# EDGAR Filing Document

**Accession Number:** 0001485894
**File Stem:** 0002071691-25-004169
**Filing Date:** 2025-10
**Character Count:** 499115
**Document Hash:** d59bba469b10d1681c678b8130f0bdac
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-25-004169.hdr.sgml**: 20251029

**ACCESSION NUMBER**: 0002071691-25-004169

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250831

**FILED AS OF DATE**: 20251029

**DATE AS OF CHANGE**: 20251029

**PERIOD START**: 20260228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** J.P. Morgan Exchange-Traded Fund Trust
- **CENTRAL INDEX KEY:** 0001485894

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22903
- **FILM NUMBER:** 251429183

**BUSINESS ADDRESS:**
- **STREET 1:** 277 PARK AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10172
- **BUSINESS PHONE:** (800) 480-4111

**MAIL ADDRESS:**
- **STREET 1:** 277 PARK AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10172

## Series and Classes Contracts Data

### JPMorgan Active Bond ETF (Series ID: S000081828)

| Class ID   | Class Name               | Ticker Symbol   |
|:---|:---|:---|
| C000244901 | JPMorgan Active Bond ETF | JBND            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** J.P. Morgan Exchange-Traded Fund Trust

- **b. Investment Company Act file number:** 811-22903

- **c. CIK number of Registrant:** 0001485894

- **d. LEI of Registrant:** 5493001E1K1DVWDV2464

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

  - **Street Address 1:** 277 Park Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10172

  - **Telephone number:** 844-457-6383

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

- **a. Name of Series:** JPMorgan Active Bond ETF

- **b. EDGAR series identifier (if any):** S000081828

- **c. LEI of Series:** 5493000MOG2CRB378P65

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

- **a. Date of fiscal year-end:** 2026-02-28

- **b. Date as of which information is reported:** 2025-08-31

**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:** $3028094730.38

**Total Liabilities:** $56752404.78

**Net Assets:** $2971342325.60

**Delayed Delivery Securities:** $35040640.30

**Cash Not Reported:** $2305693.93

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 982.70598000 | **1-Year:** 73244.72889000 | **5-Year:** 361210.83701000 | **10-Year:** 420086.82044000 | **30-Year:** 107341.19774000

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

- **3-Month:** 0.00000000 | **1-Year:** 1685.91597000 | **5-Year:** 5832.22563000 | **10-Year:** 2761.84160000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000244901 | 1.63%                | -0.24%               | 1.38%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $192129.88               | $23973376.09                               |
| Month 2  | $18728.37                | $-12666101.66                              |
| Month 3  | $548265.52               | $22336765.62                               |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618KSX64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2095379 | PA      | $2222868.46   | 0.07%             | 2055-04-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Wolf Energy Asset Issuer LLC                           | Wolf Energy Asset Issuer LLC                                                       | CUSIP: 977701AE1<br>LEI: 254900JUY1UOGKD5MA90 | Long             | ABS-O            | CORP              | US        |   2929754 | PA      | $2929754.15   | 0.10%             | 2050-07-25      | Variable      | 5.70%                 | No            |                  3 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140HV4P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289639 | PA      | $269706.54    | 0.01%             | 2029-10-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC Gold Pools, Other                                                            | CUSIP: 3133LWAC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    449836 | PA      | $429880.74    | 0.01%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 31427NUB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14914873 | PA      | $14845509.20  | 0.50%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2018-K77, Class C                                     | CUSIP: 30296VAU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $985047.90    | 0.03%             | 2051-05-25      | Variable      | 4.30%                 | Yes           |                  2 | On Loan: No      |
| HINNT LLC                                              | HINNT LLC, Series 2024-A, Class C                                                  | CUSIP: 40472QAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    380884 | PA      | $386795.97    | 0.01%             | 2043-03-15      | Fixed         | 6.32%                 | Yes           |                  2 | On Loan: No      |
| Plains All American Pipeline LP                        | Plains All American Pipeline LP                                                    | CUSIP: 72650RBH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    450000 | PA      | $381264.17    | 0.01%             | 2045-02-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| KeyCorp                                                | KeyCorp                                                                            | CUSIP: 49326EEQ2<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    810000 | PA      | $828582.10    | 0.03%             | 2031-04-04      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                    | Societe Generale SA                                                                | CUSIP: 83368RCG5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    625000 | PA      | $640061.29    | 0.02%             | 2031-05-22      | Variable      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXNN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5599455 | PA      | $4624096.03   | 0.16%             | 2059-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2022-12, Class GE                                              | CUSIP: 3136BMDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6083407 | PA      | $5619202.19   | 0.19%             | 2052-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                           | Hilton Grand Vacations Trust, Series 2022-2A, Class B                              | CUSIP: 43283GAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    231559 | PA      | $230739.22    | 0.01%             | 2037-01-25      | Fixed         | 4.74%                 | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                 | Cascade MH Asset Trust, Series 2021-MH1, Class A1                                  | CUSIP: 14731QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2138671 | PA      | $1939820.75   | 0.07%             | 2046-02-25      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                           | Pacific Gas and Electric Co.                                                       | CUSIP: 694308JQ1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    955000 | PA      | $815019.69    | 0.03%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618HSDM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1384127 | PA      | $1455409.59   | 0.05%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Corevest American Finance Trust                        | Corevest American Finance Trust, Series 2020-4, Class E                            | CUSIP: 21873AAN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3432000 | PA      | $3037937.76   | 0.10%             | 2052-12-15      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| MPLX LP                                                | MPLX LP                                                                            | CUSIP: 55336VBZ2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    365000 | PA      | $344253.77    | 0.01%             | 2055-04-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140X8P92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1374989 | PA      | $1108366.79   | 0.04%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                    | Constellation Energy Generation LLC                                                | CUSIP: 30161MAN3<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    850000 | PA      | $834354.74    | 0.03%             | 2042-06-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618NNGJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4044779 | PA      | $4248301.36   | 0.14%             | 2055-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2022-2, Class MA                 | CUSIP: 35563PE39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2690002 | PA      | $2426933.07   | 0.08%             | 2062-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XP5B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3600100 | PA      | $3029453.92   | 0.10%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CarMax Select Receivables Trust                        | CarMax Select Receivables Trust, Series 2025-A, Class C                            | CUSIP: 14319UAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5113997.00   | 0.17%             | 2031-07-15      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NYPN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3050000 | PA      | $3164164.28   | 0.11%             | 2033-05-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| RFT TRUST                                              | RFT TRUST, Series 2024-2, Class A1                                                 | CUSIP: 76201AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3431395 | PA      | $3427791.74   | 0.12%             | 2028-09-27      | Variable      | 7.11%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140JBUY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1975000 | PA      | $1748311.01   | 0.06%             | 2032-02-01      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                 | Cascade MH Asset Trust, Series 2019-MH1, Class M                                   | CUSIP: 14732FAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3873221.20   | 0.13%             | 2044-11-25      | Variable      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| MFA Trust                                              | MFA Trust, Series 2024-RTL3, Class A1                                              | CUSIP: 59319PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2519171.50   | 0.08%             | 2039-11-25      | Variable      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| MPLX LP                                                | MPLX LP                                                                            | CUSIP: 55336VBY5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   1440000 | PA      | $1429795.12   | 0.05%             | 2035-04-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LBZA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    750000 | PA      | $653971.37    | 0.02%             | 2033-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| VOLT XCIV LLC                                          | VOLT XCIV LLC, Series 2021-NPL3, Class A1                                          | CUSIP: 92873AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2732 | PA      | $2730.36      | 0.00%             | 2051-02-27      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2012-13, Class FQ                                                     | CUSIP: 38378CMS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    301939 | PA      | $301646.34    | 0.01%             | 2038-01-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                          | Comcast Corp.                                                                      | CUSIP: 20030NEJ6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    500000 | PA      | $514666.97    | 0.02%             | 2034-06-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GAM Re-REMIC Trust                                     | GAM Re-REMIC Trust, Series 2021-FRR1, Class 2B                                     | CUSIP: 364614AQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3486646.00   | 0.12%             | 2050-11-29      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| RFM Re-REMIC Trust                                     | RFM Re-REMIC Trust, Series 2022-FRR1, Class AB60                                   | CUSIP: 74971BBP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6930000 | PA      | $6618215.84   | 0.22%             | 2049-11-08      | Variable      | 2.34%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA ACES, Series 2021-M8, Class A2                                                | CUSIP: 3136BFHD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5780670 | PA      | $5175153.04   | 0.17%             | 2035-11-25      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-66, Class QA                                                     | CUSIP: 38382RYB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    450669 | PA      | $346149.12    | 0.01%             | 2050-03-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                              | HCA, Inc.                                                                          | CUSIP: 404119CL1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1435000 | PA      | $1139575.22   | 0.04%             | 2052-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2022-4, Class C                     | CUSIP: 80286FAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    545000 | PA      | $547869.43    | 0.02%             | 2029-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FRTKL                                                  | FRTKL, Series 2021-SFR1, Class E2                                                  | CUSIP: 30322DAU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1150000 | PA      | $1110861.59   | 0.04%             | 2038-09-17      | Fixed         | 2.52%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CKV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5820000 | PA      | $5915257.05   | 0.20%             | 2027-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class HT                 | CUSIP: 35563PDD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2798584 | PA      | $2537607.10   | 0.09%             | 2057-06-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NWBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1715789 | PA      | $1749191.40   | 0.06%             | 2032-01-01      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2012-124, Class PA                                             | CUSIP: 3136A9Z92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93316 | PA      | $87254.35     | 0.00%             | 2042-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust          | Bridgecrest Lending Auto Securitization Trust, Series 2024-3, Class C              | CUSIP: 10805NAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1564000 | PA      | $1583922.08   | 0.05%             | 2029-07-16      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3622ADZQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4657618 | PA      | $4139805.09   | 0.14%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NWCD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1827926 | PA      | $1844788.94   | 0.06%             | 2033-03-01      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2021-B, Class C                                     | CUSIP: 68377GAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    572491 | PA      | $566106.65    | 0.02%             | 2031-05-08      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                     | T-Mobile USA, Inc.                                                                 | CUSIP: 87264ABL8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    595000 | PA      | $434715.42    | 0.01%             | 2041-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179XNA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3809969 | PA      | $3249120.98   | 0.11%             | 2052-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HINNT LLC                                              | HINNT LLC, Series 2025-A, Class B                                                  | CUSIP: 433403AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3334236 | PA      | $3368813.74   | 0.11%             | 2044-03-15      | Fixed         | 5.45%                 | Yes           |                  2 | On Loan: No      |
| ROCK Trust                                             | ROCK Trust, Series 2024-CNTR, Class B                                              | CUSIP: 74970WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2068448.00   | 0.07%             | 2041-11-13      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3132DNXS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    806732 | PA      | $804393.98    | 0.03%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-2, Class HT                 | CUSIP: 35563PBE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    643546 | PA      | $556236.30    | 0.02%             | 2056-08-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Crossroads Asset Trust                                 | Crossroads Asset Trust, Series 2025-A, Class D                                     | CUSIP: 22767VAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1680000 | PA      | $1702315.94   | 0.06%             | 2032-02-20      | Fixed         | 6.16%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3900000 | PA      | $2982585.92   | 0.10%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                                    | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   7000000 | PA      | $7218057.00   | 0.24%             | 2036-01-28      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                        | Goodgreen Trust, Series 2017-1A, Class A                                           | CUSIP: 38217VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1844096 | PA      | $1700659.84   | 0.06%             | 2052-10-15      | Fixed         | 3.74%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                   | FNMA ACES, Series 2020-M53, Class A2                                               | CUSIP: 3136BC7H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27000 | PA      | $22798.91     | 0.00%             | 2032-11-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                 | Cascade MH Asset Trust, Series 2021-MH1, Class M2                                  | CUSIP: 14731QAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1490000 | PA      | $1179951.56   | 0.04%             | 2046-02-25      | Fixed         | 3.69%                 | Yes           |                  2 | On Loan: No      |
| Leidos, Inc.                                           | Leidos, Inc.                                                                       | CUSIP: 52532XAH8<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1111340.00   | 0.04%             | 2031-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 9128286B1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  47800000 | PA      | $46287578.36  | 1.56%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 31418ECS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4393764 | PA      | $3975897.22   | 0.13%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179X5D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3388404 | PA      | $3105127.43   | 0.10%             | 2053-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ROCK Trust                                             | ROCK Trust, Series 2024-CNTR, Class A                                              | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $720550.18    | 0.02%             | 2041-11-13      | Fixed         | 5.39%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2835479 | PA      | $2397408.07   | 0.08%             | 2061-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6250000 | PA      | $5301269.50   | 0.18%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Consumer Portfolio Services Auto Trust                 | Consumer Portfolio Services Auto Trust, Series 2025-B, Class D                     | CUSIP: 12630SAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2200000 | PA      | $2235074.16   | 0.08%             | 2031-07-15      | Fixed         | 5.56%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                  | FMC GMSR Issuer Trust, Series 2022-GT1, Class B                                    | CUSIP: 30259RAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $506642.25    | 0.02%             | 2027-04-25      | Fixed         | 7.17%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                   | LHOME Mortgage Trust, Series 2024-RTL5, Class A1                                   | CUSIP: 50205WAA5<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1101894.86   | 0.04%             | 2039-09-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Corevest American Finance Trust                        | Corevest American Finance Trust, Series 2020-2, Class C                            | CUSIP: 21872VAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    525000 | PA      | $520693.79    | 0.02%             | 2052-05-15      | Variable      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| NatWest Group plc                                      | NatWest Group plc                                                                  | CUSIP: 639057AS7<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    792000 | PA      | $808541.32    | 0.03%             | 2030-08-15      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                        | Santander UK Group Holdings plc                                                    | CUSIP: 80281LAU9<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    680000 | PA      | $688798.49    | 0.02%             | 2030-09-11      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| Fn                                                     | Fn                                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   1257000 | PA      | $1281318.26   | 0.04%             | 2033-08-25      | Fixed         | 4.95%                 | No            |                  3 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CLQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16740000 | PA      | $16824353.86  | 0.57%             | 2027-10-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                  | Vendee Mortgage Trust, Series 2010-1, Class DZ                                     | CUSIP: 92261XAC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1577996 | PA      | $1539343.82   | 0.05%             | 2040-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHF Issuer Trust                                       | FHF Issuer Trust, Series 2023-2A, Class B                                          | CUSIP: 30333LAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    450000 | PA      | $469327.91    | 0.02%             | 2029-11-15      | Fixed         | 7.49%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2017-87, Class EA                                              | CUSIP: 3136AYU84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240453 | PA      | $218518.81    | 0.01%             | 2044-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618NNGK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5497387 | PA      | $5607057.23   | 0.19%             | 2055-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust LLC                                | SCF Equipment Trust LLC, Series 2025-1A, Class A3                                  | CUSIP: 78437DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1700000 | PA      | $1742676.12   | 0.06%             | 2033-11-21      | Fixed         | 5.11%                 | Yes           |                  2 | On Loan: No      |
| EIDP, Inc.                                             | EIDP, Inc.                                                                         | CUSIP: 263534CS6<br>LEI: GLU7INWNWH88J9XBXD45 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1539016.25   | 0.05%             | 2032-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| NTT Finance Corp.                                      | NTT Finance Corp.                                                                  | CUSIP: 62954WAN5<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    400000 | PA      | $411268.90    | 0.01%             | 2031-07-02      | Fixed         | 5.14%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA I, 30 Year                                                                    | CUSIP: 3618BHKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1136051 | PA      | $1179264.79   | 0.04%             | 2053-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36180AB51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3767012 | PA      | $3338862.35   | 0.11%             | 2054-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618K83Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2846801 | PA      | $2993532.24   | 0.10%             | 2055-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XQAQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1050499 | PA      | $952610.01    | 0.03%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XHEX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2761772 | PA      | $2584174.83   | 0.09%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QGT49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1385055 | PA      | $1160923.11   | 0.04%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179YRC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4263713 | PA      | $3796308.84   | 0.13%             | 2054-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NYPM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1550000 | PA      | $1612851.43   | 0.05%             | 2035-11-01      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust, Series 2023-N1, Class B                            | CUSIP: 14688FAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    343746 | PA      | $344354.71    | 0.01%             | 2027-11-10      | Fixed         | 5.85%                 | Yes           |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                   | Lhome Mortgage Trust, Series 2025-RTL2, Class A1                                   | CUSIP: 50206RAA5<br>LEI: 529900COAFD3IY51O355 | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3528186.55   | 0.12%             | 2040-04-25      | Variable      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XBZX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    692083 | PA      | $583115.85    | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                          | Comcast Corp.                                                                      | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1210000 | PA      | $952913.83    | 0.03%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133ALJE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    732703 | PA      | $588879.24    | 0.02%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                       | Boeing Co. (The)                                                                   | CUSIP: 097023BZ7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1450000 | PA      | $1010177.49   | 0.03%             | 2048-03-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NUPD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    605000 | PA      | $593877.84    | 0.02%             | 2034-01-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                  | Sumitomo Mitsui Financial Group, Inc.                                              | CUSIP: 86562MDZ0<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   2500000 | PA      | $2533232.43   | 0.09%             | 2033-07-08      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 31427NQ85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11248047 | PA      | $10514246.98  | 0.35%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2021-SFR11, Class E1                            | CUSIP: 74333XAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1415674.80   | 0.05%             | 2039-01-17      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                     | T-Mobile USA, Inc.                                                                 | CUSIP: 87264ADG7<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    964000 | PA      | $900158.16    | 0.03%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BAHA Trust                                             | BAHA Trust, Series 2024-MAR, Class A                                               | CUSIP: 05493XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2800000 | PA      | $2901194.52   | 0.10%             | 2041-12-10      | Variable      | 6.17%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-61, Class Z                                                      | CUSIP: 38378KGD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    752397 | PA      | $564243.38    | 0.02%             | 2054-10-16      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| Aircastle Ltd.                                         | Aircastle Ltd.                                                                     | CUSIP: 00929JAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    755000 | PA      | $770408.43    | 0.03%             | 2030-03-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                              | SCF Equipment Leasing LLC, Series 2024-1A, Class C                                 | CUSIP: 783896AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    290000 | PA      | $300806.21    | 0.01%             | 2032-09-20      | Fixed         | 5.82%                 | Yes           |                  2 | On Loan: No      |
| Home Depot, Inc. (The)                                 | Home Depot, Inc. (The)                                                             | CUSIP: 437076BA9<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $853725.33    | 0.03%             | 2043-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                       | Deutsche Bank AG                                                                   | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    175000 | PA      | $184127.75    | 0.01%             | 2029-01-18      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2018-K79, Class C                                     | CUSIP: 302956AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    145000 | PA      | $141881.46    | 0.00%             | 2051-07-25      | Variable      | 4.35%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                         | Home Partners of America Trust, Series 2022-1, Class D                             | CUSIP: 43730NAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    334018 | PA      | $329722.90    | 0.01%             | 2039-04-17      | Fixed         | 4.73%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LGJD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    795000 | PA      | $761524.85    | 0.03%             | 2032-06-01      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                    | DT Auto Owner Trust, Series 2022-2A, Class E                                       | CUSIP: 23345AAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2013159.00   | 0.07%             | 2029-05-15      | Fixed         | 6.45%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133BAFQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    784458 | PA      | $685169.69    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                    | GS Mortgage-Backed Securities Trust, Series 2024-RPL4, Class A1                    | CUSIP: 362948AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    792083 | PA      | $768660.96    | 0.03%             | 2061-09-25      | Variable      | 3.90%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                    | Societe Generale SA                                                                | CUSIP: 83368RBZ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    435000 | PA      | $439326.58    | 0.01%             | 2027-02-19      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| ABL                                                    | ABL, Series 2024-RTL1, Class A1                                                    | CUSIP: 00092EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3715000 | PA      | $3724695.41   | 0.13%             | 2029-09-25      | Variable      | 6.08%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5149, Class HB                                                | CUSIP: 3137H2SL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    564215 | PA      | $457230.67    | 0.02%             | 2048-08-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4487, Class TL                                                | CUSIP: 3137BK2R0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $911249.10    | 0.03%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 9128334T4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11285000 | PA      | $8731475.68   | 0.29%             | 2032-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3132DNTU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6196344 | PA      | $5423895.42   | 0.18%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                           | Bridge Trust, Series 2022-SFR1, Class E2                                           | CUSIP: 10805VAL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3987982.40   | 0.13%             | 2037-11-17      | Fixed         | 6.30%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3622ACP38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1492609 | PA      | $1376212.00   | 0.05%             | 2053-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2017-K71, Class B                                     | CUSIP: 35708WAS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $97997.33     | 0.00%             | 2050-11-25      | Variable      | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Essex Portfolio LP                                     | Essex Portfolio LP                                                                 | CUSIP: 29717PBB2<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1737409.38   | 0.06%             | 2035-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36189XM43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120513 | PA      | $110763.00    | 0.00%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618K84F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1483467 | PA      | $1585932.21   | 0.05%             | 2055-04-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FX3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3757914 | PA      | $3219181.99   | 0.11%             | 2064-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2018-K80, Class B                                     | CUSIP: 30307RAE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2076000 | PA      | $2036658.55   | 0.07%             | 2050-08-25      | Variable      | 4.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140MKHH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    953166 | PA      | $834459.82    | 0.03%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140AUU27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    794540 | PA      | $838717.01    | 0.03%             | 2054-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140QCEE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    531599 | PA      | $519421.82    | 0.02%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QF5E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    352565 | PA      | $295773.71    | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                    | GS Mortgage-Backed Securities Trust, Series 2025-SL1, Class A1                     | CUSIP: 362960AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5896976 | PA      | $5957968.75   | 0.20%             | 2067-11-25      | Variable      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class HT                 | CUSIP: 35563PME6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    607289 | PA      | $520040.57    | 0.02%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140J3BW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1665729.60   | 0.06%             | 2033-01-01      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                           | UBS Group AG                                                                       | CUSIP: 902613BM9<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1000000 | PA      | $970838.27    | 0.03%             | 2045-09-06      | Variable      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QNXN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    320127 | PA      | $299293.36    | 0.01%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust          | Bridgecrest Lending Auto Securitization Trust, Series 2025-3, Class D              | CUSIP: 107920AF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3022915.20   | 0.10%             | 2031-05-15      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140LV6B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4960715 | PA      | $4336153.57   | 0.15%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fn                                                     | Fn                                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   2542900 | PA      | $2544489.31   | 0.09%             | 2032-08-26      | Fixed         | 4.47%                 | No            |                  3 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC               | Sierra Timeshare Receivables Funding LLC, Series 2025-2A, Class C                  | CUSIP: 82653HAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1401377 | PA      | $1417196.66   | 0.05%             | 2044-04-20      | Fixed         | 5.32%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5141, Class PA                                                | CUSIP: 3137H1ZD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    293680 | PA      | $245540.92    | 0.01%             | 2050-04-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CMK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4680000 | PA      | $4810893.75   | 0.16%             | 2032-01-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4863, Class H                                                 | CUSIP: 3137FL2Y9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    455594 | PA      | $490312.53    | 0.02%             | 2049-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2019-12, Class BA                                              | CUSIP: 3136B4FJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263137 | PA      | $233884.03    | 0.01%             | 2049-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140JBTP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1485896 | PA      | $1295487.03   | 0.04%             | 2031-12-01      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133BGCS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1787316 | PA      | $1671878.58   | 0.06%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2025-SFR1, Class E1                                             | CUSIP: 00182MAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1607096.05   | 0.05%             | 2042-06-17      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140AEMQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1095856 | PA      | $1113617.46   | 0.04%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                   | FirstKey Homes Trust, Series 2021-SFR1, Class C                                    | CUSIP: 33767WAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    450000 | PA      | $436688.33    | 0.01%             | 2038-08-17      | Fixed         | 1.89%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140MB6X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    527495 | PA      | $439887.75    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2020-70, Class AD                                              | CUSIP: 3136BBW81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    297056 | PA      | $232013.33    | 0.01%             | 2050-10-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                       | OneMain Financial Issuance Trust, Series 2020-2A, Class C                          | CUSIP: 682696AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3600000 | PA      | $3453496.56   | 0.12%             | 2035-09-14      | Fixed         | 2.76%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 912834JP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2249000 | PA      | $1046995.07   | 0.04%             | 2041-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                         | Broadcom, Inc.                                                                     | CUSIP: 11135FCC3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    539000 | PA      | $536478.43    | 0.02%             | 2032-02-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Trust                                 | Invitation Homes Trust, Series 2024-SFR1, Class D                                  | CUSIP: 46188DAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1615000 | PA      | $1551470.42   | 0.05%             | 2041-09-17      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179W7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    913814 | PA      | $779295.85    | 0.03%             | 2052-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury Ultra Bond                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       189 | NC      | $-132412.67   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                  | FHLMC, STRIPS, Series 276, Class 20                                                | CUSIP: 3128HX5S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    222856 | PA      | $195275.99    | 0.01%             | 2042-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                           | Bridge Trust, Series 2025-SFR1, Class B                                            | CUSIP: 10807GAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5170000 | PA      | $4955011.75   | 0.17%             | 2042-09-17      | Fixed         | 4.20%                 | Yes           |                  2 | On Loan: No      |
| DuPont de Nemours, Inc.                                | DuPont de Nemours, Inc.                                                            | CUSIP: 26078JAF7<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1509090.45   | 0.05%             | 2048-11-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                           | Barclays plc                                                                       | CUSIP: 06738ECV5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1000000 | PA      | $1001152.69   | 0.03%             | 2035-09-10      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust              | GoodLeap Home Improvement Solutions Trust, Series 2025-1A, Class A                 | CUSIP: 38237EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1527316 | PA      | $1551531.18   | 0.05%             | 2049-02-20      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3132DPTL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2777272 | PA      | $2689139.46   | 0.09%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                      | GLS Auto Receivables Issuer Trust, Series 2021-4A, Class D                         | CUSIP: 36263DAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    715592 | PA      | $708779.11    | 0.02%             | 2027-10-15      | Fixed         | 2.48%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179XVM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1935250 | PA      | $1651836.02   | 0.06%             | 2053-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                              | BXP Trust, Series 2017-GM, Class E                                                 | CUSIP: 056083AN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4080000 | PA      | $3862125.14   | 0.13%             | 2039-06-13      | Variable      | 3.54%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4710, Class JE                                                | CUSIP: 3137FA6E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    543200 | PA      | $490873.24    | 0.02%             | 2047-06-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                  | United Mexican States                                                              | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    703000 | PA      | $739556.00    | 0.02%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                               | CFMT LLC, Series 2024-HB15, Class M2                                               | CUSIP: 15723AAC5<br>LEI: 98450050957GF5E1CD92 | Long             | ABS-MBS          | CORP              | US        |    300000 | PA      | $292875.36    | 0.01%             | 2034-08-25      | Variable      | 4.00%                 | Yes           |                  3 | On Loan: No      |
| Tricon Residential Trust                               | Tricon Residential Trust, Series 2023-SFR2, Class C                                | CUSIP: 895978AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $298961.46    | 0.01%             | 2040-12-17      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LGK84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $847652.09    | 0.03%             | 2032-09-01      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2024-5, Class D                     | CUSIP: 802920AG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1392000 | PA      | $1409688.14   | 0.05%             | 2032-02-17      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-2, Class MZ                 | CUSIP: 35563PFK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5153494 | PA      | $3939150.82   | 0.13%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                         | Home Partners of America Trust, Series 2021-2, Class E1                            | CUSIP: 43732VAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7335344 | PA      | $7081060.01   | 0.24%             | 2026-12-17      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-164, Class AO                                                    | CUSIP: 38384XSY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2665404 | PA      | $2152032.57   | 0.07%             | 2054-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2020-KHG2, Class C                                    | CUSIP: 302983AG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1704753.20   | 0.06%             | 2030-02-25      | Variable      | 3.17%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                  | FMC GMSR Issuer Trust, Series 2020-GT1, Class A                                    | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1600000 | PA      | $1570030.88   | 0.05%             | 2026-01-25      | Variable      | 4.45%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Other                                                                     | CUSIP: 3622ADGD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    454009 | PA      | $460310.87    | 0.02%             | 2064-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                     | Energy Transfer LP                                                                 | CUSIP: 29273RBF5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1510000 | PA      | $1328107.11   | 0.04%             | 2045-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                           | Bridge Trust, Series 2024-SFR1, Class C                                            | CUSIP: 10806DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    525000 | PA      | $506793.58    | 0.02%             | 2040-08-17      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| HCA, Inc.                                              | HCA, Inc.                                                                          | CUSIP: 404121AL9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    400000 | PA      | $383260.04    | 0.01%             | 2054-09-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                           | Upstart Securitization Trust, Series 2025-1, Class A                               | CUSIP: 91684PAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1717496 | PA      | $1728850.88   | 0.06%             | 2035-04-20      | Fixed         | 5.45%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CMN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10180000 | PA      | $10333892.99  | 0.35%             | 2028-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                   | FirstKey Homes Trust, Series 2022-SFRA, Class A                                    | CUSIP: 33768DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    293706 | PA      | $287480.64    | 0.01%             | 2039-03-17      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133KMTF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1849317 | PA      | $1545181.79   | 0.05%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                      | GLS Auto Receivables Issuer Trust, Series 2025-3A, Class D                         | CUSIP: 37989YAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2310000 | PA      | $2325088.46   | 0.08%             | 2031-06-16      | Fixed         | 5.16%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XDHD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2835110 | PA      | $2384171.95   | 0.08%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810QN1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      4000 | PA      | $4032.19      | 0.00%             | 2041-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Packaging Corp. of America                             | Packaging Corp. of America                                                         | CUSIP: 695156AY5<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | DBT              | CORP              | US        |   1005000 | PA      | $1010772.01   | 0.03%             | 2035-08-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Cardinal Health, Inc.                                  | Cardinal Health, Inc.                                                              | CUSIP: 14149YBV9<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |   2165000 | PA      | $2149821.55   | 0.07%             | 2035-09-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| ITC Holdings Corp.                                     | ITC Holdings Corp.                                                                 | CUSIP: 465685AH8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1036021.52   | 0.03%             | 2043-07-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NYS93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1649000 | PA      | $1703326.68   | 0.06%             | 2035-06-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury Long Bond                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       328 | NC      | $9695.68      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2022-SFR4, Class A                              | CUSIP: 74332XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    196953 | PA      | $197447.20    | 0.01%             | 2041-05-17      | Fixed         | 4.44%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                           | Hilton Grand Vacations Trust, Series 2025-1A, Class C                              | CUSIP: 43283CAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2613057 | PA      | $2641890.90   | 0.09%             | 2042-05-27      | Fixed         | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen Ltd.                                         | Goodgreen Ltd., Series 2024-1A, Class B                                            | CUSIP: 38217YAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    427310 | PA      | $417311.06    | 0.01%             | 2056-07-15      | Fixed         | 8.12%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QNTX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5727536 | PA      | $4971025.37   | 0.17%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                             | Aviation Capital Group LLC                                                         | CUSIP: 05369AAS0<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    545000 | PA      | $553979.08    | 0.02%             | 2030-04-10      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5027, Class JA                                                | CUSIP: 3137FWPZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134607 | PA      | $124671.87    | 0.00%             | 2044-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LF4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    417868 | PA      | $388809.69    | 0.01%             | 2032-04-01      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2022-2, Class M5TU               | CUSIP: 35563PG37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1291997 | PA      | $1209198.96   | 0.04%             | 2062-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bunge Ltd. Finance Corp.                               | Bunge Ltd. Finance Corp.                                                           | CUSIP: 120568BF6<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |    751000 | PA      | $731393.36    | 0.02%             | 2034-09-17      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K93, Class B                                     | CUSIP: 30313FAS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1951774.40   | 0.07%             | 2052-05-25      | Variable      | 4.26%                 | Yes           |                  2 | On Loan: No      |
| Perimeter Master Note Business Trust                   | Perimeter Master Note Business Trust, Series 2025-1A, Class B                      | CUSIP: 71384PBD2<br>LEI: 5493005H6EB040833X54 | Long             | ABS-O            | CORP              | US        |   2997000 | PA      | $3033265.50   | 0.10%             | 2030-12-16      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133AWKG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2805769 | PA      | $2454630.45   | 0.08%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3132DWFG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3022030 | PA      | $2997694.45   | 0.10%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Co. LLC                        | Oncor Electric Delivery Co. LLC                                                    | CUSIP: 68233JAS3<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    650000 | PA      | $628105.15    | 0.02%             | 2042-06-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group plc                              | Bank of Ireland Group plc                                                          | CUSIP: 06279JAD1<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    445000 | PA      | $462179.47    | 0.02%             | 2030-03-20      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Street Capital Group, Inc.                             | Street Capital Group, Inc.                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | CA        |   1988605 | PA      | $1988604.93   | 0.07%             | 2030-02-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Element Fleet Management Corp.                         | Element Fleet Management Corp.                                                     | CUSIP: 286181AP7<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |    800000 | PA      | $815708.55    | 0.03%             | 2030-03-25      | Fixed         | 5.04%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class MA                 | CUSIP: 35563PML0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5682280 | PA      | $5288713.09   | 0.18%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K98, Class C                                     | CUSIP: 30312DAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1887183.80   | 0.06%             | 2052-10-25      | Variable      | 3.86%                 | Yes           |                  2 | On Loan: No      |
| Enel Finance International NV                          | Enel Finance International NV                                                      | CUSIP: 29278GBE7<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    350000 | PA      | $359065.72    | 0.01%             | 2034-06-26      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                        | Citigroup, Inc.                                                                    | CUSIP: 17327CBA0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3755000 | PA      | $3794600.12   | 0.13%             | 2036-03-27      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CJN2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $3070546.86   | 0.10%             | 2028-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| M&T Bank Corp.                                         | M&T Bank Corp.                                                                     | CUSIP: 55261FAY0<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |   3570000 | PA      | $3652686.16   | 0.12%             | 2031-07-08      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                        | Danske Bank A/S                                                                    | CUSIP: 23636ABK6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    800000 | PA      | $815922.60    | 0.03%             | 2031-03-04      | Variable      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, Other                                                                     | CUSIP: 3622ADSP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1801055 | PA      | $1657134.63   | 0.06%             | 2065-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CAFL Issuer LP                                         | CAFL Issuer LP, Series 2025-RRTL1, Class A1                                        | CUSIP: 124760AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4600000 | PA      | $4638767.42   | 0.16%             | 2040-05-28      | Variable      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Broadcom, Inc.                                         | Broadcom, Inc.                                                                     | CUSIP: 11135FBX8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    350000 | PA      | $359897.32    | 0.01%             | 2029-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| GAM Re-REMIC Trust                                     | GAM Re-REMIC Trust, Series 2022-FRR3, Class BK71                                   | CUSIP: 36459DCE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8815000 | PA      | $8086725.86   | 0.27%             | 2050-11-27      | Variable      | 1.96%                 | Yes           |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                               | MRCD MARK Mortgage Trust, Series 2019-PARK, Class A                                | CUSIP: 55348UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $177000.00    | 0.01%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| Oncor Electric Delivery Co. LLC                        | Oncor Electric Delivery Co. LLC                                                    | CUSIP: 68233JDA9<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1000067.64   | 0.03%             | 2055-04-01      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding Trust                                     | HERO Funding Trust, Series 2020-1A, Class A                                        | CUSIP: 42772BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    448109 | PA      | $393371.52    | 0.01%             | 2057-09-20      | Fixed         | 2.59%                 | Yes           |                  3 | On Loan: No      |
| Barclays plc                                           | Barclays plc                                                                       | CUSIP: 06738ECZ6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1005000 | PA      | $1036648.33   | 0.03%             | 2036-02-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| RFM Reremic Trust                                      | RFM Re-REMIC Trust, Series 2024-FRR2, Class A100                                   | CUSIP: 74983PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1622719.60   | 0.05%             | 2052-11-27      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| ONEOK, Inc.                                            | ONEOK, Inc.                                                                        | CUSIP: 682680AT0<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    500000 | PA      | $422763.41    | 0.01%             | 2047-07-13      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Stream Innovations Issuer Trust                        | Stream Innovations Issuer Trust, Series 2024-1A, Class A                           | CUSIP: 86324CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    533707 | PA      | $556223.17    | 0.02%             | 2044-07-15      | Fixed         | 6.27%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust, Series 2022-SFR1, Class B                     | CUSIP: 64831KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    455000 | PA      | $441336.62    | 0.01%             | 2039-02-17      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CMR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  77535000 | PA      | $78610192.58  | 2.65%             | 2032-02-29      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                             | US Bancorp                                                                         | CUSIP: 91159HJV3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1027428.28   | 0.03%             | 2031-05-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-115, Class TS                                                    | CUSIP: 38384CP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2471162 | PA      | $2542870.22   | 0.09%             | 2053-06-20      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179YKL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4039074 | PA      | $3446578.23   | 0.12%             | 2053-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2025-B, Class D                                     | CUSIP: 68378QAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3027219.60   | 0.10%             | 2033-05-09      | Fixed         | 6.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NX4W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3542922 | PA      | $3610366.20   | 0.12%             | 2033-05-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-65, Class KC                                                     | CUSIP: 38382E8G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    430759 | PA      | $336749.50    | 0.01%             | 2050-05-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NXKS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2392751 | PA      | $2504573.60   | 0.08%             | 2031-10-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                  | United Mexican States                                                              | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1657000 | PA      | $1691797.00   | 0.06%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| APA Infrastructure Ltd.                                | APA Infrastructure Ltd.                                                            | CUSIP: 00188LAB3<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |   1487000 | PA      | $1447558.68   | 0.05%             | 2044-09-16      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LGMK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $92182.73     | 0.00%             | 2037-06-01      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CNM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  52000000 | PA      | $52402187.76  | 1.76%             | 2028-07-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                   | FirstKey Homes Trust, Series 2021-SFR1, Class E1                                   | CUSIP: 33767WAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6355000 | PA      | $6183451.22   | 0.21%             | 2038-08-17      | Fixed         | 2.39%                 | Yes           |                  2 | On Loan: No      |
| Royal Bank of Canada                                   | Royal Bank of Canada                                                               | CUSIP: 78017FZT3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    505000 | PA      | $509309.60    | 0.02%             | 2030-10-18      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5000, Class EA                                                | CUSIP: 3137FVFC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    737748 | PA      | $560286.39    | 0.02%             | 2050-07-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    600000 | PA      | $531609.37    | 0.02%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-KBF3, Class B                                    | CUSIP: 30311TAC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    171583 | PA      | $170452.93    | 0.01%             | 2029-01-25      | Floating      | 6.96%                 | Yes           |                  2 | On Loan: No      |
| CSMC OA LLC                                            | CSMC OA LLC, Series 2014-USA, Class A1                                             | CUSIP: 12649AAA7<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   6408073 | PA      | $5971586.84   | 0.20%             | 2037-09-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-50, Class LD                                                     | CUSIP: 38382PS60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    882689 | PA      | $767312.82    | 0.03%             | 2048-01-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 2024-MN9, Class M1                                                   | CUSIP: 355917AA3<br>LEI: 529900KWKEUIIIV9P337 | Long             | ABS-MBS          | USGSE             | US        |    912994 | PA      | $919677.47    | 0.03%             | 2044-10-25      | Floating      | 6.80%                 | Yes           |                  2 | On Loan: No      |
| Virginia Electric and Power Co.                        | Virginia Electric and Power Co.                                                    | CUSIP: 927804GU2<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1467546.42   | 0.05%             | 2055-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2021-SFR3, Class E1                                             | CUSIP: 00180UAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    785000 | PA      | $756905.48    | 0.03%             | 2038-10-17      | Fixed         | 2.33%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8495210 | PA      | $6751952.87   | 0.23%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2017-K68, Class B                                     | CUSIP: 30305EAE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2954027.70   | 0.10%             | 2049-10-25      | Variable      | 3.97%                 | Yes           |                  2 | On Loan: No      |
| WHARF Commercial Mortgage Trust                        | WHARF Commercial Mortgage Trust, Series 2025-DC, Class C                           | CUSIP: 92987LAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2045779.60   | 0.07%             | 2040-07-15      | Variable      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618LRH30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1451225 | PA      | $1511795.58   | 0.05%             | 2055-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Cadence Design Systems, Inc.                           | Cadence Design Systems, Inc.                                                       | CUSIP: 127387AP3<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | DBT              | CORP              | US        |    879000 | PA      | $870223.26    | 0.03%             | 2034-09-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                           | Hilton Grand Vacations Trust, Series 2024-3A, Class C                              | CUSIP: 43283NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3863022 | PA      | $3914407.94   | 0.13%             | 2040-08-27      | Fixed         | 5.71%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class MV                 | CUSIP: 35563PMN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2427042 | PA      | $2107123.89   | 0.07%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3132DUWZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7518330 | PA      | $6561262.33   | 0.22%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CLZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5951000 | PA      | $6039335.16   | 0.20%             | 2031-11-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                  | Vendee Mortgage Trust, Series 2011-1, Class DZ                                     | CUSIP: 92261WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1270927 | PA      | $1206606.61   | 0.04%             | 2046-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CLJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17907000 | PA      | $17836351.33  | 0.60%             | 2031-08-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2016-K58, Class C                                     | CUSIP: 35690AAU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1250000 | PA      | $1231713.13   | 0.04%             | 2049-09-25      | Variable      | 3.87%                 | Yes           |                  2 | On Loan: No      |
| Pioneer Natural Resources Co.                          | Pioneer Natural Resources Co.                                                      | CUSIP: 723787AR8<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |   6001000 | PA      | $5384404.21   | 0.18%             | 2031-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3617FL5S0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    736367 | PA      | $723713.42    | 0.02%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Oklahoma Gas and Electric Co.                          | Oklahoma Gas and Electric Co.                                                      | CUSIP: 678858BY6<br>LEI: 549300VJ8YXGPO8EV472 | Long             | DBT              | CORP              | US        |    450000 | PA      | $436404.99    | 0.01%             | 2053-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                 | Truist Financial Corp.                                                             | CUSIP: 89788MAU6<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   1070000 | PA      | $1096264.17   | 0.04%             | 2031-05-20      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $5170703.10   | 0.17%             | 2029-04-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Vodafone Group plc                                     | Vodafone Group plc                                                                 | CUSIP: 92857WCA6<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $382089.62    | 0.01%             | 2054-06-28      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2022-SFR2, Class E1                             | CUSIP: 74332VAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $687857.31    | 0.02%             | 2027-04-17      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  56374400 | PA      | $56044080.97  | 1.89%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                             | FNMA/FHLMC UMBS, Single Family, 30 Year                                            | CUSIP: 01F052698<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  17000000 | PA      | $17095705.58  | 0.58%             | 2055-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                    | Kinder Morgan, Inc.                                                                | CUSIP: 49456BAS0<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    615000 | PA      | $391232.79    | 0.01%             | 2050-08-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36183SX71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    285736 | PA      | $265691.31    | 0.01%             | 2046-03-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FRTKL                                                  | FRTKL, Series 2021-SFR1, Class D                                                   | CUSIP: 30322DAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    905000 | PA      | $875937.74    | 0.03%             | 2038-09-17      | Fixed         | 2.17%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4862, Class NO                                                | CUSIP: 3137FKUH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1804004 | PA      | $1128286.71   | 0.04%             | 2057-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PRM5 Trust                                             | PRM5 Trust, Series 2025-PRM5, Class B                                              | CUSIP: 693980AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2243830.95   | 0.08%             | 2033-03-10      | Variable      | 4.92%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen Ltd.                                         | Goodgreen Ltd., Series 2024-1A, Class A                                            | CUSIP: 38217YAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    427271 | PA      | $416119.23    | 0.01%             | 2056-07-15      | Fixed         | 6.29%                 | Yes           |                  3 | On Loan: No      |
| HSBC Holdings plc                                      | HSBC Holdings plc                                                                  | CUSIP: 404280EN5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1480000 | PA      | $1526184.81   | 0.05%             | 2030-11-19      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Verdant Receivables LLC                                | Verdant Receivables LLC, Series 2025-1A, Class B                                   | CUSIP: 92340GAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2400000 | PA      | $2449321.44   | 0.08%             | 2033-05-12      | Fixed         | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Healthpeak OP LLC                                      | Healthpeak OP LLC                                                                  | CUSIP: 42250GAA1<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |   1135000 | PA      | $1147208.43   | 0.04%             | 2035-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                          | Comcast Corp.                                                                      | CUSIP: 20030NBU4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $3537966.75   | 0.12%             | 2046-07-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                              | HCA, Inc.                                                                          | CUSIP: 404119CW7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    825000 | PA      | $795874.37    | 0.03%             | 2064-04-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140HVY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    364829 | PA      | $343558.22    | 0.01%             | 2029-11-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 912833XY1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  54875000 | PA      | $45482852.91  | 1.53%             | 2030-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                     | Aqua Finance Trust, Series 2019-A, Class B                                         | CUSIP: 038370AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3635719 | PA      | $3555953.60   | 0.12%             | 2040-07-16      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140KLQV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    897788 | PA      | $757260.86    | 0.03%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                 | Lendmark Funding Trust, Series 2021-1A, Class B                                    | CUSIP: 52607MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $380672.04    | 0.01%             | 2031-11-20      | Fixed         | 2.47%                 | Yes           |                  2 | On Loan: No      |
| Fiserv, Inc.                                           | Fiserv, Inc.                                                                       | CUSIP: 337738BN7<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    400000 | PA      | $400965.24    | 0.01%             | 2034-08-12      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| CRIBS Mortgage Trust                                   | CRIBS Mortgage Trust, Series 2025-RTL1, Class A1                                   | CUSIP: 12704NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $2021745.60   | 0.07%             | 2040-05-25      | Variable      | 5.81%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3132DWC35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    899001 | PA      | $781343.14    | 0.03%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140MMBA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2050887 | PA      | $1915490.18   | 0.06%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SARL                                       | JBS USA LUX Sarl                                                                   | CUSIP: 472140AC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    585000 | PA      | $587920.60    | 0.02%             | 2055-02-25      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Renew                                                  | Renew, Series 2024-1A, Class A                                                     | CUSIP: 75973VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5938414 | PA      | $5991275.04   | 0.20%             | 2059-11-20      | Fixed         | 6.21%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-44, Class QM                                                     | CUSIP: 38382PMS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4465029 | PA      | $3577164.57   | 0.12%             | 2051-03-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XCYK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2899942 | PA      | $2643854.98   | 0.09%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-97, Class FA                                                     | CUSIP: 38382VER6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    326463 | PA      | $281664.82    | 0.01%             | 2051-06-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QNWW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    943482 | PA      | $819160.15    | 0.03%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BG Beta I Ltd.                                         | BG Beta Ltd.                                                                       | CUSIP: 05593PAD8<br>LEI: 254900Z3OU5JTNX05R08 | Long             | ABS-O            | CORP              | KY        |    980000 | PA      | $1004378.48   | 0.03%             | 2054-07-16      | Fixed         | 6.28%                 | No            |                  3 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QNGH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2510060 | PA      | $2190294.54   | 0.07%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MT                 | CUSIP: 35563PLG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    682806 | PA      | $612181.50    | 0.02%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                 | Cascade MH Asset Trust, Series 2024-MH1, Class A1                                  | CUSIP: 14731VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1247625 | PA      | $1286354.33   | 0.04%             | 2056-11-25      | Variable      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 31427M6J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2378590 | PA      | $1999612.77   | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618L7XC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2953198 | PA      | $3101751.24   | 0.10%             | 2055-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3138ERB41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260864 | PA      | $242225.35    | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRM5 Trust                                             | PRM5 Trust, Series 2025-PRM5, Class D                                              | CUSIP: 693980AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1745111.38   | 0.06%             | 2033-03-10      | Variable      | 5.81%                 | Yes           |                  2 | On Loan: No      |
| Amgen, Inc.                                            | Amgen, Inc.                                                                        | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   1664000 | PA      | $1609338.32   | 0.05%             | 2053-03-02      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5073, Class GA                                                | CUSIP: 3137F9JE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    974113 | PA      | $825330.58    | 0.03%             | 2044-08-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                   | Charter Communications Operating LLC                                               | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    950000 | PA      | $611788.67    | 0.02%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GAM Re-REMIC Trust                                     | GAM Re-REMIC Trust, Series 2022-FRR3, Class BK89                                   | CUSIP: 36459DCQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2028000 | PA      | $1647687.54   | 0.06%             | 2052-01-27      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| HIN Timeshare Trust                                    | HIN Timeshare Trust, Series 2020-A, Class A                                        | CUSIP: 40439HAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    185714 | PA      | $178452.80    | 0.01%             | 2039-10-09      | Fixed         | 1.39%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NWCF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1135300 | PA      | $1157136.99   | 0.04%             | 2032-04-01      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| AES Corp. (The)                                        | AES Corp. (The)                                                                    | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   3440000 | PA      | $3539428.49   | 0.12%             | 2032-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                   | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class B736                                 | CUSIP: 05494BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5781504.60   | 0.19%             | 2052-09-27      | Variable      | 2.15%                 | Yes           |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                     | T-Mobile USA, Inc.                                                                 | CUSIP: 87264ACT0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1385000 | PA      | $915859.45    | 0.03%             | 2052-10-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2018-K154, Class B                                    | CUSIP: 302968AE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    610000 | PA      | $535160.81    | 0.02%             | 2032-11-25      | Variable      | 4.16%                 | Yes           |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                  | Banque Federative du Credit Mutuel SA                                              | CUSIP: 06675DCN0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    835000 | PA      | $870285.98    | 0.03%             | 2030-01-22      | Fixed         | 5.54%                 | Yes           |                  2 | On Loan: No      |
| Targa Resources Corp.                                  | Targa Resources Corp.                                                              | CUSIP: 87612GAK7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    415000 | PA      | $418584.74    | 0.01%             | 2035-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24490000 | PA      | $15240241.86  | 0.51%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                               | CFMT LLC, Series 2024-HB14, Class M2                                               | CUSIP: 12530XAC5<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $956037.20    | 0.03%             | 2034-06-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 912833XZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7185000 | PA      | $5822199.42   | 0.20%             | 2031-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133USHS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1254778 | PA      | $1097553.80   | 0.04%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA ACES, Series 2022-M2S, Class A1                                               | CUSIP: 3136BPGK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3617 | PA      | $3602.67      | 0.00%             | 2032-05-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25215000 | PA      | $26077825.78  | 0.88%             | 2035-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                      | NatWest Group plc                                                                  | CUSIP: 639057AV0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   3085000 | PA      | $3160197.06   | 0.11%             | 2031-05-23      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2024-2, Class B                                     | CUSIP: 68377KAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1003831.00   | 0.03%             | 2032-02-09      | Fixed         | 5.83%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LGDM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    520191 | PA      | $507895.37    | 0.02%             | 2028-11-01      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Jonah Energy ABS II LLC                                | Jonah Energy ABS LLC, Series 2025-1A, Class A2                                     | CUSIP: 479913AE5<br>LEI: 254900MMTK6TS4MGMV20 | Long             | ABS-O            | CORP              | US        |   1808490 | PA      | $1842127.99   | 0.06%             | 2040-12-10      | Fixed         | 7.36%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 31418AJX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44694 | PA      | $41917.13     | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-KS12, Class B                                    | CUSIP: 30311XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2969466 | PA      | $2969918.49   | 0.10%             | 2029-08-25      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140ABE43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2078238 | PA      | $2050804.40   | 0.07%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Golden Bear LLC                                        | Golden Bear LLC, Series 2016-1A, Class A                                           | CUSIP: 38081EAA9<br>LEI: 549300T04S4BVE82F105 | Long             | ABS-O            | CORP              | US        |   2113527 | PA      | $1949211.82   | 0.07%             | 2047-09-20      | Fixed         | 3.75%                 | Yes           |                  3 | On Loan: No      |
| CSMC OA LLC                                            | CSMC OA LLC, Series 2014-USA, Class B                                              | CUSIP: 12649AAJ8<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   5350000 | PA      | $4601053.50   | 0.15%             | 2037-09-15      | Fixed         | 4.18%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities LLC                            | Business Jet Securities LLC, Series 2024-2A, Class A                               | CUSIP: 12326TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3721205 | PA      | $3741629.20   | 0.13%             | 2039-09-15      | Fixed         | 5.36%                 | Yes           |                  3 | On Loan: No      |
| Goodgreen Trust                                        | Goodgreen Trust, Series 2017-2A, Class A                                           | CUSIP: 38218QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1564405 | PA      | $1411346.08   | 0.05%             | 2053-10-15      | Fixed         | 3.26%                 | Yes           |                  3 | On Loan: No      |
| VOLT CII LLC                                           | VOLT CII LLC, Series 2021-NP11, Class A1                                           | CUSIP: 92873HAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    193679 | PA      | $193593.66    | 0.01%             | 2051-08-25      | Variable      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| Stream Innovations Issuer Trust                        | Stream Innovations Issuer Trust, Series 2025-1A, Class A                           | CUSIP: 86324XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1775206 | PA      | $1793937.82   | 0.06%             | 2045-09-15      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XJKH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1168387 | PA      | $1181401.71   | 0.04%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                              | HCA, Inc.                                                                          | CUSIP: 404119DB2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   3195000 | PA      | $3286705.48   | 0.11%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2021-C, Class C                                     | CUSIP: 68377WAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    976787 | PA      | $962532.95    | 0.03%             | 2031-10-08      | Fixed         | 3.61%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust, Series 2025-1A, Class C                         | CUSIP: 22536KAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2800000 | PA      | $2870427.00   | 0.10%             | 2035-07-16      | Fixed         | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                               | Foundation Finance Trust, Series 2024-1A, Class C                                  | CUSIP: 349941AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    424518 | PA      | $439870.47    | 0.01%             | 2049-12-15      | Fixed         | 6.53%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QPFR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    311300 | PA      | $291281.69    | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XPCN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1214788 | PA      | $1203681.18   | 0.04%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                    | DT Auto Owner Trust, Series 2023-1A, Class E                                       | CUSIP: 23346KAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2100286.40   | 0.07%             | 2030-01-15      | Fixed         | 10.39%                | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140M6T60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2003945 | PA      | $2054385.60   | 0.07%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                           | Mizuho Financial Group, Inc.                                                       | CUSIP: 60687YDH9<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   2000000 | PA      | $2052872.78   | 0.07%             | 2031-05-13      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XKHN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    380539 | PA      | $368696.76    | 0.01%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JBS USA Holding Lux Sarl                               | JBS USA Holding Lux Sarl                                                           | CUSIP: 472140AJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2020000 | PA      | $1991322.65   | 0.07%             | 2066-04-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                               | Foundation Finance Trust, Series 2024-1A, Class D                                  | CUSIP: 349941AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2122588 | PA      | $2237220.59   | 0.08%             | 2049-12-15      | Fixed         | 8.13%                 | Yes           |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust          | Bridgecrest Lending Auto Securitization Trust, Series 2025-2, Class D              | CUSIP: 10807HAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4080000 | PA      | $4163073.70   | 0.14%             | 2031-03-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CKT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8675000 | PA      | $8937283.25   | 0.30%             | 2029-05-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K91, Class C                                     | CUSIP: 30309JAG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1795000 | PA      | $1740825.46   | 0.06%             | 2051-04-25      | Variable      | 4.40%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                      | GLS Auto Select Receivables Trust, Series 2025-3A, Class C                         | CUSIP: 36272GAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1350000 | PA      | $1360288.35   | 0.05%             | 2031-09-15      | Fixed         | 4.94%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                       | Deutsche Bank AG                                                                   | CUSIP: 25160PAQ0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   2000000 | PA      | $2045183.82   | 0.07%             | 2029-01-10      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QM4V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5159138 | PA      | $4326595.12   | 0.15%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-KS11, Class B                                    | CUSIP: 30298KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2952000 | PA      | $2843535.55   | 0.10%             | 2029-06-25      | Variable      | 4.98%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140LQVH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1466195 | PA      | $1225786.44   | 0.04%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                            | Intel Corp.                                                                        | CUSIP: 458140CJ7<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    915000 | PA      | $841423.87    | 0.03%             | 2053-02-10      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-16, Class JB                                                     | CUSIP: 38382NBS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    655823 | PA      | $549082.93    | 0.02%             | 2051-01-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2021-SFR3, Class C                                              | CUSIP: 00180UAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    705000 | PA      | $678869.53    | 0.02%             | 2038-10-17      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140NS5K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    565290 | PA      | $581830.93    | 0.02%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140JBFG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7026684 | PA      | $5791003.34   | 0.19%             | 2032-10-01      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2021-95, Class GA                                              | CUSIP: 3136BKUK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4345716 | PA      | $3667236.60   | 0.12%             | 2051-03-25      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Corevest American Finance Trust                        | Corevest American Finance Trust, Series 2020-2, Class E                            | CUSIP: 21872VAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2699000 | PA      | $2591773.86   | 0.09%             | 2052-05-15      | Variable      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2017-K71, Class C                                     | CUSIP: 35708WAU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3606000 | PA      | $3527096.39   | 0.12%             | 2050-11-25      | Variable      | 3.88%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LCDD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    605000 | PA      | $520576.22    | 0.02%             | 2033-05-01      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QMWH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4507263 | PA      | $4107090.95   | 0.14%             | 2051-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                             | Mars, Inc.                                                                         | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   1310000 | PA      | $1291413.09   | 0.04%             | 2045-05-01      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MA                 | CUSIP: 35563PJF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    738826 | PA      | $717352.72    | 0.02%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Anglo American Capital plc                             | Anglo American Capital plc                                                         | CUSIP: 034863AX8<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |   1200000 | PA      | $1095450.00   | 0.04%             | 2030-09-10      | Fixed         | 2.62%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2023-SFR2, Class E1                                             | CUSIP: 00178YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $664504.61    | 0.02%             | 2040-06-17      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                            | Toronto-Dominion Bank (The)                                                        | CUSIP: 89115A3G5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    700000 | PA      | $727854.06    | 0.02%             | 2032-01-30      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XJXK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1008101 | PA      | $841598.33    | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LHDX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    485956 | PA      | $470761.34    | 0.02%             | 2032-10-01      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Triad Holdings III LLC                                 | Triad Holdings III LLC                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   3329364 | PA      | $3329363.61   | 0.11%             | 2052-04-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-215, Class TN                                                    | CUSIP: 38383LSR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4478836 | PA      | $4219927.65   | 0.14%             | 2062-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Jonah Energy Abs I LLC                                 | Jonah Energy ABS LLC, Series 2022-1, Class B                                       | CUSIP: 47987EAD9<br>LEI: 2549003KXV9PPFRCPA79 | Long             | ABS-O            | CORP              | US        |   2882092 | PA      | $2904284.25   | 0.10%             | 2039-08-10      | Fixed         | 7.62%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3138L7SZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1122998 | PA      | $1098498.28   | 0.04%             | 2029-10-01      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Smurfit Westrock Financing DAC                         | Smurfit Westrock Financing DAC                                                     | CUSIP: 83272YAB8<br>LEI: 6354005S6ZLHLVX7VT12 | Long             | DBT              | CORP              | IE        |    755000 | PA      | $768725.37    | 0.03%             | 2035-01-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXP22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    382733 | PA      | $331020.79    | 0.01%             | 2060-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PG&E Recovery Funding LLC                              | PG&E Recovery Funding LLC, Series A-3                                              | CUSIP: 71710TAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    345000 | PA      | $339843.84    | 0.01%             | 2049-06-01      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                              | HCA, Inc.                                                                          | CUSIP: 404119DC0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1985567.80   | 0.07%             | 2055-03-01      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                   | FirstKey Homes Trust, Series 2022-SFRA, Class E1                                   | CUSIP: 33768DAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1477048.65   | 0.05%             | 2039-03-17      | Fixed         | 4.56%                 | Yes           |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                           | Drive Auto Receivables Trust, Series 2024-2, Class D                               | CUSIP: 26207AAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2013890.80   | 0.07%             | 2032-05-17      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CHW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9425000 | PA      | $9602086.89   | 0.32%             | 2030-08-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140MRNK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    775888 | PA      | $768635.29    | 0.03%             | 2052-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                        | Danske Bank A/S                                                                    | CUSIP: 23636ABH3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    400000 | PA      | $417436.30    | 0.01%             | 2030-03-01      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XBEU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    419117 | PA      | $366352.71    | 0.01%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5280500 | PA      | $5030707.58   | 0.17%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NYML2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3590000 | PA      | $3559713.40   | 0.12%             | 2035-05-01      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                              | Vistra Operations Co. LLC                                                          | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   2145000 | PA      | $2186842.52   | 0.07%             | 2034-12-30      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                   | LHOME Mortgage Trust, Series 2025-RTL3, Class A1                                   | CUSIP: 50205YAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2550000 | PA      | $2551889.55   | 0.09%             | 2040-08-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                                 | Lendmark Funding Trust, Series 2021-1A, Class C                                    | CUSIP: 52607MAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1900000 | PA      | $1810217.97   | 0.06%             | 2031-11-20      | Fixed         | 3.41%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618KSYX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3234003 | PA      | $3400695.47   | 0.11%             | 2055-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2021-B, Class A                                     | CUSIP: 68377GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    307337 | PA      | $300644.64    | 0.01%             | 2031-05-08      | Fixed         | 1.47%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140FVUQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123983 | PA      | $113991.66    | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                | BPCE SA                                                                            | CUSIP: 05571AAS4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1000000 | PA      | $1104008.48   | 0.04%             | 2034-10-19      | Variable      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2023-40                                                        | CUSIP: 3136BQGW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3863259 | PA      | $3201246.38   | 0.11%             | 2053-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                | Hyundai Capital America                                                            | CUSIP: 44891ADH7<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2010884.48   | 0.07%             | 2031-09-26      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179YFE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6379854 | PA      | $5440704.75   | 0.18%             | 2053-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GAM Re-REMIC Trust                                     | GAM Re-REMIC Trust, Series 2021-FRR1, Class 1C                                     | CUSIP: 364614AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2753000 | PA      | $2475566.70   | 0.08%             | 2050-11-29      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Public Service Co. of Oklahoma                         | Public Service Co. of Oklahoma                                                     | CUSIP: 744533BS8<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |   2470000 | PA      | $2500346.57   | 0.08%             | 2036-01-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1300000 | PA      | $1369468.75   | 0.05%             | 2030-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Banc of America Re-REMIC Trust                         | Banc of America Re-REMIC Trust, Series 2024-FRR1, Class B                          | CUSIP: 05942XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $720803.50    | 0.02%             | 2049-04-27      | Fixed         | 0.00%                 | Yes           |                  3 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                  | OneMain Direct Auto Receivables Trust, Series 2021-1A, Class A                     | CUSIP: 682687AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25039 | PA      | $24938.45     | 0.00%             | 2028-07-14      | Fixed         | 0.87%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 9128334S6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7640000 | PA      | $6053195.91   | 0.20%             | 2031-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy, Inc.                                  | Cheniere Energy, Inc.                                                              | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |    570000 | PA      | $581872.40    | 0.02%             | 2034-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CJW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24085000 | PA      | $24387003.26  | 0.82%             | 2029-01-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2023-SFR2, Class E2                                             | CUSIP: 00178YAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1530000 | PA      | $1434252.14   | 0.05%             | 2040-06-17      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Fn                                                     | Fn                                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   1175000 | PA      | $1201220.66   | 0.04%             | 2031-09-25      | Fixed         | 4.96%                 | No            |                  3 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 9128337P9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3040000 | PA      | $2436044.05   | 0.08%             | 2031-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133KNSC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3463966 | PA      | $2906596.45   | 0.10%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                           | Pacific Gas and Electric Co.                                                       | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1548417.95   | 0.05%             | 2053-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 912834UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9435000 | PA      | $2820036.40   | 0.09%             | 2049-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CJR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2550000 | PA      | $2561455.08   | 0.09%             | 2028-12-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140HFK32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226898 | PA      | $190224.01    | 0.01%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2018-K77, Class B                                     | CUSIP: 30296VAS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1170000 | PA      | $1159256.94   | 0.04%             | 2051-05-25      | Variable      | 4.30%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2012-4, Class NB                                               | CUSIP: 3136A3Q79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240921 | PA      | $233373.80    | 0.01%             | 2042-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 2025-MN10, Class M1                                                  | CUSIP: 35563UAA6<br>LEI: 529900M14O2Z3FO2N217 | Long             | ABS-MBS          | USGSE             | US        |   1590255 | PA      | $1576958.33   | 0.05%             | 2045-02-25      | Floating      | 6.39%                 | Yes           |                  2 | On Loan: No      |
| Tricon Residential Trust                               | Tricon Residential Trust, Series 2022-SFR1, Class E1                               | CUSIP: 89616QAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    272000 | PA      | $269807.95    | 0.01%             | 2039-04-17      | Fixed         | 5.34%                 | Yes           |                  2 | On Loan: No      |
| Lending Funding Trust                                  | Lending Funding Trust, Series 2020-2A, Class C                                     | CUSIP: 51507KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1470000 | PA      | $1446991.27   | 0.05%             | 2031-04-21      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-2, Class HT                 | CUSIP: 35563PKA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    535472 | PA      | $463810.32    | 0.02%             | 2058-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Multi-Family Connecticut Avenue Securities Trust       | Multi-Family Connecticut Avenue Securities Trust, Series 2024-01, Class M7         | CUSIP: 62548RAA7<br>LEI: 254900QY3MMJFMNKXA93 | Long             | ABS-MBS          | CORP              | US        |     78599 | PA      | $79647.21     | 0.00%             | 2054-07-25      | Floating      | 7.10%                 | Yes           |                  2 | On Loan: No      |
| AIB Group plc                                          | AIB Group plc                                                                      | CUSIP: 00135TAE4<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |   6500000 | PA      | $6757393.37   | 0.23%             | 2035-03-28      | Variable      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4913, Class UA                                                | CUSIP: 3137FNNK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    810227 | PA      | $725777.88    | 0.02%             | 2049-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QNBU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1818526 | PA      | $1519493.56   | 0.05%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                    | Societe Generale SA                                                                | CUSIP: 83368RBD3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    500000 | PA      | $445280.08    | 0.01%             | 2032-06-09      | Variable      | 2.89%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LHK90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    586098 | PA      | $565225.30    | 0.02%             | 2032-10-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Puget Energy, Inc.                                     | Puget Energy, Inc.                                                                 | CUSIP: 745310AQ5<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |   2985000 | PA      | $3036203.73   | 0.10%             | 2035-03-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LCX22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3319289.16   | 0.11%             | 2033-09-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                            | Nationwide Building Society                                                        | CUSIP: 63861VAN7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   1200000 | PA      | $1222450.15   | 0.04%             | 2036-07-14      | Variable      | 5.54%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC               | Sierra Timeshare Receivables Funding LLC, Series 2023-1A, Class C                  | CUSIP: 826943AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    195241 | PA      | $200392.53    | 0.01%             | 2040-01-20      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                    | Societe Generale SA                                                                | CUSIP: 83368RCF7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   2455000 | PA      | $2563507.12   | 0.09%             | 2033-04-13      | Variable      | 6.10%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QLWP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3697185 | PA      | $3107465.35   | 0.10%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133A4ST4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    249386 | PA      | $210527.21    | 0.01%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                           | Hilton Grand Vacations Trust, Series 2024-1B, Class B                              | CUSIP: 43283YAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    248677 | PA      | $252740.91    | 0.01%             | 2039-09-15      | Fixed         | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust                    | Brean Asset-Backed Securities Trust, Series 2025-RM11, Class A1                    | CUSIP: 10638GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3651356 | PA      | $3586291.79   | 0.12%             | 2065-05-25      | Variable      | 4.75%                 | Yes           |                  3 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                     | CUSIP: 61772BAC7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $914175.44    | 0.03%             | 2042-04-22      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                         | Mariner Finance Issuance Trust, Series 2025-AA, Class D                            | CUSIP: 567920AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4650000 | PA      | $4756642.64   | 0.16%             | 2038-05-20      | Fixed         | 6.54%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust                      | Homeward Opportunities Fund Trust, Series 2025-RRTL2, Class A1                     | CUSIP: 437923AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1430000 | PA      | $1432042.61   | 0.05%             | 2040-09-25      | Variable      | 5.39%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618J8H76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    511172 | PA      | $532505.46    | 0.02%             | 2055-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K102, Class C                                    | CUSIP: 30312WAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2075000 | PA      | $1946062.41   | 0.07%             | 2051-12-25      | Variable      | 3.65%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NVUY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1019401.18   | 0.03%             | 2032-12-01      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                    | Seasoned Credit Risk Transfer Trust, Series 2025-1, Class MTU                      | CUSIP: 35563PYZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3209555 | PA      | $2788183.24   | 0.09%             | 2064-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NXF73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2480698 | PA      | $2488527.31   | 0.08%             | 2032-01-01      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                | BPCE SA                                                                            | CUSIP: 05571ABA2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   2855000 | PA      | $3003956.71   | 0.10%             | 2036-01-14      | Variable      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CJJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  37230000 | PA      | $38390529.09  | 1.29%             | 2033-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LHWM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $483564.16    | 0.02%             | 2032-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Hornbeck Offshore Services LLC                         | Hornbeck Offshore Services LLC                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | US        |   2988840 | PA      | $2988840.00   | 0.10%             | 2044-01-01      | Fixed         | 8.90%                 | No            |                  3 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NYMZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1021722.96   | 0.03%             | 2034-01-01      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 9128337Q7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18440000 | PA      | $14439974.18  | 0.49%             | 2031-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                   | BAMLL Re-REMIC Trust, Series 2024-FRR3, Class B                                    | CUSIP: 054988AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    851000 | PA      | $800354.27    | 0.03%             | 2050-01-27      | Variable      | 1.46%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC               | Avis Budget Rental Car Funding AESOP LLC, Series 2025-1A, Class C                  | CUSIP: 05377RKN3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2035467.20   | 0.07%             | 2029-08-20      | Fixed         | 5.87%                 | Yes           |                  2 | On Loan: No      |
| Wingspire Equipment Finance LLC                        | Wingspire Equipment Finance LLC, Series 2024-1A, Class C                           | CUSIP: 97415AAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1242000 | PA      | $1255934.12   | 0.04%             | 2032-09-20      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2025-SFR2, Class D                              | CUSIP: 74334GAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2498591 | PA      | $2314685.63   | 0.08%             | 2042-04-17      | Fixed         | 3.56%                 | Yes           |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                   | Meta Platforms, Inc.                                                               | CUSIP: 30303M8V7<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1438924.05   | 0.05%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                  | United Mexican States                                                              | CUSIP: 91087BAN0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1000000 | PA      | $599060.00    | 0.02%             | 2061-05-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| BXG Receivables Note Trust                             | BXG Receivables Note Trust, Series 2022-A, Class C                                 | CUSIP: 12434KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    147463 | PA      | $145220.04    | 0.00%             | 2037-09-28      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| PRET Trust                                             | PRET Trust, Series 2024-RPL2, Class A1                                             | CUSIP: 69392CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1573595 | PA      | $1511394.39   | 0.05%             | 2064-06-25      | Variable      | 4.07%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23590000 | PA      | $23931870.76  | 0.81%             | 2028-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                            | ONEOK, Inc.                                                                        | CUSIP: 682680DA8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   1480000 | PA      | $1325264.59   | 0.04%             | 2047-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2020-K737, Class B                                    | CUSIP: 30300SAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1452000 | PA      | $1427321.37   | 0.05%             | 2053-01-25      | Variable      | 3.44%                 | Yes           |                  2 | On Loan: No      |
| Essex Portfolio LP                                     | Essex Portfolio LP                                                                 | CUSIP: 29717PBA4<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |    525000 | PA      | $541834.15    | 0.02%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Mondelez International, Inc.                           | Mondelez International, Inc.                                                       | CUSIP: 609207AW5<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |    730000 | PA      | $428020.26    | 0.01%             | 2050-09-04      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                      | GLS Auto Receivables Issuer Trust, Series 2024-3A, Class D                         | CUSIP: 37989AAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1018990.70   | 0.03%             | 2031-02-18      | Fixed         | 5.53%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                  | Westlake Automobile Receivables Trust, Series 2023-4A, Class D                     | CUSIP: 96041AAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $365177.23    | 0.01%             | 2029-07-16      | Fixed         | 7.19%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140HTN70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    979695 | PA      | $905263.57    | 0.03%             | 2034-05-01      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XQDA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6405051 | PA      | $5371502.03   | 0.18%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                       | ABN AMRO Bank NV                                                                   | CUSIP: 00084DBF6<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    500000 | PA      | $511719.59    | 0.02%             | 2035-12-03      | Variable      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2022-SFR3, Class E2                                             | CUSIP: 66981YAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $965273.10    | 0.03%             | 2039-10-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 5 Year Note                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -495 | NC      | $-222086.83   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Santander Holdings USA, Inc.                           | Santander Holdings USA, Inc.                                                       | CUSIP: 80282KBL9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   5550000 | PA      | $5897700.95   | 0.20%             | 2035-05-31      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LKSB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2968613.40   | 0.10%             | 2035-06-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5224, Class HL                                                | CUSIP: 3137H7G72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1700000 | PA      | $1542192.91   | 0.05%             | 2052-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                 | Lendmark Funding Trust, Series 2021-2A, Class B                                    | CUSIP: 52604DAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1540000 | PA      | $1444780.88   | 0.05%             | 2032-04-20      | Fixed         | 2.37%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                    | GS Mortgage-Backed Securities Trust, Series 2025-RPL3, Class A1                    | CUSIP: 362963AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2376460 | PA      | $2314874.77   | 0.08%             | 2065-07-25      | Variable      | 4.10%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LDFL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    338627 | PA      | $313515.08    | 0.01%             | 2028-08-01      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| Stream Innovations Issuer Trust                        | Stream Innovations Issuer Trust, Series 2024-1A, Class B                           | CUSIP: 86324CAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3442293 | PA      | $3698814.97   | 0.12%             | 2044-07-15      | Fixed         | 7.89%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC               | Sierra Timeshare Receivables Funding LLC, Series 2021-2A, Class C                  | CUSIP: 82652RAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11635 | PA      | $11440.94     | 0.00%             | 2038-09-20      | Fixed         | 1.95%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust, Series 2023-2A, Class A                         | CUSIP: 22537EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    398517 | PA      | $399864.26    | 0.01%             | 2033-05-16      | Fixed         | 5.92%                 | Yes           |                  2 | On Loan: No      |
| Hess Corp.                                             | Hess Corp.                                                                         | CUSIP: 42809HAD9<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1521598.97   | 0.05%             | 2041-02-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Mission Lane Credit Card Master Trust                  | Mission Lane Credit Card Master Trust, Series 2025-B, Class A                      | CUSIP: 60510MBU1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1760568.25   | 0.06%             | 2031-09-15      | Fixed         | 5.06%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3142GR5S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1862709 | PA      | $1792500.96   | 0.06%             | 2054-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Amcor Flexibles North America, Inc.                    | Amcor Flexibles North America, Inc.                                                | CUSIP: 02344AAG3<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |   1645000 | PA      | $1684357.79   | 0.06%             | 2030-03-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133KMNK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1878075 | PA      | $1754287.50   | 0.06%             | 2051-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                      | Enterprise Products Operating LLC                                                  | CUSIP: 29379VCH4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    470000 | PA      | $448556.70    | 0.02%             | 2055-02-16      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                      | NatWest Group plc                                                                  | CUSIP: 639057AN8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    480000 | PA      | $501906.50    | 0.02%             | 2035-03-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                    | DT Auto Owner Trust, Series 2023-2A, Class D                                       | CUSIP: 23346CAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1025824.50   | 0.03%             | 2029-02-15      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Corebridge Global Funding                              | Corebridge Global Funding                                                          | CUSIP: 00138CBH0<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    560000 | PA      | $561618.91    | 0.02%             | 2032-08-21      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NUPQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    325000 | PA      | $321378.87    | 0.01%             | 2034-02-01      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                         | Mariner Finance Issuance Trust, Series 2021-AA, Class D                            | CUSIP: 56848DAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    225000 | PA      | $217039.88    | 0.01%             | 2036-03-20      | Fixed         | 3.83%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QQPM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1304866 | PA      | $1344754.80   | 0.05%             | 2052-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133KNR54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1367838 | PA      | $1195608.66   | 0.04%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                  | Anchor Mortgage Trust, Series 2025-RTL1, Class A2                                  | CUSIP: 03290CAB2<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-MBS          | CORP              | US        |   1430000 | PA      | $1438157.72   | 0.05%             | 2040-05-25      | Variable      | 6.36%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140KGR62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156977 | PA      | $131923.20    | 0.00%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Coterra Energy, Inc.                                   | Coterra Energy, Inc.                                                               | CUSIP: 127097AN3<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |   2275000 | PA      | $2122164.91   | 0.07%             | 2055-02-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Center Street Lending Resi-Investor ABS Mortgage Trust | Center Street Lending Resi-Investor ABS Mortgage Trust, Series 2024-RTL1, Class A1 | CUSIP: 15169CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1720000 | PA      | $1736120.01   | 0.06%             | 2029-10-25      | Variable      | 6.89%                 | Yes           |                  3 | On Loan: No      |
| MFA Trust                                              | MFA Trust, Series 2024-RPL1, Class A1                                              | CUSIP: 55287AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1641021 | PA      | $1578630.67   | 0.05%             | 2066-02-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Jonah Energy ABS II LLC                                | Jonah Energy ABS LLC                                                               | CUSIP: 479915AA8<br>LEI: 254900MMTK6TS4MGMV20 | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2000000.00   | 0.07%             | 2041-01-10      | Fixed         | 5.91%                 | No            |                  3 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2020-K737, Class C                                    | CUSIP: 30300SAU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4870000 | PA      | $4770806.87   | 0.16%             | 2053-01-25      | Variable      | 3.44%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                         | Mariner Finance Issuance Trust, Series 2021-AA, Class B                            | CUSIP: 56848DAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    310000 | PA      | $298263.06    | 0.01%             | 2036-03-20      | Fixed         | 2.33%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140A9LA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3730997 | PA      | $3776753.45   | 0.13%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                     | Credit Agricole SA                                                                 | CUSIP: 22535WAR8<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   1175000 | PA      | $1201880.23   | 0.04%             | 2031-05-27      | Variable      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                           | Drive Auto Receivables Trust, Series 2025-1, Class D                               | CUSIP: 262102AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2900000 | PA      | $2955131.32   | 0.10%             | 2032-09-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5438                                                          | CUSIP: 3137HF7K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3865910 | PA      | $3115830.78   | 0.10%             | 2053-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NXE25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2021000 | PA      | $2080900.74   | 0.07%             | 2034-02-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| NTT Finance Corp.                                      | NTT Finance Corp.                                                                  | CUSIP: 62954WAV7<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    765000 | PA      | $783794.60    | 0.03%             | 2035-07-16      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 10 Year Ultra Note                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       619 | NC      | $452622.32    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140KNPX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365930 | PA      | $310198.36    | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-53, Class SL                                                     | CUSIP: 38383XJ54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3100775 | PA      | $2869329.39   | 0.10%             | 2053-04-20      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| Eagle Funding Luxco Sarl                               | Eagle Funding Luxco Sarl                                                           | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |   4681000 | PA      | $4749155.36   | 0.16%             | 2030-08-17      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen Trust                                        | Goodgreen Trust, Series 2020-1A, Class A                                           | CUSIP: 38217TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    576453 | PA      | $479720.39    | 0.02%             | 2055-04-15      | Fixed         | 2.63%                 | Yes           |                  3 | On Loan: No      |
| RFM Reremic Trust                                      | RFM Re-REMIC Trust, Series 2022-FRR1, Class AK55                                   | CUSIP: 74971BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1924783.00   | 0.06%             | 2049-03-28      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Charter Communications Operating LLC                   | Charter Communications Operating LLC                                               | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1835000 | PA      | $1559332.56   | 0.05%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1775000 | PA      | $1656920.89   | 0.06%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810RM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3230000 | PA      | $2448743.75   | 0.08%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FX2C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4517108 | PA      | $4343810.62   | 0.15%             | 2063-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Brown & Brown, Inc.                                    | Brown & Brown, Inc.                                                                | CUSIP: 115236AL5<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   1615000 | PA      | $1650809.28   | 0.06%             | 2032-06-23      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Solventum Corp.                                        | Solventum Corp.                                                                    | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |   2503000 | PA      | $2599329.08   | 0.09%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust                    | Brean Asset-Backed Securities Trust, Series 2025-RM10, Class A1                    | CUSIP: 10638FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1598810 | PA      | $1585372.33   | 0.05%             | 2065-01-25      | Fixed         | 5.00%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XL7B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    430473 | PA      | $361015.92    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3142GTGY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1878108 | PA      | $1894626.29   | 0.06%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                   | BAMLL Re-REMIC Trust, Series 2024-FRR4, Class B                                    | CUSIP: 05493VAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $9774470.00   | 0.33%             | 2048-11-27      | Variable      | 1.95%                 | Yes           |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                   | American Airlines Pass-Through Trust, Series 2016-1, Class A                       | CUSIP: 02376WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6290042 | PA      | $6126250.77   | 0.21%             | 2028-01-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    960648 | PA      | $763524.50    | 0.03%             | 2061-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CNA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27870000 | PA      | $28031123.44  | 0.94%             | 2032-04-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXQG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    552928 | PA      | $492663.14    | 0.02%             | 2053-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2024-2, Class C                                     | CUSIP: 68377KAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2083000 | PA      | $2103943.11   | 0.07%             | 2032-02-09      | Fixed         | 6.61%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2015-92, Class GZ                                              | CUSIP: 3136AQUQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1228846 | PA      | $1066194.89   | 0.04%             | 2043-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Issuer Trust                              | Aqua Finance Issuer Trust, Series 2025-B, Class B                                  | CUSIP: 03837GAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2475000 | PA      | $2485924.72   | 0.08%             | 2051-05-17      | Fixed         | 5.04%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    897656 | PA      | $738781.67    | 0.02%             | 2062-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BVRT LLC                                               | BVRT LLC, Series 2025-1, Class C                                                   | CUSIP: 05614UAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2600685 | PA      | $2467945.64   | 0.08%             | 2033-05-10      | Floating      | 4.34%                 | Yes           |                  3 | On Loan: No      |
| Verizon Communications, Inc.                           | Verizon Communications, Inc.                                                       | CUSIP: 92343VFW9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1440000 | PA      | $860054.05    | 0.03%             | 2056-10-30      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                              | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    500000 | PA      | $446209.28    | 0.02%             | 2032-10-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NUTZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $4088606.04   | 0.14%             | 2034-05-01      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 912834VE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18940000 | PA      | $5448028.12   | 0.18%             | 2049-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LFPN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2646000 | PA      | $2493390.15   | 0.08%             | 2029-03-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXRZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2934677 | PA      | $2528537.93   | 0.09%             | 2060-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140HXB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    951748 | PA      | $893835.60    | 0.03%             | 2029-06-01      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140JBF92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2154876 | PA      | $1793502.78   | 0.06%             | 2032-11-01      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NYLG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1838000 | PA      | $1849117.22   | 0.06%             | 2032-05-01      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618N5EQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3815303 | PA      | $3380052.99   | 0.11%             | 2055-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                       | Boeing Co. (The)                                                                   | CUSIP: 097023BS3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   2160000 | PA      | $1478553.11   | 0.05%             | 2046-06-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QF4F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    433767 | PA      | $364174.88    | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133BJPD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    748010 | PA      | $676868.28    | 0.02%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                                | MVW LLC, Series 2025-1A, Class C                                                   | CUSIP: 627924AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3225991 | PA      | $3255465.46   | 0.11%             | 2042-09-22      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                  | Entergy Louisiana LLC                                                              | CUSIP: 29364WBQ0<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    440000 | PA      | $437818.50    | 0.01%             | 2055-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2021-SFR2, Class A                                              | CUSIP: 00179VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     99977 | PA      | $97095.62     | 0.00%             | 2038-08-17      | Fixed         | 1.53%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LHNF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390000 | PA      | $377705.72    | 0.01%             | 2032-09-01      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Aetna, Inc.                                            | Aetna, Inc.                                                                        | CUSIP: 00817YAP3<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $838392.27    | 0.03%             | 2044-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                 | NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A                  | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    224449 | PA      | $218463.88    | 0.01%             | 2026-11-25      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XD2J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1272030 | PA      | $1115038.06   | 0.04%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Florida Power & Light Co.                              | Florida Power & Light Co.                                                          | CUSIP: 341081GZ4<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    490000 | PA      | $496104.76    | 0.02%             | 2065-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                               | Bristol-Myers Squibb Co.                                                           | CUSIP: 110122DS4<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $667387.27    | 0.02%             | 2050-11-13      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                       | Deutsche Bank AG                                                                   | CUSIP: 251526DA4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1785000 | PA      | $1828854.49   | 0.06%             | 2031-05-09      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2021-SFR6, Class A                              | CUSIP: 74333HAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     99279 | PA      | $97291.27     | 0.00%             | 2038-07-17      | Fixed         | 1.52%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding                                           | HERO Funding, Series 2017-3A, Class A1                                             | CUSIP: 42771AAA4<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |    401091 | PA      | $370891.23    | 0.01%             | 2048-09-20      | Fixed         | 3.19%                 | Yes           |                  3 | On Loan: No      |
| FMC GMSR Issuer Trust                                  | FMC GMSR Issuer Trust, Series 2021-GT2, Class A                                    | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3022400 | PA      | $2892075.93   | 0.10%             | 2026-10-25      | Variable      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-146, Class GO                                                    | CUSIP: 38384DAX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4322243 | PA      | $3389959.98   | 0.11%             | 2053-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LG6N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    680000 | PA      | $660750.40    | 0.02%             | 2032-08-01      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                   | FirstKey Homes Trust, Series 2020-SFR1, Class D                                    | CUSIP: 33767MAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $399038.44    | 0.01%             | 2037-08-17      | Fixed         | 2.24%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LGEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    826000 | PA      | $775077.82    | 0.03%             | 2032-07-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NXER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1976000 | PA      | $1995947.32   | 0.07%             | 2032-12-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust, Series 2024-N2, Class C                            | CUSIP: 14687VAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2085000 | PA      | $2127584.04   | 0.07%             | 2030-09-10      | Fixed         | 5.82%                 | Yes           |                  2 | On Loan: No      |
| Ontario Teachers' Cadillac Fairview Properties Trust   | Ontario Teachers' Cadillac Fairview Properties Trust                               | CUSIP: 68327LAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    800000 | PA      | $711095.99    | 0.02%             | 2031-10-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA ACES, Series 2024-M2, Class A1                                                | CUSIP: 3136BQM71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    769634 | PA      | $785216.14    | 0.03%             | 2033-04-25      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                              | Vistra Operations Co. LLC                                                          | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   2421000 | PA      | $2522203.30   | 0.08%             | 2034-04-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                           | Mizuho Financial Group, Inc.                                                       | CUSIP: 60687YDM8<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   5550000 | PA      | $5636220.86   | 0.19%             | 2036-07-08      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NWQJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1980973 | PA      | $2004292.23   | 0.07%             | 2034-11-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, Other                                                            | CUSIP: 3132H7CN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143046 | PA      | $142422.51    | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179YPC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2387371 | PA      | $2204389.95   | 0.07%             | 2054-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QLR40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    717073 | PA      | $626791.25    | 0.02%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QKNP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    241709 | PA      | $211279.21    | 0.01%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                     | CUSIP: 61747YFL4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    561000 | PA      | $578451.58    | 0.02%             | 2035-01-18      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Goodgreen                                              | Goodgreen, Series 2019-1A, Class A                                                 | CUSIP: 38218DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   2940475 | PA      | $2683273.87   | 0.09%             | 2054-10-15      | Fixed         | 3.86%                 | Yes           |                  3 | On Loan: No      |
| PEAC Solutions Receivables LLC                         | PEAC Solutions Receivables LLC, Series 2024-1A, Class A3                           | CUSIP: 69433BAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1027561.00   | 0.03%             | 2030-11-20      | Fixed         | 5.64%                 | Yes           |                  2 | On Loan: No      |
| American Express Co.                                   | American Express Co.                                                               | CUSIP: 025816DZ9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1935000 | PA      | $1988975.93   | 0.07%             | 2036-01-30      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NV2M8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1240494 | PA      | $1259453.23   | 0.04%             | 2029-09-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2020-50, Class A                                               | CUSIP: 3136BAZX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    407421 | PA      | $342577.95    | 0.01%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3622AA5E0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5190292 | PA      | $4361522.44   | 0.15%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BAMLL Re-REMIC Trust                                   | BAMLL Re-REMIC Trust, Series 2025-FRR5, Class BK86                                 | CUSIP: 05494BBC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4184670.00   | 0.14%             | 2051-11-27      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3132DMYW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1726071 | PA      | $1518192.89   | 0.05%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                       | Deutsche Bank AG                                                                   | CUSIP: 251526CY3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   6235000 | PA      | $6280733.35   | 0.21%             | 2035-09-11      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2021-SFR10, Class E1                            | CUSIP: 74333WAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1476596 | PA      | $1412510.85   | 0.05%             | 2040-12-17      | Fixed         | 3.57%                 | Yes           |                  2 | On Loan: No      |
| Textron, Inc.                                          | Textron, Inc.                                                                      | CUSIP: 883203CE9<br>LEI: 3PPKBHUG1HD6BO7RNR87 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1221946.55   | 0.04%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                        | CoreVest American Finance Trust, Series 2017-2, Class M                            | CUSIP: 21870DAV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7250000 | PA      | $7151519.63   | 0.24%             | 2027-12-25      | Variable      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-70, Class WS                                                     | CUSIP: 38384AFR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5269924 | PA      | $4993953.15   | 0.17%             | 2053-05-20      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| Entergy Texas, Inc.                                    | Entergy Texas, Inc.                                                                | CUSIP: 29365TAP9<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |    564000 | PA      | $537296.06    | 0.02%             | 2054-09-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                   | Charter Communications Operating LLC                                               | CUSIP: 161175CS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1001766.35   | 0.03%             | 2035-12-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| EQV Abs Issuer I LLC                                   | EQV Abs Issuer I LLC                                                               | CUSIP: 29476QAB2<br>LEI: 254900AKBSYT3UNVVC48 | Long             | ABS-MBS          | CORP              | US        |   2950306 | PA      | $2950306.26   | 0.10%             | 2040-12-15      | Fixed         | 5.85%                 | No            |                  3 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140HX5T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1173010 | PA      | $1106424.32   | 0.04%             | 2028-11-01      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CLX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16445000 | PA      | $16619728.13  | 0.56%             | 2027-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2021-SFR2, Class B                                              | CUSIP: 00179VAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    711112 | PA      | $690207.72    | 0.02%             | 2038-08-17      | Fixed         | 1.78%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC               | Avis Budget Rental Car Funding AESOP LLC, Series 2025-2A, Class C                  | CUSIP: 05377RKS2<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3626048.65   | 0.12%             | 2031-08-20      | Fixed         | 6.24%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140LY5X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1428559 | PA      | $1200183.21   | 0.04%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BG Energy Capital plc                                  | BG Energy Capital plc                                                              | CUSIP: 05541VAF3<br>LEI: S2M8QDKEE05NZN8JD460 | Long             | DBT              | CORP              | GB        |   1500000 | PA      | $1416024.60   | 0.05%             | 2041-10-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                           | Pacific Gas and Electric Co.                                                       | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2190401.28   | 0.07%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                       | Deutsche Bank AG                                                                   | CUSIP: 251526CK3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    445000 | PA      | $406079.52    | 0.01%             | 2032-05-28      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| Renew                                                  | Renew, Series 2017-1A, Class A                                                     | CUSIP: 75973LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    166773 | PA      | $156371.33    | 0.01%             | 2052-09-20      | Fixed         | 3.67%                 | Yes           |                  3 | On Loan: No      |
| UBS Group AG                                           | UBS Group AG                                                                       | CUSIP: 902613BQ0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   2000000 | PA      | $2056704.18   | 0.07%             | 2036-05-09      | Variable      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class MT                 | CUSIP: 35563PCM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3834 | PA      | $3497.86      | 0.00%             | 2057-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                           | Pacific Gas and Electric Co.                                                       | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    745000 | PA      | $572178.37    | 0.02%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618HUVA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    514184 | PA      | $527205.26    | 0.02%             | 2054-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Renew                                                  | Renew, Series 2023-1A, Class A                                                     | CUSIP: 75973HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JE        |   2367032 | PA      | $2342612.78   | 0.08%             | 2058-11-20      | Fixed         | 5.90%                 | Yes           |                  3 | On Loan: No      |
| Regional Management Issuance Trust                     | Regional Management Issuance Trust, Series 2021-1, Class D                         | CUSIP: 75907VAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2800000 | PA      | $2779301.56   | 0.09%             | 2031-03-17      | Fixed         | 5.07%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140KFQV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    374980 | PA      | $317170.87    | 0.01%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                     | Energy Transfer LP                                                                 | CUSIP: 29273VBE9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2036056.28   | 0.07%             | 2035-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  31585000 | PA      | $19491399.77  | 0.66%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                     | Macquarie Airfinance Holdings Ltd.                                                 | CUSIP: 55609NAE8<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |    745000 | PA      | $753379.02    | 0.03%             | 2030-03-17      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corp.                                          | Comcast Corp.                                                                      | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1830000 | PA      | $1053624.13   | 0.04%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2025-A, Class C                                     | CUSIP: 68377TAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2710000 | PA      | $2713377.74   | 0.09%             | 2033-02-08      | Fixed         | 5.89%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                         | BNP Paribas SA                                                                     | CUSIP: 05581KAH4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    400000 | PA      | $409896.36    | 0.01%             | 2030-01-09      | Variable      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Trust                                     | Aqua Finance Trust, Series 2020-AA, Class C                                        | CUSIP: 038413AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    234676 | PA      | $228895.08    | 0.01%             | 2046-07-17      | Fixed         | 3.97%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3132DM3S2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1260933 | PA      | $1102494.18   | 0.04%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Trust                                 | Invitation Homes Trust, Series 2024-SFR1, Class E                                  | CUSIP: 46188DAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1720000 | PA      | $1647152.32   | 0.06%             | 2041-09-17      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140J0LU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6835587 | PA      | $5820903.26   | 0.20%             | 2032-07-01      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2019-60, Class DA                                              | CUSIP: 3136B6VJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172883 | PA      | $155323.25    | 0.01%             | 2049-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17975000 | PA      | $13010810.46  | 0.44%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                  | United Mexican States                                                              | CUSIP: 91087BAX8<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    730000 | PA      | $673790.00    | 0.02%             | 2053-05-04      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| Crossroads Asset Trust                                 | Crossroads Asset Trust, Series 2022-A, Class D                                     | CUSIP: 22767DAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3042244.80   | 0.10%             | 2031-04-21      | Fixed         | 8.99%                 | Yes           |                  3 | On Loan: No      |
| ROCK Trust                                             | ROCK Trust, Series 2024-CNTR, Class C                                              | CUSIP: 74970WAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5150000 | PA      | $5339213.06   | 0.18%             | 2041-11-13      | Fixed         | 6.47%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                  | FMC GMSR Issuer Trust, Series 2021-GT1, Class A                                    | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4441964 | PA      | $4258185.74   | 0.14%             | 2026-07-25      | Variable      | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Western Funding Auto Loan Trust                        | Western Funding Auto Loan Trust, Series 2025-1, Class D                            | CUSIP: 958250AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4508000 | PA      | $4576783.51   | 0.15%             | 2036-01-15      | Fixed         | 5.79%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-91, Class WA                                                     | CUSIP: 38378TTL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    222685 | PA      | $214674.45    | 0.01%             | 2043-04-20      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                | BPCE SA                                                                            | CUSIP: 056121AA4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   2155000 | PA      | $2206647.79   | 0.07%             | 2031-05-28      | Variable      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| Bunge Ltd. Finance Corp.                               | Bunge Ltd. Finance Corp.                                                           | CUSIP: 120568BR0<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |   1220000 | PA      | $1222881.32   | 0.04%             | 2035-08-04      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| First Investors Auto Owner Trust                       | First Investors Auto Owner Trust, Series 2023-1A, Class C                          | CUSIP: 320986AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    340000 | PA      | $351347.81    | 0.01%             | 2029-12-17      | Fixed         | 6.81%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618LLXN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5000000 | PA      | $5190307.75   | 0.17%             | 2055-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                         | Home Partners of America Trust, Series 2021-2, Class D                             | CUSIP: 43732VAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3118361 | PA      | $3010227.28   | 0.10%             | 2026-12-17      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K96, Class C                                     | CUSIP: 30314DAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4754000 | PA      | $4561430.67   | 0.15%             | 2056-08-25      | Variable      | 3.94%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-190, Class LS                                                    | CUSIP: 38383LBR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5628117 | PA      | $5328740.47   | 0.18%             | 2052-11-20      | Floating      | 3.14%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust          | Bridgecrest Lending Auto Securitization Trust, Series 2025-1, Class D              | CUSIP: 10806HAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3350000 | PA      | $3413250.68   | 0.11%             | 2030-11-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences, Inc.                                  | Gilead Sciences, Inc.                                                              | CUSIP: 375558CE1<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $973295.21    | 0.03%             | 2064-11-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                      | Philip Morris International, Inc.                                                  | CUSIP: 718172AU3<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    590000 | PA      | $477721.88    | 0.02%             | 2042-08-21      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5202, Class BH                                                | CUSIP: 3137H5ZK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    662688 | PA      | $614539.76    | 0.02%             | 2047-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC               | Sierra Timeshare Receivables Funding LLC, Series 2024-2A, Class C                  | CUSIP: 82650DAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    415543 | PA      | $420811.43    | 0.01%             | 2041-06-20      | Fixed         | 5.83%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 2 Year Note                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       585 | NC      | $183319.60    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                   | Columbia Pipelines Operating Co. LLC                                               | CUSIP: 19828TAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2230000 | PA      | $2059941.76   | 0.07%             | 2054-10-01      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Tricon American Homes Trust                            | Tricon American Homes Trust, Series 2020-SFR2, Class E1                            | CUSIP: 89613JAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $471509.05    | 0.02%             | 2039-11-17      | Fixed         | 2.73%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA Trust, Whole Loan, Series 2003-W2, Class 1A1                                  | CUSIP: 31392JAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    734305 | PA      | $767304.08    | 0.03%             | 2042-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 20 Year                                                                 | CUSIP: 3140J9PE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    627190 | PA      | $619896.09    | 0.02%             | 2038-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Marvell Technology, Inc.                               | Marvell Technology, Inc.                                                           | CUSIP: 573874AR5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1830000 | PA      | $1846680.43   | 0.06%             | 2030-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                                    | CUSIP: 38141GA95<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    350000 | PA      | $369053.96    | 0.01%             | 2035-04-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                           | Bridge Trust, Series 2025-SFR1, Class C                                            | CUSIP: 10807GAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1395000 | PA      | $1319343.85   | 0.04%             | 2042-09-17      | Fixed         | 4.20%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QQVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8413240 | PA      | $8336426.27   | 0.28%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NYMX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1897151 | PA      | $1931861.77   | 0.07%             | 2035-12-01      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust, Series 2024-RTL2, Class A1                    | CUSIP: 64831WAA8<br>LEI: 213800H34ZKQ2LAZZL53 | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1706299.86   | 0.06%             | 2039-09-25      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| DP Lion Holdco LLC                                     | DP Lion Holdco LLC, Series 2023-1A, Class A                                        | CUSIP: 23359MAA8<br>LEI: 254900327YUW2NAXPW14 | Long             | ABS-O            | CORP              | US        |    201768 | PA      | $207441.81    | 0.01%             | 2043-11-30      | Fixed         | 8.24%                 | No            |                  3 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3132DNQ22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    677594 | PA      | $593245.60    | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140Q0AB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3585000 | PA      | $3551466.23   | 0.12%             | 2033-09-01      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                         | Home Partners of America Trust, Series 2020-2, Class E                             | CUSIP: 437301AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    473397 | PA      | $435044.72    | 0.01%             | 2041-01-17      | Fixed         | 3.08%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corp.                                           | Oracle Corp.                                                                       | CUSIP: 68389XBG9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $3805320.25   | 0.13%             | 2055-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                           | Hilton Grand Vacations Trust, Series 2025-2A, Class C                              | CUSIP: 43285JAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2445000 | PA      | $2452417.40   | 0.08%             | 2044-05-25      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QNE57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    670963 | PA      | $569245.87    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618HSDN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    714214 | PA      | $757716.24    | 0.03%             | 2054-07-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5063, Class LC                                                | CUSIP: 3137F8W74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    483041 | PA      | $373395.17    | 0.01%             | 2051-01-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2016-K53, Class C                                     | CUSIP: 30288LAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3972122.80   | 0.13%             | 2049-03-25      | Variable      | 4.19%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                              | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   9230000 | PA      | $9537417.98   | 0.32%             | 2035-01-23      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2025-B, Class B                                     | CUSIP: 68378QAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6250000 | PA      | $6296222.50   | 0.21%             | 2033-05-09      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1000000 | PA      | $894687.50    | 0.03%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4585, Class DA                                                | CUSIP: 3137BPFK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    219188 | PA      | $209781.11    | 0.01%             | 2045-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Blue Owl Asset Leasing Trust LLC                       | Blue Owl Asset Leasing Trust LLC, Series 2024-1A, Class C                          | CUSIP: 095921AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1550000 | PA      | $1583891.06   | 0.05%             | 2031-01-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K87, Class B                                     | CUSIP: 35709CAS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4800000 | PA      | $4771716.96   | 0.16%             | 2051-01-25      | Variable      | 4.47%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1194000 | PA      | $1045729.45   | 0.04%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KJ40, Class A2    | CUSIP: 3137H8B59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    335000 | PA      | $329474.24    | 0.01%             | 2030-11-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179YDE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3213336 | PA      | $2860252.93   | 0.10%             | 2053-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-18, Class MA                                              | CUSIP: 3136BVLQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8526312 | PA      | $7046023.99   | 0.24%             | 2054-09-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8775000 | PA      | $7850882.81   | 0.26%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, STRIPS, Series 326, Class 350                                               | CUSIP: 3132HT3C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    461736 | PA      | $429510.94    | 0.01%             | 2044-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Continental Finance Credit Card ABS Master Trust       | Continental Finance Credit Card ABS Master Trust, Series 2024-A, Class B           | CUSIP: 66981PAR9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    810000 | PA      | $830493.16    | 0.03%             | 2032-12-15      | Fixed         | 6.22%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2018-K155, Class B                                    | CUSIP: 30296QAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    580000 | PA      | $509977.76    | 0.02%             | 2033-04-25      | Variable      | 4.31%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10238000 | PA      | $7471340.42   | 0.25%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Exelon Corp.                                           | Exelon Corp.                                                                       | CUSIP: 30161NBS9<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $988801.69    | 0.03%             | 2055-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  28405000 | PA      | $17977258.06  | 0.61%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NY7D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $4058054.00   | 0.14%             | 2034-01-01      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                   | FirstKey Homes Trust, Series 2020-SFR2, Class E                                    | CUSIP: 33767JAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    615000 | PA      | $610764.06    | 0.02%             | 2037-10-19      | Fixed         | 2.67%                 | Yes           |                  2 | On Loan: No      |
| Identity Digital Ltd.                                  | Identity Digital Ltd.                                                              | CUSIP: N/A<br>LEI: 5493005BN677T7KORE19       | Long             | DBT              | CORP              | IE        |   3500000 | PA      | $3561250.00   | 0.12%             | 2065-03-20      | Fixed         | 6.79%                 | No            |                  3 | On Loan: No      |
| Atmos Energy Corp.                                     | Atmos Energy Corp.                                                                 | CUSIP: 049560BB0<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    629000 | PA      | $566433.12    | 0.02%             | 2054-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140LY6V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5493844 | PA      | $4614289.02   | 0.16%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                 | Cascade MH Asset Trust, Series 2024-MH1, Class M1                                  | CUSIP: 14731VAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1037599.80   | 0.03%             | 2056-11-25      | Variable      | 6.26%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4480, Class NB                                                | CUSIP: 3137BKDQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $431544.40    | 0.01%             | 2045-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2021-C, Class B                                     | CUSIP: 68377WAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    764336 | PA      | $749708.49    | 0.03%             | 2031-10-08      | Fixed         | 2.67%                 | Yes           |                  2 | On Loan: No      |
| Sherwin-Williams Co. (The)                             | Sherwin-Williams Co. (The)                                                         | CUSIP: 824348BT2<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |    489000 | PA      | $499253.18    | 0.02%             | 2031-09-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                           | Avolon Holdings Funding Ltd.                                                       | CUSIP: 05401AAX9<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   3732000 | PA      | $3789435.48   | 0.13%             | 2030-01-15      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K88, Class C                                     | CUSIP: 302971AT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $979397.50    | 0.03%             | 2052-02-25      | Variable      | 4.53%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LHYG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    230000 | PA      | $235105.98    | 0.01%             | 2029-09-01      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                        | Republic Finance Issuance Trust, Series 2024-B, Class A                            | CUSIP: 76042GAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    810000 | PA      | $825960.81    | 0.03%             | 2037-11-20      | Fixed         | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Goodleap                                               | Goodleap                                                                           | CUSIP: N/A<br>LEI: 549300YN94MOAVYW0F52       | Long             | ABS-MBS          | CORP              | US        |   3404080 | PA      | $3492823.58   | 0.12%             | 2038-07-15      | Fixed         | 6.62%                 | No            |                  3 | On Loan: No      |
| Goodgreen Trust                                        | Goodgreen Trust, Series 2021-1A, Class B                                           | CUSIP: 38217UAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    429152 | PA      | $323217.99    | 0.01%             | 2056-10-15      | Fixed         | 3.01%                 | Yes           |                  3 | On Loan: No      |
| Renew                                                  | Renew, Series 2018-1, Class A                                                      | CUSIP: 75973FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    667632 | PA      | $630805.20    | 0.02%             | 2053-09-20      | Fixed         | 3.95%                 | Yes           |                  3 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810RJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3200000 | PA      | $2441375.01   | 0.08%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                              | SCF Equipment Leasing LLC, Series 2022-2A, Class D                                 | CUSIP: 78397WAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1710000 | PA      | $1713993.02   | 0.06%             | 2032-10-20      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1375000 | PA      | $1249047.86   | 0.04%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| MNR ABS Issuer I LLC                                   | MNR ABS Issuer I LLC                                                               | CUSIP: 55317XAB5<br>LEI: 254900P5PAYARXBH9O74 | Long             | ABS-O            | CORP              | US        |    209685 | PA      | $215139.92    | 0.01%             | 2038-12-15      | Fixed         | 8.95%                 | No            |                  3 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133ABNU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    510968 | PA      | $431722.57    | 0.01%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2025-6, Class A                                                       | CUSIP: 38385B5F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4698350 | PA      | $4437697.02   | 0.15%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FRTKL                                                  | FRTKL, Series 2021-SFR1, Class E1                                                  | CUSIP: 30322DAS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1208684.25   | 0.04%             | 2038-09-17      | Fixed         | 2.37%                 | Yes           |                  2 | On Loan: No      |
| Charter Communications Operating LLC                   | Charter Communications Operating LLC                                               | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4000000 | PA      | $2650733.84   | 0.09%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Resurgent                                              | Resurgent                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3000000.00   | 0.10%             | 2030-07-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                     | Macquarie Airfinance Holdings Ltd.                                                 | CUSIP: 55609NAF5<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |   1160000 | PA      | $1176710.96   | 0.04%             | 2028-03-27      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2020-K105, Class C                                    | CUSIP: 302975BG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1651000 | PA      | $1542795.61   | 0.05%             | 2053-03-25      | Variable      | 3.53%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133BQUT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4991498 | PA      | $4947467.57   | 0.17%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class M60C               | CUSIP: 35563PDB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1088632 | PA      | $1008703.68   | 0.03%             | 2057-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Perimeter Master Note Business Trust                   | Perimeter Master Note Business Trust, Series 2025-1A, Class A                      | CUSIP: 71384PBC4<br>LEI: 5493005H6EB040833X54 | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4038960.00   | 0.14%             | 2030-12-16      | Fixed         | 5.58%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-179, Class WE                                                    | CUSIP: 38383Y5K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2366047 | PA      | $2337705.58   | 0.08%             | 2052-10-20      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Westgate Resorts LLC                                   | Westgate Resorts LLC, Series 2024-1A, Class B                                      | CUSIP: 96034KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    460568 | PA      | $467247.42    | 0.02%             | 2038-01-20      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-83, Class YA                                                     | CUSIP: 38381XAT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    164545 | PA      | $167178.69    | 0.01%             | 2040-06-20      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust LLC                                | SCF Equipment Trust LLC, Series 2025-1A, Class E                                   | CUSIP: 78437DAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1290000 | PA      | $1334483.72   | 0.04%             | 2035-11-20      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                     | CUSIP: 61748UAF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2067820.62   | 0.07%             | 2036-01-18      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXJG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3577113 | PA      | $3082810.00   | 0.10%             | 2058-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust             | Mercury Financial Credit Card Master Trust, Series 2024-2A, Class A                | CUSIP: 58940BAZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3580000 | PA      | $3609409.34   | 0.12%             | 2029-07-20      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| Niagara Mohawk Power Corp.                             | Niagara Mohawk Power Corp.                                                         | CUSIP: 653522DV1<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    720000 | PA      | $715564.19    | 0.02%             | 2055-07-03      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| BMD2 Re-REMIC Trust                                    | BMD2 Re-REMIC Trust, Series 2019-FRR1, Class 5A1                                   | CUSIP: 055631BQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3751590.40   | 0.13%             | 2052-05-25      | Variable      | 3.43%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QKQL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    420036 | PA      | $352040.21    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                     | Energy Transfer LP                                                                 | CUSIP: 29273VBA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    400000 | PA      | $406525.16    | 0.01%             | 2034-09-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LLSA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1600000 | PA      | $1642860.10   | 0.06%             | 2032-07-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Cherry Securitization Trust                            | Cherry Securitization Trust, Series 2025-1A, Class A                               | CUSIP: 16473RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1523566.20   | 0.05%             | 2032-11-15      | Fixed         | 6.13%                 | Yes           |                  2 | On Loan: No      |
| Renew                                                  | Renew, Series 2024-2A, Class M                                                     | CUSIP: 75975DAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1259802 | PA      | $1230600.85   | 0.04%             | 2060-11-20      | Fixed         | 6.83%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NUTX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1027138.71   | 0.03%             | 2034-05-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NV5W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1489448 | PA      | $1529126.58   | 0.05%             | 2029-11-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133KNHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    747276 | PA      | $680102.79    | 0.02%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                   | FirstKey Homes Trust, Series 2020-SFR1, Class E                                    | CUSIP: 33767MAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $498797.80    | 0.02%             | 2037-08-17      | Fixed         | 2.79%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2022-SFR1, Class E1                             | CUSIP: 74333YAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8650000 | PA      | $8293620.87   | 0.28%             | 2041-02-17      | Fixed         | 3.93%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2025-SFR1, Class D                                              | CUSIP: 00182MAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1623862.98   | 0.05%             | 2042-06-17      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                | BPCE SA                                                                            | CUSIP: 056121AB2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   2045000 | PA      | $2119546.73   | 0.07%             | 2036-05-28      | Variable      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140AUUZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    992557 | PA      | $1031523.59   | 0.03%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Goodgreen                                              | Goodgreen, Series 2018-1A, Class A                                                 | CUSIP: 38218GAA0<br>LEI: 549300X0P2BXCQULUH20 | Long             | ABS-O            | CORP              | KY        |    995227 | PA      | $919426.35    | 0.03%             | 2053-10-15      | Variable      | 3.93%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                    | U.S. Treasury 10 Year Note                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       469 | NC      | $258805.66    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133AAE57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2069450 | PA      | $1748101.22   | 0.06%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                    | Exeter Automobile Receivables Trust, Series 2025-2A, Class D                       | CUSIP: 30168JAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4900000 | PA      | $5057791.27   | 0.17%             | 2031-07-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| Cencora, Inc.                                          | Cencora, Inc.                                                                      | CUSIP: 03073EAY1<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |    775000 | PA      | $780779.35    | 0.03%             | 2035-02-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3138LG4Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    383779 | PA      | $370256.95    | 0.01%             | 2037-01-01      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| CSMC OA LLC                                            | CSMC OA LLC, Series 2014-USA, Class C                                              | CUSIP: 12649AAL3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $592507.50    | 0.02%             | 2037-09-15      | Fixed         | 4.34%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA ACES, Series 2023-M8, Class A1                                                | CUSIP: 3136BQNT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284281 | PA      | $288292.08    | 0.01%             | 2032-11-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| One Bryant Park Trust                                  | One Bryant Park Trust, Series 2019-OBP, Class A                                    | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $920088.10    | 0.03%             | 2054-09-15      | Fixed         | 2.52%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                     | Macquarie Airfinance Holdings Ltd.                                                 | CUSIP: 55609NAD0<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $534779.50    | 0.02%             | 2031-03-26      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corp.                                          | Comcast Corp.                                                                      | CUSIP: 20030NCE9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   2785000 | PA      | $2097366.93   | 0.07%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K90, Class C                                     | CUSIP: 30308QAU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $490313.70    | 0.02%             | 2052-02-25      | Variable      | 4.47%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179XHU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2641181 | PA      | $2252709.08   | 0.08%             | 2052-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Granite Park Equipment Leasing LLC                     | Granite Park Equipment Leasing LLC, Series 2023-1A, Class A3                       | CUSIP: 387422AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    164130 | PA      | $166639.33    | 0.01%             | 2032-09-20      | Fixed         | 6.46%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2021-SFR7, Class A                              | CUSIP: 74333PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    415784 | PA      | $388178.63    | 0.01%             | 2040-08-17      | Fixed         | 1.69%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2021-SFR1, Class D                                              | CUSIP: 00179DAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $939946.50    | 0.03%             | 2038-06-17      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 56F050092<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $5128125.00   | 0.17%             | 2025-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Technology in Housing Trust                  | Pagaya AI Technology in Housing Trust, Series 2023-1, Class A                      | CUSIP: 69547YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    550000 | PA      | $533779.95    | 0.02%             | 2040-10-25      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| Reach ABS Trust                                        | Reach ABS Trust, Series 2025-2A, Class C                                           | CUSIP: 75525QAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5056474.50   | 0.17%             | 2032-08-18      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140LVSM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4123533 | PA      | $3444539.49   | 0.12%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PRM5 Trust                                             | PRM5 Trust, Series 2025-PRM5, Class C                                              | CUSIP: 693980AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $997406.20    | 0.03%             | 2033-03-10      | Variable      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXF72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    619574 | PA      | $533960.39    | 0.02%             | 2057-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2024-2, Class D                     | CUSIP: 80286YAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3633796.95   | 0.12%             | 2031-08-15      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                              | SCF Equipment Leasing LLC, Series 2023-1A, Class A3                                | CUSIP: 784024AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    188550 | PA      | $191169.06    | 0.01%             | 2032-05-20      | Fixed         | 6.17%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K103, Class B                                    | CUSIP: 30315DAS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1819000 | PA      | $1713286.81   | 0.06%             | 2051-12-25      | Variable      | 3.57%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3138ERNP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    342962 | PA      | $306066.15    | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 912834HV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11540000 | PA      | $5619501.44   | 0.19%             | 2040-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XBLM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1108096 | PA      | $969640.73    | 0.03%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133KN6P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4174556 | PA      | $3621796.84   | 0.12%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XCM54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    568204 | PA      | $497158.53    | 0.02%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179XDA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8216062 | PA      | $7030887.95   | 0.24%             | 2052-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140MHSX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1189905 | PA      | $988582.34    | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                        | Citigroup, Inc.                                                                    | CUSIP: 17327CAT0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1026000 | PA      | $1030648.71   | 0.03%             | 2030-09-19      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179YRD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2498550 | PA      | $2277463.07   | 0.08%             | 2054-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                                | MVW LLC, Series 2021-1WA, Class C                                                  | CUSIP: 55389TAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     76719 | PA      | $73571.37     | 0.00%             | 2041-01-22      | Fixed         | 1.94%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2017-K66, Class B                                     | CUSIP: 35708QAU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1160000 | PA      | $1144901.09   | 0.04%             | 2027-07-25      | Variable      | 4.17%                 | Yes           |                  2 | On Loan: No      |
| Fn                                                     | Fn                                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   1179000 | PA      | $1201809.25   | 0.04%             | 2035-08-30      | Fixed         | 4.95%                 | No            |                  3 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3132DNKA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1824341 | PA      | $1808060.34   | 0.06%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                      | Wells Fargo & Co.                                                                  | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   4910000 | PA      | $4951187.93   | 0.17%             | 2035-12-03      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust                    | Brean Asset-Backed Securities Trust, Series 2023-RM7, Class A1                     | CUSIP: 10638BAA2<br>LEI: 98450003CE714EY3D313 | Long             | ABS-MBS          | CORP              | US        |   7089576 | PA      | $6978663.66   | 0.23%             | 2078-03-25      | Variable      | 4.50%                 | Yes           |                  3 | On Loan: No      |
| PRPM LLC                                               | PRPM LLC, Series 2024-RCF1, Class A1                                               | CUSIP: 693581AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145706 | PA      | $143429.33    | 0.00%             | 2054-01-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133B9NQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    766785 | PA      | $671332.61    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QPPX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7843091 | PA      | $7794524.52   | 0.26%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2023-SFR1, Class E1                                             | CUSIP: 66981XAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    520000 | PA      | $497597.20    | 0.02%             | 2040-04-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NUNT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $399724.64    | 0.01%             | 2034-03-01      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3622ADE61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1389335 | PA      | $1322867.46   | 0.04%             | 2052-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2018-75, Class LA                                              | CUSIP: 3136B3BV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1406476 | PA      | $1330902.97   | 0.04%             | 2048-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NXFB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2831000 | PA      | $2910631.64   | 0.10%             | 2034-06-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| NTT Finance Corp.                                      | NTT Finance Corp.                                                                  | CUSIP: 62954WAU9<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |   3500000 | PA      | $3566016.27   | 0.12%             | 2032-07-16      | Fixed         | 5.17%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                         | Mariner Finance Issuance Trust, Series 2021-AA, Class C                            | CUSIP: 56848DAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $192412.60    | 0.01%             | 2036-03-20      | Fixed         | 2.96%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2023-SFR2, Class D                              | CUSIP: 74331GAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    450000 | PA      | $440919.05    | 0.01%             | 2040-10-17      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NWLS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    993025 | PA      | $1012296.89   | 0.03%             | 2030-09-01      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2017-KGX1, Class BFX                                  | CUSIP: 30305QAG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    570000 | PA      | $538394.18    | 0.02%             | 2027-10-25      | Variable      | 3.71%                 | Yes           |                  2 | On Loan: No      |
| US Bancorp                                             | US Bancorp                                                                         | CUSIP: 91159HJU5<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   1685000 | PA      | $1724220.03   | 0.06%             | 2036-02-12      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-197, Class BN                                                    | CUSIP: 38385BGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9123007 | PA      | $8500577.12   | 0.29%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Element Fleet Management Corp.                         | Element Fleet Management Corp.                                                     | CUSIP: 286181AM4<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |    900000 | PA      | $917047.95    | 0.03%             | 2027-03-13      | Fixed         | 5.64%                 | Yes           |                  2 | On Loan: No      |
| Goodgreen                                              | Goodgreen, Series 2023-1A, Class A                                                 | CUSIP: 38217DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JE        |   1230691 | PA      | $1226678.12   | 0.04%             | 2061-01-17      | Fixed         | 5.90%                 | Yes           |                  3 | On Loan: No      |
| Continental Finance Credit Card ABS Master Trust       | Continental Finance Credit Card ABS Master Trust, Series 2024-A, Class A           | CUSIP: 66981PAQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3160000 | PA      | $3216642.37   | 0.11%             | 2032-12-15      | Fixed         | 5.78%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NY6D8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3535000 | PA      | $3646560.96   | 0.12%             | 2035-08-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital SA                               | TotalEnergies Capital SA                                                           | CUSIP: 89157XAE1<br>LEI: 529900QI55ZLJVCMPA71 | Long             | DBT              | CORP              | FR        |   1000000 | PA      | $923955.10    | 0.03%             | 2054-09-10      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179XS98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    511414 | PA      | $468262.20    | 0.02%             | 2053-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)               | PNC Financial Services Group, Inc. (The)                                           | CUSIP: 693475CD5<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   1105000 | PA      | $1127643.86   | 0.04%             | 2031-05-13      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3132DTMB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1098841 | PA      | $995816.89    | 0.03%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Renew                                                  | Renew, Series 2017-2A, Class A                                                     | CUSIP: 75973KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    347086 | PA      | $318604.32    | 0.01%             | 2053-09-22      | Fixed         | 3.22%                 | Yes           |                  3 | On Loan: No      |
| BNP Paribas SA                                         | BNP Paribas SA                                                                     | CUSIP: 09659W2Z6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2810000 | PA      | $2878365.28   | 0.10%             | 2030-11-19      | Variable      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue Securities Trust        | Multi-Family Connecticut Avenue Securities Trust, Series 2025-01, Class M1         | CUSIP: 62549CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2999353 | PA      | $3014833.22   | 0.10%             | 2055-05-25      | Floating      | 6.75%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CJA0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6585000 | PA      | $6781778.30   | 0.23%             | 2028-09-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8210000 | PA      | $5805688.69   | 0.20%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                        | Goodgreen Trust, Series 2016-1A, Class A                                           | CUSIP: 38217KAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1847709 | PA      | $1700611.86   | 0.06%             | 2052-10-15      | Fixed         | 3.23%                 | Yes           |                  3 | On Loan: No      |
| Jonah Energy Abs I LLC                                 | Jonah Energy ABS LLC, Series 2022-1, Class A1                                      | CUSIP: 47987EAC1<br>LEI: 2549003KXV9PPFRCPA79 | Long             | ABS-O            | CORP              | US        |   2712278 | PA      | $2730068.02   | 0.09%             | 2037-12-10      | Fixed         | 7.20%                 | Yes           |                  3 | On Loan: No      |
| CFMT LLC                                               | CFMT LLC, Series 2024-HB15, Class M1                                               | CUSIP: 15723AAB7<br>LEI: 98450050957GF5E1CD92 | Long             | ABS-MBS          | CORP              | US        |   2470000 | PA      | $2429410.24   | 0.08%             | 2034-08-25      | Variable      | 4.00%                 | Yes           |                  3 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2024-1A, Class B                                    | CUSIP: 68377JAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86242 | PA      | $86317.25     | 0.00%             | 2031-04-08      | Fixed         | 6.55%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                    | Societe Generale SA                                                                | CUSIP: 83368RBX9<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   6214000 | PA      | $6416891.14   | 0.22%             | 2035-01-19      | Variable      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FX3T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4717782 | PA      | $4394476.03   | 0.15%             | 2064-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                        | Citigroup, Inc.                                                                    | CUSIP: 17327CAY9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $975954.57    | 0.03%             | 2056-03-04      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan Energy Partners LP                       | Kinder Morgan Energy Partners LP                                                   | CUSIP: 494550BU9<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |   3980000 | PA      | $3750989.57   | 0.13%             | 2044-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618J8HM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    992139 | PA      | $1019599.28   | 0.03%             | 2054-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618KSYM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1495348 | PA      | $1586330.22   | 0.05%             | 2055-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FRTKL                                                  | FRTKL, Series 2021-SFR1, Class B                                                   | CUSIP: 30322DAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2902388.40   | 0.10%             | 2038-09-17      | Fixed         | 1.72%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 912834JH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7210000 | PA      | $3406133.92   | 0.11%             | 2040-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NYXL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2618000 | PA      | $2657977.38   | 0.09%             | 2035-07-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CMA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2770000 | PA      | $2820747.26   | 0.09%             | 2029-11-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-H08, Class EI                                                    | CUSIP: 38376R2C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12410897 | PA      | $456776.87    | 0.02%             | 2067-02-20      | Variable      | 2.41%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)               | PNC Financial Services Group, Inc. (The)                                           | CUSIP: 693475CC7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $2064579.68   | 0.07%             | 2036-01-29      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140AELG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3960999 | PA      | $3986050.90   | 0.13%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Oportun Funding Trust                                  | Oportun Funding Trust, Series 2024-3, Class C                                      | CUSIP: 68377NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1300000 | PA      | $1307807.93   | 0.04%             | 2029-08-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| VFI ABS LLC                                            | VFI ABS LLC, Series 2025-1A, Class B                                               | CUSIP: 91824UAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1195000 | PA      | $1200783.92   | 0.04%             | 2030-12-24      | Fixed         | 4.97%                 | Yes           |                  2 | On Loan: No      |
| United Mexican States                                  | United Mexican States                                                              | CUSIP: 91087BBF6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   2140000 | PA      | $2193500.00   | 0.07%             | 2038-01-29      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                         | Home Partners of America Trust, Series 2020-2, Class B                             | CUSIP: 437301AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1423751 | PA      | $1310429.30   | 0.04%             | 2041-01-17      | Fixed         | 1.98%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corp.                                           | Oracle Corp.                                                                       | CUSIP: 68389XDB8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    305000 | PA      | $297947.94    | 0.01%             | 2055-08-03      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XQYD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2242513 | PA      | $1968916.63   | 0.07%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LHPR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130736 | PA      | $125133.05    | 0.00%             | 2032-11-01      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                   | American Tower Corp.                                                               | CUSIP: 03027XAY6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    900000 | PA      | $651530.35    | 0.02%             | 2049-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2022-5, Class D                     | CUSIP: 80287HAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $403926.48    | 0.01%             | 2030-12-16      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| CFIN 2022-RTL1 Issuer LLC                              | CFIN 2022-RTL1 Issuer LLC, Class A                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   3235489 | PA      | $3235488.75   | 0.11%             | 2027-08-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| AbbVie, Inc.                                           | AbbVie, Inc.                                                                       | CUSIP: 00287YDA4<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $918414.80    | 0.03%             | 2044-06-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC               | Sierra Timeshare Receivables Funding LLC, Series 2022-2A, Class C                  | CUSIP: 82650TAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    175572 | PA      | $176983.35    | 0.01%             | 2040-06-20      | Fixed         | 6.36%                 | Yes           |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                       | Burlington Northern Santa Fe LLC                                                   | CUSIP: 12189LBH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    570000 | PA      | $351676.53    | 0.01%             | 2052-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                    | Exeter Automobile Receivables Trust, Series 2025-3A, Class D                       | CUSIP: 30166XAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2400000 | PA      | $2448127.20   | 0.08%             | 2031-10-15      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust          | Bridgecrest Lending Auto Securitization Trust, Series 2023-1, Class C              | CUSIP: 108056AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $358121.05    | 0.01%             | 2029-08-15      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| Orchard at landen                                      | Orchard at landen                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3967915.66   | 0.13%             | 2032-08-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CLR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9050000 | PA      | $9213677.76   | 0.31%             | 2029-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                      | GLS Auto Select Receivables Trust, Series 2024-1A, Class C                         | CUSIP: 37988XAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $307040.31    | 0.01%             | 2030-03-15      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2021-C, Class A                                     | CUSIP: 68377WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1913526 | PA      | $1873997.63   | 0.06%             | 2031-10-08      | Fixed         | 2.18%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NXFD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $3037524.39   | 0.10%             | 2032-07-01      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                           | Pacific Gas and Electric Co.                                                       | CUSIP: 694308KX4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    640000 | PA      | $661934.46    | 0.02%             | 2035-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust, Series 2021-R1, Class A1                                | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4933443 | PA      | $4408820.83   | 0.15%             | 2060-11-30      | Variable      | 2.92%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-29, Class LA                                              | CUSIP: 3136BV2L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3717476 | PA      | $3274962.32   | 0.11%             | 2055-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10360000 | PA      | $8096178.18   | 0.27%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618K83R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3009975 | PA      | $3217877.59   | 0.11%             | 2055-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                   | LHOME Mortgage Trust, Series 2025-RTL1, Class A1                                   | CUSIP: 50205UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1900000 | PA      | $1913663.09   | 0.06%             | 2040-01-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179XXY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3181595 | PA      | $2715656.92   | 0.09%             | 2053-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                             | AT&T, Inc.                                                                         | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   3275000 | PA      | $2177709.22   | 0.07%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                           | Bridge Trust, Series 2022-SFR1, Class E1                                           | CUSIP: 10805VAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4988116.50   | 0.17%             | 2037-11-17      | Fixed         | 6.30%                 | Yes           |                  2 | On Loan: No      |
| Diversified ABS IX Holdings LLC                        | Diversified ABS Holdings LLC, Series 2024-2A, Class A                              | CUSIP: 260968AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1849602 | PA      | $1864028.53   | 0.06%             | 2044-09-30      | Fixed         | 6.55%                 | Yes           |                  3 | On Loan: No      |
| PRPM LLC                                               | PRPM LLC, Series 2024-RPL1, Class A1                                               | CUSIP: 69380XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    337829 | PA      | $333243.82    | 0.01%             | 2064-12-25      | Variable      | 4.20%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2021-27, Class EC                                              | CUSIP: 3136BHAA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138816 | PA      | $112313.45    | 0.00%             | 2051-05-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Cherry Securitization Trust                            | Cherry Securitization Trust, Series 2024-1A, Class A                               | CUSIP: 164737AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1375000 | PA      | $1387096.56   | 0.05%             | 2032-04-15      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140MDHU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1785606 | PA      | $1622983.16   | 0.05%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC               | Sierra Timeshare Receivables Funding LLC, Series 2021-2A, Class A                  | CUSIP: 82652RAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39559 | PA      | $38983.57     | 0.00%             | 2038-09-20      | Fixed         | 1.35%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NV5K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1216767 | PA      | $1211004.67   | 0.04%             | 2031-12-01      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140HVFN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106866 | PA      | $95804.10     | 0.00%             | 2034-10-01      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K98, Class B                                     | CUSIP: 30312DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1040000 | PA      | $993474.56    | 0.03%             | 2052-10-25      | Variable      | 3.86%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FX3W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2689805 | PA      | $2586598.18   | 0.09%             | 2064-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XBYG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    564035 | PA      | $479314.55    | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133KKHP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    596763 | PA      | $521729.47    | 0.02%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                         | Southern Co. Gas Capital Corp.                                                     | CUSIP: 001192AH6<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1017498.06   | 0.03%             | 2041-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 912833XU9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35000000 | PA      | $29303096.20  | 0.99%             | 2030-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CGQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16000000 | PA      | $16224375.04  | 0.55%             | 2030-02-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                         | Broadcom, Inc.                                                                     | CUSIP: 11135FBJ9<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   6155000 | PA      | $4878713.42   | 0.16%             | 2041-02-15      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FX3L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3782377 | PA      | $3084730.94   | 0.10%             | 2064-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KJ44, Class A2    | CUSIP: 3137H9QU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $507158.85    | 0.02%             | 2033-02-25      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                               | UnitedHealth Group, Inc.                                                           | CUSIP: 91324PFL1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    670000 | PA      | $637748.89    | 0.02%             | 2054-07-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2017-K64, Class B                                     | CUSIP: 30296CAE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4455000 | PA      | $4406885.11   | 0.15%             | 2050-05-25      | Variable      | 4.14%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                        | Citigroup, Inc.                                                                    | CUSIP: 172967PL9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3275000 | PA      | $3366547.45   | 0.11%             | 2035-06-11      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2012-132, Class Z                                                     | CUSIP: 38378BX87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    539845 | PA      | $393156.29    | 0.01%             | 2054-06-16      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K135, Class AM    | CUSIP: 3137H4R44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1050000 | PA      | $918104.78    | 0.03%             | 2031-10-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2020-54, Class UB                                              | CUSIP: 3136BBGT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125088 | PA      | $125305.80    | 0.00%             | 2050-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Canadian Pacific Railway Co.                           | Canadian Pacific Railway Co.                                                       | CUSIP: 13645RAU8<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    700000 | PA      | $626590.43    | 0.02%             | 2045-08-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3620000 | PA      | $2688981.25   | 0.09%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Oportun Issuance Trust                                 | Oportun Issuance Trust, Series 2021-B, Class B                                     | CUSIP: 68377GAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1887713 | PA      | $1848761.56   | 0.06%             | 2031-05-08      | Fixed         | 1.96%                 | Yes           |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                  | Sumitomo Mitsui Financial Group, Inc.                                              | CUSIP: 86562MDN7<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    400000 | PA      | $418545.64    | 0.01%             | 2031-07-09      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LD4J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6904897 | PA      | $6099119.30   | 0.21%             | 2031-11-01      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                         | Southern California Edison Co.                                                     | CUSIP: 842400JD6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   4550000 | PA      | $4258197.03   | 0.14%             | 2054-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FARM Mortgage Trust                                    | FARM Mortgage Trust, Series 2021-1, Class A                                        | CUSIP: 30768WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1127179 | PA      | $917848.72    | 0.03%             | 2051-01-25      | Variable      | 2.18%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140HWC67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $6531315.70   | 0.22%             | 2029-11-01      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140JBH66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7612422 | PA      | $6354349.35   | 0.21%             | 2033-01-01      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| Granite Park Equipment Leasing LLC                     | Granite Park Equipment Leasing LLC, Series 2023-1A, Class D                        | CUSIP: 387422AF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350000 | PA      | $365914.82    | 0.01%             | 2033-08-22      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                              | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    500000 | PA      | $507915.97    | 0.02%             | 2033-07-22      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CNJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7800000 | PA      | $7840218.75   | 0.26%             | 2032-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                             | AerCap Ireland Capital DAC                                                         | CUSIP: 00774MAZ8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1520000 | PA      | $1223866.79   | 0.04%             | 2041-10-29      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust, Series 2024-RTL1, Class A1                    | CUSIP: 64831PAA3<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |   4480000 | PA      | $4511312.51   | 0.15%             | 2039-03-25      | Variable      | 6.66%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5240000 | PA      | $5282984.35   | 0.18%             | 2030-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BMD2 Re-Remic Trust                                    | BMD2 Re-REMIC Trust, Series 2019-FRR1, Class 3AB                                   | CUSIP: 055631EU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7750000 | PA      | $6633610.18   | 0.22%             | 2052-05-25      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-1, Class Z                                                       | CUSIP: 38378B5G0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    785663 | PA      | $499396.87    | 0.02%             | 2055-01-16      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CMC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6520000 | PA      | $6750746.84   | 0.23%             | 2031-12-31      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan U.S. Government Money Market Fund             | JPMorgan U.S. Government Money Market Fund, Class IM                               | CUSIP: 4812C2270<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | STIV             | RF                | US        |  67573101 | NS      | $67573101.12  | 2.27%             |  |  |  | No            |                  1 | On Loan: No      |
| PG&E Recovery Funding LLC                              | PG&E Recovery Funding LLC, Series A-2                                              | CUSIP: 71710TAH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    290000 | PA      | $289094.76    | 0.01%             | 2042-06-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618JLHH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1985598 | PA      | $2087859.74   | 0.07%             | 2054-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                      | GLS Auto Receivables Issuer Trust, Series 2025-2A, Class D                         | CUSIP: 37989BAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3300000 | PA      | $3361052.97   | 0.11%             | 2031-01-15      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K88, Class B                                     | CUSIP: 302971AR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1987258.00   | 0.07%             | 2052-02-25      | Variable      | 4.53%                 | Yes           |                  2 | On Loan: No      |
| Regional Management Issuance Trust                     | Regional Management Issuance Trust, Series 2022-1, Class C                         | CUSIP: 75907DAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3666000 | PA      | $3632460.50   | 0.12%             | 2032-03-15      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                               | Foundation Finance Trust, Series 2024-2A, Class B                                  | CUSIP: 35040VAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    547031 | PA      | $548317.50    | 0.02%             | 2050-03-15      | Fixed         | 4.93%                 | Yes           |                  2 | On Loan: No      |
| Charter Communications Operating LLC                   | Charter Communications Operating LLC                                               | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $940171.58    | 0.03%             | 2033-04-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Technology in Housing Trust                  | Pagaya AI Technology in Housing Trust, Series 2023-1, Class E2                     | CUSIP: 69547YAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1100000 | PA      | $1002306.25   | 0.03%             | 2040-10-25      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust           | American Credit Acceptance Receivables Trust, Series 2023-4, Class C               | CUSIP: 02530CAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    430000 | PA      | $435093.01    | 0.01%             | 2030-09-12      | Fixed         | 6.99%                 | Yes           |                  2 | On Loan: No      |
| Charter Communications Operating LLC                   | Charter Communications Operating LLC                                               | CUSIP: 161175CE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $496924.01    | 0.02%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Coterra Energy, Inc.                                   | Coterra Energy, Inc.                                                               | CUSIP: 127097AM5<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1294557.99   | 0.04%             | 2035-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXCQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3014648 | PA      | $2819621.53   | 0.09%             | 2056-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                               | PRPM LLC, Series 2023-RCF2, Class A1                                               | CUSIP: 69380RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143023 | PA      | $141198.25    | 0.00%             | 2053-11-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust, Series 2021-P4, Class A4                           | CUSIP: 14687KAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    344442 | PA      | $340007.20    | 0.01%             | 2027-12-10      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| Renew                                                  | Renew, Series 2024-2A, Class B                                                     | CUSIP: 75975DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1496704 | PA      | $1505109.19   | 0.05%             | 2060-11-20      | Fixed         | 8.22%                 | Yes           |                  3 | On Loan: No      |
| Tricon Residential Trust                               | Tricon Residential Trust, Series 2022-SFR2, Class E                                | CUSIP: 89616TAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1016816.60   | 0.03%             | 2040-07-17      | Fixed         | 7.51%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                              | CUSIP: 06051GJE0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2545000 | PA      | $1834294.07   | 0.06%             | 2041-06-19      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust                    | Brean Asset-Backed Securities Trust, Series 2025-RM12, Class A1                    | CUSIP: 10638KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4620000 | PA      | $4487838.89   | 0.15%             | 2065-07-25      | Fixed         | 4.50%                 | Yes           |                  3 | On Loan: No      |
| DuPont de Nemours, Inc.                                | DuPont de Nemours, Inc.                                                            | CUSIP: 26078JAE0<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |   1059000 | PA      | $1104672.15   | 0.04%             | 2038-11-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133B9SJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3948737 | PA      | $3280925.87   | 0.11%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VOLT C LLC                                             | VOLT C LLC, Series 2021-NPL9, Class A1                                             | CUSIP: 91835DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35680 | PA      | $35663.38     | 0.00%             | 2051-05-25      | Variable      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                   | FirstKey Homes Trust, Series 2020-SFR2, Class C                                    | CUSIP: 33767JAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    295000 | PA      | $292742.81    | 0.01%             | 2037-10-19      | Fixed         | 1.67%                 | Yes           |                  2 | On Loan: No      |
| Boeing Co. (The)                                       | Boeing Co. (The)                                                                   | CUSIP: 097023CF0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $671573.19    | 0.02%             | 2059-03-01      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                                    | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1987440.98   | 0.07%             | 2035-10-23      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXYS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3454794 | PA      | $3160578.61   | 0.11%             | 2063-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133KKBW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    626786 | PA      | $476648.14    | 0.02%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                             | CPS Auto Receivables Trust, Series 2023-D, Class C                                 | CUSIP: 12598VAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $406491.16    | 0.01%             | 2030-01-15      | Fixed         | 7.17%                 | Yes           |                  2 | On Loan: No      |
| GAM Re-REMIC Trust                                     | GAM Re-REMIC Trust, Series 2022-FRR3, Class BK61                                   | CUSIP: 36459DAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3683101.60   | 0.12%             | 2049-11-27      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Anglo American Capital plc                             | Anglo American Capital plc                                                         | CUSIP: 034863BE9<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |   2035000 | PA      | $2106794.80   | 0.07%             | 2034-04-05      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                | BPCE SA                                                                            | CUSIP: 05571AAZ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    655000 | PA      | $682475.23    | 0.02%             | 2031-01-14      | Variable      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                           | Mizuho Financial Group, Inc.                                                       | CUSIP: 60687YDL0<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   4565000 | PA      | $4617525.26   | 0.16%             | 2031-07-08      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| Merchants Fleet Funding LLC                            | Merchants Fleet Funding LLC, Series 2023-1A, Class A                               | CUSIP: 588926AA3<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |    219434 | PA      | $220934.46    | 0.01%             | 2036-05-20      | Fixed         | 7.21%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618NNPD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2996258 | PA      | $3026498.43   | 0.10%             | 2055-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goodgreen                                              | Goodgreen, Series 2019-2A, Class A                                                 | CUSIP: 38218EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   5145672 | PA      | $4432069.89   | 0.15%             | 2055-04-15      | Fixed         | 2.76%                 | Yes           |                  3 | On Loan: No      |
| Rain City Mortgage Trust                               | Rain City Mortgage Trust, Series 2024-RTL1, Class A1                               | CUSIP: 75079KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    772000 | PA      | $779875.02    | 0.03%             | 2029-11-25      | Variable      | 6.53%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NV7D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1014103.68   | 0.03%             | 2031-08-01      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3622ACVB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4841831 | PA      | $4443829.59   | 0.15%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Marvell Technology, Inc.                               | Marvell Technology, Inc.                                                           | CUSIP: 573874AS3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4487000 | PA      | $4563282.32   | 0.15%             | 2035-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140KK3D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3888866 | PA      | $3278067.34   | 0.11%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14235000 | PA      | $10442151.01  | 0.35%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179YAL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5731907 | PA      | $4889247.09   | 0.16%             | 2053-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XCPA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11196313 | PA      | $10213960.21  | 0.34%             | 2051-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XFRJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1264277 | PA      | $1109283.01   | 0.04%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618JLHG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1987844 | PA      | $2108925.29   | 0.07%             | 2054-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                   | BBCMS Mortgage Trust, Series 2016-ETC, Class D                                     | CUSIP: 05491LAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210000 | PA      | $195090.84    | 0.01%             | 2036-08-14      | Variable      | 3.73%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LGQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1905360.76   | 0.06%             | 2032-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-52, Class BT                                              | CUSIP: 3136BWUY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11076271 | PA      | $9540529.64   | 0.32%             | 2055-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                           | CaixaBank SA                                                                       | CUSIP: 12803RAB0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    313000 | PA      | $319977.21    | 0.01%             | 2027-09-13      | Variable      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered plc                                 | Standard Chartered plc                                                             | CUSIP: 85325C2A9<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    580000 | PA      | $590308.26    | 0.02%             | 2030-10-15      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-191, Class CT                                                    | CUSIP: 38382MNY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3215332 | PA      | $2496030.94   | 0.08%             | 2050-12-20      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-191, Class B                                                     | CUSIP: 38380JJN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    688303 | PA      | $402487.59    | 0.01%             | 2059-07-16      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                     | Regional Management Issuance Trust, Series 2025-1, Class D                         | CUSIP: 75908AAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2250000 | PA      | $2274658.20   | 0.08%             | 2034-04-17      | Fixed         | 6.58%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2021-SFR4, Class E2                                             | CUSIP: 66982FAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3370212.65   | 0.11%             | 2038-12-17      | Fixed         | 3.01%                 | Yes           |                  2 | On Loan: No      |
| NYMT Loan Trust                                        | NYMT Loan Trust, Series 2024-BPL3, Class A1                                        | CUSIP: 67119RAA5<br>LEI: 254900Q6RDCV3HGA6340 | Long             | ABS-MBS          | CORP              | US        |    550000 | PA      | $549620.01    | 0.02%             | 2039-09-25      | Variable      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 31427PGG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4950525 | PA      | $4640210.18   | 0.16%             | 2055-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179X2E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5855318 | PA      | $4993383.01   | 0.17%             | 2053-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                 | Lendmark Funding Trust, Series 2025-1A, Class D                                    | CUSIP: 52604QAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1910000 | PA      | $1953652.29   | 0.07%             | 2034-09-20      | Fixed         | 6.48%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2024-SFR2, Class D                                              | CUSIP: 00179UAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1097000 | PA      | $1047865.92   | 0.04%             | 2041-11-17      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2025-SFR3, Class B                              | CUSIP: 74334BAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2810000 | PA      | $2612022.86   | 0.09%             | 2042-07-17      | Fixed         | 3.39%                 | Yes           |                  2 | On Loan: No      |
| HINNT LLC                                              | HINNT LLC, Series 2022-A, Class B                                                  | CUSIP: 40486JAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2417972 | PA      | $2405447.80   | 0.08%             | 2041-05-15      | Fixed         | 4.65%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2016-K55, Class C                                     | CUSIP: 30289HAG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $991639.70    | 0.03%             | 2049-04-25      | Variable      | 4.31%                 | Yes           |                  2 | On Loan: No      |
| AT&T, Inc.                                             | AT&T, Inc.                                                                         | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1005000 | PA      | $691580.26    | 0.02%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2024-SFR4, Class C                              | CUSIP: 74334JAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    246000 | PA      | $231733.94    | 0.01%             | 2041-07-17      | Fixed         | 3.33%                 | Yes           |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                        | Republic Finance Issuance Trust, Series 2024-A, Class A                            | CUSIP: 76041RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $607102.44    | 0.02%             | 2032-08-20      | Fixed         | 5.91%                 | Yes           |                  2 | On Loan: No      |
| Bridge Trust                                           | Bridge Trust, Series 2022-SFR1, Class A                                            | CUSIP: 10805VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    349292 | PA      | $347497.55    | 0.01%             | 2037-11-17      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| Regional Management Issuance Trust                     | Regional Management Issuance Trust, Series 2021-2, Class C                         | CUSIP: 75907UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1400000 | PA      | $1315319.74   | 0.04%             | 2033-08-15      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179XX27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8011918 | PA      | $7352529.42   | 0.25%             | 2053-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-19, Class WB                                                     | CUSIP: 38383V4Z8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    594235 | PA      | $615857.27    | 0.02%             | 2051-11-20      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                      | Wells Fargo & Co.                                                                  | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    535000 | PA      | $552084.07    | 0.02%             | 2035-01-23      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2020-10, Class DA                                              | CUSIP: 3136B9BV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4406643 | PA      | $3973853.85   | 0.13%             | 2060-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                           | CaixaBank SA                                                                       | CUSIP: 12803RAH7<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   6510000 | PA      | $6855755.67   | 0.23%             | 2035-06-15      | Variable      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| Eastern Energy Gas Holdings LLC                        | Eastern Energy Gas Holdings LLC                                                    | CUSIP: 27636AAC6<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |    695000 | PA      | $710648.79    | 0.02%             | 2055-01-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MT                 | CUSIP: 35563PJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    468587 | PA      | $417113.55    | 0.01%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Stream Innovations Issuer Trust                        | Stream Innovations Issuer Trust, Series 2025-1A, Class C                           | CUSIP: 86324XAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2698141 | PA      | $2752878.99   | 0.09%             | 2045-09-15      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Goldman Home Improvement Trust Issuer Trust            | Goldman Home Improvement Trust Issuer Trust, Series 2022-GRN2, Class D             | CUSIP: 38151JAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4019879 | PA      | $4256002.96   | 0.14%             | 2052-10-25      | Fixed         | 9.75%                 | Yes           |                  3 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2022-1, Class MTU                | CUSIP: 35563P7E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3098133 | PA      | $2673861.71   | 0.09%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                    | Societe Generale SA                                                                | CUSIP: 83368RBJ0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   2000000 | PA      | $1800700.20   | 0.06%             | 2033-01-21      | Variable      | 3.34%                 | Yes           |                  2 | On Loan: No      |
| NRZ FHT Excess LLC                                     | NRZ FHT Excess LLC, Series 2020-FHT1, Class A                                      | CUSIP: 62955MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1333332 | PA      | $1327795.82   | 0.04%             | 2025-11-25      | Fixed         | 4.21%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140XBC73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203555 | PA      | $171420.07    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5455000 | PA      | $4713674.01   | 0.16%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                | BPCE SA                                                                            | CUSIP: 05571AAY1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   3250000 | PA      | $3358403.82   | 0.11%             | 2035-05-30      | Variable      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2021-2, Class MTU                | CUSIP: 35563P2S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    679330 | PA      | $551095.59    | 0.02%             | 2060-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                           | ING Groep NV                                                                       | CUSIP: 456837BS1<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |   1000000 | PA      | $1023649.89   | 0.03%             | 2036-03-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K94, Class C                                     | CUSIP: 30310XAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1250000 | PA      | $1182115.75   | 0.04%             | 2052-07-25      | Variable      | 4.10%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                         | Mariner Finance Issuance Trust, Series 2021-BA, Class C                            | CUSIP: 56847JAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $189071.60    | 0.01%             | 2036-11-20      | Fixed         | 2.66%                 | Yes           |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                  | Anchor Mortgage Trust, Series 2025-RTL1, Class A1                                  | CUSIP: 03290CAA4<br>LEI: 254900S7O2LYCU17JI96 | Long             | ABS-MBS          | CORP              | US        |   5270000 | PA      | $5298210.84   | 0.18%             | 2040-05-25      | Variable      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LLVJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $305336.21    | 0.01%             | 2033-09-01      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                        | Santander UK Group Holdings plc                                                    | CUSIP: 80281LAV7<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   2050000 | PA      | $2138753.97   | 0.07%             | 2031-04-15      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust, Series 2022-SFR1, Class E1                    | CUSIP: 64831KAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2902005.30   | 0.10%             | 2039-02-17      | Fixed         | 3.55%                 | Yes           |                  2 | On Loan: No      |
| Zimmer Biomet Holdings, Inc.                           | Zimmer Biomet Holdings, Inc.                                                       | CUSIP: 98956PBC5<br>LEI: 2P2YLDVPES3BXQ1FRB91 | Long             | DBT              | CORP              | US        |   2065000 | PA      | $2130667.93   | 0.07%             | 2035-02-19      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3142GTTD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2846707 | PA      | $2834713.17   | 0.10%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BG Beta I Ltd.                                         | BG Beta Ltd.                                                                       | CUSIP: 05593PAE6<br>LEI: 254900Z3OU5JTNX05R08 | Long             | ABS-O            | CORP              | KY        |    979637 | PA      | $996976.35    | 0.03%             | 2054-07-16      | Fixed         | 7.12%                 | No            |                  3 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-34, Class PN                                                     | CUSIP: 38383MEK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    872458 | PA      | $815076.80    | 0.03%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust, Series 2024-3A, Class C                         | CUSIP: 22535LAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5038000 | PA      | $5108682.64   | 0.17%             | 2035-01-16      | Fixed         | 5.39%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2021-1, Class MTU                | CUSIP: 35563PUZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    628081 | PA      | $514878.34    | 0.02%             | 2060-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GAM Re-REMIC Trust                                     | GAM Re-REMIC Trust, Series 2021-FRR1, Class 2A                                     | CUSIP: 364614AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580000 | PA      | $512479.30    | 0.02%             | 2050-11-29      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618FN6K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    224081 | PA      | $231383.04    | 0.01%             | 2053-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QNLM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1143236 | PA      | $953352.13    | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                      | Wells Fargo & Co.                                                                  | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  10671000 | PA      | $11079005.90  | 0.37%             | 2036-04-23      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| Progress Residential                                   | Progress Residential, Series 2021-SFR3, Class A                                    | CUSIP: 74333VAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     96758 | PA      | $95711.68     | 0.00%             | 2026-05-17      | Fixed         | 1.64%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Trust LLC                                | SCF Equipment Trust LLC, Series 2025-1A, Class D                                   | CUSIP: 78437DAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1557000 | PA      | $1603170.66   | 0.05%             | 2035-11-20      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LFWY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1121923 | PA      | $1063165.31   | 0.04%             | 2029-09-01      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| BMD2 Re-REMIC Trust                                    | BMD2 Re-REMIC Trust, Series 2019-FRR1, Class 5B13                                  | CUSIP: 055631GM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5285712.00   | 0.18%             | 2052-05-25      | Variable      | 2.17%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179XS72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6185893 | PA      | $5318535.09   | 0.18%             | 2053-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust, Series 2022-P1, Class A4                           | CUSIP: 14688DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    298909 | PA      | $297549.08    | 0.01%             | 2028-02-10      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2023-101, Class S                                                     | CUSIP: 38384CAL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1734364 | PA      | $1580514.92   | 0.05%             | 2053-07-20      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| Stream Innovations Issuer Trust                        | Stream Innovations Issuer Trust, Series 2025-1A, Class B                           | CUSIP: 86324XAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3347694 | PA      | $3396369.93   | 0.11%             | 2045-09-15      | Fixed         | 5.48%                 | Yes           |                  2 | On Loan: No      |
| CaixaBank SA                                           | CaixaBank SA                                                                       | CUSIP: 12803RAC8<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    448000 | PA      | $495919.67    | 0.02%             | 2034-09-13      | Variable      | 6.84%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                           | Avolon Holdings Funding Ltd.                                                       | CUSIP: 05401AAW1<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1500000 | PA      | $1513650.00   | 0.05%             | 2028-01-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Targa Resources Corp.                                  | Targa Resources Corp.                                                              | CUSIP: 87612GAP6<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   3247000 | PA      | $3296685.20   | 0.11%             | 2030-09-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| CSMC OA LLC                                            | CSMC OA LLC, Series 2014-USA, Class A2                                             | CUSIP: 12649AAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1835020.00   | 0.06%             | 2037-09-15      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Trust                                     | Aqua Finance Trust, Series 2021-A, Class C                                         | CUSIP: 03842VAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6500000 | PA      | $6083533.30   | 0.20%             | 2046-07-17      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust             | Mercury Financial Credit Card Master Trust, Series 2024-2A, Class B                | CUSIP: 58940BBB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2026813.40   | 0.07%             | 2029-07-20      | Fixed         | 7.43%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                      | GLS Auto Select Receivables Trust, Series 2024-1A, Class D                         | CUSIP: 37988XAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    295000 | PA      | $307631.75    | 0.01%             | 2031-01-15      | Fixed         | 6.43%                 | Yes           |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust          | Bridgecrest Lending Auto Securitization Trust, Series 2024-4, Class D              | CUSIP: 10806EAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1150000 | PA      | $1162055.91   | 0.04%             | 2030-08-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Emera US Finance LP                                    | Emera US Finance LP                                                                | CUSIP: 29103DAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1585000 | PA      | $1320808.00   | 0.04%             | 2046-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M55D               | CUSIP: 35563PLQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5223639 | PA      | $4915876.06   | 0.17%             | 2058-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2021-91, Class GB                                              | CUSIP: 3136BK3E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6409242 | PA      | $5413732.25   | 0.18%             | 2049-07-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                  | United Mexican States                                                              | CUSIP: 91087BBB5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    474000 | PA      | $495567.00    | 0.02%             | 2030-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHF Issuer Trust                                       | FHF Issuer Trust, Series 2024-1A, Class B                                          | CUSIP: 31568AAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    158000 | PA      | $163235.82    | 0.01%             | 2030-03-15      | Fixed         | 6.26%                 | Yes           |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                  | NextEra Energy Capital Holdings, Inc.                                              | CUSIP: 65339KDM9<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   1415000 | PA      | $1409443.80   | 0.05%             | 2055-03-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4016, Class KZ                                                | CUSIP: 3137ANAB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    252901 | PA      | $246808.85    | 0.01%             | 2042-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Plains All American Pipeline LP                        | Plains All American Pipeline LP                                                    | CUSIP: 72650RBQ4<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |    665000 | PA      | $685006.23    | 0.02%             | 2035-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)               | PNC Financial Services Group, Inc. (The)                                           | CUSIP: 693475CE3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    270000 | PA      | $274377.34    | 0.01%             | 2036-07-21      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4994, Class LI                                                | CUSIP: 3137FUEK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    146202 | PA      | $28319.22     | 0.00%             | 2048-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NUE96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    490000 | PA      | $503611.31    | 0.02%             | 2033-01-01      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618HSC79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1026130 | PA      | $1088630.91   | 0.04%             | 2054-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                  | FMC GMSR Issuer Trust, Series 2021-GT1, Class B                                    | CUSIP: 30259RAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2375252.25   | 0.08%             | 2026-07-25      | Variable      | 4.36%                 | Yes           |                  2 | On Loan: No      |
| Biogen, Inc.                                           | Biogen, Inc.                                                                       | CUSIP: 09062XAL7<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |    770000 | PA      | $794801.21    | 0.03%             | 2035-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-15, Class CB                                                     | CUSIP: 38382CRT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1281477 | PA      | $1119900.34   | 0.04%             | 2050-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXF98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6067003 | PA      | $5674466.45   | 0.19%             | 2057-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CND9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8775000 | PA      | $8810648.44   | 0.30%             | 2028-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3142GR6T2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3309033 | PA      | $3409558.35   | 0.11%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5080000 | PA      | $3291284.35   | 0.11%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                           | Oracle Corp.                                                                       | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   4500000 | PA      | $3077453.97   | 0.10%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                     | HERO Funding Trust, Series 2015-3A, Class A                                        | CUSIP: 42771TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    777728 | PA      | $772198.56    | 0.03%             | 2041-09-20      | Fixed         | 4.28%                 | Yes           |                  3 | On Loan: No      |
| BNP Paribas SA                                         | BNP Paribas SA                                                                     | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   4383000 | PA      | $4567006.40   | 0.15%             | 2033-01-13      | Variable      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618KSX80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1730167 | PA      | $1819344.72   | 0.06%             | 2055-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618K83P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5186837 | PA      | $5502414.63   | 0.19%             | 2055-02-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2024-164, Class LO                                                    | CUSIP: 38384XSP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3260134 | PA      | $2615230.31   | 0.09%             | 2054-06-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K100, Class C                                    | CUSIP: 30313PAU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4707000 | PA      | $4462020.89   | 0.15%             | 2052-11-25      | Variable      | 3.61%                 | Yes           |                  2 | On Loan: No      |
| Cheniere Energy Partners LP                            | Cheniere Energy Partners LP                                                        | CUSIP: 16411QAV3<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    560000 | PA      | $565146.64    | 0.02%             | 2035-10-30      | Fixed         | 5.55%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810QK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    600000 | PA      | $549585.94    | 0.02%             | 2040-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 9128337N4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19925000 | PA      | $16340145.01  | 0.55%             | 2030-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Enbridge, Inc.                                         | Enbridge, Inc.                                                                     | CUSIP: 29250NCC7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    890000 | PA      | $918827.77    | 0.03%             | 2034-04-05      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction Trust            | Seasoned Loans Structured Transaction Trust, Series 2025-1, Class A1               | CUSIP: 35564CTW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6441299 | PA      | $6003413.28   | 0.20%             | 2035-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                  | OneMain Direct Auto Receivables Trust, Series 2021-1A, Class B                     | CUSIP: 682687AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $692867.56    | 0.02%             | 2028-07-14      | Fixed         | 1.26%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QMKG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    916634 | PA      | $801231.84    | 0.03%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                    | Exeter Automobile Receivables Trust, Series 2025-4A, Class D                       | CUSIP: 30167KAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6080000 | PA      | $6119975.39   | 0.21%             | 2032-01-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| ConocoPhillips Co.                                     | ConocoPhillips Co.                                                                 | CUSIP: 20826FBM7<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    680000 | PA      | $640746.20    | 0.02%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UPX HIL Issuer Trust                                   | UPX HIL Issuer Trust, Series 2025-1, Class A                                       | CUSIP: 916925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5960000 | PA      | $5975674.80   | 0.20%             | 2047-01-25      | Fixed         | 5.16%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 36179YYQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5906999 | PA      | $5041635.49   | 0.17%             | 2054-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CMW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1970000 | PA      | $1977541.40   | 0.07%             | 2028-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                             | AerCap Ireland Capital DAC                                                         | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    730000 | PA      | $668337.85    | 0.02%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                 | Truist Financial Corp.                                                             | CUSIP: 89788MAS1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   1615000 | PA      | $1682321.21   | 0.06%             | 2035-01-24      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                              | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2150000 | PA      | $2214915.29   | 0.07%             | 2036-01-24      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4885000 | PA      | $4738831.62   | 0.16%             | 2044-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC               | Sierra Timeshare Receivables Funding LLC, Series 2024-3A, Class C                  | CUSIP: 82653BAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    968027 | PA      | $973112.09    | 0.03%             | 2041-08-20      | Fixed         | 5.32%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NVVS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    670744 | PA      | $694758.55    | 0.02%             | 2031-09-01      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NYM32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2500000 | PA      | $2503870.40   | 0.08%             | 2032-06-01      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4190000 | PA      | $3620585.54   | 0.12%             | 2031-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                      | GLS Auto Select Receivables Trust, Series 2023-2A, Class A3                        | CUSIP: 36269EAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $510430.50    | 0.02%             | 2029-02-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-1, Class M60C               | CUSIP: 35563PEL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    245270 | PA      | $227615.03    | 0.01%             | 2057-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2012-28, Class PT                                              | CUSIP: 3136A33E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    737263 | PA      | $721155.65    | 0.02%             | 2042-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                     | Aqua Finance Trust, Series 2019-A, Class C                                         | CUSIP: 038370AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    465827 | PA      | $456773.15    | 0.02%             | 2040-07-16      | Fixed         | 4.01%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140W13T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9748279 | PA      | $8542108.43   | 0.29%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140FXUL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    911009 | PA      | $902858.47    | 0.03%             | 2061-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                 | Cascade MH Asset Trust, Series 2024-MH1, Class A2                                  | CUSIP: 14731VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1554000 | PA      | $1612661.95   | 0.05%             | 2056-11-25      | Variable      | 6.06%                 | Yes           |                  2 | On Loan: No      |
| Quanta Services, Inc.                                  | Quanta Services, Inc.                                                              | CUSIP: 74762EAP7<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   1475000 | PA      | $1460287.21   | 0.05%             | 2035-08-09      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-188, Class PA                                                    | CUSIP: 38383CRU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5499122 | PA      | $4539052.22   | 0.15%             | 2051-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K102, Class B                                    | CUSIP: 30312WAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    375000 | PA      | $355296.79    | 0.01%             | 2051-12-25      | Variable      | 3.65%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                               | Foundation Finance Trust, Series 2023-2A, Class D                                  | CUSIP: 35042RAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    461487 | PA      | $494581.04    | 0.02%             | 2049-06-15      | Fixed         | 9.10%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2022-6, Class D                     | CUSIP: 802918AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $403869.24    | 0.01%             | 2031-02-18      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NY7H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2161000 | PA      | $2215827.92   | 0.07%             | 2032-07-01      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7000000 | PA      | $6884335.92   | 0.23%             | 2027-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2012-130, Class DC                                             | CUSIP: 3136AAGX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    288103 | PA      | $261861.55    | 0.01%             | 2042-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QPTS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2513529 | PA      | $2425979.24   | 0.08%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-3, Class MTU                | CUSIP: 35563PSE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5328535 | PA      | $4397655.56   | 0.15%             | 2060-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4896, Class CG                                                | CUSIP: 3137FMLM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    295597 | PA      | $279309.57    | 0.01%             | 2049-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2017-76, Class B                                                      | CUSIP: 38379RWA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    628693 | PA      | $460931.04    | 0.02%             | 2056-12-16      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                      | HSBC Holdings plc                                                                  | CUSIP: 404280ER6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    980000 | PA      | $1003901.28   | 0.03%             | 2031-03-03      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                      | GLS Auto Receivables Issuer Trust, Series 2025-1A, Class D                         | CUSIP: 36271KAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2900000 | PA      | $2966064.90   | 0.10%             | 2030-11-15      | Fixed         | 5.61%                 | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                 | Cascade MH Asset Trust, Series 2024-MH1, Class M2                                  | CUSIP: 14731VAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    324000 | PA      | $336093.43    | 0.01%             | 2056-11-25      | Variable      | 6.56%                 | Yes           |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                     | United Airlines Pass-Through Trust, Series 2024-1, Class AA                        | CUSIP: 90932WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    932694 | PA      | $955651.81    | 0.03%             | 2037-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                           | CaixaBank SA                                                                       | CUSIP: 12803RAM6<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   4455000 | PA      | $4503033.54   | 0.15%             | 2036-07-03      | Variable      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                 | NRZ Excess Spread-Collateralized Notes, Series 2021-FHT1, Class A                  | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    632586 | PA      | $620695.26    | 0.02%             | 2026-07-25      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| Boeing Co. (The)                                       | Boeing Co. (The)                                                                   | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   3620000 | PA      | $3481125.40   | 0.12%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                           | UBS Group AG                                                                       | CUSIP: 225401BG2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    636000 | PA      | $688178.39    | 0.02%             | 2034-09-22      | Variable      | 6.30%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-9, Class P                                                       | CUSIP: 38383FP56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    806096 | PA      | $716261.15    | 0.02%             | 2051-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133KNNB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10991088 | PA      | $10277506.61  | 0.35%             | 2052-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                           | Hilton Grand Vacations Trust, Series 2025-2A, Class B                              | CUSIP: 43285JAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2385000 | PA      | $2391793.91   | 0.08%             | 2044-05-25      | Fixed         | 4.73%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5088, Class MP                                                | CUSIP: 3137FFEV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    466152 | PA      | $364443.11    | 0.01%             | 2050-12-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Fiserv, Inc.                                           | Fiserv, Inc.                                                                       | CUSIP: 337738BQ0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    925000 | PA      | $921358.93    | 0.03%             | 2035-08-11      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Eastern Energy Gas Holdings LLC                        | Eastern Energy Gas Holdings LLC                                                    | CUSIP: 27636AAA0<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |    600000 | PA      | $572856.44    | 0.02%             | 2054-10-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CKG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3895000 | PA      | $3961184.58   | 0.13%             | 2029-03-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3138L0Z46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    813712 | PA      | $771730.70    | 0.03%             | 2032-09-01      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| Brown & Brown, Inc.                                    | Brown & Brown, Inc.                                                                | CUSIP: 115236AN1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   3490000 | PA      | $3568102.54   | 0.12%             | 2055-06-23      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                    | Constellation Energy Generation LLC                                                | CUSIP: 30161MAJ2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    455000 | PA      | $458458.44    | 0.02%             | 2041-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                         | Mariner Finance Issuance Trust, Series 2024-AA, Class D                            | CUSIP: 567928AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    714000 | PA      | $733475.85    | 0.02%             | 2036-09-22      | Fixed         | 6.77%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities LLC                            | Business Jet Securities LLC, Series 2024-2A, Class B                               | CUSIP: 12326TAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1820023 | PA      | $1815158.85   | 0.06%             | 2039-09-15      | Fixed         | 5.75%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2025-31, Class MA                                              | CUSIP: 3136BVYZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4739668 | PA      | $3975088.97   | 0.13%             | 2054-09-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2021-SFR3, Class E2                                             | CUSIP: 00180UAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1928423.20   | 0.06%             | 2038-10-17      | Fixed         | 2.43%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                                | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3115000 | PA      | $2945378.53   | 0.10%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140HY2D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    383000 | PA      | $302349.10    | 0.01%             | 2035-06-01      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                   | FirstKey Homes Trust, Series 2021-SFR2, Class C                                    | CUSIP: 33767TAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $965360.90    | 0.03%             | 2038-09-17      | Fixed         | 1.71%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                   | FirstKey Homes Trust, Series 2021-SFR1, Class E2                                   | CUSIP: 33767WAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3891977.60   | 0.13%             | 2038-08-17      | Fixed         | 2.49%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LGY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    415000 | PA      | $404777.83    | 0.01%             | 2032-07-01      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140M5AJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122301 | PA      | $106993.83    | 0.00%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5023, Class TE                                                | CUSIP: 3137FWVS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2773894 | PA      | $2022815.43   | 0.07%             | 2050-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                           | Pacific Gas and Electric Co.                                                       | CUSIP: 694308KU0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1695000 | PA      | $1718075.00   | 0.06%             | 2035-03-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FW Energy Asset Issuer LLC                             | FW Energy Asset Issuer LLC                                                         | CUSIP: 302704AA9<br>LEI: 254900YOL2L2C8PFZR08 | Long             | ABS-O            | CORP              | US        |    457440 | PA      | $466130.89    | 0.02%             | 2044-08-25      | Fixed         | 7.15%                 | No            |                  3 | On Loan: No      |
| GNMA                                                   | GNMA II, Other                                                                     | CUSIP: 36180BAU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    659519 | PA      | $642272.36    | 0.02%             | 2033-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QUPL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3601018 | PA      | $3573404.75   | 0.12%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                      | GLS Auto Select Receivables Trust, Series 2024-3A, Class B                         | CUSIP: 37989EAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1022477.40   | 0.03%             | 2030-08-15      | Fixed         | 5.64%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5132, Class EB                                                | CUSIP: 3137H1YJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    924044 | PA      | $697451.83    | 0.02%             | 2051-08-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                   | American Express Co.                                                               | CUSIP: 025816EK1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    420000 | PA      | $425370.28    | 0.01%             | 2033-07-20      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| Oportun Funding Trust                                  | Oportun Funding Trust, Series 2024-3, Class B                                      | CUSIP: 68377NAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    931000 | PA      | $933108.06    | 0.03%             | 2029-08-15      | Fixed         | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                     | Credit Agricole SA                                                                 | CUSIP: 22535WAN7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   1605000 | PA      | $1667282.94   | 0.06%             | 2036-01-09      | Variable      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NUNJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    789564 | PA      | $810048.02    | 0.03%             | 2031-03-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140NW4F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2773451 | PA      | $2860111.50   | 0.10%             | 2031-06-01      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                 | Dell International LLC                                                             | CUSIP: 24703TAN6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1990000 | PA      | $2050665.49   | 0.07%             | 2032-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes               | Huntington Bank Auto Credit-Linked Notes, Series 2025-2, Class B1                  | CUSIP: 44644NAN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6270000 | PA      | $6285260.55   | 0.21%             | 2033-09-20      | Fixed         | 4.83%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K89, Class B                                     | CUSIP: 302972AS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $6934953.20   | 0.23%             | 2051-01-25      | Variable      | 4.44%                 | Yes           |                  2 | On Loan: No      |
| Regional Management Issuance Trust                     | Regional Management Issuance Trust, Series 2022-1, Class B                         | CUSIP: 75907DAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300000 | PA      | $297151.95    | 0.01%             | 2032-03-15      | Fixed         | 3.71%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CMU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2120000 | PA      | $2149067.19   | 0.07%             | 2030-03-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II, 30 Year                                                                   | CUSIP: 3618NJD97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1014332 | PA      | $1048645.09   | 0.04%             | 2055-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Synopsys, Inc.                                         | Synopsys, Inc.                                                                     | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    785000 | PA      | $770736.71    | 0.03%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury STRIPS Bonds                                                         | CUSIP: 912834LX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5310000 | PA      | $2219542.30   | 0.07%             | 2042-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                                    | CUSIP: 38141GB37<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1070000 | PA      | $1088221.86   | 0.04%             | 2035-07-23      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CNR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  28000000 | PA      | $28126875.00  | 0.95%             | 2032-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Stream Innovations Issuer Trust                        | Stream Innovations Issuer Trust, Series 2024-2A, Class B                           | CUSIP: 86324EAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1220000 | PA      | $1259196.16   | 0.04%             | 2045-02-15      | Fixed         | 6.34%                 | Yes           |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                               | UnitedHealth Group, Inc.                                                           | CUSIP: 91324PBN1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    400000 | PA      | $407748.76    | 0.01%             | 2040-10-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Reach ABS Trust                                        | Reach ABS Trust, Series 2025-1A, Class C                                           | CUSIP: 75525PAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1220000 | PA      | $1243774.87   | 0.04%             | 2032-08-16      | Fixed         | 5.99%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $479394.53    | 0.02%             | 2029-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KL06, Class XFX   | CUSIP: 3137F84J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4938025 | PA      | $238241.44    | 0.01%             | 2029-12-25      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                         | Southern California Edison Co.                                                     | CUSIP: 842400JH7<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    695000 | PA      | $663662.98    | 0.02%             | 2055-03-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                            | Business Jet Securities LLC, Series 2022-1A, Class B                               | CUSIP: 12327AAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1376005 | PA      | $1360284.45   | 0.05%             | 2037-06-15      | Fixed         | 5.19%                 | Yes           |                  3 | On Loan: No      |
| Energy Assets                                          | Energy Assets                                                                      | CUSIP: 302704AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |    225109 | PA      | $230006.70    | 0.01%             | 2044-08-25      | Fixed         | 8.11%                 | No            |                  3 | On Loan: No      |
| FMC GMSR Issuer Trust                                  | FMC GMSR Issuer Trust, Series 2021-GT2, Class B                                    | CUSIP: 30259RAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2373556.75   | 0.08%             | 2026-10-25      | Variable      | 4.44%                 | Yes           |                  2 | On Loan: No      |
| Ventas Realty LP                                       | Ventas Realty LP                                                                   | CUSIP: 92277GBA4<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $988654.13    | 0.03%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                              | SCF Equipment Leasing LLC, Series 2023-1A, Class D                                 | CUSIP: 784024AF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1799000 | PA      | $1887824.73   | 0.06%             | 2033-08-22      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2021-KLU3, Class BFX                                  | CUSIP: 30320PAL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    972462 | PA      | $902110.18    | 0.03%             | 2031-01-25      | Variable      | 4.40%                 | Yes           |                  2 | On Loan: No      |
| Bridge Trust                                           | Bridge Trust, Series 2025-SFR1, Class D                                            | CUSIP: 10807GAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3495000 | PA      | $3240419.31   | 0.11%             | 2042-09-17      | Fixed         | 4.20%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6300000 | PA      | $6490230.45   | 0.22%             | 2030-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                         | Home Partners of America Trust, Series 2021-3, Class E1                            | CUSIP: 43730XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6295000 | PA      | $5858771.06   | 0.20%             | 2041-01-17      | Fixed         | 3.20%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA UMBS, 30 Year                                                                 | CUSIP: 3140QNQV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2080625 | PA      | $1816801.91   | 0.06%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3138LJMH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1108318 | PA      | $1044371.69   | 0.04%             | 2032-07-01      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Issuer Trust                              | Aqua Finance Issuer Trust, Series 2025-A, Class C                                  | CUSIP: 038394AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1973000 | PA      | $2011496.78   | 0.07%             | 2050-12-19      | Fixed         | 5.81%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-9, Class CB                                               | CUSIP: 3136ABQH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    660030 | PA      | $681493.73    | 0.02%             | 2042-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                               | Foundation Finance Trust, Series 2021-1A, Class A                                  | CUSIP: 35041LAA8<br>LEI: 549300MQ65NOVQXYNB21 | Long             | ABS-O            | CORP              | US        |    537290 | PA      | $509185.56    | 0.02%             | 2041-05-15      | Fixed         | 1.27%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133KL3L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2122752 | PA      | $1918424.85   | 0.06%             | 2051-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | FHLMC UMBS, 30 Year                                                                | CUSIP: 3133KMJZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1692093 | PA      | $1352872.45   | 0.05%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                        | CUSIP: 3140LGZ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    485551 | PA      | $489398.27    | 0.02%             | 2030-08-01      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                                | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  37997000 | PA      | $37248934.06  | 1.25%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA II                                                                            | CUSIP: 3617Y3BB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    425892 | PA      | $441716.58    | 0.01%             | 2072-02-20      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2025-SFR1, Class D                              | CUSIP: 74334NAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4035000 | PA      | $3763769.32   | 0.13%             | 2042-02-17      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-09-30

**Name of Applicant:** J.P. Morgan Exchange-Traded Fund Trust

**Signature:** Timothy J. Clemens

**Name of Signer:** Timothy J. Clemens

**Title:** Treasurer and Principal Financial Officer