                 | Hyundai Capital America                                                         | CUSIP: 44891ABG1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    200000 | PA      | $196532.85    | 0.01%             | 2027-02-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                             | Oracle Corp                                                                     | CUSIP: 68389XDP7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1615000 | PA      | $1619384.71   | 0.04%             | 2045-09-26      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FQ4B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    872366 | PA      | $24577.77     | 0.00%             | 2029-10-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617XW7K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    293773 | PA      | $262355.33    | 0.01%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2022-BNK40                                                                 | CUSIP: 06541LBU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    767000 | PA      | $673919.79    | 0.02%             | 2064-03-15      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140MB7B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129570 | PA      | $115601.74    | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38382LXR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2264181 | PA      | $265801.04    | 0.01%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15295000 | PA      | $15467666.17  | 0.42%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38380RWG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2065302 | PA      | $117216.40    | 0.00%             | 2061-01-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140K7KD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250175 | PA      | $239315.43    | 0.01%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140KYDF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137085 | PA      | $117923.66    | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AON CORP/AON GLOBAL HOLD                                | Aon Corp / Aon Global Holdings PLC                                              | CUSIP: 03740LAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   1089000 | PA      | $687450.83    | 0.02%             | 2051-08-23      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H2N83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6761196 | PA      | $240081.28    | 0.01%             | 2031-07-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAP INTL                                  | TotalEnergies Capital International SA                                          | CUSIP: 89153VAV1<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |    260000 | PA      | $178004.13    | 0.00%             | 2050-05-29      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                           | AIB Group PLC                                                                   | CUSIP: 00135TAF1<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |    725000 | PA      | $746439.54    | 0.02%             | 2031-05-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                | Devon Energy Corp                                                               | CUSIP: 25179MAL7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    940000 | PA      | $904909.93    | 0.02%             | 2041-07-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                 | Exxon Mobil Corp                                                                | CUSIP: 30231GAY8<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    405000 | PA      | $324045.61    | 0.01%             | 2039-08-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                            | UBS Group AG                                                                    | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    440000 | PA      | $392374.98    | 0.01%             | 2033-02-11      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    973043 | PA      | $839744.12    | 0.02%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFV32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75174 | PA      | $66881.05     | 0.00%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PG&E RECOVERY FND LLC                                   | PG&E Recovery Funding LLC                                                       | CUSIP: 71710TAH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1570000 | PA      | $1605751.35   | 0.04%             | 2042-06-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31297GXZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2918 | PA      | $3038.62      | 0.00%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                 | BPCE SA                                                                         | CUSIP: 05571AAR6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1500000 | PA      | $1592398.77   | 0.04%             | 2029-10-19      | Fixed         | 6.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3133TELZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       644 | PA      | $662.64       | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    221000 | PA      | $201194.09    | 0.01%             | 2033-01-25      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| WELLTOWER OP LLC                                        | Welltower OP LLC                                                                | CUSIP: 42217KAX4<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              |  | US        |    125000 | PA      | $139293.16    | 0.00%             | 2041-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                     | Nomura Holdings Inc                                                             | CUSIP: 65535HAS8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $183818.87    | 0.01%             | 2030-07-16      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617MJGA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    393933 | PA      | $371295.53    | 0.01%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3618F6U79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    885117 | PA      | $909735.82    | 0.02%             | 2053-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140J7XC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    810770 | PA      | $764934.14    | 0.02%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                              | Fiserv Inc                                                                      | CUSIP: 337738AV0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     65000 | PA      | $53592.53     | 0.00%             | 2049-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138WHWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24025 | PA      | $21731.24     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                          | NRG Energy Inc                                                                  | CUSIP: 629377DA7<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   3405000 | PA      | $3403922.42   | 0.09%             | 2030-10-15      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Trust 2019-GC42                                          | CUSIP: 36257UAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1733000 | PA      | $1625510.68   | 0.04%             | 2052-09-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CODELCO INC                                             | Corp Nacional del Cobre de Chile                                                | CUSIP: 21987BBK3<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |    863000 | PA      | $932785.95    | 0.03%             | 2036-01-26      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                     | Citigroup Commercial Mortgage Trust 2017-C4                                     | CUSIP: 17326FAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1642000 | PA      | $1613894.38   | 0.04%             | 2050-10-12      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                       | NatWest Group PLC                                                               | CUSIP: 639057AN8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   7450000 | PA      | $7856280.76   | 0.21%             | 2035-03-01      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754VAB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    670353 | PA      | $674201.59    | 0.02%             | 2045-03-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179SWY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    107048 | PA      | $102312.71    | 0.00%             | 2047-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                               | Amgen Inc                                                                       | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   1275000 | PA      | $1271738.84   | 0.03%             | 2053-03-02      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                  | Diamondback Energy Inc                                                          | CUSIP: 25278XAR0<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $1068492.61   | 0.03%             | 2031-03-24      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912833XZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9830000 | PA      | $7980732.53   | 0.22%             | 2031-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140JPFR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29544 | PA      | $28266.76     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137H2UN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1234245 | PA      | $156322.39    | 0.00%             | 2049-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PED0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    120000 | PA      | $107572.25    | 0.00%             | 2031-05-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| AON CORP/AON GLOBAL HOLD                                | Aon Corp / Aon Global Holdings PLC                                              | CUSIP: 03740LAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   1068000 | PA      | $1099221.39   | 0.03%             | 2032-09-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Cox Communications Inc                                  | Cox Communications Inc                                                          | CUSIP: 224044CG0<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |     67000 | PA      | $66506.77     | 0.00%             | 2026-09-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140FGAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    543474 | PA      | $492040.15    | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES                                   | Huntington Bancshares Inc/OH                                                    | CUSIP: 446150BC7<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |    712000 | PA      | $749335.54    | 0.02%             | 2029-08-21      | Fixed         | 6.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140NMGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1598125 | PA      | $1589335.06   | 0.04%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPEH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1613740 | PA      | $1482982.46   | 0.04%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XAEW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    801906 | PA      | $655172.21    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Small Business Administration Participation Certs       | United States Small Business Administration                                     | CUSIP: 83162CC68<br>LEI: N/A                  | Long             | ABS-O            | USGA              | US        |    286446 | PA      | $256573.57    | 0.01%             | 2044-07-01      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFTF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1092470 | PA      | $934890.21    | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31373UED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        61 | PA      | $60.77        | 0.00%             | 2029-03-01      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31394DQ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17970 | PA      | $20866.42     | 0.00%             | 2035-06-25      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                | RTX Corp                                                                        | CUSIP: 913017CA5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    138000 | PA      | $116396.51    | 0.00%             | 2045-05-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38376R5E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31158 | PA      | $30999.93     | 0.00%             | 2067-05-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179TUB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1305920 | PA      | $1249403.57   | 0.03%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H7Z22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5674581 | PA      | $110219.09    | 0.00%             | 2032-05-25      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1630000 | PA      | $1532454.69   | 0.04%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                | Corebridge Financial Inc                                                        | CUSIP: 21871XAD1<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    185000 | PA      | $183412.27    | 0.00%             | 2027-04-05      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust                 | DBJPM 20-C9 Mortgage Trust                                                      | CUSIP: 233063BC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    282000 | PA      | $239736.41    | 0.01%             | 2053-08-15      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                               | CUSIP: 36295RMS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    233718 | PA      | $248464.60    | 0.01%             | 2038-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DMRX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4484423 | PA      | $4011619.56   | 0.11%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140HYCY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1057686 | PA      | $956292.27    | 0.03%             | 2030-08-01      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| MANITOBA (PROVINCE OF)                                  | Province of Manitoba Canada                                                     | CUSIP: 563469UL7<br>LEI: 5493003QILFOB3JRKE30 | Long             | DBT              | NUSS              | CA        |    660000 | PA      | $651218.91    | 0.02%             | 2026-06-22      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XDGP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68678 | PA      | $59113.41     | 0.00%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LLC                         | Domino's Pizza Master Issuer LLC                                                | CUSIP: 25755TAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3709115 | PA      | $3506439.31   | 0.10%             | 2051-04-25      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                      | Alternative Loan Trust 2005-20CB                                                | CUSIP: 12667GQN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107261 | PA      | $5100.68      | 0.00%             | 2035-07-25      | Floating      | 0.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGTC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1415324 | PA      | $1427444.56   | 0.04%             | 2051-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CSX Corp                                                | CSX Corp                                                                        | CUSIP: 126408GU1<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |     50000 | PA      | $51354.10     | 0.00%             | 2041-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XDP34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    528747 | PA      | $428956.57    | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XJYH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284736 | PA      | $291620.10    | 0.01%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US BANK NA CINCINNATI                                   | US Bank NA/Cincinnati OH                                                        | CUSIP: 90331HPS6<br>LEI: 6BYL5QZYBDK8S7L73M02 | Long             | DBT              | CORP              | US        |    592000 | PA      | $597242.81    | 0.02%             | 2028-05-15      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                               | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26                     | CUSIP: 61690VAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    313746 | PA      | $312062.24    | 0.01%             | 2048-10-15      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140NUUZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3084158 | PA      | $3210393.73   | 0.09%             | 2033-12-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LHBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1105031 | PA      | $1070130.36   | 0.03%             | 2032-09-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L4CZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137026 | PA      | $111991.64    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179TSH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84000 | PA      | $80364.95     | 0.00%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137H62K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    969726 | PA      | $128587.66    | 0.00%             | 2047-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38380KSV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47647 | PA      | $43445.86     | 0.00%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137BWY73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174360 | PA      | $151405.17    | 0.00%             | 2045-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KMLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    738739 | PA      | $600693.37    | 0.02%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617MN3V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    508299 | PA      | $448607.20    | 0.01%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPUT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1784713 | PA      | $1745748.85   | 0.05%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                     | Quanta Services Inc                                                             | CUSIP: 74762EAH5<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    270000 | PA      | $236990.36    | 0.01%             | 2032-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38380QGU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80405 | PA      | $79422.30     | 0.00%             | 2070-07-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                | Vistra Operations Co LLC                                                        | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   1082000 | PA      | $1140760.17   | 0.03%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                 | HCA Inc                                                                         | CUSIP: 404119CZ0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1635000 | PA      | $1688009.22   | 0.05%             | 2030-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFUH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    314804 | PA      | $269955.12    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136BDXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2266549 | PA      | $152419.05    | 0.00%             | 2033-11-25      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138LH6Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    371303 | PA      | $361411.62    | 0.01%             | 2029-05-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140KVBU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    417231 | PA      | $340897.20    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                 | Bristol-Myers Squibb Co                                                         | CUSIP: 110122DL9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    707000 | PA      | $618216.06    | 0.02%             | 2048-02-20      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                 | BPCE SA                                                                         | CUSIP: 05571ABA2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   6165000 | PA      | $6597490.10   | 0.18%             | 2036-01-14      | Fixed         | 6.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133A0K78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    211486 | PA      | $190034.97    | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                        | Deutsche Bank AG/New York NY                                                    | CUSIP: 25160PAN7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    478000 | PA      | $488230.14    | 0.01%             | 2027-07-13      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                        | MASTR Asset Securitization Trust 2003-11                                        | CUSIP: 55265K2U2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30673 | PA      | $30332.86     | 0.00%             | 2033-12-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418CCK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    775333 | PA      | $735052.84    | 0.02%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                              | Humana Inc                                                                      | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   1320000 | PA      | $1289948.01   | 0.04%             | 2029-03-23      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140HSAA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2235000 | PA      | $2182971.66   | 0.06%             | 2034-02-01      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LH3F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2955000 | PA      | $2986499.12   | 0.08%             | 2034-11-01      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| BIMBO BAKERIES USA INC                                  | Bimbo Bakeries USA Inc                                                          | CUSIP: 09031WAD5<br>LEI: 549300HOXXHHT7926W92 | Long             | DBT              | CORP              | US        |    605000 | PA      | $659003.47    | 0.02%             | 2034-01-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $3015820.32   | 0.08%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                                       | CUSIP: 31423XQB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1580119 | PA      | $260544.38    | 0.01%             | 2048-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                    | Lockheed Martin Corp                                                            | CUSIP: 539830BS7<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |   1580000 | PA      | $1283912.36   | 0.03%             | 2053-06-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                              | US Bancorp                                                                      | CUSIP: 91159HJU5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   2086000 | PA      | $2159935.25   | 0.06%             | 2036-02-12      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential 2025-SFR3 Trust                                            | CUSIP: 74334BAC1<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   3690000 | PA      | $3458111.18   | 0.09%             | 2042-07-17      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DMGC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    748176 | PA      | $705268.55    | 0.02%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPQC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    304439 | PA      | $296568.17    | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                       | HSBC Holdings PLC                                                               | CUSIP: 404280ER6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    845000 | PA      | $865400.13    | 0.02%             | 2031-03-03      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2021-10                                                | CUSIP: 46654AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    556237 | PA      | $461068.57    | 0.01%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RHW5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1020000 | PA      | $1015209.01   | 0.03%             | 2027-02-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617XXDP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1175438 | PA      | $1229334.65   | 0.03%             | 2072-04-20      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                    | Enel Finance International NV                                                   | CUSIP: 29278GBH0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   1740000 | PA      | $1714626.50   | 0.05%             | 2035-09-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617MB5S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56852 | PA      | $53970.81     | 0.00%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KBC GROUP NV                                            | KBC Group NV                                                                    | CUSIP: 48241FAC8<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |    520000 | PA      | $568747.71    | 0.02%             | 2034-09-21      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                          | Amazon.com Inc                                                                  | CUSIP: 023135CF1<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    210000 | PA      | $208461.46    | 0.01%             | 2027-04-13      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QFA25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    687881 | PA      | $560922.69    | 0.02%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                             | NVIDIA Corp                                                                     | CUSIP: 67066GAH7<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |   1570000 | PA      | $1204818.22   | 0.03%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31296NA23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9434 | PA      | $9572.57      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AFXA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    114348 | PA      | $93843.09     | 0.00%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XLD47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1134857 | PA      | $1162902.64   | 0.03%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SCE RECOVERY FUNDING LLC                                | SCE Recovery Funding LLC                                                        | CUSIP: 78433LAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    238820 | PA      | $235369.85    | 0.01%             | 2040-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CAV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 107605000 | PA      | $93296897.66  | 2.54%             | 2030-11-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                                | BHP Billiton Finance USA Ltd                                                    | CUSIP: 055451AV0<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |    700000 | PA      | $674868.17    | 0.02%             | 2043-09-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                   | Anchor Mortgage Trust 2025-RTL1                                                 | CUSIP: 03290CAA4<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-MBS          | CORP              | US        |   3055000 | PA      | $3067788.54   | 0.08%             | 2040-05-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                                | NIKE Inc                                                                        | CUSIP: 654106AK9<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |   1220000 | PA      | $1158769.93   | 0.03%             | 2030-03-27      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| BIMBO BAKERIES USA INC                                  | Bimbo Bakeries USA Inc                                                          | CUSIP: 09031WAE3<br>LEI: 549300HOXXHHT7926W92 | Long             | DBT              | CORP              | US        |    200000 | PA      | $202994.48    | 0.01%             | 2036-01-09      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135090 | PA      | $109905.27    | 0.00%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418CC77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115960 | PA      | $108296.28    | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                        | BAT Capital Corp                                                                | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    250000 | PA      | $229253.69    | 0.01%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| CHILE ELECTRICITY LUX                                   | Chile Electricity Lux MPC Sarl                                                  | CUSIP: 168829AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    267605 | PA      | $280858.30    | 0.01%             | 2033-01-20      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| GRAY OAK PIPELINE LLC                                   | Gray Oak Pipeline LLC                                                           | CUSIP: 38937LAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    372000 | PA      | $366702.30    | 0.01%             | 2027-10-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                     | Dominion Energy Inc                                                             | CUSIP: 25746UDT3<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    574000 | PA      | $600790.97    | 0.02%             | 2055-02-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-NQM7                                                                  | CUSIP: 12662QAA4<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    441476 | PA      | $390795.19    | 0.01%             | 2066-10-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY OF MIAMI                                     | University of Miami                                                             | CUSIP: 914453AA3<br>LEI: 5493008ZSVWUNRYQE312 | Long             | DBT              | CORP              | US        |    120000 | PA      | $96610.44     | 0.00%             | 2052-04-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SARL                                | Eagle Funding Luxco Sarl                                                        | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |   5604000 | PA      | $5685594.24   | 0.15%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                         | GOODGREEN 2017 R1                                                               | CUSIP: 38218AAA3<br>LEI: 549300X0P2BXCQULUH20 | Long             | ABS-O            | CORP              | US        |      8154 | PA      | $8143.17      | 0.00%             | 2051-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2950000 | PA      | $2617203.13   | 0.07%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | Energy Transfer LP                                                              | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    670000 | PA      | $613284.92    | 0.02%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7470000 | PA      | $5852278.13   | 0.16%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPNF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    476759 | PA      | $464482.61    | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38381H8H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4249604 | PA      | $3173389.83   | 0.09%             | 2064-06-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ACCENTURE CAPITAL INC                                   | Accenture Capital Inc                                                           | CUSIP: 00440KAB9<br>LEI: 254900FRO0P7RIINYT25 | Long             | DBT              | CORP              | US        |    435000 | PA      | $434585.24    | 0.01%             | 2029-10-04      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140JAA81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234147 | PA      | $236908.81    | 0.01%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31392UXE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11041 | PA      | $11418.38     | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622AB4Z2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    387603 | PA      | $388330.96    | 0.01%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                                 | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1230000 | PA      | $1319373.93   | 0.04%             | 2053-11-15      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                    | PRET 2021-RN4 LLC                                                               | CUSIP: 69359QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    934187 | PA      | $934238.72    | 0.03%             | 2051-10-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                            | Enbridge Inc                                                                    | CUSIP: 29250NCC7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   1850000 | PA      | $1931039.81   | 0.05%             | 2034-04-05      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617Y9AW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    579151 | PA      | $527026.80    | 0.01%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JBS USA SARL/FOOD/GRP                                   | JBS USA LUX Sarl / JBS USA Food Co / JBS USA Foods Group                        | CUSIP: 472140AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $525251.18    | 0.01%             | 2035-04-20      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                                   | Tennessee Valley Authority                                                      | CUSIP: 880591CS9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    140000 | PA      | $156647.52    | 0.00%             | 2036-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XKM31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    415093 | PA      | $405988.04    | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LGU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $191907.53    | 0.01%             | 2032-07-01      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS            | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-2 Trust  | CUSIP: 9393363L5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    231614 | PA      | $11975.36     | 0.00%             | 2035-04-25      | Floating      | 0.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132ADXZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8651 | PA      | $8738.91      | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-1 AA PTT                                | United Airlines 2019-1 Class AA Pass Through Trust                              | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    177649 | PA      | $173326.27    | 0.00%             | 2031-08-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CLR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  28840000 | PA      | $29298511.01  | 0.80%             | 2029-10-31      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFSJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    439107 | PA      | $391575.08    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                       | State Street Corp                                                               | CUSIP: 857477CA9<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    200000 | PA      | $202656.61    | 0.01%             | 2034-01-26      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LKKW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    700000 | PA      | $708042.02    | 0.02%             | 2028-06-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X6PH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    649467 | PA      | $603592.19    | 0.02%             | 2038-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                                  | GE HealthCare Technologies Inc                                                  | CUSIP: 36266GAB3<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    279000 | PA      | $283580.76    | 0.01%             | 2031-01-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38375KW24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24188 | PA      | $2442.42      | 0.00%             | 2037-07-20      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| GOODMAN US FIN THREE                                    | Goodman US Finance Three LLC                                                    | CUSIP: 38239JAA9<br>LEI: N/A                  | Long             | DBT              |  | US        |     43000 | PA      | $42426.77     | 0.00%             | 2028-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| STARBUCKS CORP                                          | Starbucks Corp                                                                  | CUSIP: 855244BF5<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |    440000 | PA      | $445838.20    | 0.01%             | 2033-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                               | Amgen Inc                                                                       | CUSIP: 031162DB3<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    120000 | PA      | $112195.90    | 0.00%             | 2028-08-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                               | Towd Point Mortgage Trust 2017-6                                                | CUSIP: 89175JAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1610000 | PA      | $1506514.84   | 0.04%             | 2057-10-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AETS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40111 | PA      | $4347.84      | 0.00%             | 2043-06-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133BUNF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116981 | PA      | $121971.54    | 0.00%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1092624 | PA      | $1067534.64   | 0.03%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DQJ23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    278908 | PA      | $290070.53    | 0.01%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2014-1 A PTT                                 | United Airlines 2014-1 Class A Pass Through Trust                               | CUSIP: 90932PAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     34148 | PA      | $34076.23     | 0.00%             | 2026-04-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31410LVU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116821 | PA      | $112019.55    | 0.00%             | 2037-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL                                   | Takeda Pharmaceutical Co Ltd                                                    | CUSIP: 874060AY2<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    545000 | PA      | $415831.78    | 0.01%             | 2040-07-09      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust 2024-2                                      | CUSIP: 30166DAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4241000 | PA      | $4334033.97   | 0.12%             | 2030-02-15      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 29379VCA9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    981000 | PA      | $665071.64    | 0.02%             | 2052-02-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                            | CaixaBank SA                                                                    | CUSIP: 12803RAC8<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   1064000 | PA      | $1185588.44   | 0.03%             | 2034-09-13      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGUS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    682240 | PA      | $663897.38    | 0.02%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X67M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183717 | PA      | $165676.95    | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                               | Amgen Inc                                                                       | CUSIP: 031162DS6<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    390000 | PA      | $395168.41    | 0.01%             | 2043-03-02      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                | AT&T Inc                                                                        | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    160000 | PA      | $109392.76    | 0.00%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYWJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    373287 | PA      | $335091.95    | 0.01%             | 2042-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FQXL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5582148 | PA      | $22776.28     | 0.00%             | 2026-10-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                       | Kinder Morgan Inc                                                               | CUSIP: 49456BAQ4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     70000 | PA      | $64139.10     | 0.00%             | 2048-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GJA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3690000 | PA      | $3002799.93   | 0.08%             | 2051-03-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                     | American Express Co                                                             | CUSIP: 025816DZ9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1275000 | PA      | $1326095.70   | 0.04%             | 2036-01-30      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                  | Aviation Capital Group LLC                                                      | CUSIP: 05369AAT8<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   1412000 | PA      | $1410707.06   | 0.04%             | 2030-10-24      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2310000 | PA      | $1744410.94   | 0.05%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT                                | Element Fleet Management Corp                                                   | CUSIP: 286181AP7<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   1825000 | PA      | $1861608.72   | 0.05%             | 2030-03-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                         | Goodgreen 2017-1 Trust                                                          | CUSIP: 38217VAA8<br>LEI: 549300X0P2BXCQULUH20 | Long             | ABS-O            | CORP              | US        |     24459 | PA      | $22560.84     | 0.00%             | 2052-10-15      | Fixed         | 3.74%                 | 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        |    420174 | PA      | $422493.51    | 0.01%             | 2034-01-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| ZIMMER BIOMET HOLDINGS                                  | Zimmer Biomet Holdings Inc                                                      | CUSIP: 98956PBC5<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Long             | DBT              | CORP              | US        |   2065000 | PA      | $2150895.68   | 0.06%             | 2035-02-19      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                        | Freddie Mac Strips                                                              | CUSIP: 31282YDW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12210 | PA      | $1873.16      | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31395BA52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8951 | PA      | $7739.97      | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38381HL25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1035361 | PA      | $64375.25     | 0.00%             | 2064-07-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                 | GSR Mortgage Loan Trust 2004-6F                                                 | CUSIP: 36228F2R6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | ABS-MBS          | CORP              | US        |     34372 | PA      | $34988.29     | 0.00%             | 2034-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPWM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    482970 | PA      | $503527.47    | 0.01%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18765000 | PA      | $17417731.55  | 0.47%             | 2044-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    440000 | PA      | $449430.26    | 0.01%             | 2027-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFSM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1157544 | PA      | $990017.35    | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ETPN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122821 | PA      | $127397.96    | 0.00%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                                | Constellation Energy Generation LLC                                             | CUSIP: 30161MAJ2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |   1144000 | PA      | $1174286.77   | 0.03%             | 2041-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ROCHE HOLDINGS INC                                      | Roche Holdings Inc                                                              | CUSIP: 771196BY7<br>LEI: PVJRP0EQNV6OGDPZGY95 | Long             | DBT              | CORP              | US        |    970000 | PA      | $602893.34    | 0.02%             | 2051-12-13      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| IDENTITY DIGITAL CAP LLC                                | IDENTITY DIGITAL CAP LLC                                                        | CUSIP: 45175XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5400000 | PA      | $5477760.00   | 0.15%             | 2065-03-20      | Fixed         | 6.79%                 | No            |                  3 | On Loan: No      |
| UNION PACIFIC CORP                                      | Union Pacific Corp                                                              | CUSIP: 907818FG8<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    270000 | PA      | $199980.00    | 0.01%             | 2060-03-20      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DNNW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1717539 | PA      | $1711566.91   | 0.05%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                           | Citigroup Inc                                                                   | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     75000 | PA      | $74000.61     | 0.00%             | 2028-10-27      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AEPA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31915 | PA      | $27341.52     | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9L28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    161973 | PA      | $139887.61    | 0.00%             | 2042-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140N7GY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76453 | PA      | $75942.99     | 0.00%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                     | Citigroup Commercial Mortgage Trust 2016-P6                                     | CUSIP: 17291EAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    266043 | PA      | $263962.24    | 0.01%             | 2049-12-10      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FYTY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3761176 | PA      | $129322.41    | 0.00%             | 2036-02-25      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38378KSP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2168809 | PA      | $22495.11     | 0.00%             | 2053-12-16      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGTU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    426938 | PA      | $395904.65    | 0.01%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                      | Ellington Financial Mortgage Trust 2021-2                                       | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    649270 | PA      | $548116.36    | 0.01%             | 2066-06-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Southern Copper Corp                                    | Southern Copper Corp                                                            | CUSIP: 84265VAG0<br>LEI: 2549007U6NAP46Q9TU15 | Long             | DBT              | CORP              | US        |   4420000 | PA      | $4273393.46   | 0.12%             | 2042-11-08      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XPV71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    674376 | PA      | $655878.56    | 0.02%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H9JJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15165656 | PA      | $209569.66    | 0.01%             | 2032-10-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FINANCE CORP                                  | Bunge Ltd Finance Corp                                                          | CUSIP: 120568BF6<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |   1228000 | PA      | $1203805.78   | 0.03%             | 2034-09-17      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GMD8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2189000 | PA      | $2242189.68   | 0.06%             | 2035-10-25      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                                       | CUSIP: 3136FAWE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1029 | PA      | $914.09       | 0.00%             | 2033-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   4860000 | PA      | $5069421.14   | 0.14%             | 2035-01-23      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                            | Broadcom Inc                                                                    | CUSIP: 11135FBE0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    592000 | PA      | $564005.94    | 0.02%             | 2028-02-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3137H2UH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2515848 | PA      | $373915.17    | 0.01%             | 2049-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DP97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2095058 | PA      | $1707523.98   | 0.05%             | 2050-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L7M41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139633 | PA      | $114638.60    | 0.00%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                  | PNC Financial Services Group Inc/The                                            | CUSIP: 693475CE3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    560000 | PA      | $576278.15    | 0.02%             | 2036-07-21      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140W2MY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5769348 | PA      | $4920715.35   | 0.13%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Telefonica Emisiones SAU                                | Telefonica Emisiones SA                                                         | CUSIP: 87938WAU7<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |    340000 | PA      | $305621.00    | 0.01%             | 2047-03-08      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L0AZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208035 | PA      | $170182.97    | 0.00%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KNJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    212446 | PA      | $183103.45    | 0.00%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK OP LLC                                       | Healthpeak OP LLC                                                               | CUSIP: 40414LAR0<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              |  | US        |    132000 | PA      | $127952.18    | 0.00%             | 2029-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                 | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111FX6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    250000 | PA      | $242063.79    | 0.01%             | 2030-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179VFR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    315044 | PA      | $300510.22    | 0.01%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QFA33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191572 | PA      | $155976.94    | 0.00%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2019-BNK21                                                                 | CUSIP: 06540BBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1088000 | PA      | $1021166.34   | 0.03%             | 2052-10-17      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622A2R38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95669 | PA      | $89096.38     | 0.00%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132H3XT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131326 | PA      | $124105.76    | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136AW7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228351 | PA      | $224910.53    | 0.01%             | 2027-05-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617HX4G9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1334587 | PA      | $1245492.58   | 0.03%             | 2048-04-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Entergy Corp                                            | Entergy Corp                                                                    | CUSIP: 29364GAJ2<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |     21000 | PA      | $20775.74     | 0.00%             | 2026-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| VLS Commercial Mortgage Trust                           | VLS Commercial Mortgage Trust 2020-LAB                                          | CUSIP: 92858TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1530000 | PA      | $1305845.36   | 0.04%             | 2042-10-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| AMER AIRLN 14-1 A PTT                                   | American Airlines 2014-1 Class A Pass Through Trust                             | CUSIP: 02377AAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     23031 | PA      | $22889.28     | 0.00%             | 2026-10-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd                                             | Nutrien Ltd                                                                     | CUSIP: 67077MAE8<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |     70000 | PA      | $69852.31     | 0.00%             | 2026-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XKW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1242811 | PA      | $1018468.76   | 0.03%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140Q0NS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $4073718.96   | 0.11%             | 2035-09-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                      | Tricon Residential 2022-SFR1 Trust                                              | CUSIP: 89616QAD3<br>LEI: 549300Z2X1L1L3MID765 | Long             | ABS-O            | CORP              | US        |    459000 | PA      | $455746.98    | 0.01%             | 2039-04-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| DOW CHEMICAL CO/THE                                     | Dow Chemical Co/The                                                             | CUSIP: 260543CN1<br>LEI: ZQUIP1CSZO8LXRBSOU78 | Long             | DBT              | CORP              | US        |     14000 | PA      | $13996.27     | 0.00%             | 2025-11-30      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XFBK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118460 | PA      | $106634.15    | 0.00%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HACKENSACK MERIDIAN HLTH                                | Hackensack Meridian Health Inc                                                  | CUSIP: 404530AC1<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |    390000 | PA      | $277843.58    | 0.01%             | 2041-09-01      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1324425 | PA      | $1072440.30   | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BHD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    669455 | PA      | $121835.91    | 0.00%             | 2051-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179XS72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    686113 | PA      | $596699.33    | 0.02%             | 2053-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ATHENE HOLDING LTD                                      | Athene Holding Ltd                                                              | CUSIP: 04686JAL5<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |    550000 | PA      | $588579.01    | 0.02%             | 2055-05-19      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                  | Anglo American Capital PLC                                                      | CUSIP: 034863AR1<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    430000 | PA      | $433136.24    | 0.01%             | 2027-04-10      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 29379VCD3<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    488000 | PA      | $510000.97    | 0.01%             | 2033-01-31      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DQFF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    318170 | PA      | $305599.99    | 0.01%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AGRE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    132034 | PA      | $109089.03    | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                       | Eversource Energy                                                               | CUSIP: 30040WAP3<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    310000 | PA      | $286675.66    | 0.01%             | 2032-03-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31393YT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3659 | PA      | $3772.45      | 0.00%             | 2034-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FWHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3615792 | PA      | $196005.96    | 0.01%             | 2030-07-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| GCAT                                                    | GCAT 2019-NQM2 Trust                                                            | CUSIP: 36167FAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1226534 | PA      | $1198684.24   | 0.03%             | 2060-01-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                     | Elevance Health Inc                                                             | CUSIP: 036752AT0<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    600000 | PA      | $582842.42    | 0.02%             | 2032-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                  | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822BY9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    220000 | PA      | $215294.55    | 0.01%             | 2027-07-20      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFE INSURANCE C                                | Pacific Life Insurance Co                                                       | CUSIP: 69448FAA9<br>LEI: 8WC3XYHE06SQFW7CQK10 | Long             | DBT              | CORP              | US        |    134000 | PA      | $107495.43    | 0.00%             | 2067-10-24      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| F&G ANNUITIES & LIFE INC                                | F&G Annuities & Life Inc                                                        | CUSIP: 30190AAF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    625000 | PA      | $651629.63    | 0.02%             | 2029-06-04      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31393MWB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2128 | PA      | $307.40       | 0.00%             | 2033-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136AV7G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    616585 | PA      | $608206.00    | 0.02%             | 2027-02-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2025-DNA2                                         | CUSIP: 35564NJA2<br>LEI: 529900XX8WXEM4FBIH80 | Long             | ABS-MBS          | USGSE             | US        |    422000 | PA      | $422275.10    | 0.01%             | 2045-05-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XKWD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161233 | PA      | $149054.45    | 0.00%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    887000 | PA      | $892897.48    | 0.02%             | 2035-10-23      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1AA PTT                                 | Air Canada 2017-1 Class AA Pass Through Trust                                   | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    166816 | PA      | $157956.62    | 0.00%             | 2030-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                        | Freddie Mac Strips                                                              | CUSIP: 31282YNU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14176 | PA      | $2010.71      | 0.00%             | 2036-08-15      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| PEPPERDINE UNIV                                         | Pepperdine University                                                           | CUSIP: 71338QAC0<br>LEI: 549300G0RVHY0VSFWD76 | Long             | DBT              | CORP              | US        |    110000 | PA      | $68639.49     | 0.00%             | 2059-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179W7M4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    385302 | PA      | $366113.33    | 0.01%             | 2052-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                                 | SCF Equipment Leasing 2023-1 LLC                                                | CUSIP: 784024AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1813002 | PA      | $1840180.62   | 0.05%             | 2032-05-20      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                  | CUSIP: 09659W2V5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2720000 | PA      | $2773979.32   | 0.08%             | 2029-01-13      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                   | Toronto-Dominion Bank/The                                                       | CUSIP: 89115A3G5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   1280000 | PA      | $1336808.00   | 0.04%             | 2032-01-30      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                               | ONEOK Inc                                                                       | CUSIP: 682680BK8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    500000 | PA      | $526815.48    | 0.01%             | 2030-11-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                        | NTT Finance Corp                                                                | CUSIP: 62954WAU9<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |   6040000 | PA      | $6185972.00   | 0.17%             | 2032-07-16      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QSQF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1648459 | PA      | $1701050.64   | 0.05%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KQXT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    910200 | PA      | $908572.05    | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KYWY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75828 | PA      | $70204.72     | 0.00%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QMQ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10571075 | PA      | $8995719.03   | 0.25%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                                 | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    555000 | PA      | $550399.32    | 0.02%             | 2055-02-15      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                             | NVIDIA Corp                                                                     | CUSIP: 67066GAJ3<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |    660000 | PA      | $500494.97    | 0.01%             | 2060-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140HBJB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227041 | PA      | $225022.05    | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    980000 | PA      | $776190.11    | 0.02%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                                 | Nationwide Building Society                                                     | CUSIP: 63861VAN7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   1535000 | PA      | $1578555.70   | 0.04%             | 2036-07-14      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                   | Wells Fargo Commercial Mortgage Trust 2016-BNK1                                 | CUSIP: 95000GBB9<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |  11558216 | PA      | $61482.77     | 0.00%             | 2049-08-15      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                                 | Southern Co Gas Capital Corp                                                    | CUSIP: 8426EPAG3<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    220000 | PA      | $233155.84    | 0.01%             | 2033-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31396GS85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73742 | PA      | $75539.64     | 0.00%             | 2036-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31394BZB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177557 | PA      | $183399.22    | 0.00%             | 2034-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LJDC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    775000 | PA      | $801499.61    | 0.02%             | 2032-12-01      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XBQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    451914 | PA      | $388717.69    | 0.01%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                               | Kroger Co/The                                                                   | CUSIP: 501044DP3<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    500000 | PA      | $457557.13    | 0.01%             | 2030-05-01      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| EASTERN GAS TRAN                                        | Eastern Gas Transmission & Storage Inc                                          | CUSIP: 276480AB6<br>LEI: H2VQBNB3NSKRM5QWBI71 | Long             | DBT              | CORP              | US        |    137000 | PA      | $100950.54    | 0.00%             | 2049-11-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| AEP TEXAS INC                                           | AEP Texas Inc                                                                   | CUSIP: 00108WAK6<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    156000 | PA      | $108133.30    | 0.00%             | 2050-01-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31339NHV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2347 | PA      | $205.28       | 0.00%             | 2032-02-15      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31407KPY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6483 | PA      | $6630.70      | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VFI ABS LLC                                             | VFI ABS 2025-1 LLC                                                              | CUSIP: 91824UAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1715000 | PA      | $1721590.57   | 0.05%             | 2030-12-24      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                      | HERO Funding Trust 2017-1A                                                      | CUSIP: 42771XAC0<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | US        |     46621 | PA      | $44805.14     | 0.00%             | 2047-09-20      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132D9RQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1625276 | PA      | $1404182.11   | 0.04%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 17327CAT0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1664000 | PA      | $1671743.16   | 0.05%             | 2030-09-19      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                         | BRAVO Residential Funding Trust 2022-NQM3                                       | CUSIP: 10569JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1959541 | PA      | $1988856.64   | 0.05%             | 2062-07-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XBW71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130348 | PA      | $111743.25    | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Dupont De Nemours Inc                                   | DuPont de Nemours Inc                                                           | CUSIP: 26078JAF7<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |    660000 | PA      | $652506.58    | 0.02%             | 2048-11-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622AB6B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    876642 | PA      | $853120.77    | 0.02%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                  | Pacific Gas and Electric Co                                                     | CUSIP: 694308KU0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   3045000 | PA      | $3119068.44   | 0.09%             | 2035-03-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138LHFT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168821 | PA      | $164723.38    | 0.00%             | 2029-02-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd                                             | Nutrien Ltd                                                                     | CUSIP: 67077MAN8<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |     90000 | PA      | $83336.28     | 0.00%             | 2035-03-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QGM61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3504228 | PA      | $3023913.55   | 0.08%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                                | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                       | CUSIP: 71568PAF6<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |   2820000 | PA      | $2871789.30   | 0.08%             | 2048-05-21      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AUP44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1140477 | PA      | $973775.54    | 0.03%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136B1LF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106340 | PA      | $101925.56    | 0.00%             | 2030-02-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    454155 | PA      | $421833.00    | 0.01%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                | Western Midstream Operating LP                                                  | CUSIP: 958667AA5<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    990000 | PA      | $861602.41    | 0.02%             | 2050-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140J9FX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    493024 | PA      | $513882.45    | 0.01%             | 2044-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38383M3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1500000 | PA      | $1378802.70   | 0.04%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   5690000 | PA      | $5579548.74   | 0.15%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                            | Broadcom Inc                                                                    | CUSIP: 11135FCL3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    286000 | PA      | $292574.49    | 0.01%             | 2032-07-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133C3EF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    145787 | PA      | $145420.13    | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 17327CBA0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1635522.86   | 0.04%             | 2036-03-27      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                                | CenterPoint Energy Houston Electric LLC                                         | CUSIP: 15189XAU2<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    200000 | PA      | $130987.91    | 0.00%             | 2050-07-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | JP Morgan Chase Commercial Mortgage Securities Trust 2020-MKST                  | CUSIP: 46652DAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5130000 | PA      | $384750.00    | 0.01%             | 2036-12-15      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38376RN28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35504 | PA      | $35606.27     | 0.00%             | 2066-12-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                               | CUSIP: 36296LQK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3124 | PA      | $3242.26      | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                                | Marsh & McLennan Cos Inc                                                        | CUSIP: 571748CE0<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |   1055000 | PA      | $1046134.77   | 0.03%             | 2044-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAV7<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   3015000 | PA      | $3145513.08   | 0.09%             | 2031-04-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                               | CUSIP: 36295R2F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    443355 | PA      | $468050.67    | 0.01%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    310000 | PA      | $276033.20    | 0.01%             | 2031-05-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                        | Societe Generale SA                                                             | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    215000 | PA      | $211097.90    | 0.01%             | 2027-06-09      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                         | Danske Bank A/S                                                                 | CUSIP: 23636ABJ9<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1054000 | PA      | $1059511.44   | 0.03%             | 2030-10-02      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38382KG64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200452 | PA      | $30186.65     | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                          | Morgan Stanley                                                                  | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1326000 | PA      | $1314506.25   | 0.04%             | 2029-01-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABWK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1818560 | PA      | $1615079.05   | 0.04%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                            | Broadcom Inc                                                                    | CUSIP: 11135FBX8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   3281000 | PA      | $3379711.67   | 0.09%             | 2029-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABP55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1776577 | PA      | $1581088.81   | 0.04%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                   | CWABS Inc Asset-Backed Certificates Series 2004-1                               | CUSIP: 126671Z33<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       104 | PA      | $168.35       | 0.00%             | 2034-03-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| CARDINAL HEALTH INC                                     | Cardinal Health Inc                                                             | CUSIP: 14149YBV9<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |   2895000 | PA      | $2912234.17   | 0.08%             | 2035-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LH3Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1010000 | PA      | $978873.48    | 0.03%             | 2032-11-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622ACCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    690920 | PA      | $692662.67    | 0.02%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140Q8J48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1014327 | PA      | $947283.64    | 0.03%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTERN                                | Graphic Packaging International LLC                                             | CUSIP: 38869PAP9<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |    284000 | PA      | $279370.63    | 0.01%             | 2026-04-15      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                  | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664DB4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    210000 | PA      | $164742.03    | 0.00%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| DELMARVA PWR & LIGHT CO                                 | Delmarva Power & Light Co                                                       | CUSIP: 247109BT7<br>LEI: NJ98T8DDD027ZFXUDB24 | Long             | DBT              | CORP              | US        |     50000 | PA      | $42387.19     | 0.00%             | 2045-05-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KKT82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1477283 | PA      | $1264845.10   | 0.03%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-RPL2Trust                                                             | CUSIP: 12656TAA6<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    426946 | PA      | $375925.16    | 0.01%             | 2060-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                 | Hyundai Capital America                                                         | CUSIP: 44891ABT3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    215000 | PA      | $203300.77    | 0.01%             | 2028-01-10      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                    | Fannie Mae REMIC Trust 2002-W7                                                  | CUSIP: 31392DD41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     64991 | PA      | $66159.52     | 0.00%             | 2029-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38380AP92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    261252 | PA      | $220416.30    | 0.01%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XDKE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    840339 | PA      | $751344.49    | 0.02%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LJWD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1200000 | PA      | $1161728.65   | 0.03%             | 2033-02-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136BD2A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    533305 | PA      | $411559.52    | 0.01%             | 2050-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                     | Southern California Edison Co                                                   | CUSIP: 842400JH7<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    735000 | PA      | $713283.28    | 0.02%             | 2055-03-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133ABUS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    197048 | PA      | $169336.09    | 0.00%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3133TGWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5051 | PA      | $5156.07      | 0.00%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138L8D35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    853335 | PA      | $845307.52    | 0.02%             | 2026-11-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                   | OneMain Direct Auto Receivables Trust 2021-1                                    | CUSIP: 682687AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43662 | PA      | $43550.43     | 0.00%             | 2028-07-14      | Fixed         | 0.87%                 | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDC                                | Greensaif Pipelines Bidco Sarl                                                  | CUSIP: 39541EAC7<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |    338000 | PA      | $365540.63    | 0.01%             | 2042-02-23      | Fixed         | 6.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XCXY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2386876 | PA      | $2028235.41   | 0.06%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AKNS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185189 | PA      | $25861.62     | 0.00%             | 2043-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GUARDIAN LIFE INSURANCE                                 | Guardian Life Insurance Co of America/The                                       | CUSIP: 401378AC8<br>LEI: N1YIDVMMKBHFYCCAIX69 | Long             | DBT              | CORP              | US        |     21000 | PA      | $17683.19     | 0.00%             | 2077-01-24      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3618BDHW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    903311 | PA      | $928427.09    | 0.03%             | 2053-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140NYMK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1840704 | PA      | $1834750.41   | 0.05%             | 2035-05-01      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust              | JPMDB Commercial Mortgage Securities Trust 2017-C7                              | CUSIP: 46648KAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    366000 | PA      | $357441.82    | 0.01%             | 2050-10-15      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| ENTERGY MISSISSIPPI LLC                                 | Entergy Mississippi LLC                                                         | CUSIP: 29366WAA4<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |    135000 | PA      | $104292.88    | 0.00%             | 2049-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DP2V9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    155103 | PA      | $149117.48    | 0.00%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPZN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    267326 | PA      | $256611.82    | 0.01%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L05D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    315112 | PA      | $257774.78    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA                                            | DNB Bank ASA                                                                    | CUSIP: 25601B2B0<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |    325000 | PA      | $313117.21    | 0.01%             | 2028-03-30      | Fixed         | 1.61%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                                          | CPS Auto Receivables Trust 2022-D                                               | CUSIP: 12663UAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    733229 | PA      | $740462.09    | 0.02%             | 2029-01-16      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38379XGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1035085 | PA      | $201820.50    | 0.01%             | 2045-11-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LJNR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $498634.27    | 0.01%             | 2033-03-01      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DNS46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    570858 | PA      | $464606.29    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179RBX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142555 | PA      | $133127.94    | 0.00%             | 2045-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury STRIPS Coupon                                                     | CUSIP: 912834KV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $46170.35     | 0.00%             | 2041-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LH6E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1445667 | PA      | $1467695.29   | 0.04%             | 2030-06-01      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    301000 | PA      | $294670.73    | 0.01%             | 2028-02-24      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179UCD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    129884 | PA      | $131599.63    | 0.00%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H8BN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7464352 | PA      | $173343.90    | 0.00%             | 2032-06-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140NYM32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4692000 | PA      | $4698871.34   | 0.13%             | 2032-06-01      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| EXPORT-IMPORT BK INDIA                                  | Export-Import Bank of India                                                     | CUSIP: 30216JAA3<br>LEI: 335800OFZ8YEIVN1QI11 | Long             | DBT              | NUSS              | IN        |    990000 | PA      | $981581.95    | 0.03%             | 2026-08-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L8DJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    302947 | PA      | $260468.92    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                 | Hyundai Capital America                                                         | CUSIP: 44891ABN6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    140000 | PA      | $139853.42    | 0.00%             | 2025-10-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15877400 | PA      | $15835845.83  | 0.43%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1187478.71   | 0.03%             | 2033-03-17      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6500000 | PA      | $6541132.78   | 0.18%             | 2030-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                  | Pacific Gas and Electric Co                                                     | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     15000 | PA      | $16161.72     | 0.00%             | 2053-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAT2<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    470000 | PA      | $491911.61    | 0.01%             | 2029-01-10      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                            | Enbridge Inc                                                                    | CUSIP: 29250NBR5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    260000 | PA      | $273612.94    | 0.01%             | 2033-03-08      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CGS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7150000 | PA      | $7120673.85   | 0.19%             | 2030-03-31      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140Q0NN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6209000 | PA      | $6323482.29   | 0.17%             | 2035-09-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                | Enterprise Products Operating LLC                                               | CUSIP: 29379VBU6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    190000 | PA      | $169560.68    | 0.00%             | 2049-02-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133ABRE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    376176 | PA      | $307734.32    | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38382EDP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    602060 | PA      | $114755.85    | 0.00%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XLDT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82236 | PA      | $70998.35     | 0.00%             | 2042-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-2 AA PTT                                | United Airlines 2019-2 Class AA Pass Through Trust                              | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    168030 | PA      | $154065.46    | 0.00%             | 2032-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179VX47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    506275 | PA      | $500526.78    | 0.01%             | 2050-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133BQSA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    319413 | PA      | $311952.25    | 0.01%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3617LWTJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    232594 | PA      | $227942.49    | 0.01%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY                                  | PG&E Wildfire Recovery Funding LLC                                              | CUSIP: 693342AK3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    205000 | PA      | $194444.43    | 0.01%             | 2052-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2022-1                   | CUSIP: 35563P7E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    692580 | PA      | $595406.93    | 0.02%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38380QGQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    304503 | PA      | $301004.06    | 0.01%             | 2070-07-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 313399C70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2473 | PA      | $2563.49      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                            | Barclays PLC                                                                    | CUSIP: 06738EBV6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $180246.06    | 0.00%             | 2032-11-24      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31400KQ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       907 | PA      | $909.10       | 0.00%             | 2027-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 313399SN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1277 | PA      | $1331.13      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2510000 | PA      | $1859949.21   | 0.05%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                                   | Tricon American Homes 2020-SFR2 Trust                                           | CUSIP: 89613JAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2426000 | PA      | $2322125.23   | 0.06%             | 2039-11-17      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CMK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  52655000 | PA      | $54111239.84  | 1.48%             | 2032-01-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DQX50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    420546 | PA      | $411020.07    | 0.01%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAK7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   8395000 | PA      | $8406129.25   | 0.23%             | 2026-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 3136ASMM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60223 | PA      | $56214.81     | 0.00%             | 2046-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp                                        | Duke Energy Corp                                                                | CUSIP: 26441CAS4<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98786.58     | 0.00%             | 2026-09-01      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                 | Exxon Mobil Corp                                                                | CUSIP: 30231GBM3<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    570000 | PA      | $417625.91    | 0.01%             | 2051-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| COSTCO WHOLESALE CORP                                   | Costco Wholesale Corp                                                           | CUSIP: 22160KAQ8<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | DBT              | CORP              | US        |    380000 | PA      | $328912.57    | 0.01%             | 2032-04-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                       | PRPM 2024-RCF3 LLC                                                              | CUSIP: 74390BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2914718 | PA      | $2875587.13   | 0.08%             | 2054-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| UTAH ACQUISITION SUB                                    | Utah Acquisition Sub Inc                                                        | CUSIP: 62854AAN4<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |    127000 | PA      | $126426.37    | 0.00%             | 2026-06-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                  | Mizuho Financial Group Inc                                                      | CUSIP: 60687YBP3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    255000 | PA      | $250121.79    | 0.01%             | 2027-05-22      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132DP2Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    718485 | PA      | $719390.94    | 0.02%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810QY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8450000 | PA      | $6544459.01   | 0.18%             | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KL6J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    816124 | PA      | $666716.48    | 0.02%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                              | Leidos Inc                                                                      | CUSIP: 52532XAJ4<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    150000 | PA      | $158426.05    | 0.00%             | 2033-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee                   | VOLT CI LLC                                                                     | CUSIP: 92873EAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34163 | PA      | $34147.74     | 0.00%             | 2051-05-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31398GKH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14481 | PA      | $1339.62      | 0.00%             | 2040-01-25      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                   | FMC GMSR Issuer Trust                                                           | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3050000 | PA      | $2935844.30   | 0.08%             | 2026-10-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31410LFB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149026 | PA      | $149155.50    | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    235000 | PA      | $230306.72    | 0.01%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179X2L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1531642 | PA      | $1551854.05   | 0.04%             | 2053-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XK6H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    245913 | PA      | $220145.51    | 0.01%             | 2042-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3138EREA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1991125 | PA      | $1993870.36   | 0.05%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LSEGA FINANCING PLC                                     | LSEGA Financing PLC                                                             | CUSIP: 50220PAC7<br>LEI: 2138009YFYTGEHZNNZ09 | Long             | DBT              | CORP              | GB        |    475000 | PA      | $450480.70    | 0.01%             | 2028-04-06      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS ELECTRIC                                  | Massachusetts Electric Co                                                       | CUSIP: 575634AT7<br>LEI: 549300XN8GZY5U5O1B96 | Long             | DBT              | CORP              | US        |     56000 | PA      | $45245.89     | 0.00%             | 2046-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140L4FG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    974937 | PA      | $795803.33    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust 2017-1                                                 | CUSIP: 46648CAY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    301245 | PA      | $273718.65    | 0.01%             | 2047-01-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3132A5HR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    532976 | PA      | $510705.09    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133KJNE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    157436 | PA      | $134487.93    | 0.00%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 18-1 AA PTT                                 | British Airways 2018-1 Class AA Pass Through Trust                              | CUSIP: 11042TAA1<br>LEI: 2549007HITOHPGVGUX03 | Long             | DBT              | CORP              | US        |     42619 | PA      | $41662.18     | 0.00%             | 2031-09-20      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LJP34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $203270.47    | 0.01%             | 2033-01-01      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                  | Aviation Capital Group LLC                                                      | CUSIP: 05369AAS0<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   1120000 | PA      | $1136990.80   | 0.03%             | 2030-04-10      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                        | CUSIP: 38373A2C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17522 | PA      | $775.91       | 0.00%             | 2039-07-16      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179UKY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    505246 | PA      | $498883.61    | 0.01%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                   | CUSIP: 172967QF1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    395000 | PA      | $395213.53    | 0.01%             | 2031-09-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 31397TP89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1849 | PA      | $162.85       | 0.00%             | 2038-05-15      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LHKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    957669 | PA      | $925081.59    | 0.03%             | 2032-08-01      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FINANCE CORP                                  | Bunge Ltd Finance Corp                                                          | CUSIP: 120568BR0<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |    435000 | PA      | $440127.65    | 0.01%             | 2035-08-04      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                | Duke Energy Progress LLC                                                        | CUSIP: 26442UAC8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     54000 | PA      | $41776.13     | 0.00%             | 2046-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67919 | PA      | $68592.77     | 0.00%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MNR ABS ISSUER I LLC                                    | MNR ABS ISSUER I LLC                                                            | CUSIP: 55317XAB5<br>LEI: 254900P5PAYARXBH9O74 | Long             | ABS-O            | CORP              | US        |   2078317 | PA      | $2129798.53   | 0.06%             | 2038-12-15      | Fixed         | 8.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418CAH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1150914 | PA      | $1092284.03   | 0.03%             | 2036-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 31418CBT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214775 | PA      | $199560.75    | 0.01%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179S2N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33672 | PA      | $30468.14     | 0.00%             | 2047-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                               | CUSIP: 31392A7G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9825 | PA      | $180.21       | 0.00%             | 2032-03-25      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| Amazon.com Inc                                          | Amazon.com Inc                                                                  | CUSIP: 023135AQ9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    480000 | PA      | $474919.13    | 0.01%             | 2044-12-05      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                               | CUSIP: 36225BYK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1846 | PA      | $1943.61      | 0.00%             | 2033-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                 | HCA Inc                                                                         | CUSIP: 404121AL9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    550000 | PA      | $548793.94    | 0.01%             | 2054-09-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| WP Carey Inc                                            | WP Carey Inc                                                                    | CUSIP: 92936UAE9<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              |  | US        |    245000 | PA      | $245063.18    | 0.01%             | 2026-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $834531.25    | 0.02%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYK4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    580000 | PA      | $427906.13    | 0.01%             | 2042-07-21      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    933012 | PA      | $924095.33    | 0.03%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LPCJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86173 | PA      | $69540.09     | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132H4CL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59192 | PA      | $57784.57     | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                            | CUSIP: 06051GJE0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4243000 | PA      | $3126727.37   | 0.09%             | 2041-06-19      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| ELEMENT FLEET MANAGEMENT                                | Element Fleet Management Corp                                                   | CUSIP: 286181AK8<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |    990000 | PA      | $1048447.60   | 0.03%             | 2028-12-04      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140LGWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $192473.73    | 0.01%             | 2032-08-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities           | First Horizon Alternative Mortgage Securities Trust 2005-FA8                    | CUSIP: 32051GYZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46846 | PA      | $20460.56     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140Q9NR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    477309 | PA      | $471284.67    | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136AX7E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222549 | PA      | $218945.40    | 0.01%             | 2027-06-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                                | CSX Corp                                                                        | CUSIP: 126408HR7<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |     10000 | PA      | $7159.35      | 0.00%             | 2049-09-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13530000 | PA      | $7259690.63   | 0.20%             | 2050-11-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                               | CUSIP: 36206JCE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       166 | PA      | $166.73       | 0.00%             | 2027-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae II Pool                                                              | CUSIP: 3622ABU91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    336671 | PA      | $302106.92    | 0.01%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corp                                   | Northrop Grumman Corp                                                           | CUSIP: 666807BH4<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    179000 | PA      | $165694.58    | 0.00%             | 2043-06-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Ginnie Mae I Pool                                                               | CUSIP: 36241KYF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9115 | PA      | $9690.30      | 0.00%             | 2038-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                                | CUSIP: 3133AJFE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61027 | PA      | $52516.78     | 0.00%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                | Vistra Operations Co LLC                                                        | CUSIP: 92840VAQ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   1526000 | PA      | $1702008.84   | 0.05%             | 2033-10-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                      | Aqua Finance Trust 2021-A                                                       | CUSIP: 03842VAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4335000 | PA      | $4047633.28   | 0.11%             | 2046-07-17      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGGV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    301450 | PA      | $254810.93    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RFK5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    625000 | PA      | $625453.00    | 0.02%             | 2027-02-20      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Trust 2015-6                                                          | CUSIP: 46645GBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94905 | PA      | $84752.55     | 0.00%             | 2045-10-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                        | Societe Generale SA                                                             | CUSIP: 83368RBD3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    500000 | PA      | $448107.31    | 0.01%             | 2032-06-09      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                                 | CUSIP: 3136AWWF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147275 | PA      | $142366.38    | 0.00%             | 2029-04-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| Humana Inc                                              | Humana Inc                                                                      | CUSIP: 444859BF8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    930000 | PA      | $926947.01    | 0.03%             | 2027-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                 | CUSIP: 3140M3AF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1112992 | PA      | $943334.81    | 0.03%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FNAJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $39065.04     | 0.00%             | 2029-06-25      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                              | CUSIP: 3133TBEZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1185 | PA      | $1206.79      | 0.00%             | 2027-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-27

**Name of Applicant:** LINCOLN VARIABLE INSURANCE PRODUCTS TRUST

**Signature:** James Hoffmayer

**Name of Signer:** James Hoffmayer

**Title:** VP