# EDGAR Filing Document

**Accession Number:** 0000701939
**File Stem:** 0001752724-23-074965
**Filing Date:** 2023-3
**Character Count:** 264992
**Document Hash:** b9f2f5b71e14327bb1128def85c8ae02
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-074965.hdr.sgml**: 20230331

**ACCESSION NUMBER**: 0001752724-23-074965

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230331

**DATE AS OF CHANGE**: 20230331

**PERIOD START**: 20230131

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** SEI DAILY INCOME TRUST /MA/
- **CENTRAL INDEX KEY:** 0000701939
- **IRS NUMBER:** 236756825
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0131

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03451
- **FILM NUMBER:** 23783955

**BUSINESS ADDRESS:**
- **STREET 1:** 2 OLIVER ST
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02109
- **BUSINESS PHONE:** 8003425734

**MAIL ADDRESS:**
- **STREET 1:** ONE FREEDOM VALLEY DRIVE
- **CITY:** OAKS
- **STATE:** PA
- **ZIP:** 19456

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SEI CASH & PLUS TRUST
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** TRUSTFUNDS CASH & PLUS TRUST
- **DATE OF NAME CHANGE:** 19890123

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** CASH PLUS TRUST
- **DATE OF NAME CHANGE:** 19860827

## Series and Classes Contracts Data

### SDIT ULTRA SHORT DURATION BOND FUND (Series ID: S000008266)

| Class ID   | Class Name                                                                            | Ticker Symbol   |
|:---|:---|:---|
| C000022551 | SDIT ULTRA SHORT DURATION BOND FUND - CLASS F, effective 1-31-2017 (formerly Class A) | SECPX           |
| C000158211 | Class Y                                                                               | SECYX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** SEI DAILY INCOME TRUST

- **b. Investment Company Act file number:** 811-03451

- **c. CIK number of Registrant:** 0000701939

- **d. LEI of Registrant:** LTKY0J47NCTZPKTU4C46

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

  - **Street Address 1:** 2 OLIVER STREET

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02109

  - **Telephone number:** 8003455734

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

- **a. Name of Series:** SDIT Ultra Short Duration Bond Fund

- **b. EDGAR series identifier (if any):** S000008266

- **c. LEI of Series:** QHE4BC1KQ4QI4DLFWQ86

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

- **a. Date of fiscal year-end:** 2023-01-31

- **b. Date as of which information is reported:** 2023-01-31

**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:** $280509864.55

**Total Liabilities:** $1585830.08

**Net Assets:** $278924034.47

**Cash Not Reported:** $533356.47

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -2107.84228671 | **1-Year:** -14180.62464705 | **5-Year:** -6084.12216660 | **10-Year:** -794.34061845 | **30-Year:** -66.18672644

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

- **3-Month:** -240.15535068 | **1-Year:** -1610.99604843 | **5-Year:** -1706.51548274 | **10-Year:** -787.59922025 | **30-Year:** -64.40250429

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000158211 | 0.80%                | 0.56%                | 0.42%                |
| Class ID C000022551 | 0.79%                | 0.56%                | 0.42%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-67204.27               | $1641611.26                                |
| Month 2  | $-197263.42              | $934257.51                                 |
| Month 3  | $792.68                  | $985244.38                                 |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GENERAL MOTORS FINANCIAL COMPANY, INC.                     | GENERAL MOTORS FINANCIAL CO INC 4.250000% 05/15/2023                             | CUSIP: 37045XAL0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    525000 | PA      | $523932.06    | 0.19%             | 2023-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Mondelez International, Inc.                               | MONDELEZ INTERNATIONAL INC 2.125000% 03/17/2024                                  | CUSIP: 609207AZ8<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |    290000 | PA      | $281650.25    | 0.10%             | 2024-03-17      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LIMITED                                    | MACQUARIE GROUP LTD MTN VARIABLE RATE 10/14/2025                                 | CUSIP: 55608JBB3<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | NUSS              | AU        |    425000 | PA      | $418697.25    | 0.15%             | 2025-10-14      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| CREDIT ACCEPTANCE AUTO LOAN TRUST                          | CREDIT ACCEPTANCE AUTO LOAN TRUST 2021-3 CAALT 2021-3A A                         | CUSIP: 22535GAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    250000 | PA      | $240259.30    | 0.09%             | 2030-05-15      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| CSMC TRUST                                                 | CSMC 2021-AFC1 TRUST CSMC 2021-AFC1 A1                                           | CUSIP: 12657LAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    213906 | PA      | $171412.46    | 0.06%             | 2056-03-25      | Floating      | 0.83%                 | Yes           |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST                             | CARVANA AUTO RECEIVABLES TRUST 2021-N2 CRVNA 2021-N2 A1                          | CUSIP: 14686KAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     11061 | PA      | $10906.67     | 0.00%             | 2028-03-10      | Fixed         | 0.32%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TRUST                                            | IMPAC CMB TRUST SERIES 2004-9 IMM 2004-9 1A1                                     | CUSIP: 45254NKX4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     12121 | PA      | $10988.05     | 0.00%             | 2035-01-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST                             | CARVANA AUTO RECEIVABLES TRUST 2021-P3 CRVNA 2021-P3 A2                          | CUSIP: 14687JAD1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     56288 | PA      | $55851.88     | 0.02%             | 2025-01-10      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| THE FEDERAL HOME LOAN BANKS                                | FED HOME LN DISCOUNT NT ZERO COUPON 07/21/2023                                   | CUSIP: 313384JK6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1208000 | PA      | $1181001.43   | 0.42%             | 2023-07-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SYMPHONY STATIC CLO LTD                                    | SYMPHONY STATIC CLO I LTD SSTAT 2021-1A A                                        | CUSIP: 87190TAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    476940 | PA      | $471455.48    | 0.17%             | 2029-10-25      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K726 A2                  | CUSIP: 3137BYPQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    688615 | PA      | $673400.25    | 0.24%             | 2024-04-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| DELL EQUIPMENT FINANCE TRUST                               | DELL EQUIPMENT FINANCE TRUST 2022-2 DEFT 2022-2 A2                               | CUSIP: 24702CAC8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    355000 | PA      | $351638.36    | 0.13%             | 2027-07-22      | Fixed         | 4.03%                 | Yes           |                  2 | On Loan: No      |
| VERIZON OWNER TRUST                                        | VERIZON OWNER TRUST 2020-B VZOT 2020-B A                                         | CUSIP: 92290BAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    259249 | PA      | $255285.26    | 0.09%             | 2025-02-20      | Fixed         | 0.47%                 | No            |                  2 | On Loan: No      |
| United States of America                                   | US TREASURY N/B 0.125000% 08/15/2023                                             | CUSIP: 91282CAF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   2500000 | PA      | $2438574.23   | 0.87%             | 2023-08-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                   | PRPM 2021-RPL1 LLC PRPM 2021-RPL1 A1                                             | CUSIP: 69360GAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    116714 | PA      | $104926.49    | 0.04%             | 2051-07-25      | Fixed         | 1.32%                 | Yes           |                  2 | On Loan: No      |
| TTAN MHC                                                   | TTAN 2021-MHC TTN 2021-MHC B                                                     | CUSIP: 87303TAG2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    271154 | PA      | $264360.97    | 0.09%             | 2038-03-15      | Floating      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| GE HEALTHCARE TECHNOLOGIES INC.                            | GE HEALTHCARE TECHNOLOGIES INC 144A 5.550000% 11/15/2024                         | CUSIP: 36267VAA1<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    375000 | PA      | $378204.62    | 0.14%             | 2024-11-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| VMWARE, INC.                                               | VMWARE INC 1.000000% 08/15/2024                                                  | CUSIP: 928563AH8<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   1445000 | PA      | $1358629.94   | 0.49%             | 2024-08-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                   | ANGEL OAK MORTGAGE TRUST 2020-1 AOMT 2020-1 A1                                   | CUSIP: 03464RAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     30531 | PA      | $28956.40     | 0.01%             | 2059-12-25      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TRUST                                            | IMPAC CMB TRUST SERIES 2005-2 IMM 2005-2 1A1                                     | CUSIP: 45254NMY0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     15542 | PA      | $14194.39     | 0.01%             | 2035-04-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| HILTON GRAND VACATIONS TRUST                               | HILTON GRAND VACATIONS TRUST 2020-A HGVT 2020-AA A                               | CUSIP: 43285HAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     88423 | PA      | $83979.87     | 0.03%             | 2039-02-25      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST                         | ELLINGTON FINANCIAL MORTGAGE TRUST 2019-2 EFMT 2019-2 A1                         | CUSIP: 31573TAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     23217 | PA      | $21879.29     | 0.01%             | 2059-11-25      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| BANQUE CANADIENNE IMPERIALE DE COMMERCE                    | CANADIAN IMPERIAL BANK OF COMMERCE VARIABLE RATE 12/14/2023                      | CUSIP: 13607GRT3<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | NUSS              | CA        |    575000 | PA      | $575002.18    | 0.21%             | 2023-12-14      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                   | ANGEL OAK MORTGAGE TRUST I LLC 2019-1 AOMT 2019-1 A1                             | CUSIP: 03464MAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      2802 | PA      | $2787.14      | 0.00%             | 2048-11-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | FANNIE MAE POOL FN AZ4793                                                        | CUSIP: 3138YWKF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    107444 | PA      | $104760.87    | 0.04%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GCAT TRUST                                                 | GCAT 2021-NQM5 TRUST GCAT 2021-NQM5 A1                                           | CUSIP: 36168KAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    691220 | PA      | $559669.66    | 0.20%             | 2066-07-25      | Floating      | 1.26%                 | Yes           |                  2 | On Loan: No      |
| BANQUE NATIONALE DU CANADA                                 | NATIONAL BANK OF CANADA 0.750000% 08/06/2024                                     | CUSIP: 63307A2P9<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | DBT              | CORP              | CA        |    325000 | PA      | $306099.49    | 0.11%             | 2024-08-06      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| MFA TRUST                                                  | MFA 2021-NQM2 TRUST MFRA 2021-NQM2 A1                                            | CUSIP: 55283WAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    185169 | PA      | $154144.06    | 0.06%             | 2064-11-25      | Floating      | 1.03%                 | Yes           |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                  | TOWD POINT MORTGAGE TRUST 2017-2 TPMT 2017-2 A1                                  | CUSIP: 89173HAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    101244 | PA      | $100027.70    | 0.04%             | 2057-04-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| Avid Automobile Receivables Trust                          | AVID AUTOMOBILE RECEIVABLES TRUST 2021-1 AVID 2021-1 A                           | CUSIP: 05369LAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      9469 | PA      | $9451.87      | 0.00%             | 2025-01-15      | Fixed         | 0.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | FREDDIE MAC 5.125000% 01/27/2025                                                 | CUSIP: 3134GYFG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    350000 | PA      | $350134.31    | 0.13%             | 2025-01-27      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LIFE GLOBAL FUNDING II                           | PRINCIPAL LIFE GLOBAL FUNDING II 144A VARIABLE RATE 08/23/2024                   | CUSIP: 74256LER6<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    665000 | PA      | $657737.52    | 0.24%             | 2024-08-23      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST                          | AFFIRM ASSET SECURITIZATION TRUST 2020-Z2 AFFRM 2020-Z2 A                        | CUSIP: 00834AAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     67635 | PA      | $66349.48     | 0.02%             | 2025-01-15      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| DRIVETIME AUTO OWNER TRUST                                 | DT AUTO OWNER TRUST 2020-1 DTAOT 2020-1A C                                       | CUSIP: 23344EAE6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    229619 | PA      | $228796.72    | 0.08%             | 2025-11-17      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| GCAT TRUST                                                 | GCAT 2021-NQM3 TRUST GCAT 2021-NQM3 A1                                           | CUSIP: 36167HAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    229925 | PA      | $190257.77    | 0.07%             | 2066-05-25      | Floating      | 1.09%                 | Yes           |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                        | COMM 2014-UBS5 MORTGAGE TRUST COMM 2014-UBS5 A2                                  | CUSIP: 12592KAZ7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      3346 | PA      | $3242.94      | 0.00%             | 2047-09-10      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                           | PACIFIC GAS AND ELECTRIC CO 3.250000% 02/16/2024                                 | CUSIP: 694308KA4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    350000 | PA      | $343540.09    | 0.12%             | 2024-02-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| DT AUTO OWNER TRUST                                        | DT AUTO OWNER TRUST 2020-3 DTAOT 2020-3A B                                       | CUSIP: 26253AAB2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     80901 | PA      | $80744.54     | 0.03%             | 2024-12-16      | Fixed         | 0.91%                 | Yes           |                  2 | On Loan: No      |
| CREDIT SUISSE AG (NEW YORK BRANCH)                         | CREDIT SUISSE AG/NEW YORK NY VARIABLE RATE 02/02/2024                            | CUSIP: 22550UAB7<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | NUSS              | CH        |   2280000 | PA      | $2229206.16   | 0.80%             | 2024-02-02      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| KKR FINANCIAL CLO, LTD.                                    | KKR CLO 21 LTD KKR 21 A                                                          | CUSIP: 48252KAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    465000 | PA      | $461070.75    | 0.17%             | 2031-04-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Saudi Arabian Oil Company                                  | SAUDI ARABIAN OIL CO MTN 2.875000% 04/16/2024                                    | CUSIP: 80414L2C8<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | NUSS              | SA        |   1230000 | PA      | $1197528.00   | 0.43%             | 2024-04-16      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD                   | CARLYLE GLOBAL MARKET STRATEGIES CLO 2015-1 LTD CGMS 2015-1A AR3                 | CUSIP: 14311DBN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    415245 | PA      | $410938.89    | 0.15%             | 2031-07-20      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| NEUBERGER BERMAN CLO LTD                                   | NEUBERGER BERMAN LOAN ADVISERS CLO 26 LTD NEUB 2017-26A AR                       | CUSIP: 64131QAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $593456.40    | 0.21%             | 2030-10-18      | Floating      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| SANTANDER RETAIL AUTO LEASE TRUST                          | SANTANDER RETAIL AUTO LEASE TRUST 2021-B SRT 2021-B A2                           | CUSIP: 80286DAB4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     11432 | PA      | $11404.21     | 0.00%             | 2024-01-22      | Fixed         | 0.31%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO LEASE TRUST                                    | NISSAN AUTO LEASE TRUST 2023-A NALT 2023-A A2A                                   | CUSIP: 65480VAB9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    520000 | PA      | $519548.12    | 0.19%             | 2025-03-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| DELL EQUIPMENT FINANCE TRUST                               | DELL EQUIPMENT FINANCE TRUST 2021-2 DEFT 2021-2 A3                               | CUSIP: 24702VAE2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    725000 | PA      | $699376.40    | 0.25%             | 2026-12-22      | Fixed         | 0.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | FEDERAL HOME LOAN MORTGAGE CORP MTN 5.080000% 10/25/2024                         | CUSIP: 3134GX4M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1350000 | PA      | $1345464.90   | 0.48%             | 2024-10-25      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                        | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-NQM NRZT 2020-NQM2 A1                   | CUSIP: 64830UAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     64760 | PA      | $59529.49     | 0.02%             | 2060-05-24      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| FREMF MORTGAGE TRUST                                       | FREMF 2013-K33 MORTGAGE TRUST FREMF 2013-K33 B                                   | CUSIP: 30265AAN4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1100000 | PA      | $1087426.78   | 0.39%             | 2046-08-25      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | FANNIE MAE REMICS FNR 2002-64 FG                                                 | CUSIP: 31392EP61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |       353 | PA      | $354.95       | 0.00%             | 2032-10-18      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                 | VERUS SECURITIZATION TRUST 2021-R2 VERUS 2021-R2 A1                              | CUSIP: 92538DAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    212931 | PA      | $189008.20    | 0.07%             | 2064-02-25      | Floating      | 0.92%                 | Yes           |                  2 | On Loan: No      |
| GREATAMERICA LEASING RECEIVABLES FUNDING, L.L.C.           | GREATAMERICA LEASING RECEIVABLES FUNDING LLC SERIE GALC 2021-2 A2                | CUSIP: 39154TBP2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    207256 | PA      | $204116.79    | 0.07%             | 2024-03-15      | Fixed         | 0.38%                 | Yes           |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST                      | WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2021-2 WLAKE 2021-2A A2A                   | CUSIP: 96042RAB4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     60667 | PA      | $60114.18     | 0.02%             | 2025-04-15      | Fixed         | 0.32%                 | Yes           |                  2 | On Loan: No      |
| VOYA CLO                                                   | VOYA CLO 2013-2 LTD INGIM 2013-2A A1R                                            | CUSIP: 92916WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    475000 | PA      | $470281.35    | 0.17%             | 2031-04-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | ENERGY TRANSFER LP 5.875000% 01/15/2024                                          | CUSIP: 29278NAM5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1370000 | PA      | $1376002.23   | 0.49%             | 2024-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST                               | IMPERIAL FUND MORTGAGE TRUST 2021-NQM3 IMPRL 2021-NQM3 A1                        | CUSIP: 452762AA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    226659 | PA      | $191461.95    | 0.07%             | 2056-11-25      | Floating      | 1.60%                 | Yes           |                  2 | On Loan: No      |
| SANTANDER CONSUMER AUTO RECEIVABLES TRUST                  | SANTANDER CONSUMER AUTO RECEIVABLES TRUST 2020-B SCART 2020-BA B                 | CUSIP: 802830AN9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    175000 | PA      | $170698.55    | 0.06%             | 2025-12-15      | Fixed         | 0.77%                 | No            |                  2 | On Loan: No      |
| LENDBUZZ SECURITIZATION TRUST                              | LENDBUZZ SECURITIZATION TRUST 2021-1 LBZZ 2021-1A A                              | CUSIP: 52607BAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    374604 | PA      | $358310.06    | 0.13%             | 2026-06-15      | Fixed         | 1.46%                 | Yes           |                  2 | On Loan: No      |
| SG RESIDENTIAL MORTGAGE TRUST                              | SG RESIDENTIAL MORTGAGE TRUST 2021-1 SGR 2021-1 A1                               | CUSIP: 784212AA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    445108 | PA      | $364466.84    | 0.13%             | 2061-07-25      | Floating      | 1.16%                 | Yes           |                  2 | On Loan: No      |
| MMAF EQUIPMENT FINANCE LLC                                 | MMAF EQUIPMENT FINANCE LLC 2021-A MMAF 2021-A A3                                 | CUSIP: 55317JAC4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    110000 | PA      | $103725.16    | 0.04%             | 2028-06-13      | Fixed         | 0.56%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | FANNIE MAE POOL FN 493805                                                        | CUSIP: 31382VR22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      2664 | PA      | $2600.38      | 0.00%             | 2029-01-01      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT FLOORPLAN MASTER OWNER TRUST A                 | FORD CREDIT FLOORPLAN MASTER OWNER TRUST A FORDF 2019-2 B                        | CUSIP: 34528QGX6<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-MBS          |  | US        |    400000 | PA      | $388360.68    | 0.14%             | 2026-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST             | FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 202 FCRT 2021-2 A3                | CUSIP: 35105UAC7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    129088 | PA      | $126167.29    | 0.05%             | 2026-05-15      | Fixed         | 0.81%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP INC.                                             | CITIGROUP INC VARIABLE RATE 01/25/2026                                           | CUSIP: 17327CAP8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    350000 | PA      | $345935.45    | 0.12%             | 2026-01-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORPORATION                                   | ATMOS ENERGY CORP 0.625000% 03/09/2023                                           | CUSIP: 049560AU9<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    425000 | PA      | $423243.39    | 0.15%             | 2023-03-09      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORPORATION                                    | DUKE ENERGY CORP VARIABLE RATE 06/10/2023                                        | CUSIP: 26441CBK0<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    500000 | PA      | $499471.11    | 0.18%             | 2023-06-10      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                               | MIZUHO FINANCIAL GROUP INC VARIABLE RATE 05/25/2024                              | CUSIP: 60687YBC2<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | NUSS              | JP        |    775000 | PA      | $773900.40    | 0.28%             | 2024-05-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE MULTI-ASSET EXECUTION TRUST                    | CAPITAL ONE MULTI-ASSET EXECUTION TRUST COMET 2021-A3 A3                         | CUSIP: 14041NFY2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    425000 | PA      | $399126.43    | 0.14%             | 2026-11-15      | Fixed         | 1.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                   | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2015-56 LB                          | CUSIP: 38379LUL8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    124367 | PA      | $121438.48    | 0.04%             | 2040-04-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                   | US 2YR NOTE (CBT) MAR23 FINANCIAL COMMODITY FUTURE.                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        23 | NC      | $4729914.06   | 1.70%             |  |  |  | No            |                  1 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                   | ANGEL OAK MORTGAGE TRUST 2020-3 AOMT 2020-3 A1                                   | CUSIP: 03465LAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    180917 | PA      | $166905.13    | 0.06%             | 2065-04-25      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                    | BANK OF NOVA SCOTIA/THE VARIABLE RATE 07/31/2024                                 | CUSIP: 0641596F8<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | NUSS              | CA        |    650000 | PA      | $647520.56    | 0.23%             | 2024-07-31      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | FANNIE MAE-ACES FNA 2014-M8 A2                                                   | CUSIP: 3136AKQM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    399781 | PA      | $389041.09    | 0.14%             | 2024-06-25      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| VERIZON OWNER TRUST                                        | VERIZON OWNER TRUST 2020-B VZOT 2020-B B                                         | CUSIP: 92290BAC5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    220000 | PA      | $212892.11    | 0.08%             | 2025-02-20      | Fixed         | 0.68%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                                | NATIONWIDE BUILDING SOCIETY 144A 0.550000% 01/22/2024                            | CUSIP: 63859UBG7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | NUSS              | GB        |    400000 | PA      | $382458.27    | 0.14%             | 2024-01-22      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST             | FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 202 FCRT 2022-2 A2                | CUSIP: 34660DAB7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    530000 | PA      | $525992.62    | 0.19%             | 2026-03-16      | Fixed         | 4.49%                 | Yes           |                  2 | On Loan: No      |
| FORD CREDIT AUTO LEASE TRUST                               | FORD CREDIT AUTO LEASE TRUST 2023-A FORDL 2023-A A2A                             | CUSIP: 345287AB2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    280000 | PA      | $279823.94    | 0.10%             | 2025-06-15      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST                     | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2020-2 SDART 2020-2 C                     | CUSIP: 80285RAF5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     15570 | PA      | $15529.32     | 0.01%             | 2025-09-15      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | FREDDIE MAC 5.300000% 01/27/2026                                                 | CUSIP: 3134GYEA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1475000 | PA      | $1476038.87   | 0.53%             | 2026-01-27      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD                                           | CIFC FUNDING 2015-III LTD CIFC 2015-3A AR                                        | CUSIP: 12550MAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    327212 | PA      | $324283.10    | 0.12%             | 2029-04-19      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| BA MORTGAGE SECURITIES INCORPORATED                        | BANC OF AMERICA MORTGAGE 2005-J TRUST BOAMS 2005-J 2A1                           | CUSIP: 05949CKQ8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      4201 | PA      | $3678.87      | 0.00%             | 2035-11-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| GMACM MORTGAGE LOAN TRUST                                  | GMACM MORTGAGE LOAN TRUST 2005-AR6 GMACM 2005-AR6 2A1                            | CUSIP: 36185MBJ0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     63527 | PA      | $55433.67     | 0.02%             | 2035-11-19      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST                        | EXETER AUTOMOBILE RECEIVABLES TRUST 2022-2 EART 2022-2A A2                       | CUSIP: 30166QAB5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     94223 | PA      | $94062.50     | 0.03%             | 2025-11-17      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST                          | AFFIRM ASSET SECURITIZATION TRUST 2021-Z1 AFFRM 2021-Z1 A                        | CUSIP: 00834CAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    247011 | PA      | $240501.95    | 0.09%             | 2025-08-15      | Fixed         | 1.07%                 | Yes           |                  2 | On Loan: No      |
| DRIVETIME AUTO OWNER TRUST                                 | DT AUTO OWNER TRUST 2021-2 DTAOT 2021-2A A                                       | CUSIP: 23345EAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      6705 | PA      | $6692.24      | 0.00%             | 2025-03-17      | Fixed         | 0.41%                 | Yes           |                  2 | On Loan: No      |
| FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST             | FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 202 FCRT 2022-1 A2                | CUSIP: 35105JAB4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     68815 | PA      | $67748.31     | 0.02%             | 2025-09-15      | Fixed         | 1.15%                 | Yes           |                  2 | On Loan: No      |
| MFA TRUST                                                  | MFA 2021-NQM1 TRUST MFRA 2021-NQM1 A1                                            | CUSIP: 55283FAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    157568 | PA      | $140797.14    | 0.05%             | 2065-04-25      | Floating      | 1.15%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | FANNIE MAE POOL FN 555561                                                        | CUSIP: 31385XFA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      3076 | PA      | $3033.19      | 0.00%             | 2024-09-01      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| MANUFACTURERS AND TRADERS TRUST COMPANY.                   | MANUFACTURERS & TRADERS TRUST CO 4.650000% 01/27/2026                            | CUSIP: 55279HAV2<br>LEI: WWB2V0FCW3A0EE3ZJN75 | Long             | DBT              | CORP              | US        |    460000 | PA      | $459093.08    | 0.16%             | 2026-01-27      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| GCAT TRUST                                                 | GCAT 2020-NQM2 TRUST GCAT 2020-NQM2 A1                                           | CUSIP: 36166RAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     64611 | PA      | $58453.53     | 0.02%             | 2065-04-25      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST                                    | GSR MORTGAGE LOAN TRUST 2005-AR4 GSR 2005-AR4 2A1                                | CUSIP: 362341FH7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     71932 | PA      | $40624.31     | 0.01%             | 2035-07-25      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| TRK TRUST                                                  | TRK 2021-INV1 TRUST TRK 2021-INV1 A1                                             | CUSIP: 89688WAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    206758 | PA      | $179639.24    | 0.06%             | 2056-07-25      | Floating      | 1.15%                 | Yes           |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                 | JP MORGAN MORTGAGE TRUST 2014-5 JPMMT 2014-5 A1                                  | CUSIP: 46643KAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    109139 | PA      | $102217.47    | 0.04%             | 2029-10-25      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| HARLEY DAVIDSON MOTORCYCLE TRUST                           | HARLEY-DAVIDSON MOTORCYCLE TRUST 2022-A HDMOT 2022-A A2A                         | CUSIP: 41284YAB2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    173971 | PA      | $172489.55    | 0.06%             | 2025-05-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| MFA TRUST                                                  | MFA 2020-NQM3 TRUST MFRA 2020-NQM3 A1                                            | CUSIP: 552757AA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     73233 | PA      | $67702.91     | 0.02%             | 2065-01-26      | Floating      | 1.01%                 | Yes           |                  2 | On Loan: No      |
| OZLM FUNDING LTD                                           | OZLM VIII LTD OZLM 2014-8A A1R3                                                  | CUSIP: 67107FBL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    304201 | PA      | $301560.44    | 0.11%             | 2029-10-17      | Floating      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| STRYKER CORPORATION                                        | STRYKER CORP 0.600000% 12/01/2023                                                | CUSIP: 863667BB6<br>LEI: 5493002F0SC4JTBU5137 | Long             | DBT              | CORP              | US        |    230000 | PA      | $221743.98    | 0.08%             | 2023-12-01      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY, INC.                     | GENERAL MOTORS FINANCIAL CO INC VARIABLE RATE 10/15/2024                         | CUSIP: 37045XDN3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   2895000 | PA      | $2846843.93   | 1.02%             | 2024-10-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| VOLVO FINANCIAL EQUIPMENT LLC                              | VOLVO FINANCIAL EQUIPMENT LLC SERIES 2020-1 VFET 2020-1A A3                      | CUSIP: 92888EAC7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    182924 | PA      | $179858.99    | 0.06%             | 2024-10-15      | Fixed         | 0.51%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | FANNIE MAE POOL FN 928005                                                        | CUSIP: 31412LAE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      4057 | PA      | $4167.85      | 0.00%             | 2027-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST                     | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-5 SDART 2022-5 A2                    | CUSIP: 80287HAB4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    228720 | PA      | $227859.84    | 0.08%             | 2025-01-15      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                        | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQM3 NRZT 2021-NQM3 A1                  | CUSIP: 64831TAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    364703 | PA      | $306756.90    | 0.11%             | 2056-11-27      | Floating      | 1.16%                 | Yes           |                  2 | On Loan: No      |
| HOWARD UNIVERSITY (THE)                                    | HOWARD UNIVERSITY 2.801000% 10/01/2023                                           | CUSIP: 442851AE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    380000 | PA      | $374094.34    | 0.13%             | 2023-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST                                     | MARLETTE FUNDING TRUST 2022-2 MFT 2022-2A A                                      | CUSIP: 57107LAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     92249 | PA      | $91127.56     | 0.03%             | 2032-08-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                  | TOWD POINT MORTGAGE TRUST 2017-6 TPMT 2017-6 A1                                  | CUSIP: 89175JAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     60717 | PA      | $58003.55     | 0.02%             | 2057-10-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC.                                | VERIZON COMMUNICATIONS INC VARIABLE RATE 03/20/2026                              | CUSIP: 92343VGE8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    500000 | PA      | $498214.32    | 0.18%             | 2026-03-20      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST                                 | FLAGSHIP CREDIT AUTO TRUST 2021-2 FCAT 2021-2 B                                  | CUSIP: 33844WAC4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    285000 | PA      | $272604.27    | 0.10%             | 2027-06-15      | Fixed         | 0.93%                 | Yes           |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES                              | FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2016-C03 2M2                        | CUSIP: 30711XCT9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    248659 | PA      | $259499.18    | 0.09%             | 2028-10-25      | Floating      | 10.41%                | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE GLOBAL FUNDING                    | EQUITABLE FINANCIAL LIFE GLOBAL FUNDING 144A VARIABLE RATE 04/06/2023            | CUSIP: 29449WAH0<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |    575000 | PA      | $575058.65    | 0.21%             | 2023-04-06      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                 | JP MORGAN MORTGAGE TRUST 2005-A6 JPMMT 2005-A6 7A1                               | CUSIP: 466247UG6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     15096 | PA      | $12455.33     | 0.00%             | 2035-08-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST                                | EXTENDED STAY AMERICA TRUST 2021-ESH ESA 2021-ESH B                              | CUSIP: 30227FAE0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    244048 | PA      | $238548.82    | 0.09%             | 2038-07-15      | Floating      | 5.84%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                 | VERUS SECURITIZATION TRUST 2020-1 VERUS 2020-1 A1                                | CUSIP: 92536PAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     25944 | PA      | $24627.73     | 0.01%             | 2060-01-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                   | BENCHMARK 2020-B17 MORTGAGE TRUST BMARK 2020-B17 A2                              | CUSIP: 08162MAV0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    320000 | PA      | $299298.14    | 0.11%             | 2053-03-15      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| United States of America                                   | US TREASURY N/B 0.125000% 05/15/2023                                             | CUSIP: 912828ZP8<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  13050000 | PA      | $12881777.41  | 4.62%             | 2023-05-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED AUTO CREDIT SECURITIZATION TRUST                    | UNITED AUTO CREDIT SECURITIZATION TRUST 2023-1 UACST 2023-1 A                    | CUSIP: 90945CAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    327000 | PA      | $327063.11    | 0.12%             | 2025-07-10      | Fixed         | 5.57%                 | Yes           |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST                      | WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2019-2 WLAKE 2019-2A E                     | CUSIP: 96041LAG7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    560000 | PA      | $557636.63    | 0.20%             | 2025-04-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| AMERISOURCEBERGEN CORPORATION                              | AMERISOURCEBERGEN CORP 0.737000% 03/15/2023                                      | CUSIP: 03073EAS4<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |    200000 | PA      | $199024.96    | 0.07%             | 2023-03-15      | Fixed         | 0.74%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                   | ANGEL OAK MORTGAGE TRUST I LLC 2018-3 AOMT 2018-3 A1                             | CUSIP: 03464NAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      1107 | PA      | $1102.17      | 0.00%             | 2048-09-25      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST                     | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-3 SDART 2021-3 B                     | CUSIP: 80287EAD7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    150508 | PA      | $149522.59    | 0.05%             | 2025-12-15      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| BANQUE ROYALE DU CANADA                                    | ROYAL BANK OF CANADA MTN VARIABLE RATE 10/26/2023                                | CUSIP: 78015K7K4<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | NUSS              | CA        |    400000 | PA      | $400191.47    | 0.14%             | 2023-10-26      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                         | SOUTHERN CALIFORNIA EDISON CO VARIABLE RATE 04/01/2024                           | CUSIP: 842400HC0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    960000 | PA      | $958693.80    | 0.34%             | 2024-04-01      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                  | TOWD POINT MORTGAGE TRUST 2017-4 TPMT 2017-4 A1                                  | CUSIP: 89173UAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    150993 | PA      | $144036.75    | 0.05%             | 2057-06-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| HEWLETT PACKARD ENTERPRISE COMPANY                         | HEWLETT PACKARD ENTERPRISE CO 4.450000% 10/02/2023                               | CUSIP: 42824CBG3<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249032.92    | 0.09%             | 2023-10-02      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| LOS ANGELES CALIF CMNTY COLLEGE DIST                       | LOS ANGELES CA CMNTY CLG DIST LOS ANGELES COMMUNITY COLLEGE DISTRICT/CA          | CUSIP: 54438CYY2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1190000 | PA      | $1190000.00   | 0.43%             | 2023-02-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC                          | CITIGROUP MORTGAGE LOAN TRUST 2018-RP2 CMLTI 2018-RP2 A1                         | CUSIP: 17326UAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    111128 | PA      | $106978.83    | 0.04%             | 2058-02-25      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| SIERRA TIMESHARE RECEIVABLES FUNDING LLC                   | SIERRA TIMESHARE 2018-2 RECEIVABLES FUNDING LLC SRFC 2018-2A A                   | CUSIP: 82653DAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    130693 | PA      | $128289.92    | 0.05%             | 2035-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST                          | AFFIRM ASSET SECURITIZATION TRUST 2021-B AFFRM 2021-B A                          | CUSIP: 00834DAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    355000 | PA      | $339622.93    | 0.12%             | 2026-08-17      | Fixed         | 1.03%                 | Yes           |                  2 | On Loan: No      |
| LSTAR COMMERCIAL MORTGAGE TRUST                            | LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 LNSTR 2016-4 A2                           | CUSIP: 50219QAC8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    434380 | PA      | $433629.33    | 0.16%             | 2049-03-10      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | FANNIE MAE POOL FN 374614                                                        | CUSIP: 31377EDT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |       989 | PA      | $976.74       | 0.00%             | 2024-09-01      | Floating      | 3.11%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST         | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2014-C19 ASB            | CUSIP: 61764PBS0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     70648 | PA      | $69333.49     | 0.02%             | 2047-12-15      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| HSBC BANK CANADA                                           | HSBC BANK CANADA 144A 0.950000% 05/14/2023                                       | CUSIP: 40427HTL7<br>LEI: DMB80L5QKUQ124HSYW98 | Long             | DBT              | NUSS              | CA        |   2775000 | PA      | $2744415.73   | 0.98%             | 2023-05-14      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| BFLD TRUST                                                 | BFLD TRUST 2020-OBRK BFLD 2020-OBRK A                                            | CUSIP: 05553JAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    325000 | PA      | $322219.43    | 0.12%             | 2028-11-15      | Floating      | 6.64%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                        | CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P3 CGCMT 2016-P3 AAB                    | CUSIP: 29429CAE5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    470164 | PA      | $454705.58    | 0.16%             | 2049-04-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                   | COLT 2021-1 MORTGAGE LOAN TRUST COLT 2021-1 A1                                   | CUSIP: 19688EAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    194583 | PA      | $158579.43    | 0.06%             | 2066-06-25      | Floating      | 0.91%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                | FREDDIE MAC 4.000000% 12/30/2024                                                 | CUSIP: 3134GXA61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    950000 | PA      | $936982.32    | 0.34%             | 2024-12-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST                      | WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2021-2 WLAKE 2021-2A B                     | CUSIP: 96042RAD0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    220000 | PA      | $213177.89    | 0.08%             | 2026-07-15      | Fixed         | 0.62%                 | Yes           |                  2 | On Loan: No      |
| Keybank National Association                               | KEYBANK NA/CLEVELAND OH VARIABLE RATE 01/03/2024                                 | CUSIP: 49327M3B8<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |    575000 | PA      | $573965.59    | 0.21%             | 2024-01-03      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST                        | STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-3 STAR 2020-3 A1                        | CUSIP: 85573MAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     37070 | PA      | $34840.01     | 0.01%             | 2065-04-25      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                  | TOWD POINT MORTGAGE TRUST 2019-HY3 TPMT 2019-HY3 A1A                             | CUSIP: 89177XAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    362394 | PA      | $358795.08    | 0.13%             | 2059-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST                                   | BHG SECURITIZATION TRUST 2022-B BHG 2022-B A                                     | CUSIP: 05553DAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    447331 | PA      | $440359.66    | 0.16%             | 2035-06-18      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| THE BOEING COMPANY                                         | BOEING CO/THE 1.950000% 02/01/2024                                               | CUSIP: 097023CZ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    425000 | PA      | $412145.76    | 0.15%             | 2024-02-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE REFERENCE NOTES                             | CHASE MORTGAGE FINANCE CORP CHASE 2021-CL1 M1                                    | CUSIP: 46591HBX7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    260631 | PA      | $238813.75    | 0.09%             | 2050-02-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST                                      | ARI FLEET LEASE TRUST 2021-A ARIFL 2021-A A2                                     | CUSIP: 00217FAB1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     73484 | PA      | $72383.57     | 0.03%             | 2030-03-15      | Fixed         | 0.37%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | FANNIE MAE REMICS FNR 2013-97 KA                                                 | CUSIP: 3136AGCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     17924 | PA      | $17579.84     | 0.01%             | 2031-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING LTD.                            | PALMER SQUARE LOAN FUNDING 2021-4 LTD PSTAT 2021-4A A1                           | CUSIP: 69702HAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    686482 | PA      | $680279.16    | 0.24%             | 2029-10-15      | Floating      | 5.59%                 | Yes           |                  2 | On Loan: No      |
| BANQUE FEDERATIVE DU CREDIT MUTUEL SA                      | BANQUE FEDERATIVE DU CREDIT MUTUEL SA 144A 4.935000% 01/26/2026                  | CUSIP: 06675FAZ0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | NUSS              | FR        |    350000 | PA      | $349731.88    | 0.13%             | 2026-01-26      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE LOAN TRUST                            | RESIDENTIAL MORTGAGE LOAN TRUST 2020-1 RMLT 2020-1 A1                            | CUSIP: 76119CAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     38465 | PA      | $36825.92     | 0.01%             | 2060-01-26      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                                     | CONOCOPHILLIPS CO 2.125000% 03/08/2024                                           | CUSIP: 20826FAT3<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    450000 | PA      | $437400.12    | 0.16%             | 2024-03-08      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING LLC                             | ENTERPRISE FLEET FUNDING 2021-1 LLC EFF 2021-1 A2                                | CUSIP: 29374EAB2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     71231 | PA      | $69176.47     | 0.02%             | 2026-12-21      | Fixed         | 0.44%                 | Yes           |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO LTD                            | BENEFIT STREET PARTNERS CLO XII LTD BSP 2017-12A A1R                             | CUSIP: 08179HAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    593074 | PA      | $586459.62    | 0.21%             | 2030-10-15      | Floating      | 5.74%                 | Yes           |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                | BANK OF AMERICA CORP MTN 1.486000% 05/19/2024                                    | CUSIP: 06051GJC4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    300000 | PA      | $296702.35    | 0.11%             | 2024-05-19      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST         | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2015-C21 ASB            | CUSIP: 61764XBG9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    134169 | PA      | $130700.67    | 0.05%             | 2048-03-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS, INC.                      | NEXTERA ENERGY CAPITAL HOLDINGS INC VARIABLE RATE 11/03/2023                     | CUSIP: 65339KBX7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    705000 | PA      | $704013.00    | 0.25%             | 2023-11-03      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| UBS AG LONDON BRANCH                                       | UBS AG/LONDON 144A 0.700000% 08/09/2024                                          | CUSIP: 902674YK0<br>LEI: N/A                  | Long             | DBT              | NUSS              | CH        |    400000 | PA      | $375255.38    | 0.13%             | 2024-08-09      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| FIRST INVESTORS AUTO OWNER TRUST                           | FIRST INVESTORS AUTO OWNER TRUST 2022-1 FIAOT 2022-1A A                          | CUSIP: 32057KAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1584406 | PA      | $1539987.20   | 0.55%             | 2027-01-15      | Fixed         | 2.03%                 | Yes           |                  2 | On Loan: No      |
| BARINGS CLO LTD                                            | BARINGS CLO LTD 2018-III BABSN 2018-3A A1                                        | CUSIP: 06760PAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    184795 | PA      | $183585.19    | 0.07%             | 2029-07-20      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| BX TRUST                                                   | BX TRUST 2021-LGCY BX 2021-LGCY A                                                | CUSIP: 12434DAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    600000 | PA      | $580683.18    | 0.21%             | 2036-10-15      | Floating      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| FREMF MORTGAGE TRUST                                       | FREMF 2013-K32 MORTGAGE TRUST FREMF 2013-K32 B                                   | CUSIP: 30291NAE4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    655000 | PA      | $648837.43    | 0.23%             | 2046-10-25      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                   | COLT FUNDING LLC COLT 2021-3R A1                                                 | CUSIP: 19688DAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    140771 | PA      | $122487.68    | 0.04%             | 2064-12-25      | Floating      | 1.05%                 | Yes           |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER COMPANY, INC.                      | AMERICAN ELECTRIC POWER CO INC VARIABLE RATE 11/01/2023                          | CUSIP: 025537AS0<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $1055884.14   | 0.38%             | 2023-11-01      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                      | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-NXS2 WFCM 2015-NXS2 A2                | CUSIP: 94989MAB5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    176295 | PA      | $171307.35    | 0.06%             | 2058-07-15      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Saudi Arabian Oil Company                                  | SAUDI ARABIAN OIL CO 144A 1.250000% 11/24/2023                                   | CUSIP: 80414L2G9<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | NUSS              | SA        |    200000 | PA      | $193494.00    | 0.07%             | 2023-11-24      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE GLOBAL FUNDING                             | PROTECTIVE LIFE GLOBAL FUNDING 144A 1.082000% 06/09/2023                         | CUSIP: 74368CAR5<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |    255000 | PA      | $251534.60    | 0.09%             | 2023-06-09      | Fixed         | 1.08%                 | No            |                  2 | On Loan: No      |
| MFA TRUST                                                  | MFA 2020-NQM1 TRUST MFRA 2020-NQM1 A1                                            | CUSIP: 552754AA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     58803 | PA      | $54383.06     | 0.02%             | 2065-03-25      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST                                                 | CSMC 2021-NQM4 CSMC 2021-NQM4 A1                                                 | CUSIP: 12659PAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    381981 | PA      | $314103.00    | 0.11%             | 2066-05-25      | Floating      | 1.10%                 | Yes           |                  2 | On Loan: No      |
| BPR TRUST                                                  | BPR TRUST 2021-TY BPR 2021-TY A                                                  | CUSIP: 05592AAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    960000 | PA      | $917644.61    | 0.33%             | 2038-09-15      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| THE PNC FINANCIAL SERVICES GROUP, INC.                     | PNC FINANCIAL SERVICES GROUP INC/THE 5.671000% 10/28/2025                        | CUSIP: 693475BH7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    425000 | PA      | $430672.40    | 0.15%             | 2025-10-28      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                        | CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-SMRT CGCMT 2019-SMRT A                  | CUSIP: 29429MAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    275000 | PA      | $269605.41    | 0.10%             | 2036-01-10      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| CIGNA CORPORATION                                          | CIGNA CORP 0.613000% 03/15/2024                                                  | CUSIP: 125523CN8<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    190000 | PA      | $181126.04    | 0.06%             | 2024-03-15      | Fixed         | 0.61%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                | BANK OF AMERICA CORP VARIABLE RATE 04/22/2025                                    | CUSIP: 06051GJU4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    650000 | PA      | $646490.00    | 0.23%             | 2025-04-22      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | FREDDIE MAC 2.940000% 11/24/2023                                                 | CUSIP: 3134GXTV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    535000 | PA      | $526438.98    | 0.19%             | 2023-11-24      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| United States of America                                   | US TREASURY N/B 2.875000% 06/15/2025                                             | CUSIP: 91282CEU1<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   2000000 | PA      | $1948125.00   | 0.70%             | 2025-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BANQUE DE MONTREAL                                         | BANK OF MONTREAL VARIABLE RATE 12/08/2023                                        | CUSIP: 06368EA44<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    600000 | PA      | $598905.29    | 0.21%             | 2023-12-08      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN WEALTH MANAGEMENT MORTGAGE TRUST               | JPMORGAN CHASE BANK NA - JPMWM JPMWM 2021-CL1 M1                                 | CUSIP: 46591HBK5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    409144 | PA      | $358191.79    | 0.13%             | 2051-03-25      | Floating      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                 | VERUS SECURITIZATION TRUST 2021-1 VERUS 2021-1 A1                                | CUSIP: 92537QAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    121477 | PA      | $103315.72    | 0.04%             | 2066-01-25      | Floating      | 0.82%                 | Yes           |                  2 | On Loan: No      |
| ARROYO MORTGAGE TRUST                                      | ARROYO MORTGAGE TRUST 2019-3 ARRW 2019-3 A1                                      | CUSIP: 04285AAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     99187 | PA      | $91660.42     | 0.03%             | 2048-10-25      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC.                                     | JACKSON FINANCIAL INC 1.125000% 11/22/2023                                       | CUSIP: 46817MAJ6<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |    425000 | PA      | $411337.89    | 0.15%             | 2023-11-22      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP, INC.                                     | WEC ENERGY GROUP INC 4.750000% 01/09/2026                                        | CUSIP: 92939UAK2<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |    275000 | PA      | $275661.88    | 0.10%             | 2026-01-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS, INC.                                       | CONAGRA BRANDS INC 0.500000% 08/11/2023                                          | CUSIP: 205887CG5<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    325000 | PA      | $317322.96    | 0.11%             | 2023-08-11      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST                             | MORGAN STANLEY CAPITAL I TRUST 2019-H6 MSC 2019-H6 A2                            | CUSIP: 61769JAX9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    800000 | PA      | $778531.44    | 0.28%             | 2052-06-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST                                     | MARLETTE FUNDING TRUST 2022-1 MFT 2022-1A A                                      | CUSIP: 57109KAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    285643 | PA      | $281676.66    | 0.10%             | 2032-04-15      | Fixed         | 1.36%                 | Yes           |                  2 | On Loan: No      |
| SANTANDER BANK, N.A.                                       | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 202 SBCLN 2022-B B                | CUSIP: 80290CAX2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    919664 | PA      | $916459.20    | 0.33%             | 2032-08-16      | Fixed         | 5.72%                 | Yes           |                  2 | On Loan: No      |
| MAGNETITE CLO, LIMITED                                     | MAGNETITE VIII LTD MAGNE 2014-8A AR2                                             | CUSIP: 55952YAP2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    675672 | PA      | $668254.89    | 0.24%             | 2031-04-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST                               | UPSTART SECURITIZATION TRUST 2021-2 UPST 2021-2 A                                | CUSIP: 91680FAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     89358 | PA      | $88298.04     | 0.03%             | 2031-06-20      | Fixed         | 0.91%                 | Yes           |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST               | AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2022- ACAR 2022-1 A                 | CUSIP: 02530WAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    134941 | PA      | $134117.62    | 0.05%             | 2025-12-15      | Fixed         | 0.99%                 | Yes           |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST                     | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-1 SDART 2021-1 C                     | CUSIP: 80286NAF3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    631587 | PA      | $622270.76    | 0.22%             | 2026-02-17      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| DISTRICT COLUMBIA WTR & SWR AUTH PUB UTIL REV              | DIST OF COLUMBIA WTR & SWR AUT DISTRICT OF COLUMBIA WATER & SEWER AUTHORITY      | CUSIP: 254845SV3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    320000 | PA      | $314062.18    | 0.11%             | 2023-10-01      | Fixed         | 1.67%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TRUST                                            | IMPAC CMB TRUST SERIES 2005-5 IMM 2005-5 A1                                      | CUSIP: 45254NPU5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     11791 | PA      | $10733.38     | 0.00%             | 2035-08-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                  | TOWD POINT MORTGAGE TRUST 2017-1 TPMT 2017-1 A1                                  | CUSIP: 89173FAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    108952 | PA      | $107327.60    | 0.04%             | 2056-10-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| DT AUTO OWNER TRUST                                        | DT AUTO OWNER TRUST 2021-1 DTAOT 2021-1A B                                       | CUSIP: 23344GAC5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    249054 | PA      | $247605.88    | 0.09%             | 2025-09-15      | Fixed         | 0.62%                 | Yes           |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST                                     | SEQUOIA MORTGAGE TRUST 2018-CH3 SEMT 2018-CH3 A1                                 | CUSIP: 81746WAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      7010 | PA      | $6826.39      | 0.00%             | 2048-08-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST                                   | BHG SECURITIZATION TRUST 2022-C BHG 2022-C A                                     | CUSIP: 08860DAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    131257 | PA      | $130334.20    | 0.05%             | 2035-10-17      | Fixed         | 5.32%                 | Yes           |                  2 | On Loan: No      |
| AT&T INC.                                                  | AT&T INC VARIABLE RATE 03/25/2024                                                | CUSIP: 00206RMH2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    650000 | PA      | $650031.85    | 0.23%             | 2024-03-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FREMF MORTGAGE TRUST                                       | FREMF 2013-K28 MORTGAGE TRUST FREMF 2013-K28 B                                   | CUSIP: 30291HAE7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    125814 | PA      | $125337.39    | 0.04%             | 2046-06-25      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| TRICOLOR AUTO SECURITIZATION TRUST                         | TRICOLOR AUTO SECURITIZATION TRUST 2022-1 TAST 2022-1A A                         | CUSIP: 89616BAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    127921 | PA      | $126635.06    | 0.05%             | 2025-02-18      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION LOAN TRUST                       | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2021-A NAVSL 2021-A A                  | CUSIP: 63942BAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    534004 | PA      | $471924.70    | 0.17%             | 2069-05-15      | Fixed         | 0.84%                 | Yes           |                  2 | On Loan: No      |
| VIBRANT CLO LTD                                            | VIBRANT CLO VI LTD VIBR 2017-6A AR                                               | CUSIP: 92558EAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    230917 | PA      | $228739.95    | 0.08%             | 2029-06-20      | Floating      | 5.70%                 | Yes           |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST                                   | BHG SECURITIZATION TRUST 2022-A BHG 2022-A A                                     | CUSIP: 054977AA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    460270 | PA      | $432255.61    | 0.15%             | 2035-02-20      | Fixed         | 1.71%                 | Yes           |                  2 | On Loan: No      |
| AVANT LOANS FUNDING TRUST                                  | AVANT LOANS FUNDING TRUST 2021-REV1 AVNT 2021-REV1 A                             | CUSIP: 05353LAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    275000 | PA      | $265093.98    | 0.10%             | 2030-07-15      | Fixed         | 1.21%                 | Yes           |                  2 | On Loan: No      |
| OCP CLO LTD                                                | OCP CLO 2014-5 LTD OCP 2014-5A A1R                                               | CUSIP: 67102SAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    135000 | PA      | $133971.17    | 0.05%             | 2031-04-26      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST                                     | BEAR STEARNS ARM TRUST 2005-6 BSARM 2005-6 3A1                                   | CUSIP: 07387ADJ1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     30332 | PA      | $27364.16     | 0.01%             | 2035-08-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                       | MITSUBISHI UFJ FINANCIAL GROUP INC 4.788000% 07/18/2025                          | CUSIP: 606822CH5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | NUSS              | JP        |    325000 | PA      | $323314.98    | 0.12%             | 2025-07-18      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST                        | EXETER AUTOMOBILE RECEIVABLES TRUST 2021-1 EART 2021-2A B                        | CUSIP: 30165XAD7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    182683 | PA      | $181681.47    | 0.07%             | 2025-09-15      | Fixed         | 0.57%                 | No            |                  2 | On Loan: No      |
| KUBOTA CREDIT OWNER TRUST                                  | KUBOTA CREDIT OWNER TRUST 2020-2 KCOT 2020-2A A3                                 | CUSIP: 50116YAC5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     68669 | PA      | $67333.53     | 0.02%             | 2024-10-15      | Fixed         | 0.59%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST                        | STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-2 STAR 2021-2 A1                        | CUSIP: 85573HAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     60072 | PA      | $55878.73     | 0.02%             | 2065-05-25      | Floating      | 0.94%                 | Yes           |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST                            | BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM1 BRAVO 2021-NQM1 A1                     | CUSIP: 10569TAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    124400 | PA      | $110229.89    | 0.04%             | 2049-02-25      | Floating      | 0.94%                 | Yes           |                  2 | On Loan: No      |
| DRIVETIME AUTO OWNER TRUST                                 | DT AUTO OWNER TRUST 2021-2 DTAOT 2021-2A B                                       | CUSIP: 23345EAC9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    220000 | PA      | $216884.69    | 0.08%             | 2027-01-15      | Fixed         | 0.81%                 | Yes           |                  2 | On Loan: No      |
| MORTGAGEIT TRUST                                           | MORTGAGEIT TRUST 2005-5 MHL 2005-5 A1                                            | CUSIP: 61915RAU0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     32942 | PA      | $31088.23     | 0.01%             | 2035-12-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                        | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-3 NRZT 2017-3A A1                       | CUSIP: 64828MAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     97486 | PA      | $93005.17     | 0.03%             | 2057-04-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | FANNIE MAE REMICS FNR 1993-58 H                                                  | CUSIP: 31358UC95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |        37 | PA      | $36.38        | 0.00%             | 2023-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MFA LLC                                                    | MFA 2021-INV1 TRUST MFRA 2021-INV1 A1                                            | CUSIP: 552747AA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    139957 | PA      | $124043.39    | 0.04%             | 2056-01-25      | Floating      | 0.85%                 | Yes           |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST                       | DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2021-1 DRMT 2021-1 A1                       | CUSIP: 24380VAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     66161 | PA      | $59642.56     | 0.02%             | 2065-05-25      | Floating      | 0.71%                 | Yes           |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                       | JPMORGAN CHASE & CO VARIABLE RATE 06/23/2025                                     | CUSIP: 46647PCL8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    325000 | PA      | $322157.30    | 0.12%             | 2025-06-23      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                  | TOWD POINT MORTGAGE TRUST 2021-SJ1 TPMT 2021-SJ1 A1                              | CUSIP: 89180FCD1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    674107 | PA      | $631644.87    | 0.23%             | 2068-07-25      | Floating      | 2.25%                 | Yes           |                  2 | On Loan: No      |
| THE GOLDMAN SACHS GROUP, INC.                              | GOLDMAN SACHS GROUP INC/THE VARIABLE RATE 09/10/2024                             | CUSIP: 38141GYF5<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249187.00    | 0.09%             | 2024-09-10      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| BA MORTGAGE SECURITIES INCORPORATED                        | BANC OF AMERICA MORTGAGE 2005-F TRUST BOAMS 2005-F 2A2                           | CUSIP: 05949CCA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     25087 | PA      | $22718.66     | 0.01%             | 2035-07-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| SKYWORKS SOLUTIONS, INC.                                   | SKYWORKS SOLUTIONS INC 0.900000% 06/01/2023                                      | CUSIP: 83088MAJ1<br>LEI: 549300WZ3ORQ2BVKBD96 | Long             | DBT              | CORP              | US        |    855000 | PA      | $841795.76    | 0.30%             | 2023-06-01      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| AMUR EQUIPMENT FINANCE RECEIVABLES LLC                     | AMUR EQUIPMENT FINANCE RECEIVABLES IX LLC AXIS 2021-1A A2                        | CUSIP: 03237KAB0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    195123 | PA      | $188796.25    | 0.07%             | 2026-11-20      | Fixed         | 0.75%                 | Yes           |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                       | JPMORGAN CHASE & CO VARIABLE RATE 06/01/2025                                     | CUSIP: 46647PCG9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    400000 | PA      | $396546.40    | 0.14%             | 2025-06-01      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                   | ANGEL OAK MORTGAGE TRUST I LLC 2019-4 AOMT 2019-4 A1                             | CUSIP: 03463UAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      8509 | PA      | $8450.91      | 0.00%             | 2049-07-26      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST                          | AFFIRM ASSET SECURITIZATION TRUST 2022-X1 AFFRM 2022-X1 A                        | CUSIP: 00834HAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    294371 | PA      | $287698.00    | 0.10%             | 2027-02-15      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC.                                | VERIZON COMMUNICATIONS INC VARIABLE RATE 03/22/2024                              | CUSIP: 92343VGD0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    500000 | PA      | $498922.19    | 0.18%             | 2024-03-22      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| LA BANQUE TORONTO-DOMINION                                 | TORONTO-DOMINION BANK/THE MTN VARIABLE RATE 09/10/2024                           | CUSIP: 89114TZF2<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | NUSS              | CA        |    500000 | PA      | $497885.00    | 0.18%             | 2024-09-10      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST                     | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-2 SDART 2021-2 B                     | CUSIP: 80286XAD6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     31393 | PA      | $31335.07     | 0.01%             | 2025-09-15      | Fixed         | 0.59%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                        | NATWEST MARKETS PLC 144A VARIABLE RATE 08/12/2024                                | CUSIP: 63906YAC2<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | NUSS              | GB        |    490000 | PA      | $485808.05    | 0.17%             | 2024-08-12      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                        | SOCIETE GENERALE SA 144A 4.351000% 06/13/2025                                    | CUSIP: 83368RBN1<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | NUSS              | FR        |    500000 | PA      | $492102.18    | 0.18%             | 2025-06-13      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| NORDSTROM, INC.                                            | NORDSTROM INC 2.300000% 04/08/2024                                               | CUSIP: 655664AX8<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |    210000 | PA      | $199315.20    | 0.07%             | 2024-04-08      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| METLIFE SECURITIZATION TRUST                               | METLIFE SECURITIZATION TRUST MST 2017-1A A                                       | CUSIP: 59166BAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     61570 | PA      | $58362.32     | 0.02%             | 2055-04-25      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT ST                                             | CONNECTICUT ST STATE OF CONNECTICUT                                              | CUSIP: 20772KJV2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    510000 | PA      | $503970.98    | 0.18%             | 2023-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TAMPA ELECTRIC COMPANY                                     | TAMPA ELECTRIC CO 3.875000% 07/12/2024                                           | CUSIP: 875127BK7<br>LEI: WS423EPRKJIIJUITXD73 | Long             | DBT              | CORP              | US        |    325000 | PA      | $319083.90    | 0.11%             | 2024-07-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                   | US TREASURY N/B 0.125000% 12/15/2023                                             | CUSIP: 91282CBA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   7350000 | PA      | $7061455.10   | 2.53%             | 2023-12-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | FREDDIE MAC REMICS FHR 4379 CB                                                   | CUSIP: 3137BCZG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    198561 | PA      | $191512.42    | 0.07%             | 2033-04-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST                        | GS MORTGAGE-BACKED SECURITIES TRUST 2019-SL1 GSMBS 2019-SL1 A1                   | CUSIP: 36257EAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     18004 | PA      | $17894.22     | 0.01%             | 2059-01-25      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE FUNDING LLC                                     | CHESAPEAKE FUNDING II LLC CFII 2021-1A A2                                        | CUSIP: 165183CT9<br>LEI: 549300LG5AUFDML64706 | Long             | ABS-MBS          |  | US        |    147228 | PA      | $146680.44    | 0.05%             | 2033-04-15      | Floating      | 4.68%                 | Yes           |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                   | AMERICAN EXPRESS CO 3.375000% 05/03/2024                                         | CUSIP: 025816CV9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    350000 | PA      | $343975.97    | 0.12%             | 2024-05-03      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| THE GOLDMAN SACHS GROUP, INC.                              | GOLDMAN SACHS GROUP INC/THE 3.200000% 02/23/2023                                 | CUSIP: 38141GWT7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1315000 | PA      | $1313763.90   | 0.47%             | 2023-02-23      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST                                    | CARMAX AUTO OWNER TRUST 2021-2 CARMX 2021-2 A3                                   | CUSIP: 14314QAC8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    568225 | PA      | $548062.81    | 0.20%             | 2026-02-17      | Fixed         | 0.52%                 | No            |                  2 | On Loan: No      |
| HUMANA INC.                                                | HUMANA INC 0.650000% 08/03/2023                                                  | CUSIP: 444859BP6<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1662354.03   | 0.60%             | 2023-08-03      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST                               | IMPERIAL FUND MORTGAGE TRUST 2021-NQM1 IMPRL 2021-NQM1 A1                        | CUSIP: 452764AA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    316279 | PA      | $267051.15    | 0.10%             | 2056-06-25      | Floating      | 1.07%                 | Yes           |                  2 | On Loan: No      |
| PACIFIC LIFE GLOBAL FUNDING II                             | PACIFIC LIFE GLOBAL FUNDING II 144A 0.500000% 09/23/2023                         | CUSIP: 6944PL2C2<br>LEI: 6354003EUPCHXTWUU869 | Long             | DBT              | CORP              | US        |    400000 | PA      | $388646.58    | 0.14%             | 2023-09-23      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST                        | STAR 2021-1 TRUST STAR 2021-1 A1                                                 | CUSIP: 85573GAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    140912 | PA      | $125517.54    | 0.05%             | 2065-05-25      | Floating      | 1.22%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                   | US TREASURY N/B 2.500000% 05/31/2024                                             | CUSIP: 91282CER8<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   2000000 | PA      | $1945859.38   | 0.70%             | 2024-05-31      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Nordea Bank Abp                                            | NORDEA BANK ABP 144A 1.000000% 06/09/2023                                        | CUSIP: 65557CBE2<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | NUSS              | FI        |    300000 | PA      | $295923.56    | 0.11%             | 2023-06-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                   | ANGEL OAK MORTGAGE TRUST 2021-1 AOMT 2021-1 A1                                   | CUSIP: 03465CAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    266259 | PA      | $225724.97    | 0.08%             | 2066-01-25      | Floating      | 0.91%                 | Yes           |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST                 | JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C2 JPMBB 2014-C26 ASB            | CUSIP: 46643TBB7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    213787 | PA      | $209169.01    | 0.07%             | 2048-01-15      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| LA BANQUE TORONTO-DOMINION                                 | TORONTO-DOMINION BANK/THE MTN VARIABLE RATE 09/10/2026                           | CUSIP: 89114TZH8<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | NUSS              | CA        |    425000 | PA      | $416237.87    | 0.15%             | 2026-09-10      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | FANNIE MAE POOL FN MA2474                                                        | CUSIP: 31418BXC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    413882 | PA      | $403074.90    | 0.14%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                   | CELANESE US HOLDINGS LLC 5.900000% 07/05/2024                                    | CUSIP: 15089QAR5<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    325000 | PA      | $326866.63    | 0.12%             | 2024-07-05      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| HPEFS EQUIPMENT TRUST                                      | HPEFS EQUIPMENT TRUST 2022-3 HPEFS 2022-3A A3                                    | CUSIP: 403951AC0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    355000 | PA      | $357617.34    | 0.13%             | 2029-08-20      | Fixed         | 5.43%                 | Yes           |                  2 | On Loan: No      |
| FIDELITY NATIONAL INFORMATION SERVICES, INC.               | FIDELITY NATIONAL INFORMATION SERVICES INC 0.375000% 03/01/2023                  | CUSIP: 31620MBP0<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |    425000 | PA      | $423642.83    | 0.15%             | 2023-03-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST                     | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2020-4 SDART 2020-4 C                     | CUSIP: 80286WAF3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    359185 | PA      | $355247.00    | 0.13%             | 2026-01-15      | Fixed         | 1.01%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                 | VERUS SECURITIZATION TRUST 2021-R1 VERUS 2021-R1 A1                              | CUSIP: 92538BAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    219174 | PA      | $197996.00    | 0.07%             | 2063-10-25      | Floating      | 0.82%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                        | BPCE SA 144A 5.029000% 01/15/2025                                                | CUSIP: 05578AAZ1<br>LEI: N/A                  | Long             | DBT              | NUSS              | FR        |    345000 | PA      | $344886.35    | 0.12%             | 2025-01-15      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC                          | CITIGROUP MORTGAGE LOAN TRUST 2006-AR2 CMLTI 2006-AR2 1A1                        | CUSIP: 17307G6K9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     36867 | PA      | $28659.75     | 0.01%             | 2036-03-25      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                     | STANDARD CHARTERED PLC 144A 7.776000% 11/16/2025                                 | CUSIP: 853254CL2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | NUSS              | GB        |    300000 | PA      | $312983.41    | 0.11%             | 2025-11-16      | Fixed         | 7.78%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC INC.                              | THERMO FISHER SCIENTIFIC INC VARIABLE RATE 10/18/2024                            | CUSIP: 883556CQ3<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |   1810000 | PA      | $1805364.21   | 0.65%             | 2024-10-18      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| GOLDENTREE LOAN MANAGEMENT US CLO LTD                      | GOLDENTREE LOAN MANAGEMENT US CLO 2 LTD GLM 2017-2A AR                           | CUSIP: 38136MAU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $396408.80    | 0.14%             | 2030-11-20      | Floating      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST                 | JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C3 JPMBB 2015-C31 ASB            | CUSIP: 46644YAW0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    102511 | PA      | $99687.48     | 0.04%             | 2048-08-15      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS, INC.                                 | CONSTELLATION BRANDS INC 3.600000% 05/09/2024                                    | CUSIP: 21036PBM9<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    350000 | PA      | $344950.80    | 0.12%             | 2024-05-09      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST                     | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-5 SDART 2022-5 A3                    | CUSIP: 80287HAC2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    350000 | PA      | $346133.94    | 0.12%             | 2026-08-17      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| LCM LTD.                                                   | LCM XXIII LTD LCM 23A A1R                                                        | CUSIP: 52111PAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    487995 | PA      | $484413.43    | 0.17%             | 2029-10-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                     | STANDARD CHARTERED PLC 144A 6.170000% 01/09/2027                                 | CUSIP: 853254CQ1<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | NUSS              | GB        |    350000 | PA      | $358573.26    | 0.13%             | 2027-01-09      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                             | MORGAN STANLEY 5.050000% 01/28/2027                                              | CUSIP: 61747YEZ4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    275000 | PA      | $275954.97    | 0.10%             | 2027-01-28      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| UNITED AUTO CREDIT SECURITIZATION TRUST                    | UNITED AUTO CREDIT SECURITIZATION TRUST 2022-1 UACST 2022-1 A                    | CUSIP: 90944DAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     35063 | PA      | $34971.04     | 0.01%             | 2024-07-10      | Fixed         | 1.11%                 | Yes           |                  2 | On Loan: No      |
| THE HOME DEPOT, INC.                                       | HOME DEPOT INC/THE 4.000000% 09/15/2025                                          | CUSIP: 437076CR1<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     45000 | PA      | $44790.84     | 0.02%             | 2025-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST                                     | MARLETTE FUNDING TRUST 2021-3 MFT 2021-3A A                                      | CUSIP: 57108QAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     54660 | PA      | $54037.29     | 0.02%             | 2031-12-15      | Fixed         | 0.65%                 | Yes           |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST                    | HYUNDAI AUTO LEASE SECURITIZATION TRUST 2021-A HALST 2021-A B                    | CUSIP: 44891TAE6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    550000 | PA      | $538595.42    | 0.19%             | 2025-10-15      | Fixed         | 0.61%                 | Yes           |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                           | PACIFIC GAS AND ELECTRIC CO 1.700000% 11/15/2023                                 | CUSIP: 694308JY4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    275000 | PA      | $267856.91    | 0.10%             | 2023-11-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS ST SCH BLDG AUTH DEDICATED SALES TAX REV     | MASSACHUSETTS ST SCH BLDG AUTH MASSACHUSETTS SCHOOL BUILDING AUTHORITY           | CUSIP: 576000XC2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1035000 | PA      | $1018184.56   | 0.37%             | 2023-10-15      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| FHF TRUST                                                  | FHF TRUST 2022-1 FHF 2022-1A A                                                   | CUSIP: 30327CAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    315141 | PA      | $308920.02    | 0.11%             | 2028-01-18      | Fixed         | 4.43%                 | Yes           |                  2 | On Loan: No      |
| DAIMLER TRUCK FINANCE NORTH AMERICA LLC                    | DAIMLER TRUCK FINANCE NORTH AMERICA LLC 144A VARIABLE RATE 12/13/2024            | CUSIP: 233853AE0<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | DE        |    600000 | PA      | $596452.87    | 0.21%             | 2024-12-13      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| OBX TRUST                                                  | ONSLOW BAY MORTGAGE LOAN TRUST OBX 2021-NQM4 A1                                  | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    497935 | PA      | $416786.06    | 0.15%             | 2061-10-25      | Floating      | 1.96%                 | Yes           |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST               | AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2021- ACAR 2021-3 B                 | CUSIP: 025286AB1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     76081 | PA      | $75890.71     | 0.03%             | 2026-02-13      | Fixed         | 0.66%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                   | WI TREASURY SEC. 0.250000% 06/15/2024                                            | CUSIP: 91282CCG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   4600000 | PA      | $4338734.35   | 1.56%             | 2024-06-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST                      | WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2021-1 WLAKE 2021-1A B                     | CUSIP: 96043FAD5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    400000 | PA      | $394944.24    | 0.14%             | 2026-03-16      | Fixed         | 0.64%                 | Yes           |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST                         | ELLINGTON FINANCIAL MORTGAGE TRUST 2020-2 EFMT 2020-2 A1                         | CUSIP: 31573WAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     43443 | PA      | $39351.10     | 0.01%             | 2065-10-25      | Floating      | 1.18%                 | Yes           |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                      | DOMINION ENERGY INC VARIABLE RATE 09/15/2023                                     | CUSIP: 25746UDH9<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   1445000 | PA      | $1446775.93   | 0.52%             | 2023-09-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE GLOBAL FUNDING                    | EQUITABLE FINANCIAL LIFE GLOBAL FUNDING 144A 5.500000% 12/02/2025                | CUSIP: 29449WAP2<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |    300000 | PA      | $302722.89    | 0.11%             | 2025-12-02      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                      | ATHENE GLOBAL FUNDING 144A VARIABLE RATE 05/24/2024                              | CUSIP: 04685A2X8<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    825000 | PA      | $817948.01    | 0.29%             | 2024-05-24      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | FREDDIE MAC REMICS FHR 4721 HV                                                   | CUSIP: 3137FAUM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    158576 | PA      | $157376.82    | 0.06%             | 2030-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                   | US 10YR NOTE (CBT)MAR23 FINANCIAL COMMODITY FUTURE.                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -15 | NC      | $-1717734.38  | -0.62%            |  |  |  | No            |                  1 | On Loan: No      |
| FHF TRUST                                                  | FHF TRUST 2021-2 FHF 2021-2A A                                                   | CUSIP: 30322JAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    130371 | PA      | $124439.30    | 0.04%             | 2026-12-15      | Fixed         | 0.83%                 | Yes           |                  2 | On Loan: No      |
| CREDIT SUISSE AG (NEW YORK BRANCH)                         | CREDIT SUISSE AG/NEW YORK NY 0.520000% 08/09/2023                                | CUSIP: 22550L2F7<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | NUSS              | CH        |    650000 | PA      | $628875.00    | 0.23%             | 2023-08-09      | Fixed         | 0.52%                 | No            |                  2 | On Loan: No      |
| NEW YORK N Y CITY TRANSITIONAL FIN AUTH BLDG AID REV       | NEW YORK CITY NY TRANSITIONAL NEW YORK CITY TRANSITIONAL FINANCE AUTHORITY BUILD | CUSIP: 64972H5C2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2200000 | PA      | $2158261.16   | 0.77%             | 2023-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corporation                               | TRUIST FINANCIAL CORP MTN VARIABLE RATE 06/09/2025                               | CUSIP: 89788MAF9<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    400000 | PA      | $395169.20    | 0.14%             | 2025-06-09      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| VOYA CLO                                                   | VOYA CLO 2014-2 LTD VOYA 2014-2A A1RR                                            | CUSIP: 92912VAY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    436609 | PA      | $432680.98    | 0.16%             | 2030-04-17      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | NYCTL 2021-A TRUST NYCTL 2021-A A                                                | CUSIP: 62955UAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    435999 | PA      | $418592.49    | 0.15%             | 2034-11-10      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORPORATION TRUST                   | GS MORTGAGE SECURITIES CORP TRUST 2022-SHIP GSMS 2022-SHIP A                     | CUSIP: 36269CAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     45000 | PA      | $44780.94     | 0.02%             | 2036-08-15      | Floating      | 5.21%                 | Yes           |                  2 | On Loan: No      |
| AerCap Ireland Capital Designated Activity Company         | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO VARIABLE RATE 09/29/2023      | CUSIP: 00774MBA2<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | NUSS              | IE        |    700000 | PA      | $695992.25    | 0.25%             | 2023-09-29      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| AQUA FINANCE TRUST                                         | AQUA FINANCE TRUST 2021-A AQFIT 2021-A A                                         | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    175735 | PA      | $157802.18    | 0.06%             | 2046-07-17      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                   | ANGEL OAK MORTGAGE TRUST 2020-R1 AOMT 2020-R1 A1                                 | CUSIP: 034651AA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     86474 | PA      | $79966.87     | 0.03%             | 2053-04-25      | Floating      | 0.99%                 | Yes           |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                               | BX COMMERCIAL MORTGAGE TRUST 2021-VINO BX 2021-VINO A                            | CUSIP: 05608KAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    345000 | PA      | $336755.54    | 0.12%             | 2038-05-15      | Floating      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVABLES TRUST                   | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2019-3 AMCAR 2019-3 C                   | CUSIP: 03066NAF1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    421903 | PA      | $416493.53    | 0.15%             | 2025-07-18      | Fixed         | 2.32%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOBAL FUNDING                                  | COREBRIDGE GLOBAL FUNDING 144A 0.800000% 07/07/2023                              | CUSIP: 00138CAM0<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    315000 | PA      | $309398.00    | 0.11%             | 2023-07-07      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST DORM AUTH ST PERS INCOME TAX REV               | NEW YORK ST DORM AUTH ST PERSO NEW YORK STATE DORMITORY AUTHORITY                | CUSIP: 64990FD27<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    590000 | PA      | $587156.97    | 0.21%             | 2023-03-15      | Fixed         | 0.27%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST                                     | BEAR STEARNS ARM TRUST 2005-3 BSARM 2005-3 2A1                                   | CUSIP: 07387AAW5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     14695 | PA      | $13999.71     | 0.01%             | 2035-06-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS, INC.                                        | GENERAL MILLS INC 5.241000% 11/18/2025                                           | CUSIP: 370334CS1<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |    320000 | PA      | $321676.20    | 0.12%             | 2025-11-18      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| AMUR EQUIPMENT FINANCE RECEIVABLES LLC                     | AMUR EQUIPMENT FINANCE RECEIVABLES XI LLC AXIS 2022-2A A2                        | CUSIP: 03236XAB3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    185000 | PA      | $183950.11    | 0.07%             | 2028-06-21      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST                        | EXETER AUTOMOBILE RECEIVABLES TRUST 2022-4 EART 2022-4A A2                       | CUSIP: 30166BAB8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    134217 | PA      | $134006.52    | 0.05%             | 2024-08-15      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES      | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 200 WAMU 2006-AR2 1A1             | CUSIP: 92925CDQ2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     49075 | PA      | $43948.62     | 0.02%             | 2036-03-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Enbridge Inc.                                              | ENBRIDGE INC VARIABLE RATE 02/16/2024                                            | CUSIP: 29250NBM6<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | NUSS              | CA        |    775000 | PA      | $772291.16    | 0.28%             | 2024-02-16      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST                                 | CPS AUTO RECEIVABLES TRUST 2021-B CPS 2021-B B                                   | CUSIP: 12656QAB0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    190543 | PA      | $189483.56    | 0.07%             | 2025-12-15      | Fixed         | 0.81%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                   | TREASURY BILL 0.000000% 03/23/2023                                               | CUSIP: 912796U31<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1825000 | PA      | $1813733.16   | 0.65%             | 2023-03-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST                              | MILL CITY MORTGAGE LOAN TRUST 2018-4 MCMLT 2018-4 A1B                            | CUSIP: 59980YAB1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    333372 | PA      | $318904.72    | 0.11%             | 2066-04-25      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST                                     | MARLETTE FUNDING TRUST 2022-3 MFT 2022-3A A                                      | CUSIP: 57109NAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    177161 | PA      | $175961.84    | 0.06%             | 2032-11-15      | Fixed         | 5.18%                 | Yes           |                  2 | On Loan: No      |
| SALESFORCE, INC.                                           | SALESFORCE INC 0.625000% 07/15/2024                                              | CUSIP: 79466LAG9<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |   1560000 | PA      | $1472697.05   | 0.53%             | 2024-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| FIRST INVESTORS AUTO OWNER TRUST                           | FIRST INVESTORS AUTO OWNER TRUST 2021-1 FIAOT 2021-1A A                          | CUSIP: 32059FAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    219684 | PA      | $217552.50    | 0.08%             | 2026-03-16      | Fixed         | 0.45%                 | Yes           |                  2 | On Loan: No      |
| OHA CREDIT FUNDING LTD                                     | OHA CREDIT FUNDING 10 LTD OAKC 2021-10A X                                        | CUSIP: 67707LAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    317143 | PA      | $316791.15    | 0.11%             | 2036-01-18      | Floating      | 5.54%                 | Yes           |                  2 | On Loan: No      |
| CHESAPEAKE FUNDING LLC                                     | CHESAPEAKE FUNDING II LLC CFII 2019-2A A1                                        | CUSIP: 165183CD4<br>LEI: 549300LG5AUFDML64706 | Long             | ABS-MBS          |  | US        |     19509 | PA      | $19499.98     | 0.01%             | 2031-09-15      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                 | VERUS SECURITIZATION TRUST 2021-R3 VERUS 2021-R3 A1                              | CUSIP: 92538EAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    116852 | PA      | $105015.76    | 0.04%             | 2064-04-25      | Floating      | 1.02%                 | Yes           |                  2 | On Loan: No      |
| PFS FINANCING CORP.                                        | PFS FINANCING CORP PFSFC 2020-A A                                                | CUSIP: 69335PDP7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    365000 | PA      | $358953.34    | 0.13%             | 2025-06-15      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| SREIT COMMERCIAL MORTGAGE TRUST                            | SREIT TRUST 2021-MFP SREIT 2021-MFP B                                            | CUSIP: 78472UAC2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    475000 | PA      | $459411.78    | 0.16%             | 2038-11-15      | Floating      | 5.54%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                 | VERUS SECURITIZATION TRUST 2020-4 VERUS 2020-4 A1                                | CUSIP: 92538LAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     81732 | PA      | $75405.97     | 0.03%             | 2065-05-25      | Floating      | 1.50%                 | No            |                  2 | On Loan: No      |
| LA BANQUE TORONTO-DOMINION                                 | TORONTO-DOMINION BANK/THE MTN VARIABLE RATE 03/04/2024                           | CUSIP: 89114QCR7<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | NUSS              | CA        |    575000 | PA      | $574045.50    | 0.21%             | 2024-03-04      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST                     | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-1 SDART 2023-1 A2                    | CUSIP: 80287GAB6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    400000 | PA      | $400010.76    | 0.14%             | 2026-05-15      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING LLC                             | ENTERPRISE FLEET FINANCING 2022-4 LLC EFF 2022-4 A2                              | CUSIP: 29374GAB7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    280000 | PA      | $282938.60    | 0.10%             | 2029-10-22      | Fixed         | 5.76%                 | Yes           |                  2 | On Loan: No      |
| MORGAN STANLEY                                             | MORGAN STANLEY MTN 3.750000% 02/25/2023                                          | CUSIP: 61746BDJ2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2170000 | PA      | $2167893.97   | 0.78%             | 2023-02-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CNH EQUIPMENT TRUST                                        | CNH EQUIPMENT TRUST 2019-B CNH 2019-B B                                          | CUSIP: 12596TAE1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    500000 | PA      | $498555.35    | 0.18%             | 2026-11-16      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                             | MORGAN STANLEY 0.731000% 04/05/2024                                              | CUSIP: 61772BAA1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    250000 | PA      | $247832.98    | 0.09%             | 2024-04-05      | Fixed         | 0.73%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG (New York Branch)                         | DEUTSCHE BANK AG/NEW YORK NY VARIABLE RATE 11/08/2023                            | CUSIP: 251526CL1<br>LEI: N/A                  | Long             | DBT              | NUSS              | DE        |    600000 | PA      | $598196.87    | 0.21%             | 2023-11-08      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST                                 | FLAGSHIP CREDIT AUTO TRUST 2021-2 FCAT 2021-2 A                                  | CUSIP: 33844WAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    116547 | PA      | $114946.72    | 0.04%             | 2026-12-15      | Fixed         | 0.37%                 | Yes           |                  2 | On Loan: No      |
| CSMC TRUST                                                 | CSMC 2019-AFC1 TRUST CSMC 2019-AFC1 A1                                           | CUSIP: 12596XAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    328223 | PA      | $308077.33    | 0.11%             | 2049-07-25      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| FREMF MORTGAGE TRUST                                       | FREMF 2013-K35 MORTGAGE TRUST FREMF 2013-K35 C                                   | CUSIP: 30291VAG1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    475000 | PA      | $468832.17    | 0.17%             | 2046-12-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | FANNIE MAE REMICS FNR 2012-137 UE                                                | CUSIP: 3136AAL29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    107382 | PA      | $100564.28    | 0.04%             | 2041-09-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| KNDL KNSQ MORTGAGE TRUST                                   | KNDL 2019-KNSQ MORTGAGE TRUST KNDL 2019-KNSQ A                                   | CUSIP: 482598AA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    190000 | PA      | $188683.93    | 0.07%             | 2036-05-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO                                                 | APIDOS CLO XV APID 2013-15A A1RR                                                 | CUSIP: 03764QBC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    530000 | PA      | $525174.88    | 0.19%             | 2031-04-20      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| UBS AG LONDON BRANCH                                       | UBS AG/LONDON 144A VARIABLE RATE 02/09/2024                                      | CUSIP: 902674YC8<br>LEI: N/A                  | Long             | DBT              | NUSS              | CH        |    400000 | PA      | $399717.74    | 0.14%             | 2024-02-09      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | FANNIE MAE-ACES FNA 2017-M13 FA                                                  | CUSIP: 3136AYP31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     33993 | PA      | $33604.35     | 0.01%             | 2024-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                            | DANSKE BANK A/S 144A 6.466000% 01/09/2026                                        | CUSIP: 23636ABF7<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | NUSS              | DK        |    350000 | PA      | $355361.43    | 0.13%             | 2026-01-09      | Fixed         | 6.47%                 | No            |                  2 | On Loan: No      |
| PPL ELECTRIC UTILITIES CORPORATION                         | PPL ELECTRIC UTILITIES CORP VARIABLE RATE 06/24/2024                             | CUSIP: 69351UAY9<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |    465000 | PA      | $459607.50    | 0.16%             | 2024-06-24      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES                              | FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS 2014-C04 2M2                        | CUSIP: 30711XAR5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     78951 | PA      | $79854.80     | 0.03%             | 2024-11-25      | Floating      | 9.51%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO, LTD.                                         | SYMPHONY CLO XVIII LTD SYMP 2016-18A X                                           | CUSIP: 87154GAS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    225000 | PA      | $224077.52    | 0.08%             | 2033-07-23      | Floating      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| EQT CORPORATION                                            | EQT CORP 5.678000% 10/01/2025                                                    | CUSIP: 26884LAP4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    305000 | PA      | $305398.03    | 0.11%             | 2025-10-01      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                | BANK OF AMERICA CORP 5.080000% 01/20/2027                                        | CUSIP: 06051GLE7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    275000 | PA      | $276010.72    | 0.10%             | 2027-01-20      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| Eversource Energy                                          | EVERSOURCE ENERGY 2.800000% 05/01/2023                                           | CUSIP: 664397AK2<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    810000 | PA      | $805966.20    | 0.29%             | 2023-05-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM LLC                             | SOFI CONSUMER LOAN PROGRAM 2021-1 TRUST SCLP 2021-1 A                            | CUSIP: 83407CAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    104938 | PA      | $102558.50    | 0.04%             | 2030-09-25      | Fixed         | 0.49%                 | Yes           |                  2 | On Loan: No      |
| IMPERIAL FUND MORTGAGE TRUST                               | IMPERIAL FUND MORTGAGE TRUST 2021-NQM2 IMPRL 2021-NQM2 A1                        | CUSIP: 452761AA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    224179 | PA      | $184186.01    | 0.07%             | 2056-09-25      | Floating      | 1.07%                 | Yes           |                  2 | On Loan: No      |
| DT AUTO OWNER TRUST                                        | DT AUTO OWNER TRUST 2021-4 DTAOT 2021-4A A                                       | CUSIP: 26253WAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    384572 | PA      | $379636.16    | 0.14%             | 2025-09-15      | Fixed         | 0.56%                 | Yes           |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING LLC                             | ENTERPRISE FLEET FINANCING 2022-3 LLC EFF 2022-3 A2                              | CUSIP: 29374FAB9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     80000 | PA      | $78660.72     | 0.03%             | 2029-07-20      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| MHC COMMERCIAL MORTGAGE TRUST                              | MHC COMMERCIAL MORTGAGE TRUST 2021-MHC MHC 2021-MHC B                            | CUSIP: 55316VAC8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1670000 | PA      | $1628213.59   | 0.58%             | 2038-04-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | FREDDIE MAC REMICS FHR 4272 YG                                                   | CUSIP: 3137B6DF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     73053 | PA      | $71463.27     | 0.03%             | 2026-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PPL ELECTRIC UTILITIES CORPORATION                         | PPL ELECTRIC UTILITIES CORP VARIABLE RATE 09/28/2023                             | CUSIP: 69351UAX1<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |    875000 | PA      | $871643.67    | 0.31%             | 2023-09-28      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| BANQUE DE MONTREAL                                         | BANK OF MONTREAL MTN VARIABLE RATE 09/15/2026                                    | CUSIP: 06368FAD1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | NUSS              | CA        |    675000 | PA      | $660959.77    | 0.24%             | 2026-09-15      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST                              | MILL CITY MORTGAGE LOAN TRUST 2018-1 MCMLT 2018-1 A1                             | CUSIP: 59980VAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     48158 | PA      | $46574.79     | 0.02%             | 2062-05-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| CROSSROADS ASSET TRUST                                     | CROSSROADS ASSET TRUST 2021-A XROAD 2021-A A2                                    | CUSIP: 22767CAB6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     36345 | PA      | $36139.74     | 0.01%             | 2024-03-20      | Fixed         | 0.82%                 | Yes           |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                               | BX COMMERCIAL MORTGAGE TRUST 2021-VOLT BX 2021-VOLT A                            | CUSIP: 05609VAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    275000 | PA      | $268029.71    | 0.10%             | 2036-09-15      | Floating      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| DLLST LLC                                                  | DLLST 2022-1 LLC DLLST 2022-1A A2                                                | CUSIP: 23292GAB9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    345624 | PA      | $342977.91    | 0.12%             | 2024-01-22      | Fixed         | 2.79%                 | Yes           |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS, INC.                      | NEXTERA ENERGY CAPITAL HOLDINGS INC 2.940000% 03/21/2024                         | CUSIP: 65339KCD0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    450000 | PA      | $440854.89    | 0.16%             | 2024-03-21      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST                                 | FLAGSHIP CREDIT AUTO TRUST 2021-3 FCAT 2021-3 A                                  | CUSIP: 33846QAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    129198 | PA      | $125349.72    | 0.04%             | 2027-07-15      | Fixed         | 0.36%                 | Yes           |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST                              | MILL CITY MORTGAGE LOAN TRUST 2021-NMR1 MCMLT 2021-NMR1 A1                       | CUSIP: 59982HAC4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    144239 | PA      | $134090.57    | 0.05%             | 2060-11-25      | Floating      | 1.12%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                | FREDDIE MAC 4.050000% 07/21/2025                                                 | CUSIP: 3134GXG24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1680000 | PA      | $1654434.67   | 0.59%             | 2025-07-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST                     | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-4 SDART 2021-4 C                     | CUSIP: 80285VAE9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1900000 | PA      | $1815177.73   | 0.65%             | 2027-02-16      | Fixed         | 1.26%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST                        | STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-1 STAR 2020-1 A1                        | CUSIP: 85573AAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     14898 | PA      | $14338.88     | 0.01%             | 2050-02-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| BWAY MORTGAGE TRUST                                        | BWAY 2013-1515 MORTGAGE TRUST BWAY 2013-1515 A1                                  | CUSIP: 05604FAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    136065 | PA      | $130087.31    | 0.05%             | 2033-03-10      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| DT AUTO OWNER TRUST                                        | DT AUTO OWNER TRUST 2023-1 DTAOT 2023-1A A                                       | CUSIP: 23346KAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    610000 | PA      | $609668.89    | 0.22%             | 2027-04-15      | Fixed         | 5.48%                 | Yes           |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST                              | MILL CITY MORTGAGE LOAN TRUST 2017-3 MCMLT 2017-3 A1                             | CUSIP: 59980CAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     76116 | PA      | $73769.50     | 0.03%             | 2061-01-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                       | JPMORGAN CHASE & CO VARIABLE RATE 04/22/2027                                     | CUSIP: 46647PCF1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    650000 | PA      | $640211.00    | 0.23%             | 2027-04-22      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY, INC.                     | GENERAL MOTORS FINANCIAL CO INC VARIABLE RATE 03/08/2024                         | CUSIP: 37045XDF0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    500000 | PA      | $496486.03    | 0.18%             | 2024-03-08      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| SEQUOIA INFRASTRUCTURE FUNDING LTD                         | SEQUOIA INFRASTRUCTURE FUNDING I LTD SEQI 2021-1A A                              | CUSIP: 81742LAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    448363 | PA      | $446666.77    | 0.16%             | 2031-04-15      | Floating      | 6.19%                 | Yes           |                  2 | On Loan: No      |
| THE GOLDMAN SACHS GROUP, INC.                              | GOLDMAN SACHS GROUP INC/THE VARIABLE RATE 01/24/2025                             | CUSIP: 38141GZJ6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    425000 | PA      | $422692.25    | 0.15%             | 2025-01-24      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST                               | UPSTART SECURITIZATION TRUST 2021-4 UPST 2021-4 A                                | CUSIP: 91682NAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    195414 | PA      | $189927.58    | 0.07%             | 2031-09-20      | Fixed         | 0.84%                 | Yes           |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING LLC                             | ENTERPRISE FLEET FINANCING 2022-2 LLC EFF 2022-2 A2                              | CUSIP: 29374JAB1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1250000 | PA      | $1239389.25   | 0.44%             | 2029-05-21      | Fixed         | 4.65%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | FANNIE MAE POOL FN 313752                                                        | CUSIP: 31374GQD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |        77 | PA      | $76.63        | 0.00%             | 2028-05-01      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST                 | JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C3 JPMBB 2015-C32 A2             | CUSIP: 46590JAT4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      1383 | PA      | $1380.15      | 0.00%             | 2048-11-15      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST                        | EXETER AUTOMOBILE RECEIVABLES TRUST 2022-5 EART 2022-5A A2                       | CUSIP: 30167FAB8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    550000 | PA      | $549568.58    | 0.20%             | 2025-01-15      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST                             | CARVANA AUTO RECEIVABLES TRUST 2021-N2 CRVNA 2021-N2 B                           | CUSIP: 14686KAC1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     79989 | PA      | $73386.73     | 0.03%             | 2028-03-10      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| CARLISLE COMPANIES INCORPORATED                            | CARLISLE COS INC 0.550000% 09/01/2023                                            | CUSIP: 142339AK6<br>LEI: XR64VGX1ZPX6G7ZN7Z11 | Long             | DBT              | CORP              | US        |    175000 | PA      | $170455.08    | 0.06%             | 2023-09-01      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA                                               | DNB BANK ASA 144A 2.968000% 03/28/2025                                           | CUSIP: 25601B2D6<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | NUSS              | NO        |    275000 | PA      | $266625.17    | 0.10%             | 2025-03-28      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| BX TRUST                                                   | BX TRUST 2022-LBA6 BX 2022-LBA6 A                                                | CUSIP: 12433EAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    375000 | PA      | $367029.00    | 0.13%             | 2039-01-15      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDING II                               | MASSMUTUAL GLOBAL FUNDING II 144A VARIABLE RATE 04/12/2024                       | CUSIP: 57629WDC1<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    400000 | PA      | $399702.88    | 0.14%             | 2024-04-12      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                 | JP MORGAN MORTGAGE TRUST 2018-7FRB JPMMT 2018-7FRB A2                            | CUSIP: 46650AAD5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    102052 | PA      | $98394.06     | 0.04%             | 2046-04-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE BACKED SECURITIES TRUST             | MERRILL LYNCH MORTGAGE BACKED SECURITIES TRUST SER MLMBS 2007-3 2A1              | CUSIP: 59025JAB1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     40830 | PA      | $25701.08     | 0.01%             | 2037-06-25      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA GAS COMPANY                            | SOUTHERN CALIFORNIA GAS CO VARIABLE RATE 09/14/2023                              | CUSIP: 842434CV2<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    970000 | PA      | $967967.15    | 0.35%             | 2023-09-14      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST                             | CFMT 2022-EBO2 LLC CFMT 2022-EBO2 A                                              | CUSIP: 12527QAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     96150 | PA      | $93708.68     | 0.03%             | 2054-07-25      | Floating      | 3.17%                 | Yes           |                  2 | On Loan: No      |
| COMMONWEALTH BANK OF AUSTRALIA                             | COMMONWEALTH BANK OF AUSTRALIA 144A VARIABLE RATE 06/15/2026                     | CUSIP: 2027A0KE8<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | NUSS              | AU        |    425000 | PA      | $420376.00    | 0.15%             | 2026-06-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| United States of America                                   | US TREASURY N/B 2.000000% 04/30/2024                                             | CUSIP: 912828X70<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   3350000 | PA      | $3242957.05   | 1.16%             | 2024-04-30      | Fixed         | 2.00%                 | No            |                  1 | On Loan: No      |
| HSBC HOLDINGS PLC                                          | HSBC HOLDINGS PLC VARIABLE RATE 11/22/2024                                       | CUSIP: 404280CZ0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | NUSS              | GB        |    425000 | PA      | $418247.94    | 0.15%             | 2024-11-22      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                       | JPMORGAN CHASE & CO VARIABLE RATE 03/16/2024                                     | CUSIP: 46647PCA2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    500000 | PA      | $500103.50    | 0.18%             | 2024-03-16      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                   | COLT 2021-2R MORTGAGE LOAN TRUST COLT 2021-2R A1                                 | CUSIP: 12656YAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     88803 | PA      | $76771.62     | 0.03%             | 2054-07-27      | Fixed         | 0.80%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | FANNIE MAE POOL FN AE0285                                                        | CUSIP: 31419AJ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |        39 | PA      | $40.09        | 0.00%             | 2025-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SSM HEALTH CARE CORPORATION                                | SSM HEALTH CARE CORP 3.688000% 06/01/2023                                        | CUSIP: 784710AB1<br>LEI: 5493000QP6H63JFPC580 | Long             | DBT              | CORP              | US        |    970000 | PA      | $966474.81    | 0.35%             | 2023-06-01      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| MERCURY FINANCIAL CREDIT CARD MASTER TRUST                 | MERCURY FINANCIAL CREDIT CARD MASTER TRUST MFCC 2021-1A A                        | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    510000 | PA      | $510000.00    | 0.18%             | 2026-03-20      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST                        | EXETER AUTOMOBILE RECEIVABLES TRUST 2018-3 EART 2018-3A D                        | CUSIP: 30166PAG6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     29746 | PA      | $29717.34     | 0.01%             | 2024-06-17      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                               | GS MORTGAGE SECURITIES TRUST 2015-GS1 GSMS 2015-GS1 AAB                          | CUSIP: 36252AAD8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     77872 | PA      | $75562.65     | 0.03%             | 2048-11-10      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| BX TRUST                                                   | BX 2021-MFM1 BX 2021-MFM1 B                                                      | CUSIP: 05608VAE6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    550000 | PA      | $534845.91    | 0.19%             | 2034-01-15      | Floating      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| TD SYNNEX CORPORATION                                      | TD SYNNEX CORP 1.250000% 08/09/2024                                              | CUSIP: 87162WAD2<br>LEI: 5493004HI6PFLF46NS53 | Long             | DBT              | CORP              | US        |    650000 | PA      | $610895.55    | 0.22%             | 2024-08-09      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| THE BOEING COMPANY                                         | BOEING CO/THE 1.167000% 02/04/2023                                               | CUSIP: 097023DD4<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    475000 | PA      | $474919.86    | 0.17%             | 2023-02-04      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                   | COLT 2021-2 MORTGAGE LOAN TRUST COLT 2021-2 A1                                   | CUSIP: 19685WAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    267105 | PA      | $218290.89    | 0.08%             | 2066-08-25      | Floating      | 0.92%                 | Yes           |                  2 | On Loan: No      |
| UNIFY AUTO RECEIVABLES TRUST                               | UNIFY AUTO RECEIVABLES TRUST 2021-1 UART 2021-1A A3                              | CUSIP: 90775QAC0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    187563 | PA      | $185807.01    | 0.07%             | 2025-06-16      | Fixed         | 0.51%                 | Yes           |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE CORPORATION                         | AMERICAN HONDA FINANCE CORP MTN 0.875000% 07/07/2023                             | CUSIP: 02665WDK4<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |    300000 | PA      | $294927.42    | 0.11%             | 2023-07-07      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST                            | BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM2 BRAVO 2021-NQM2 A1                     | CUSIP: 10569EAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    104044 | PA      | $98334.17     | 0.04%             | 2060-03-25      | Floating      | 0.97%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | FANNIE MAE POOL FN MA3098                                                        | CUSIP: 31418CNQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    290200 | PA      | $285073.42    | 0.10%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | FANNIE MAE POOL FN AE0381                                                        | CUSIP: 31419AM79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |       916 | PA      | $913.21       | 0.00%             | 2024-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE CAPITAL US LLC                     | GSK CONSUMER HEALTHCARE CAPITAL US LLC 3.024000% 03/24/2024                      | CUSIP: 36264FAH4<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    420000 | PA      | $410407.96    | 0.15%             | 2024-03-24      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                   | ANGEL OAK MORTGAGE TRUST 2020-4 AOMT 2020-4 A1                                   | CUSIP: 03464LAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    107256 | PA      | $97291.23     | 0.03%             | 2065-06-25      | Floating      | 1.47%                 | No            |                  2 | On Loan: No      |
| COCA-COLA EUROPACIFIC PARTNERS PLC                         | COCA-COLA EUROPACIFIC PARTNERS PLC 144A 0.500000% 05/05/2023                     | CUSIP: 19123MAD5<br>LEI: 549300LTH67W4GWMRF57 | Long             | DBT              | NUSS              | GB        |    975000 | PA      | $963955.12    | 0.35%             | 2023-05-05      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                   | TREASURY BILL 0.000000% 03/02/2023                                               | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1800000 | PA      | $1793594.63   | 0.64%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST                                                | BBCMS MORTGAGE TRUST 2020-C8 BBCMS 2020-C8 A1                                    | CUSIP: 05552AAY4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    246027 | PA      | $233032.19    | 0.08%             | 2053-10-15      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY CARD ISSUANCE TRUST, SYNCHRONY                   | SYNCHRONY CARD FUNDING LLC SYNIT 2022-A1 A                                       | CUSIP: 87166PAG6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    335000 | PA      | $326366.58    | 0.12%             | 2028-04-15      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES TRUST                                 | GLS AUTO RECEIVABLES ISSUER TRUST 2021-2 GCAR 2021-2A B                          | CUSIP: 36261XAC9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    272486 | PA      | $270580.39    | 0.10%             | 2025-09-15      | Fixed         | 0.77%                 | Yes           |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                | BANK OF AMERICA CORP MTN VARIABLE RATE 05/28/2024                                | CUSIP: 06051GJX8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    575000 | PA      | $571653.50    | 0.20%             | 2024-05-28      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES TRUST                                 | GLS AUTO RECEIVABLES ISSUER TRUST 2022-3 GCAR 2022-3A A2                         | CUSIP: 38014QAB2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    190000 | PA      | $188912.16    | 0.07%             | 2026-05-15      | Fixed         | 4.59%                 | Yes           |                  2 | On Loan: No      |
| SOUTH CAROLINA ST PUB SVCS AUTH REV                        | SOUTH CAROLINA ST PUBLIC SVC A SOUTH CAROLINA PUBLIC SERVICE AUTHORITY           | CUSIP: 837151WF2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1100000 | PA      | $1088698.93   | 0.39%             | 2023-12-01      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                        | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-6 NRZT 2017-6A A1                       | CUSIP: 64830BAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    229966 | PA      | $218298.92    | 0.08%             | 2057-08-27      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN CLO LTD                                   | NEUBERGER BERMAN LOAN ADVISERS CLO 25 LTD NEUB 2017-25A AR                       | CUSIP: 64131JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    910000 | PA      | $902364.19    | 0.32%             | 2029-10-18      | Floating      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| SCF EQUIPMENT LEASING LLC                                  | SCF EQUIPMENT LEASING 2022-1 LLC SCFET 2022-1A A2                                | CUSIP: 784033AC6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    491140 | PA      | $478454.01    | 0.17%             | 2028-02-22      | Fixed         | 2.06%                 | Yes           |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MORTGAGE SECURITIES INCORPORATED       | RFMSI SERIES 2007-SA3 TRUST RFMSI 2007-SA3 2A1                                   | CUSIP: 74958TAB9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     45528 | PA      | $35855.61     | 0.01%             | 2037-07-27      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| PARAGON MORTGAGES PLC                                      | PARAGON MORTGAGES NO 12 PLC PARGN 12A A2C                                        | CUSIP: 69913BAB2<br>LEI: N/A                  | Long             | ABS-MBS          |  | GB        |     53312 | PA      | $51020.20     | 0.02%             | 2038-11-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                | BANK OF AMERICA CORP MTN VARIABLE RATE 02/04/2025                                | CUSIP: 06051GKF5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    510000 | PA      | $506612.67    | 0.18%             | 2025-02-04      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| CIGNA CORPORATION                                          | CIGNA CORP 3.750000% 07/15/2023                                                  | CUSIP: 125523AF7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   1775000 | PA      | $1765230.29   | 0.63%             | 2023-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST               | AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2021- ACAR 2021-4 A                 | CUSIP: 02530TAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      7479 | PA      | $7467.08      | 0.00%             | 2025-09-15      | Fixed         | 0.45%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                | FREDDIE MAC 4.050000% 08/28/2025                                                 | CUSIP: 3134GXR63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    860000 | PA      | $846879.15    | 0.30%             | 2025-08-28      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST                    | HYUNDAI AUTO LEASE SECURITIZATION TRUST 2023-A HALST 2023-A A2A                  | CUSIP: 44933VAB7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    225000 | PA      | $224979.75    | 0.08%             | 2025-04-15      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| IMPAC CMB TRUST                                            | IMPAC CMB TRUST SERIES 2005-3 IMM 2005-3 A1                                      | CUSIP: 45254NNP8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     17020 | PA      | $14890.05     | 0.01%             | 2035-08-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                        | SOCIETE GENERALE SA 144A VARIABLE RATE 01/21/2026                                | CUSIP: 83368RBF8<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | NUSS              | FR        |    425000 | PA      | $417276.36    | 0.15%             | 2026-01-21      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| PORT AUTH N Y & N J                                        | PORT AUTH OF NEW YORK & NEW JE PORT AUTHORITY OF NEW YORK & NEW JERSEY           | CUSIP: 73358W4V3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1830000 | PA      | $1802254.64   | 0.65%             | 2023-07-01      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| BSPRT ISSUER, LTD.                                         | BSPRT 2022-FL8 ISSUER LTD BSPRT 2022-FL8 A                                       | CUSIP: 055983AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    425000 | PA      | $417675.98    | 0.15%             | 2037-02-15      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                | FREDDIE MAC 4.000000% 02/28/2025                                                 | CUSIP: 3134GXS88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1700000 | PA      | $1675431.23   | 0.60%             | 2025-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EVERGREEN CREDIT CARD TRUST                                | EVERGREEN CREDIT CARD TRUST SERIES 2022-CRT1 EVGRN 2022-CRT1 B                   | CUSIP: 30023JBV9<br>LEI: N/A                  | Long             | ABS-MBS          |  | CA        |    500000 | PA      | $493209.25    | 0.18%             | 2026-07-15      | Fixed         | 5.61%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                   | US 5YR NOTE (CBT) MAR23 FINANCIAL COMMODITY FUTURE.                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -6 | NC      | $-655453.13   | -0.23%            |  |  |  | No            |                  1 | On Loan: No      |
| PRESTIGE AUTO RECEIVABLES TRUST                            | PRESTIGE AUTO RECEIVABLES TRUST 2021-1 PART 2021-1A A2                           | CUSIP: 74113XAB2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     43740 | PA      | $43658.44     | 0.02%             | 2024-09-16      | Fixed         | 0.55%                 | Yes           |                  2 | On Loan: No      |
| Keybank National Association                               | KEYBANK NA/CLEVELAND OH VARIABLE RATE 06/14/2024                                 | CUSIP: 49327M3D4<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |    400000 | PA      | $398974.00    | 0.14%             | 2024-06-14      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                               | BX COMMERCIAL MORTGAGE TRUST 2021-SOAR BX 2021-SOAR B                            | CUSIP: 05608WAG9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    620301 | PA      | $597998.04    | 0.21%             | 2038-06-15      | Floating      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST                                 | LAD AUTO RECEIVABLES TRUST 2021-1 LADAR 2021-1A A                                | CUSIP: 501683AA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    295441 | PA      | $286466.38    | 0.10%             | 2026-08-17      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| ILLUMINA, INC.                                             | ILLUMINA INC 0.550000% 03/23/2023                                                | CUSIP: 452327AL3<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |    400000 | PA      | $397610.71    | 0.14%             | 2023-03-23      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST                                 | CPS AUTO RECEIVABLES TRUST 2022-A CPS 2022-A A                                   | CUSIP: 12659WAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    487916 | PA      | $480832.21    | 0.17%             | 2029-04-16      | Fixed         | 0.98%                 | Yes           |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST                            | CFCRE COMMERCIAL MORTGAGE TRUST 2017-C8 CFCRE 2017-C8 ASB                        | CUSIP: 12532CAY1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    509780 | PA      | $491122.84    | 0.18%             | 2050-06-15      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| CNA FINANCIAL CORPORATION                                  | CNA FINANCIAL CORP 7.250000% 11/15/2023                                          | CUSIP: 126117AE0<br>LEI: 549300YX2GSZD7YG1R84 | Long             | DBT              | CORP              | US        |    200000 | PA      | $203271.01    | 0.07%             | 2023-11-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS INC                                 | CHL MORTGAGE PASS-THROUGH TRUST 2004-29 CWHL 2004-29 1A1                         | CUSIP: 12669GHY0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      6376 | PA      | $5664.47      | 0.00%             | 2035-02-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| OZLM FUNDING LTD                                           | OZLM VII LTD OZLM 2014-7RA A1R                                                   | CUSIP: 67108WBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    366757 | PA      | $363514.82    | 0.13%             | 2029-07-17      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | FREDDIE MAC NON GOLD POOL FH 846789                                              | CUSIP: 3128HDRJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |      3777 | PA      | $3713.21      | 0.00%             | 2030-02-01      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| MHP COMMERCIAL MORTGAGE TRUST                              | MHP 2021-STOR MHP 2021-STOR A                                                    | CUSIP: 55293BAB1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    155000 | PA      | $151220.25    | 0.05%             | 2038-07-15      | Floating      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| LCM LTD.                                                   | LCM XXIV LTD LCM 24A AR                                                          | CUSIP: 50188YAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    512682 | PA      | $508072.33    | 0.18%             | 2030-03-20      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                        | CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC31 CGCMT 2015-GC31 AAB                | CUSIP: 17323YAE9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    833504 | PA      | $814943.30    | 0.29%             | 2048-06-10      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST                       | DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2021-2 DRMT 2021-2 A1                       | CUSIP: 24381WAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     85716 | PA      | $74387.15     | 0.03%             | 2066-04-25      | Floating      | 0.90%                 | Yes           |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST                        | STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-3 STAR 2021-3 A1                        | CUSIP: 85573JAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    263901 | PA      | $214830.46    | 0.08%             | 2056-06-25      | Floating      | 1.13%                 | Yes           |                  2 | On Loan: No      |
| MADISON PARK FUNDING, LTD.                                 | MADISON PARK FUNDING XVII LTD MDPK 2015-17A AR2                                  | CUSIP: 55818YBN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    489182 | PA      | $483092.89    | 0.17%             | 2030-07-21      | Floating      | 5.82%                 | Yes           |                  2 | On Loan: No      |
| MARTIN MARIETTA MATERIALS, INC.                            | MARTIN MARIETTA MATERIALS INC 0.650000% 07/15/2023                               | CUSIP: 573284AY2<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |    480000 | PA      | $470224.09    | 0.17%             | 2023-07-15      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| MANUFACTURERS AND TRADERS TRUST COMPANY.                   | MANUFACTURERS & TRADERS TRUST CO 5.400000% 11/21/2025                            | CUSIP: 55279HAT7<br>LEI: WWB2V0FCW3A0EE3ZJN75 | Long             | DBT              | CORP              | US        |    300000 | PA      | $305104.74    | 0.11%             | 2025-11-21      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST                                    | CARMAX AUTO OWNER TRUST 2019-3 CARMX 2019-3 C                                    | CUSIP: 14315PAG0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    375000 | PA      | $368326.99    | 0.13%             | 2025-06-16      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING, LTD.                                 | MADISON PARK FUNDING XXX LTD MDPK 2018-30A A                                     | CUSIP: 55821TAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    834586 | PA      | $826172.97    | 0.30%             | 2029-04-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORPORATION                                  | REALTY INCOME CORP 5.050000% 01/13/2026                                          | CUSIP: 756109BQ6<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    350000 | PA      | $350961.25    | 0.13%             | 2026-01-13      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLE TRUST                           | WORLD OMNI AUTO RECEIVABLES TRUST 2021-C WOART 2021-C A3                         | CUSIP: 98164CAC3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    265000 | PA      | $252888.76    | 0.09%             | 2026-08-17      | Fixed         | 0.44%                 | No            |                  2 | On Loan: No      |
| STARBUCKS CORPORATION                                      | STARBUCKS CORP VARIABLE RATE 02/14/2024                                          | CUSIP: 855244BB4<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |    345000 | PA      | $344158.08    | 0.12%             | 2024-02-14      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                               | NUTRIEN LTD 5.900000% 11/07/2024                                                 | CUSIP: 67077MAZ1<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | NUSS              | CA        |    175000 | PA      | $177776.05    | 0.06%             | 2024-11-07      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST                         | ELLINGTON FINANCIAL MORTGAGE TRUST 2017-1 EFMT 2021-1 A1                         | CUSIP: 31574XAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     50901 | PA      | $42445.48     | 0.02%             | 2066-02-25      | Floating      | 0.80%                 | Yes           |                  2 | On Loan: No      |
| GCAT TRUST                                                 | GCAT 2021-NQM1 TRUST GCAT 2021-NQM1 A1                                           | CUSIP: 36167TAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    121537 | PA      | $103878.36    | 0.04%             | 2066-01-25      | Floating      | 0.87%                 | Yes           |                  2 | On Loan: No      |
| CARDS II TRUST                                             | CARDS II TRUST CARD2 2021-1A A                                                   | CUSIP: 14161GBY5<br>LEI: N/A                  | Long             | ABS-MBS          |  | CA        |    900000 | PA      | $853083.45    | 0.31%             | 2027-04-15      | Fixed         | 0.60%                 | Yes           |                  2 | On Loan: No      |
| CIFC FUNDING LTD                                           | CIFC FUNDING 2015-I LTD CIFC 2015-1A ARR                                         | CUSIP: 12548MBF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    325000 | PA      | $322626.85    | 0.12%             | 2031-01-22      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                        | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-NQM4 NRZT 2019-NQM4 A1                  | CUSIP: 64828EAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     33907 | PA      | $31632.26     | 0.01%             | 2059-09-25      | Floating      | 2.49%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | FANNIE MAE POOL FN AD0630                                                        | CUSIP: 31418MVY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |        24 | PA      | $24.12        | 0.00%             | 2024-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | FREDDIE MAC REMICS FHR 4387 DA                                                   | CUSIP: 3137BDY83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     36998 | PA      | $36765.29     | 0.01%             | 2032-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                               | BX COMMERCIAL MORTGAGE TRUST 2019-XL BX 2019-XL B                                | CUSIP: 056054AE9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    374000 | PA      | $370366.25    | 0.13%             | 2036-10-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORPORATION                                   | HYATT HOTELS CORP 1.300000% 10/01/2023                                           | CUSIP: 448579AL6<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |    175000 | PA      | $170327.67    | 0.06%             | 2023-10-01      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST                             | CARVANA AUTO RECEIVABLES TRUST 2021-N3 CRVNA 2021-N3 B                           | CUSIP: 14687GAC9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    195467 | PA      | $179141.98    | 0.06%             | 2028-06-12      | Fixed         | 0.66%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                   | COLT 2021-4 MORTGAGE LOAN TRUST COLT 2021-4 A1                                   | CUSIP: 19688GAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    485354 | PA      | $403748.78    | 0.14%             | 2066-10-25      | Floating      | 1.40%                 | Yes           |                  2 | On Loan: No      |
| HPEFS EQUIPMENT TRUST                                      | HPEFS EQUIPMENT TRUST 2021-2 HPEFS 2021-2A B                                     | CUSIP: 40441JAD3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    225000 | PA      | $217223.89    | 0.08%             | 2028-09-20      | Fixed         | 0.61%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                | FREDDIE MAC 2.250000% 03/25/2025                                                 | CUSIP: 3134GXMT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   1775000 | PA      | $1698517.13   | 0.61%             | 2025-03-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                   | ANGEL OAK MORTGAGE TRUST 2020-2 AOMT 2020-2 A1A                                  | CUSIP: 03464XAL4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    140756 | PA      | $131053.30    | 0.05%             | 2065-01-26      | Floating      | 2.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | COLT 2020-2R MORTGAGE LOAN TRUST COLT 2020-2R A1                                 | CUSIP: 12656GAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     95778 | PA      | $86613.56     | 0.03%             | 2065-10-26      | Floating      | 1.33%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO RECEIVABLES TRUST                       | MERCEDES-BENZ AUTO RECEIVABLES TRUST 2023-1 MBART 2023-1 A2                      | CUSIP: 58770AAB9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    700000 | PA      | $700299.67    | 0.25%             | 2026-01-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST                             | ACCREDITED MORTGAGE LOAN TRUST 2004-4 ACCR 2004-4 A1A                            | CUSIP: 004375CA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     28840 | PA      | $28559.77     | 0.01%             | 2035-01-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD                   | CARLYLE GLOBAL MARKET STRATEGIES CLO 2014-1 LTD CGMS 2014-1A A1R2                | CUSIP: 14310MAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    648030 | PA      | $641846.25    | 0.23%             | 2031-04-17      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| MHP COMMERCIAL MORTGAGE TRUST                              | MHP 2022-MHIL MHP 2022-MHIL A                                                    | CUSIP: 55293DAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    199190 | PA      | $192954.66    | 0.07%             | 2027-01-15      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| BRIGHTHOUSE FINANCIAL GLOBAL FUNDING                       | BRIGHTHOUSE FINANCIAL GLOBAL FUNDING MTN VARIABLE RATE 04/12/2024                | CUSIP: 10921U2B3<br>LEI: 549300BLFX3KJ2IFOA78 | Long             | DBT              | CORP              | US        |    445000 | PA      | $442741.22    | 0.16%             | 2024-04-12      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST                                 | CPS AUTO RECEIVABLES TRUST 2023-A CPS 2023-A A                                   | CUSIP: 12664LAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    680000 | PA      | $679975.28    | 0.24%             | 2026-03-16      | Fixed         | 5.54%                 | Yes           |                  2 | On Loan: No      |
| FCI FUNDING LIMITED                                        | FCI FUNDING 2021-1 LLC FCITL 2021-1A A                                           | CUSIP: 30260GAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     58699 | PA      | $57651.72     | 0.02%             | 2033-04-15      | Fixed         | 1.13%                 | Yes           |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST                    | HYUNDAI AUTO LEASE SECURITIZATION TRUST 2023-A HALST 2023-A A3                   | CUSIP: 44933VAD3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    260000 | PA      | $260162.50    | 0.09%             | 2026-01-15      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| GOLDEN ST TOB SECURITIZATION CORP CALIF TOB SETTLEMENT REV | GOLDEN ST TOBACCO SECURITIZATI GOLDEN STATE TOBACCO SECURITIZATION CORP          | CUSIP: 38122NA51<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    985000 | PA      | $972014.55    | 0.35%             | 2023-06-01      | Fixed         | 0.67%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST                                     | SEQUOIA MORTGAGE TRUST 2004-12 SEMT 2004-12 A1                                   | CUSIP: 81744FFY8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      5573 | PA      | $5041.35      | 0.00%             | 2035-01-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                          | CAPITAL ONE FINANCIAL CORP VARIABLE RATE 12/06/2024                              | CUSIP: 14040HCL7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    425000 | PA      | $420764.88    | 0.15%             | 2024-12-06      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO                                                 | APIDOS CLO XII APID 2013-12A AR                                                  | CUSIP: 03764DAH4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $596121.00    | 0.21%             | 2031-04-15      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| OGE ENERGY CORP.                                           | OGE ENERGY CORP 0.703000% 05/26/2023                                             | CUSIP: 670837AC7<br>LEI: CE5OG6JPOZMDSA0LAQ19 | Long             | DBT              | CORP              | US        |    245000 | PA      | $241668.57    | 0.09%             | 2023-05-26      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO CREDIT LINKED NOTES                             | JPMORGAN CHASE BANK NA - CACLN CACLN 2020-1 B                                    | CUSIP: 46591HAN0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    115402 | PA      | $113831.88    | 0.04%             | 2028-01-25      | Fixed         | 0.99%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LIFE GLOBAL FUNDING II                           | PRINCIPAL LIFE GLOBAL FUNDING II 144A VARIABLE RATE 04/12/2024                   | CUSIP: 74256LEM7<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    170000 | PA      | $169273.73    | 0.06%             | 2024-04-12      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST                                                | BBCMS 2017-DELC MORTGAGE TRUST BBCMS 2017-DELC A                                 | CUSIP: 05552EAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    320000 | PA      | $316982.88    | 0.11%             | 2036-08-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| ELP COMMERCIAL MORTGAGE TRUST                              | ELP COMMERCIAL MORTGAGE TRUST 2021-ELP ELP 2021-ELP A                            | CUSIP: 26863LAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    530000 | PA      | $515241.73    | 0.18%             | 2038-11-15      | Floating      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDING II                               | MASSMUTUAL GLOBAL FUNDING II MTN 0.850000% 06/09/2023                            | CUSIP: 57629WCU2<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    448000 | PA      | $441791.28    | 0.16%             | 2023-06-09      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                   | AMERICAN EXPRESS CO 3.950000% 08/01/2025                                         | CUSIP: 025816CY3<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    325000 | PA      | $320009.40    | 0.11%             | 2025-08-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE PRIME AUTO RECEIVABLES TRUST                   | CAPITAL ONE PRIME AUTO RECEIVABLES TRUST 2022-2 COPAR 2022-2 A2A                 | CUSIP: 14043GAB0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    565000 | PA      | $559593.46    | 0.20%             | 2025-09-15      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                   | ANGEL OAK MORTGAGE TRUST 2021-5 AOMT 2021-5 A1                                   | CUSIP: 03465HAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    428165 | PA      | $358570.35    | 0.13%             | 2066-07-25      | Floating      | 0.95%                 | Yes           |                  2 | On Loan: No      |
| Sumitomo Mitsui Trust Bank, Limited                        | SUMITOMO MITSUI TRUST BANK LTD MTN VARIABLE RATE 09/16/2024                      | CUSIP: 86563VAX7<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | NUSS              | JP        |    500000 | PA      | $498023.72    | 0.18%             | 2024-09-16      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST                             | CARVANA AUTO RECEIVABLES TRUST 2021-N1 CRVNA 2021-N1 A                           | CUSIP: 14687DAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    572529 | PA      | $535574.41    | 0.19%             | 2028-01-10      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| BANQUE DE MONTREAL                                         | BANK OF MONTREAL MTN VARIABLE RATE 07/09/2024                                    | CUSIP: 06367WYQ0<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | NUSS              | CA        |    325000 | PA      | $323739.00    | 0.12%             | 2024-07-09      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST                                   | ANGEL OAK MORTGAGE TRUST 2021-3 AOMT 2021-3 A1                                   | CUSIP: 03465EAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    245586 | PA      | $208967.71    | 0.07%             | 2066-05-25      | Floating      | 1.07%                 | Yes           |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                  | TOWD POINT MORTGAGE TRUST 2017-5 TPMT 2017-5 A1                                  | CUSIP: 89169EAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    118197 | PA      | $117653.16    | 0.04%             | 2057-02-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST                                    | CARMAX AUTO OWNER TRUST 2021-1 CARMX 2021-1 A3                                   | CUSIP: 14316NAC3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    629542 | PA      | $607460.04    | 0.22%             | 2025-12-15      | Fixed         | 0.34%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                               | GS MORTGAGE SECURITIES TRUST 2016-GS3 GSMS 2016-GS3 AAB                          | CUSIP: 36251PAE4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    185267 | PA      | $177749.02    | 0.06%             | 2049-10-10      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC                          | CITIGROUP MORTGAGE LOAN TRUST INC CMLTI 2004-HYB3 1A                             | CUSIP: 17307GJX7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      6436 | PA      | $5709.74      | 0.00%             | 2034-09-25      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST                                 | JP MORGAN MORTGAGE TRUST 2007-A3 JPMMT 2007-A3 1A1                               | CUSIP: 46630UAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     32450 | PA      | $28078.24     | 0.01%             | 2037-05-25      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| ATALAYA EQUIPMENT LEASING TRUST LLC.                       | ATALAYA EQUIPMENT LEASING TRUST 21-1 AELF 2021-1A A2                             | CUSIP: 046497AB9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    146152 | PA      | $142230.70    | 0.05%             | 2026-05-15      | Fixed         | 1.23%                 | Yes           |                  2 | On Loan: No      |
| City of New York                                           | NEW YORK NY CITY OF NEW YORK NY                                                  | CUSIP: 64966QJD3<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |   1055000 | PA      | $1052155.30   | 0.38%             | 2023-03-01      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                          | CAPITAL ONE FINANCIAL CORP 4.985000% 07/24/2026                                  | CUSIP: 14040HCU7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    250000 | PA      | $247783.25    | 0.09%             | 2026-07-24      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| CFMT TRUST                                                 | CFMT 2021-AL1 LLC CFMT 2021-AL1 B                                                | CUSIP: 12529UAF7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    382789 | PA      | $364603.64    | 0.13%             | 2031-09-22      | Fixed         | 1.39%                 | Yes           |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                  | TOWD POINT MORTGAGE TRUST 2022-EBO1 TPMT 2022-EBO1 A                             | CUSIP: 89180EAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    218389 | PA      | $213617.03    | 0.08%             | 2052-01-25      | Floating      | 2.16%                 | Yes           |                  2 | On Loan: No      |
| JDE Peet's N.V.                                            | JDE PEET'S NV 144A 0.800000% 09/24/2024                                          | CUSIP: 47216QAA1<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | NUSS              | NL        |    500000 | PA      | $461871.18    | 0.17%             | 2024-09-24      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| Skandinaviska Enskilda Banken AB                           | SKANDINAVISKA ENSKILDA BANKEN AB 144A 0.550000% 09/01/2023                       | CUSIP: 83051GAN8<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | NUSS              | SE        |    250000 | PA      | $243400.00    | 0.09%             | 2023-09-01      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                          | HSBC HOLDINGS PLC 7.336000% 11/03/2026                                           | CUSIP: 404280DQ9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | NUSS              | GB        |    300000 | PA      | $316649.97    | 0.11%             | 2026-11-03      | Fixed         | 7.34%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                                  | TOWD POINT MORTGAGE TRUST 2018-1 TPMT 2018-1 A1                                  | CUSIP: 89176EAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     38216 | PA      | $36987.34     | 0.01%             | 2058-01-25      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| CNH EQUIPMENT TRUST                                        | CNH EQUIPMENT TRUST 2019-A CNH 2019-A B                                          | CUSIP: 12596JAE3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    825000 | PA      | $824377.13    | 0.30%             | 2026-07-15      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                        | TRI-PARTY REPURCHASE AGREEMENT (ACT/360) DAILY RESET  PARIBAS                    | CUSIP: N/A<br>LEI: N/A                        | Long             | RA               |  | US        |   1700000 | PA      | $1700000.00   | 0.61%             |  |  |  | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                       | EDISON INTERNATIONAL 3.550000% 11/15/2024                                        | CUSIP: 281020AQ0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    275000 | PA      | $267633.23    | 0.10%             | 2024-11-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| SIERRA TIMESHARE RECEIVABLES FUNDING LLC                   | SIERRA TIMESHARE 2018-3 RECEIVABLES FUNDING LLC SRFC 2018-3A A                   | CUSIP: 82653GAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    442827 | PA      | $438969.84    | 0.16%             | 2035-09-20      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| ILLUMINA, INC.                                             | ILLUMINA INC 5.800000% 12/12/2025                                                | CUSIP: 452327AN9<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |    300000 | PA      | $305889.66    | 0.11%             | 2025-12-12      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| United States of America                                   | US TREASURY N/B 0.375000% 04/15/2024                                             | CUSIP: 91282CBV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   8475000 | PA      | $8054891.62   | 2.89%             | 2024-04-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| DEWOLF PARK CLO, LTD.                                      | DEWOLF PARK CLO LTD DWOLF 2017-1A AR                                             | CUSIP: 25211AAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $593550.00    | 0.21%             | 2030-10-15      | Floating      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| FIFTH THIRD BANK, NATIONAL ASSOCIATION                     | FIFTH THIRD BANK NA 5.852000% 10/27/2025                                         | CUSIP: 31677QBT5<br>LEI: QFROUN1UWUYU0DVIWD51 | Long             | DBT              | CORP              | US        |    470000 | PA      | $477384.65    | 0.17%             | 2025-10-27      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TRUST                                            | IMPAC CMB TRUST SERIES 2005-8 IMM 2005-8 1A                                      | CUSIP: 45254NRG4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     36015 | PA      | $32057.33     | 0.01%             | 2036-02-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                             | MORGAN STANLEY 3.620000% 04/17/2025                                              | CUSIP: 61747YEQ4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    350000 | PA      | $343669.64    | 0.12%             | 2025-04-17      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| DEXT ABS LLC                                               | DEXT ABS 2021-1 LLC DEXT 2021-1 A                                                | CUSIP: 23345CAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    148651 | PA      | $142660.06    | 0.05%             | 2028-02-15      | Fixed         | 1.12%                 | Yes           |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC.                                      | KEURIG DR PEPPER INC 0.750000% 03/15/2024                                        | CUSIP: 49271VAL4<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |   2010000 | PA      | $1920505.63   | 0.69%             | 2024-03-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY, INC.                                   | CENTERPOINT ENERGY INC VARIABLE RATE 05/13/2024                                  | CUSIP: 15189TAZ0<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |    325000 | PA      | $321287.50    | 0.12%             | 2024-05-13      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| VOYA CLO                                                   | VOYA CLO 2019-1 LTD VOYA 2019-1A AR                                              | CUSIP: 92917NAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    575000 | PA      | $570350.55    | 0.20%             | 2031-04-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| OBX TRUST                                                  | OBX 2018-1 TRUST OBX 2018-1 A2                                                   | CUSIP: 67112FAD2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     16336 | PA      | $15615.75     | 0.01%             | 2057-06-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST               | AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2022- ACAR 2022-2 A                 | CUSIP: 02530BAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    236896 | PA      | $235365.70    | 0.08%             | 2026-02-13      | Fixed         | 2.66%                 | Yes           |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                 | VERUS SECURITIZATION TRUST 2021-2 VERUS 2021-2 A1                                | CUSIP: 92538FAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    148017 | PA      | $128408.51    | 0.05%             | 2066-02-25      | Floating      | 1.03%                 | Yes           |                  2 | On Loan: No      |
| DAE FUNDING LLC                                            | DAE FUNDING LLC MTN 1.550000% 08/01/2024                                         | CUSIP: 23371DAJ3<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | AE        |    450000 | PA      | $424960.94    | 0.15%             | 2024-08-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| DLLMT LLC                                                  | DLLMT 2021-1 LLC DLLMT 2021-1A A2                                                | CUSIP: 23345FAB8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    121913 | PA      | $120732.06    | 0.04%             | 2024-03-20      | Fixed         | 0.60%                 | Yes           |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST                      | WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-1 WLAKE 2023-1A A2A                   | CUSIP: 96042XAB1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    365000 | PA      | $365238.35    | 0.13%             | 2026-06-15      | Fixed         | 5.51%                 | Yes           |                  2 | On Loan: No      |
| THE BOEING COMPANY                                         | BOEING CO/THE 4.508000% 05/01/2023                                               | CUSIP: 097023CS2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1245000 | PA      | $1243042.30   | 0.45%             | 2023-05-01      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| AT&T INC.                                                  | AT&T INC 9.150000% 02/01/2023                                                    | CUSIP: 00206RHN5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    600000 | PA      | $600000.00    | 0.22%             | 2023-02-01      | Fixed         | 9.15%                 | No            |                  2 | On Loan: No      |
| CITIZENS BANK, NATIONAL ASSOCIATION                        | CITIZENS BANK NA/PROVIDENCE RI 4.119000% 05/23/2025                              | CUSIP: 75524KNQ3<br>LEI: DRMSV1Q0EKMEXLAU1P80 | Long             | DBT              | CORP              | US        |    250000 | PA      | $246287.70    | 0.09%             | 2025-05-23      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                               | HUNTINGTON NATIONAL BANK/THE 4.008000% 05/16/2025                                | CUSIP: 44644MAD3<br>LEI: 2WHM8VNJH63UN14OL754 | Long             | DBT              | CORP              | US        |    250000 | PA      | $246156.36    | 0.09%             | 2025-05-16      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| DLLAD LLC                                                  | DLLAD 2023-1 LLC DLLAD 2023-1A A2                                                | CUSIP: 233258AB8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    335000 | PA      | $334981.84    | 0.12%             | 2026-04-20      | Fixed         | 5.19%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                        | CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-P1 CGCMT 2015-P1 AAB                    | CUSIP: 17324DAV6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    294962 | PA      | $288458.19    | 0.10%             | 2048-09-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                        | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-1 NRZT 2019-1A A1                       | CUSIP: 64830CAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    109881 | PA      | $102991.01    | 0.04%             | 2057-09-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG (New York Branch)                         | DEUTSCHE BANK AG/NEW YORK NY VARIABLE RATE 11/16/2027                            | CUSIP: 251526CN7<br>LEI: N/A                  | Long             | DBT              | NUSS              | DE        |    550000 | PA      | $519062.50    | 0.19%             | 2027-11-16      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INCORPORATED                          | MICROCHIP TECHNOLOGY INC 0.972000% 02/15/2024                                    | CUSIP: 595017BB9<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |    375000 | PA      | $358989.53    | 0.13%             | 2024-02-15      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCK FINANCE NORTH AMERICA LLC                    | DAIMLER TRUCK FINANCE NORTH AMERICA LLC 144A VARIABLE RATE 04/05/2024            | CUSIP: 233853AK6<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | DE        |    450000 | PA      | $450162.00    | 0.16%             | 2024-04-05      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| MF1 LTD                                                    | MF1 2022-FL8 LTD MF1 2022-FL8 A                                                  | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $384912.80    | 0.14%             | 2037-02-19      | Floating      | 5.66%                 | Yes           |                  2 | On Loan: No      |
| BANCO SANTANDER, S.A.                                      | BANCO SANTANDER SA 3.892000% 05/24/2024                                          | CUSIP: 05971KAM1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | NUSS              | ES        |    400000 | PA      | $394085.82    | 0.14%             | 2024-05-24      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| CCG RECEIVABLES TRUST                                      | CCG RECEIVABLES TRUST 2021-1 CCG 2021-1 A2                                       | CUSIP: 12510KAC7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    107676 | PA      | $104315.62    | 0.04%             | 2027-06-14      | Fixed         | 0.30%                 | Yes           |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                         | ROYALTY PHARMA PLC 0.750000% 09/02/2023                                          | CUSIP: 78081BAG8<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | NUSS              | US        |    700000 | PA      | $682311.20    | 0.24%             | 2023-09-02      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES TRUST                                 | GLS AUTO RECEIVABLES ISSUER TRUST 2021-1 GCAR 2021-1A B                          | CUSIP: 36261AAC9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     10203 | PA      | $10185.75     | 0.00%             | 2025-04-15      | Fixed         | 0.82%                 | Yes           |                  2 | On Loan: No      |
| CSMC TRUST                                                 | CSMC 2021-NQM3 CSMC 2021-NQM3 A1                                                 | CUSIP: 12660LAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    348591 | PA      | $291433.03    | 0.10%             | 2066-04-25      | Floating      | 1.01%                 | Yes           |                  2 | On Loan: No      |
| CENTERPOINT ENERGY RESOURCES CORP.                         | CENTERPOINT ENERGY RESOURCES CORP VARIABLE RATE 03/02/2023                       | CUSIP: 15189WAN0<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |    368000 | PA      | $368098.96    | 0.13%             | 2023-03-02      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                 | VERUS SECURITIZATION TRUST 2021-1 VERUS 2021-1 A2                                | CUSIP: 92537QAE1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    242967 | PA      | $203907.88    | 0.07%             | 2066-01-25      | Floating      | 1.05%                 | Yes           |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST                          | AFFIRM ASSET SECURITIZATION TRUST 2020-Z1 AFFRM 2020-Z1 A                        | CUSIP: 00832PAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     23602 | PA      | $23426.05     | 0.01%             | 2024-10-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| CARGILL, INCORPORATED                                      | CARGILL INC 144A 1.375000% 07/23/2023                                            | CUSIP: 141781BL7<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |    300000 | PA      | $295041.94    | 0.11%             | 2023-07-23      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED AUTO CREDIT SECURITIZATION TRUST                    | UNITED AUTO CREDIT SECURITIZATION TRUST 2022-1 UACST 2022-1 B                    | CUSIP: 90944DAC5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    440000 | PA      | $434820.01    | 0.16%             | 2025-03-10      | Fixed         | 2.10%                 | Yes           |                  2 | On Loan: No      |
| MAGNETITE CLO, LIMITED                                     | MAGNETITE XVI LTD MAGNE 2015-16A AR                                              | CUSIP: 55953RAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    291653 | PA      | $290306.60    | 0.10%             | 2028-01-18      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| United States of America                                   | US TREASURY N/B 0.125000% 10/15/2023                                             | CUSIP: 91282CAP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   3915000 | PA      | $3789750.58   | 1.36%             | 2023-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES TRUST                                 | GLS AUTO RECEIVABLES ISSUER TRUST 2021-3 GCAR 2021-3A A                          | CUSIP: 36263LAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     81649 | PA      | $81314.31     | 0.03%             | 2025-01-15      | Fixed         | 0.42%                 | Yes           |                  2 | On Loan: No      |
| 7-ELEVEN, INC.                                             | 7-ELEVEN INC 144A 0.625000% 02/10/2023                                           | CUSIP: 817826AA8<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |    360000 | PA      | $359622.00    | 0.13%             | 2023-02-10      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| BANQUE FEDERATIVE DU CREDIT MUTUEL SA                      | BANQUE FEDERATIVE DU CREDIT MUTUEL SA 144A 4.524000% 07/13/2025                  | CUSIP: 06675DCD2<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | NUSS              | FR        |    250000 | PA      | $247321.71    | 0.09%             | 2025-07-13      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL, INC.                                 | COREBRIDGE FINANCIAL INC 144A 3.500000% 04/04/2025                               | CUSIP: 21871XAA7<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    230000 | PA      | $222282.60    | 0.08%             | 2025-04-04      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST                                 | CPS AUTO RECEIVABLES TRUST 2021-C CPS 2021-C B                                   | CUSIP: 12598CAC0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    495074 | PA      | $490470.01    | 0.18%             | 2025-07-15      | Fixed         | 0.84%                 | Yes           |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST                          | AFFIRM ASSET SECURITIZATION TRUST 2021-Z2 AFFRM 2021-Z2 A                        | CUSIP: 00834TAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    139060 | PA      | $133382.70    | 0.05%             | 2026-11-16      | Fixed         | 1.17%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | FANNIE MAE REMICS FNR 2001-33 FA                                                 | CUSIP: 31359S6L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      2475 | PA      | $2460.63      | 0.00%             | 2031-07-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                   | COLT 2020-3 MORTGAGE LOAN TRUST COLT 2020-3 A1                                   | CUSIP: 12597QAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     45557 | PA      | $42774.19     | 0.02%             | 2065-04-27      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                      | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C32 WFCM 2016-C32 ASB                 | CUSIP: 94989YBA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    149141 | PA      | $144975.15    | 0.05%             | 2059-01-15      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST                                 | LAD AUTO RECEIVABLES TRUST 2022-1 LADAR 2022-1A A                                | CUSIP: 501687AA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    229187 | PA      | $226188.09    | 0.08%             | 2027-06-15      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| OBX TRUST                                                  | OBX 2021-NQM2 TRUST OBX 2021-NQM2 A1                                             | CUSIP: 670857AA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    293565 | PA      | $235475.99    | 0.08%             | 2061-05-25      | Floating      | 1.10%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP INC.                                             | CITIGROUP INC VARIABLE RATE 05/01/2025                                           | CUSIP: 172967MW8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    250000 | PA      | $247665.00    | 0.09%             | 2025-05-01      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB COMPANY                               | BRISTOL-MYERS SQUIBB CO 0.537000% 11/13/2023                                     | CUSIP: 110122DT2<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    425000 | PA      | $411053.94    | 0.15%             | 2023-11-13      | Fixed         | 0.54%                 | No            |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST               | AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2023- ACAR 2023-1 A                 | CUSIP: 02530UAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    435000 | PA      | $434981.39    | 0.16%             | 2026-09-14      | Fixed         | 5.45%                 | Yes           |                  2 | On Loan: No      |
| CREDIT SUISSE AG (NEW YORK BRANCH)                         | CREDIT SUISSE AG/NEW YORK NY 4.750000% 08/09/2024                                | CUSIP: 22550L2J9<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | NUSS              | CH        |    250000 | PA      | $245014.70    | 0.09%             | 2024-08-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PFS FINANCING CORP.                                        | PFS FINANCING CORP PFSFC 2020-G A                                                | CUSIP: 69335PDX0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    750000 | PA      | $716930.48    | 0.26%             | 2026-02-15      | Fixed         | 0.97%                 | Yes           |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC.                                  | BAXTER INTERNATIONAL INC VARIABLE RATE 11/29/2024                                | CUSIP: 071813DB2<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |    425000 | PA      | $418195.62    | 0.15%             | 2024-11-29      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST                                    | CARMAX AUTO OWNER TRUST 2023-1 CARMX 2023-1 A2A                                  | CUSIP: 14318DAB5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    555000 | PA      | $554740.15    | 0.20%             | 2026-01-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| CNH EQUIPMENT TRUST                                        | CNH EQUIPMENT TRUST 2022-B CNH 2022-B A2                                         | CUSIP: 12663JAB7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    140000 | PA      | $138845.92    | 0.05%             | 2025-12-15      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| CARBONE CLO                                                | CARBONE CLO LTD CRBN 2017-1A A1                                                  | CUSIP: 141312AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $247973.00    | 0.09%             | 2031-01-20      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                   | AMERICAN EXPRESS CO 0.750000% 11/03/2023                                         | CUSIP: 025816CK3<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   2005000 | PA      | $1948305.32   | 0.70%             | 2023-11-03      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| DONLEN FLEET LEASE FUNDING 2                               | DONLEN FLEET LEASE FUNDING 2 LLC DFLF2 2021-2 A2                                 | CUSIP: 257812AD9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    214020 | PA      | $207748.77    | 0.07%             | 2034-12-11      | Fixed         | 0.56%                 | Yes           |                  2 | On Loan: No      |
| CIFC FUNDING LTD                                           | CIFC FUNDING 2018-II LTD CIFC 2018-2A A1                                         | CUSIP: 17180WAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $297257.10    | 0.11%             | 2031-04-20      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                        | COMM 2014-CCRE18 MORTGAGE TRUST COMM 2014-CR18 ASB                               | CUSIP: 12632QAU7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    133269 | PA      | $132550.37    | 0.05%             | 2047-07-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| SANTANDER BANK, N.A.                                       | SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 202 SBCLN 2022-C B                | CUSIP: 80290CBF0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    330517 | PA      | $330654.23    | 0.12%             | 2032-12-15      | Fixed         | 6.45%                 | Yes           |                  2 | On Loan: No      |
| BANQUE CANADIENNE IMPERIALE DE COMMERCE                    | CANADIAN IMPERIAL BANK OF COMMERCE VARIABLE RATE 03/17/2023                      | CUSIP: 13607GKW3<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | NUSS              | CA        |    500000 | PA      | $500317.42    | 0.18%             | 2023-03-17      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                    | GA GLOBAL FUNDING TRUST 144A VARIABLE RATE 09/13/2024                            | CUSIP: 36143L2E4<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |   1745000 | PA      | $1700746.80   | 0.61%             | 2024-09-13      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST                               | FORD CREDIT AUTO OWNER TRUST 2018-REV1 FORDR 2018-1 A                            | CUSIP: 34532RAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    480000 | PA      | $465360.82    | 0.17%             | 2031-07-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                 | VERUS SECURITIZATION TRUST 2019-INV3 VERUS 2019-INV3 A1                          | CUSIP: 92537MAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     59022 | PA      | $56359.61     | 0.02%             | 2059-11-25      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| PERKINELMER, INC.                                          | PERKINELMER INC 0.550000% 09/15/2023                                             | CUSIP: 714046AK5<br>LEI: 549300IKL1SDPFI7N655 | Long             | DBT              | CORP              | US        |    600000 | PA      | $581783.48    | 0.21%             | 2023-09-15      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST                                 | VERUS SECURITIZATION TRUST 2019-4 VERUS 2019-4 A1                                | CUSIP: 92537KAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     36365 | PA      | $34703.06     | 0.01%             | 2059-11-25      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST                         | ELLINGTON FINANCIAL MORTGAGE TRUST 2021-2 EFMT 2021-2 A1                         | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    142879 | PA      | $117033.41    | 0.04%             | 2066-06-25      | Floating      | 0.93%                 | Yes           |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION LOAN TRUST                       | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-D NAVSL 2020-DA A                 | CUSIP: 63941HAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    453199 | PA      | $411482.93    | 0.15%             | 2069-05-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | FANNIE MAE REMICS FNR 2012-63 MA                                                 | CUSIP: 3136A6TC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    243998 | PA      | $240274.69    | 0.09%             | 2040-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MISSISSIPPI POWER COMPANY                                  | MISSISSIPPI POWER CO VARIABLE RATE 06/28/2024                                    | CUSIP: 605417CC6<br>LEI: LNZ0J6YZ5SC6ILIRU850 | Long             | DBT              | CORP              | US        |    350000 | PA      | $345497.83    | 0.12%             | 2024-06-28      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE, LLC                   | VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 144A 3.125000% 05/12/2023                | CUSIP: 928668BD3<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | DE        |   1275000 | PA      | $1268619.20   | 0.45%             | 2023-05-12      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | FANNIE MAE POOL FN 995253                                                        | CUSIP: 31416BTJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |        64 | PA      | $63.54        | 0.00%             | 2023-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST                            | BRAVO RESIDENTIAL FUNDING TRUST 2021-NQM3 BRAVO 2021-NQM3 A1                     | CUSIP: 105690AA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    220537 | PA      | $200100.24    | 0.07%             | 2060-04-25      | Floating      | 1.70%                 | Yes           |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS, INC.                      | NEXTERA ENERGY CAPITAL HOLDINGS INC VARIABLE RATE 03/01/2023                     | CUSIP: 65339KBV1<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    375000 | PA      | $375010.67    | 0.13%             | 2023-03-01      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCES COMPANY                          | PIONEER NATURAL RESOURCES CO 0.550000% 05/15/2023                                | CUSIP: 723787AU1<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    830000 | PA      | $819799.23    | 0.29%             | 2023-05-15      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| COLT MORTGAGE LOAN TRUST                                   | COLT 2021-HX1 MORTGAGE LOAN TRUST COLT 2021-HX1 A1                               | CUSIP: 19688KAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    453642 | PA      | $377742.54    | 0.14%             | 2066-10-25      | Floating      | 1.11%                 | Yes           |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRISE GROUP INCORPORATED               | PUBLIC SERVICE ENTERPRISE GROUP INC 0.841000% 11/08/2023                         | CUSIP: 744573AT3<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |   2370000 | PA      | $2292769.26   | 0.82%             | 2023-11-08      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| GCAT TRUST                                                 | GCAT 2021-CM1 TRUST GCAT 2021-CM1 A                                              | CUSIP: 36168AAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    270682 | PA      | $255500.91    | 0.09%             | 2065-04-25      | Floating      | 1.47%                 | Yes           |                  2 | On Loan: No      |
| TAKE-TWO INTERACTIVE SOFTWARE, INC.                        | TAKE-TWO INTERACTIVE SOFTWARE INC 3.300000% 03/28/2024                           | CUSIP: 874054AE9<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |    525000 | PA      | $514533.04    | 0.18%             | 2024-03-28      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                    | NTT FINANCE CORP 144A 0.373000% 03/03/2023                                       | CUSIP: 62954WAA3<br>LEI: 3538007PR116187GD960 | Long             | DBT              | NUSS              | JP        |   1950000 | PA      | $1942921.50   | 0.70%             | 2023-03-03      | Fixed         | 0.37%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST                                    | CARMAX AUTO OWNER TRUST 2022-3 CARMX 2022-3 A2A                                  | CUSIP: 14318MAB5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    546617 | PA      | $542409.92    | 0.19%             | 2025-09-15      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| THE FEDERAL HOME LOAN BANKS                                | FED HOME LN DISCOUNT NT ZERO COUPON 07/14/2023                                   | CUSIP: 313384JC4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    236000 | PA      | $230940.29    | 0.08%             | 2023-07-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO CREDIT LINKED NOTES                             | JPMORGAN CHASE BANK NA - CACLN CACLN 2020-2 B                                    | CUSIP: 46591HAU4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    318815 | PA      | $311636.00    | 0.11%             | 2028-02-25      | Fixed         | 0.84%                 | Yes           |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST                        | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQM2R NRZT 2021-NQ2R A1                 | CUSIP: 64831EAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     86311 | PA      | $77885.12     | 0.03%             | 2058-10-25      | Floating      | 0.94%                 | No            |                  2 | On Loan: No      |
| BUNKER HILL LOAN DEPOSITARY TRUST                          | BUNKER HILL LOAN DEPOSITARY TRUST 2020-1 BHLD 2020-1 A1                          | CUSIP: 12062RAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     79154 | PA      | $75637.49     | 0.03%             | 2055-02-25      | Floating      | 1.72%                 | No            |                  2 | On Loan: No      |
| United States of America                                   | TREASURY BILL 0.000000% 07/13/2023                                               | CUSIP: 912796XQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $979401.25    | 0.35%             | 2023-07-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KPLB A                   | CUSIP: 3137BJQ71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    300000 | PA      | $289449.33    | 0.10%             | 2025-05-25      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| DUNKIN BRANDS                                              | DB MASTER FINANCE LLC DNKN 2019-1A A2II                                          | CUSIP: 233046AK7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    604688 | PA      | $577449.96    | 0.21%             | 2049-05-20      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                    | HYUNDAI CAPITAL AMERICA MTN 0.800000% 04/03/2023                                 | CUSIP: 44891ABU0<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    450000 | PA      | $446908.50    | 0.16%             | 2023-04-03      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | FANNIE MAE POOL FN 344313                                                        | CUSIP: 31375TN61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |        40 | PA      | $39.83        | 0.00%             | 2025-11-01      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST                                    | GSR MORTGAGE LOAN TRUST 2007-AR2 GSR 2007-AR2 1A1                                | CUSIP: 3622N6AA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     57778 | PA      | $32761.15     | 0.01%             | 2037-05-25      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | FANNIE MAE POOL FN AD0054                                                        | CUSIP: 31418MBY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |         5 | PA      | $5.14         | 0.00%             | 2024-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FUNDING TRUST                            | BRAVO RESIDENTIAL FUNDING TRUST 2020-NQM1 BRAVO 2020-NQM1 A1                     | CUSIP: 105699AA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     78327 | PA      | $74593.87     | 0.03%             | 2060-05-25      | Floating      | 1.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                      | FANNIE MAE 3.875000% 08/28/2024                                                  | CUSIP: 3135G06W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1700000 | PA      | $1676055.93   | 0.60%             | 2024-08-28      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                               | BX COMMERCIAL MORTGAGE TRUST 2019-XL BX 2019-XL A                                | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    526862 | PA      | $524561.71    | 0.19%             | 2036-10-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| THE SHERWIN-WILLIAMS COMPANY                               | SHERWIN-WILLIAMS CO/THE 4.050000% 08/08/2024                                     | CUSIP: 824348BQ8<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |    250000 | PA      | $247156.98    | 0.09%             | 2024-08-08      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                        | COMMONSPIRIT HEALTH 4.200000% 08/01/2023                                         | CUSIP: 14916RAF1<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |   1115000 | PA      | $1108640.71   | 0.40%             | 2023-08-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| DT AUTO OWNER TRUST                                        | DT AUTO OWNER TRUST 2021-3 DTAOT 2021-3A A                                       | CUSIP: 23344QAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     96398 | PA      | $95722.19     | 0.03%             | 2025-04-15      | Fixed         | 0.33%                 | Yes           |                  2 | On Loan: No      |
| UNITED AUTO CREDIT SECURITIZATION TRUST                    | UNITED AUTO CREDIT SECURITIZATION TRUST 2022-2 UACST 2022-2 A                    | CUSIP: 90944KAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    399280 | PA      | $397642.92    | 0.14%             | 2025-04-10      | Fixed         | 4.39%                 | Yes           |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST                                 | FLAGSHIP CREDIT AUTO TRUST 2021-1 FCAT 2021-1 A                                  | CUSIP: 33843WAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     28531 | PA      | $28415.69     | 0.01%             | 2025-06-16      | Fixed         | 0.31%                 | Yes           |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING LLC                             | ENTERPRISE FLEET FINANCING 2021-2 LLC EFF 2021-2 A2                              | CUSIP: 29374YAB8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    167896 | PA      | $160989.44    | 0.06%             | 2027-05-20      | Fixed         | 0.48%                 | Yes           |                  2 | On Loan: No      |
| KKR CLO LTD/LLC                                            | KKR CLO 11 LTD KKR 11 AR                                                         | CUSIP: 48250MAK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    325000 | PA      | $321831.90    | 0.12%             | 2031-01-15      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| WarnerMedia Holdings, Inc.                                 | WARNERMEDIA HOLDINGS INC 144A 3.428000% 03/15/2024                               | CUSIP: 55903VAC7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    750000 | PA      | $734051.97    | 0.26%             | 2024-03-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-31

**Name of Applicant:** SEI DAILY INCOME TRUST

**Signature:** Ankit Puri

**Name of Signer:** Ankit Puri

**Title:** CFO