# EDGAR Filing Document

**Accession Number:** 0000863520
**File Stem:** 0001752724-25-203545
**Filing Date:** 2025-8
**Character Count:** 619140
**Document Hash:** 9fb293c3b1245736a49ca2b3e94571ee
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-203545.hdr.sgml**: 20250826

**ACCESSION NUMBER**: 0001752724-25-203545

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250826

**DATE AS OF CHANGE**: 20250826

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** WESTERN ASSET FUNDS INC
- **CENTRAL INDEX KEY:** 0000863520

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-06110
- **FILM NUMBER:** 251253252

**BUSINESS ADDRESS:**
- **STREET 1:** 100 INTERNATIONAL DRIVE
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21202
- **BUSINESS PHONE:** 410-454-2760

**MAIL ADDRESS:**
- **STREET 1:** 100 INTERNATIONAL DRIVE
- **STREET 2:** 7TH FLOOR
- **CITY:** BALTIMORE
- **STATE:** MD
- **ZIP:** 21202

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LM INSTITUTIONAL FUND ADVISORS I INC
- **DATE OF NAME CHANGE:** 19980818

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** WESTERN ASSET TRUST INC
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Western Asset Core Plus Bond Fund (Series ID: S000000714)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000002081 | Class I      | WACPX           |
| C000002082 | Class FI     | WACIX           |
| C000066989 | Class IS     | WAPSX           |
| C000113704 | CLASS A      | WAPAX           |
| C000113705 | CLASS C      | WAPCX           |
| C000113706 | CLASS R      | WAPRX           |
| C000117035 | Class C1     | LWCPX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Western Asset Funds Inc

- **b. Investment Company Act file number:** 811-06110

- **c. CIK number of Registrant:** 0000863520

- **d. LEI of Registrant:** 5493004NC00X8WKL1P34

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

  - **Street Address 1:** 620 Eighth Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10018

  - **Telephone number:** 1-877-721-1926

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

- **a. Name of Series:** Western Asset Core Plus Bond Fund

- **b. EDGAR series identifier (if any):** S000000714

- **c. LEI of Series:** 549300M92SFKO7RZX103

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

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

- **b. Date as of which information is reported:** 2025-06-30

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $5151889436.42

**Total Liabilities:** $646697355.62

**Net Assets:** $4505192080.80

**Stand-by Commitments:** $530855289.38

**Cash Not Reported:** $42732597.58

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 3011.59000000 | **1-Year:** 166923.58000000 | **5-Year:** 1184435.15000000 | **10-Year:** 647288.52000000 | **30-Year:** 73444.57000000

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

- **3-Month:** 1425.54000000 | **1-Year:** 39775.43000000 | **5-Year:** 77324.30000000 | **10-Year:** 30985.96000000 | **30-Year:** 2315.77000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000117035 | 0.29%                | -0.79%               | 1.81%                |
| Class ID C000113704 | 0.26%                | -0.71%               | 2.02%                |
| Class ID C000113706 | 0.34%                | -0.73%               | 1.88%                |
| Class ID C000002081 | 0.29%                | -0.68%               | 2.05%                |
| Class ID C000002082 | 0.26%                | -0.71%               | 2.02%                |
| Class ID C000066989 | 0.40%                | -0.68%               | 1.94%                |
| Class ID C000113705 | 0.31%                | -0.77%               | 1.84%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-67854014.00            | $41302571.06                               |
| Month 2  | $-30699381.75            | $-1577879.52                               |
| Month 3  | $-20741551.20            | $86202833.99                               |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate

- **Index Identifier:** BM0838

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| US TREASURY N/B                                            | United States Treasury Note/Bond                                                | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12420000 | PA      | $11345864.00  | 0.25%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                               | CUSIP: 3136BA4U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7977047 | PA      | $1605930.31   | 0.04%             | 2050-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRIP PRINC                                                | United States Treasury Strip Principal                                          | CUSIP: 912803FJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  152060000 | PA      | $46941139.45  | 1.04%             | 2049-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -989 | NC      | $-726296.88   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3132DQBZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8530410 | PA      | $8601741.51   | 0.19%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                | US 10YR NOTE (CBT)                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        869 | NC      | $1127043.37   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| RTX CORP                                                   | RTX Corp                                                                        | CUSIP: 75513ECP4<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $1412640.13   | 0.03%             | 2052-03-15      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO Ltd.                                       | Sagard-Halseypoint Clo 8 Ltd                                                    | CUSIP: 78662AAA0<br>LEI: 254900W5MVYX9QDPHC09 | Long             | ABS-CBDO         | CORP              | KY        |    2190000 | PA      | $2203563.98   | 0.05%             | 2038-01-30      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                           | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -2872 | NC      | $-1651400.00  | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31382KW20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10307 | PA      | $10648.27     | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association                      | USD/CHF FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-262597.00   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                   | Devon Energy Corp                                                               | CUSIP: 25179MAN3<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      27000 | PA      | $22628.37     | 0.00%             | 2042-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                             | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H0GP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20168308 | PA      | $238226.04    | 0.01%             | 2028-03-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36200AN54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35799 | PA      | $37063.05     | 0.00%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Oak Street Investment Grade Ne                             | Oak Street Investment Grade Net Lease Fund Series 2020-1                        | CUSIP: 67181DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5325732 | PA      | $5199138.54   | 0.12%             | 2050-11-20      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                       | Lockheed Martin Corp                                                            | CUSIP: 539830CE7<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    1570000 | PA      | $1451408.42   | 0.03%             | 2064-02-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| TEVA PHARM FIN CO LLC                                      | Teva Pharmaceutical Finance Co LLC                                              | CUSIP: 88163VAD1<br>LEI: 5493006PITD7MU7WW480 | Long             | DBT              | CORP              | US        |    2420000 | PA      | $2489792.80   | 0.06%             | 2036-02-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                           | CUSIP: 312935S59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3497 | PA      | $3548.39      | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association                      | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $316814.73    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                             | Alternative Loan Trust 2006-18CB                                                | CUSIP: 02147FAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4367243 | PA      | $3890349.07   | 0.09%             | 2036-07-25      | Floating      | 10.87%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3133AJ6W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1876728 | PA      | $1507155.29   | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                             | Home Depot Inc/The                                                              | CUSIP: 437076CB6<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    1480000 | PA      | $1382619.42   | 0.03%             | 2030-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                              | CUSIP: 31395TLN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3641619 | PA      | $3733899.82   | 0.08%             | 2035-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                    | HCA Inc                                                                         | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     920000 | PA      | $855586.96    | 0.02%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 3617BUZA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2045228 | PA      | $1972874.63   | 0.04%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                              | Citigroup Inc                                                                   | CUSIP: 172967LS8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    6280000 | PA      | $6151016.71   | 0.14%             | 2028-10-27      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| CRESCENT ENERGY FINANCE                                    | Crescent Energy Finance LLC                                                     | CUSIP: 45344LAE3<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |    1430000 | PA      | $1368203.38   | 0.03%             | 2033-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                             | Wells Fargo Commercial Mortgage Trust 2018-C44                                  | CUSIP: 95001JAX5<br>LEI: 549300AGZIS1CJS4RM30 | Long             | ABS-MBS          | CORP              | US        |    4630000 | PA      | $4575267.38   | 0.10%             | 2051-05-15      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                              | DISH DBS Corp                                                                   | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6330000 | PA      | $5756343.75   | 0.13%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36178WGQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3008071 | PA      | $2693811.59   | 0.06%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140EVVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     358099 | PA      | $318426.71    | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH AMERICAS                                     | Bausch Health Americas Inc                                                      | CUSIP: 91911XAW4<br>LEI: KOO0397YRO83WY5MGD97 | Long             | DBT              | CORP              | US        |      36000 | PA      | $34313.58     | 0.00%             | 2027-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3132D9K86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5707279 | PA      | $4924006.34   | 0.11%             | 2042-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140XBNZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     766476 | PA      | $738149.16    | 0.02%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38376R4Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13762233 | PA      | $487140.38    | 0.01%             | 2067-05-20      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION                  | IRS BRL                                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-9391559.29  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                           | Williams Cos Inc/The                                                            | CUSIP: 969457BD1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    5348000 | PA      | $6097671.09   | 0.14%             | 2031-06-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                           | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-1739193.64  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| TransUnion Intermediate Holdings Inc f/k/a TransUnion Corp | TRANS UNION LLC6/06/2031                                                        | CUSIP: 89334GBF0<br>LEI: X8NPN6PWJOM1QCTYFV34 | Long             | LON              | CORP              | US        |    3759985 | PA      | $3768971.67   | 0.08%             | 2031-06-24      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140XBYG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9825572 | PA      | $8345370.11   | 0.19%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                        | American Express Co                                                             | CUSIP: 025816CW7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    1690000 | PA      | $1689688.40   | 0.04%             | 2029-05-03      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Jane Street Group LLC                                      | JANE STREET GROUP LLC                                                           | CUSIP: 47077DAM2<br>LEI: 5493002N1IVX6KHGYO08 | Long             | LON              | CORP              | US        |    4980000 | PA      | $4979477.10   | 0.11%             | 2031-12-15      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| EQUATE PETROCHEMICAL CO                                    | EQUATE Petrochemical Co KSC                                                     | CUSIP: 29441WAC9<br>LEI: 635400J73BDO4TTGXD45 | Long             | DBT              | CORP              | KW        |    5290000 | PA      | $5247014.78   | 0.12%             | 2026-11-03      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SOLRR Aircraft 2021-1 Limited                              | Lunar 2021-1 Structured Aircraft Portfolio Notes                                | CUSIP: 83438LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IE        |    7379370 | PA      | $6885311.94   | 0.15%             | 2046-10-15      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 3617AEAN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1696351 | PA      | $1636344.11   | 0.04%             | 2047-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36201P4V4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11624 | PA      | $12289.64     | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140FKL99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     466341 | PA      | $416007.28    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                           | CSC Holdings LLC                                                                | CUSIP: 126307AS6<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    1083000 | PA      | $992473.21    | 0.02%             | 2028-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36201LHA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31315 | PA      | $32805.24     | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                 | Intel Corp                                                                      | CUSIP: 458140BM1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    7465000 | PA      | $6095760.59   | 0.14%             | 2050-03-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140KSBK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     661343 | PA      | $580839.34    | 0.01%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                         | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2024-1                   | CUSIP: 35563PR43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8723462 | PA      | $7375350.79   | 0.16%             | 2063-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                                          | Herc Holdings Inc                                                               | CUSIP: 42704LAG9<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |     870000 | PA      | $912152.60    | 0.02%             | 2033-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 36179V6V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20417593 | PA      | $16277188.92  | 0.36%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                             | Microsoft Corp                                                                  | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    2767000 | PA      | $1836613.88   | 0.04%             | 2052-03-17      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association                      | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-242937.68   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140FXBD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     191516 | PA      | $179166.55    | 0.00%             | 2055-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                            | Danske Bank A/S                                                                 | CUSIP: 23636ABC4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |     250000 | PA      | $249187.14    | 0.01%             | 2028-04-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36292CSQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1991 | PA      | $2051.20      | 0.00%             | 2035-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140J8GH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     428505 | PA      | $383303.76    | 0.01%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                             | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FRUV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   34885031 | PA      | $1772693.33   | 0.04%             | 2030-01-25      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36291NZV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        437 | PA      | $447.01       | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Coherent Corp (f/k/a II-VI Incorporated)                   | COHERENT CORP                                                                   | CUSIP: 45173JAS3<br>LEI: 549300O5C25A0MMHHU33 | Long             | LON              | CORP              | US        |      54365 | PA      | $54512.77     | 0.00%             | 2029-07-02      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                | 10 YEAR U.S. TREASURY NOTE WEEK 4                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        985 | NC      | $985.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| COMCAST CORP                                               | Comcast Corp                                                                    | CUSIP: 20030NEF4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    3240000 | PA      | $3004299.40   | 0.07%             | 2053-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                     | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BR5<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    4620000 | PA      | $4785496.39   | 0.11%             | 2029-06-12      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                             | Fannie Mae-Aces                                                                 | CUSIP: 3136B35Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4520913 | PA      | $4379651.56   | 0.10%             | 2031-02-25      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                               | Synopsys Inc                                                                    | CUSIP: 871607AC1<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    1720000 | PA      | $1744419.96   | 0.04%             | 2030-04-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                       | Lockheed Martin Corp                                                            | CUSIP: 539830BS7<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    5760000 | PA      | $4575361.94   | 0.10%             | 2053-06-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                           | Altria Group Inc                                                                | CUSIP: 02209SBR3<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    1610000 | PA      | $1798972.91   | 0.04%             | 2033-11-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                       | Bank of America Corp                                                            | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    4810000 | PA      | $4757424.49   | 0.11%             | 2029-03-05      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140XKCJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6699549 | PA      | $6745733.00   | 0.15%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Octagon 66 Ltd                                             | Octagon 66 Ltd                                                                  | CUSIP: 67577WAP6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   25000000 | PA      | $25052135.00  | 0.56%             | 2036-11-16      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 3617K1Y72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1552875 | PA      | $1458865.49   | 0.03%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                      | Continental Resources Inc/OK                                                    | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    1679000 | PA      | $1695880.43   | 0.04%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                             | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F8ZX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35572685 | PA      | $1200709.73   | 0.03%             | 2030-12-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3131X1MD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15587 | PA      | $15547.59     | 0.00%             | 2027-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                   | Occidental Petroleum Corp                                                       | CUSIP: 674599CM5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    3630000 | PA      | $3540368.40   | 0.08%             | 2027-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36294YN83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2572 | PA      | $2655.61      | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association                      | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $2551316.27   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| ORBIA ADVANCE CORP SAB                                     | Orbia Advance Corp SAB de CV                                                    | CUSIP: 68560EAB4<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |    3859000 | PA      | $3245950.85   | 0.07%             | 2031-05-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 3622ACT67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14880683 | PA      | $15284946.38  | 0.34%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                   | Ford Motor Credit Co LLC                                                        | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    3260000 | PA      | $3386663.52   | 0.08%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| SIEMENS FUNDING BV                                         | Siemens Funding BV                                                              | CUSIP: 82622RAG1<br>LEI: 213800CCRGH2TO338X64 | Long             | DBT              | CORP              | NL        |    1030000 | PA      | $1066988.30   | 0.02%             | 2065-05-28      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Sunrun Demeter Issuer LLC                                  | Sunrun Demeter Issuer 2021-2 LLC                                                | CUSIP: 86772HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5313946 | PA      | $4711055.80   | 0.10%             | 2057-01-30      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3138EAE60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1308293 | PA      | $1262543.16   | 0.03%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                           | Altria Group Inc                                                                | CUSIP: 02209SBG7<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    1664000 | PA      | $1671268.34   | 0.04%             | 2059-02-14      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                            | CDS CDX.NA.HY.44.V1                                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-10854960.70 | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| Caesars Entertainment, Inc.                                | CAESARS ENTERTAIN INC                                                           | CUSIP: 12768EAH9<br>LEI: 549300FA4CTCW903Y781 | Long             | LON              | CORP              | US        |     176874 | PA      | $176985.27    | 0.00%             | 2031-02-06      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140FHES2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91396 | PA      | $81303.71     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                               | Comcast Corp                                                                    | CUSIP: 20030NCC3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    5866000 | PA      | $4526710.13   | 0.10%             | 2047-11-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON & CO                                      | Becton Dickinson & Co                                                           | CUSIP: 075887BG3<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |     345000 | PA      | $300794.01    | 0.01%             | 2044-12-15      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31418BSJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1556330 | PA      | $1477960.32   | 0.03%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                   | AT&T Inc                                                                        | CUSIP: 04650NAB0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     870000 | PA      | $851210.24    | 0.02%             | 2040-09-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36210AN94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        384 | PA      | $393.94       | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36291QUS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1802123 | PA      | $1738381.80   | 0.04%             | 2047-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                    | United Rentals North America Inc                                                | CUSIP: 911365BR4<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |    6840000 | PA      | $7053907.32   | 0.16%             | 2034-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38380VXF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2523953 | PA      | $2255890.54   | 0.05%             | 2048-03-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140L6TA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2201424 | PA      | $1775478.18   | 0.04%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                    | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAQ4<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |   18770000 | PA      | $18892211.47  | 0.42%             | 2029-05-09      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3138WGBJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3024805 | PA      | $2806600.15   | 0.06%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 36241LL79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23730 | PA      | $23772.23     | 0.00%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38380LG72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17572326 | PA      | $1016177.74   | 0.02%             | 2069-10-20      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140QKDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9087654 | PA      | $8148000.41   | 0.18%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                              | Carnival Corp                                                                   | CUSIP: 143658BX9<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    9680000 | PA      | $9910161.36   | 0.22%             | 2033-02-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                             | Banc of America Funding 2015-R2 Trust                                           | CUSIP: 05990TAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2397878 | PA      | $2391334.86   | 0.05%             | 2037-04-29      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140FKPT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     445620 | PA      | $397256.14    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13867644 | PA      | $11776442.88  | 0.26%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                   | Western Midstream Operating LP                                                  | CUSIP: 958254AH7<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     413000 | PA      | $410746.85    | 0.01%             | 2028-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 3622AANA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     771008 | PA      | $712563.12    | 0.02%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                           | SOFR 1 YEAR MIDCURVE                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -2317 | NC      | $-1042650.00  | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     304000 | PA      | $333965.53    | 0.01%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140XFVE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     686575 | PA      | $553942.40    | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                             | Freddie Mac Multiclass Certificates Series 2015-P001                            | CUSIP: 3137FQXW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15503008 | PA      | $670402.00    | 0.01%             | 2028-08-27      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                         | Expand Energy Corp                                                              | CUSIP: 845467AS8<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |    2710000 | PA      | $2719522.94   | 0.06%             | 2030-03-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                           | CUSIP: 3132J4AB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27291 | PA      | $27706.91     | 0.00%             | 2031-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                  | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F022675<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   51900000 | PA      | $43039794.45  | 0.96%             | 2055-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                              | CUSIP: 3137HCG71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23549938 | PA      | $4070196.94   | 0.09%             | 2052-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31411WCS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1188 | PA      | $1208.93      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                               | GS Mortgage Securities Corp Trust 2018-LUAU                                     | CUSIP: 36256AAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10448000 | PA      | $10371212.42  | 0.23%             | 2032-11-15      | Floating      | 9.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38379XGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1812040 | PA      | $415803.04    | 0.01%             | 2045-11-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                              | CUSIP: 3137H4VE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17302935 | PA      | $3569367.15   | 0.08%             | 2051-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                | 5 YEAR U.S. TREASURY NOTE WEEK 4                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       2952 | NC      | $23062.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140XTA68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4742746 | PA      | $4116938.93   | 0.09%             | 2040-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                | Oracle Corp                                                                     | CUSIP: 68389XCN3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $4845790.27   | 0.11%             | 2030-05-06      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| SOHO Trust 2021-SOHO                                       | Soho Trust 2021-SOHO                                                            | CUSIP: 83410JAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6280000 | PA      | $4754971.08   | 0.11%             | 2038-08-10      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2022-DNA5                                         | CUSIP: 35564KYP8<br>LEI: 5493000IS349P4O9HR58 | Long             | ABS-MBS          | CORP              | US        |   16500000 | PA      | $17550408.15  | 0.39%             | 2042-06-25      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Non Gold Pool                                                       | CUSIP: 31288QFR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22444596 | PA      | $22027064.79  | 0.49%             | 2048-11-01      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36202SDK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40012 | PA      | $40666.33     | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust                                       | Prime Mortgage Trust 2006-DR1                                                   | CUSIP: 74159UAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14679919 | PA      | $12591562.63  | 0.28%             | 2035-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                   | Occidental Petroleum Corp                                                       | CUSIP: 674599DF9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    1275000 | PA      | $1305386.51   | 0.03%             | 2036-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                              | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1770000 | PA      | $1747837.30   | 0.04%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                           | Bank of Montreal                                                                | CUSIP: 06368BGS1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |      10000 | PA      | $9743.24      | 0.00%             | 2032-12-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                            | CVS Health Corp                                                                 | CUSIP: 126650DR8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    3210000 | PA      | $2747058.23   | 0.06%             | 2031-09-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                             | Wells Fargo Commercial Mortgage Trust 2024-C63                                  | CUSIP: 94990FAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2556896.00   | 0.06%             | 2057-08-15      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36202SD96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11688 | PA      | $11670.62     | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                   | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    5360000 | PA      | $5108001.69   | 0.11%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                               | Alphabet Inc                                                                    | CUSIP: 02079KAL1<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     990000 | PA      | $977385.69    | 0.02%             | 2035-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                               | CUSIP: 29379VBX0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     577000 | PA      | $540971.07    | 0.01%             | 2030-01-31      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                           | CUSIP: 3132H7D68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5634291 | PA      | $5257234.66   | 0.12%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LTD                                             | Wynn Macau Ltd                                                                  | CUSIP: 98313RAH9<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |   10180000 | PA      | $10014205.47  | 0.22%             | 2028-08-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                           | CUSIP: 312932LK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2244 | PA      | $2276.75      | 0.00%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS INC                                      | Bausch Health Cos Inc                                                           | CUSIP: 071734AM9<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |    5774000 | PA      | $4046592.42   | 0.09%             | 2029-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36225BEQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        490 | PA      | $505.76       | 0.00%             | 2029-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                  | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F052672<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -1600000 | PA      | $-1599883.95  | -0.04%            | 2055-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                             | HarborView Mortgage Loan Trust 2005-7                                           | CUSIP: 41161PPN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1761636 | PA      | $805187.17    | 0.02%             | 2045-06-19      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                            | United States Treasury Note/Bond                                                | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26870000 | PA      | $19806129.04  | 0.44%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36291VMS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16544 | PA      | $16781.05     | 0.00%             | 2034-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36213EMK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3489 | PA      | $3639.88      | 0.00%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                    | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JDA9<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    1630000 | PA      | $1638780.88   | 0.04%             | 2055-04-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140KYDF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1820972 | PA      | $1541810.62   | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36210AMT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        226 | PA      | $234.25       | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STORE Master Funding LLC                                   | Store Master Funding I-VII XIV XIX XX XXIV XXII                                 | CUSIP: 86212XAM2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10458633 | PA      | $10748474.47  | 0.24%             | 2054-05-20      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                    | NYMT Loan Trust 2022-SP1                                                        | CUSIP: 62956BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17081667 | PA      | $17524099.08  | 0.39%             | 2062-07-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                             | Solventum Corp                                                                  | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    5160000 | PA      | $5312622.53   | 0.12%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                               | CD 2017-CD3 Mortgage Trust                                                      | CUSIP: 12515GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $3853265.20   | 0.09%             | 2050-02-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31389X5W9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3913 | PA      | $4125.83      | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38381H8H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   35299726 | PA      | $26571177.17  | 0.59%             | 2064-06-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                             | IndyMac INDX Mortgage Loan Trust 2005-AR13                                      | CUSIP: 45660LQW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      98063 | PA      | $45446.22     | 0.00%             | 2035-08-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                               | Comcast Corp                                                                    | CUSIP: 20030NCJ8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    2160000 | PA      | $1879894.05   | 0.04%             | 2038-03-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38379VHX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9594242 | PA      | $1204020.81   | 0.03%             | 2046-02-20      | Floating      | 1.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3131Y6Q93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1801281 | PA      | $1678661.05   | 0.04%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 3622AAHA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1289992 | PA      | $1174070.33   | 0.03%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31390KJ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32610 | PA      | $34399.14     | 0.00%             | 2031-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38379R5W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27626539 | PA      | $704156.27    | 0.02%             | 2057-04-16      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36213RXN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27732 | PA      | $28794.75     | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                     | UnitedHealth Group Inc                                                          | CUSIP: 91324PEA6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    1570000 | PA      | $940632.58    | 0.02%             | 2060-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                             | IndyMac INDX Mortgage Loan Trust 2005-AR18                                      | CUSIP: 45660LVZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   35235540 | PA      | $14682106.76  | 0.33%             | 2036-10-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 3617BGBA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     134538 | PA      | $123529.80    | 0.00%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SPIRIT AVIA HOL RESTRICT                                   | SPIRIT AVIA HOL RESTRICT                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       1685 | NS      | $8408.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EQT CORP                                                   | EQT Corp                                                                        | CUSIP: 26884LAM1<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     600000 | PA      | $590877.35    | 0.01%             | 2026-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3132D9GU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10069618 | PA      | $8684416.39   | 0.19%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36225BHZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         93 | PA      | $94.43        | 0.00%             | 2029-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                | Oracle Corp                                                                     | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     810000 | PA      | $566992.87    | 0.01%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                        | COMM 2015-DC1 Mortgage Trust                                                    | CUSIP: 12629NAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7160000 | PA      | $6828850.00   | 0.15%             | 2048-02-10      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                            | United States Treasury Note/Bond                                                | CUSIP: 91282CNE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2160000 | PA      | $2165231.26   | 0.05%             | 2027-05-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                           | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       1450 | NC      | $335312.50    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                               | CUSIP: 31398PFE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     758526 | PA      | $89238.58     | 0.00%             | 2040-04-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 3617B14D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     511131 | PA      | $469301.53    | 0.01%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                         | Coterra Energy Inc                                                              | CUSIP: 127097AK9<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    1949000 | PA      | $1930884.59   | 0.04%             | 2029-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                             | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1078595.50  | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                 | AbbVie Inc                                                                      | CUSIP: 00287YDU0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    4370000 | PA      | $4451029.24   | 0.10%             | 2034-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38380P2F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20607126 | PA      | $1092554.80   | 0.02%             | 2062-06-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140FNUJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     461279 | PA      | $410778.50    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                               | GS Mortgage Securities Corp II                                                  | CUSIP: 36269JAL2<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    8125000 | PA      | $8504292.88   | 0.19%             | 2041-03-10      | Variable      | 9.26%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                       | Bank of America Corp                                                            | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   11641000 | PA      | $11381135.98  | 0.25%             | 2028-12-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                               | Ecopetrol SA                                                                    | CUSIP: 279158AJ8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    6530000 | PA      | $4512251.55   | 0.10%             | 2045-05-28      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36292DB27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19962 | PA      | $20763.76     | 0.00%             | 2035-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3132D9KX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1361607 | PA      | $1174886.30   | 0.03%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31415XJF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2477 | PA      | $2511.94      | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                           | CUSIP: 3132LMEK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     219917 | PA      | $213709.29    | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                         | Ukraine Government International Bond                                           | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    4148959 | PA      | $2024424.59   | 0.04%             | 2036-02-01      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN TRANSMISSION SY                                   | American Transmission Systems Inc                                               | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3100000 | PA      | $2729564.51   | 0.06%             | 2032-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                   | JP Morgan Mortgage Trust 2022-LTV1                                              | CUSIP: 465976AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10720436 | PA      | $9351140.51   | 0.21%             | 2052-07-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| FLORIDA GAS TRANSMISSION                                   | Florida Gas Transmission Co LLC                                                 | CUSIP: 340711BC3<br>LEI: 549300Q0UQF87NXNOC32 | Long             | DBT              | CORP              | US        |    4060000 | PA      | $4156395.24   | 0.09%             | 2035-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                      | Time Warner Cable LLC                                                           | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    1875000 | PA      | $1944680.61   | 0.04%             | 2039-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                            | United States Treasury Note/Bond                                                | CUSIP: 912810TV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13156000 | PA      | $13040885.00  | 0.29%             | 2053-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31388UFT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11065 | PA      | $11673.19     | 0.00%             | 2031-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140XBQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9832120 | PA      | $8293083.56   | 0.18%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2021-DNA5                                         | CUSIP: 35564KJA8<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | CORP              | US        |   13330000 | PA      | $14242733.09  | 0.32%             | 2034-01-25      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140QPRZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14298419 | PA      | $14263363.90  | 0.32%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36201TLX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     127426 | PA      | $130345.15    | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                | US ULTRA BOND CBT                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -1897 | NC      | $-8830528.62  | -0.20%            |  |  |  | No            |                  1 | On Loan: No      |
| TIME WARNER CABLE LLC                                      | Time Warner Cable LLC                                                           | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    1755000 | PA      | $1914870.99   | 0.04%             | 2038-07-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36201RR60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9618 | PA      | $9823.90      | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 3617GQY49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     536833 | PA      | $517831.19    | 0.01%             | 2048-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Phoenix Guarantor Inc                                      | PHOENIX GUARANTOR INC                                                           | CUSIP: 71913BAK8<br>LEI: 254900JIOIDL3GSUFE55 | Long             | LON              | CORP              | US        |        341 | PA      | $342.12       | 0.00%             | 2031-02-21      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36201ELX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4893 | PA      | $4978.00      | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GEORGIA-PACIFIC LLC                                        | Georgia-Pacific LLC                                                             | CUSIP: 37331NAT8<br>LEI: L2EVHWFHVAQK72TMH265 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3543833.65   | 0.08%             | 2032-06-30      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3132DQB70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4611653 | PA      | $4637678.39   | 0.10%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140QKQY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142941 | PA      | $127982.63    | 0.00%             | 2041-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                        | Intesa Sanpaolo SpA                                                             | CUSIP: 46115HAW7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    3150000 | PA      | $3157343.69   | 0.07%             | 2026-01-15      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                           | BAT Capital Corp                                                                | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     406000 | PA      | $399613.30    | 0.01%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                               | CNH/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |          1 | NC      | $131072.94    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                     | UnitedHealth Group Inc                                                          | CUSIP: 91324PDX7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    5070000 | PA      | $4538224.84   | 0.10%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31388SE50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5606 | PA      | $5790.41      | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                               | Comcast Corp                                                                    | CUSIP: 20030NAK7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     451000 | PA      | $501324.34    | 0.01%             | 2035-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYK4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1420000 | PA      | $1017503.56   | 0.02%             | 2042-07-21      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                             | Alternative Loan Trust 2006-23CB                                                | CUSIP: 02147RAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2362131 | PA      | $1180190.32   | 0.03%             | 2036-08-25      | Floating      | 10.67%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae                                                                      | CUSIP: 21H032670<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12700000 | PA      | $11547702.08  | 0.26%             | 2055-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYC2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    3096000 | PA      | $2317171.88   | 0.05%             | 2042-04-22      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                               | CUSIP: 3136A5J49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1342450 | PA      | $1415191.88   | 0.03%             | 2042-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                           | Freddie Mac Strips                                                              | CUSIP: 31325YXU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     645880 | PA      | $173538.01    | 0.00%             | 2052-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| REYNOLDS AMERICAN INC                                      | Reynolds American Inc                                                           | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    2579000 | PA      | $2490264.32   | 0.06%             | 2045-08-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                         | Ukraine Government International Bond                                           | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |     402826 | PA      | $191035.47    | 0.00%             | 2036-02-01      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140XCZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14873498 | PA      | $12538381.68  | 0.28%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC                                        | Delta Air Lines Inc                                                             | CUSIP: 247361ZZ4<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |    8910000 | PA      | $9040834.44   | 0.20%             | 2026-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                           | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       3301 | NC      | $1155350.00   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36225B2S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     131582 | PA      | $136656.26    | 0.00%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38380LLD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28047159 | PA      | $1129644.20   | 0.03%             | 2068-09-20      | Variable      | 1.98%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                   | Occidental Petroleum Corp                                                       | CUSIP: 674599DE2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    3792000 | PA      | $4253361.04   | 0.09%             | 2031-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     530000 | PA      | $424354.95    | 0.01%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| BARRICK NA FINANCE LLC                                     | Barrick North America Finance LLC                                               | CUSIP: 06849RAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2334000 | PA      | $2346365.44   | 0.05%             | 2041-05-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                           | FirstEnergy Corp                                                                | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    6522000 | PA      | $6450936.61   | 0.14%             | 2027-07-15      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3138M8GU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     493005 | PA      | $459446.29    | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                           | CUSIP: 31335BCW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27619985 | PA      | $24733056.18  | 0.55%             | 2047-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae                                                                      | CUSIP: 21H030674<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -1800000 | PA      | $-1592409.22  | -0.04%            | 2055-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36292CK52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2565 | PA      | $2562.99      | 0.00%             | 2035-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lightning Power, LLC                                       | LIGHTNING POWER LLC                                                             | CUSIP: 53229LAB3<br>LEI: 254900BWCHJ03XRL8K59 | Long             | LON              | CORP              | US        |    2490000 | PA      | $2497432.65   | 0.06%             | 2031-08-18      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                             | USD/BRL FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1322717.45  | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                    | Bristol-Myers Squibb Co                                                         | CUSIP: 110122EH7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    5280000 | PA      | $5409641.27   | 0.12%             | 2034-02-22      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| TELEFONICA EMISIONES SAU                                   | Telefonica Emisiones SA                                                         | CUSIP: 87938WAU7<br>LEI: 549300Y5MFC4SW5Z3K71 | Long             | DBT              | CORP              | ES        |    3240000 | PA      | $2868802.08   | 0.06%             | 2047-03-08      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                             | HarborView Mortgage Loan Trust 2006-13                                          | CUSIP: 41162KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75369 | PA      | $55365.90     | 0.00%             | 2046-11-19      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31371H2F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        486 | PA      | $502.18       | 0.00%             | 2029-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38381DWD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26073742 | PA      | $2550468.25   | 0.06%             | 2061-06-16      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                             | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FPJQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11246355 | PA      | $159281.00    | 0.00%             | 2027-06-25      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| SPRINT CAPITAL CORP                                        | Sprint Capital Corp                                                             | CUSIP: 852060AT9<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |    4670000 | PA      | $5667759.37   | 0.13%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                   | Mars Inc                                                                        | CUSIP: 571676AB1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     210000 | PA      | $199267.77    | 0.00%             | 2030-04-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                         | Union Pacific Corp                                                              | CUSIP: 907818FL7<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    4395000 | PA      | $2980515.13   | 0.07%             | 2070-02-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                | US 10YR ULTRA                                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -1191 | NC      | $-3523540.70  | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| CREDIT SUISSE ESCROW CL                                    | CREDIT SUISSE ESCROW CL                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   61000000 | PA      | $0.00         | 0.00%             | 2050-01-01      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| ABBVIE INC                                                 | AbbVie Inc                                                                      | CUSIP: 00287YBD0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    1365000 | PA      | $1236864.56   | 0.03%             | 2048-11-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36213UJB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5784 | PA      | $5916.03      | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Western Asset Premier Institutional Government Reserves    | Western Asset Premier Institutional Government Reserves                         | CUSIP: 52470G494<br>LEI: 549300WB3XRN9YTWFB76 | Long             | STIV             | RF                | US        |  138978656 | NS      | $138978656.14 | 3.08%             |  |  |  | No            |                  1 | On Loan: No      |
| AT&T INC                                                   | AT&T Inc                                                                        | CUSIP: 00206RKH4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    6530000 | PA      | $5622238.12   | 0.12%             | 2032-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                               | CUSIP: 3136A92R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8342517 | PA      | $7610968.59   | 0.17%             | 2042-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36213UWG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3637 | PA      | $3698.43      | 0.00%             | 2031-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                      | USD CALL VERSUS CHF PUT                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |  -30731000 | NC      | $-11.28       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                             | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FXQX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40110601 | PA      | $2395072.17   | 0.05%             | 2035-10-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association                      | USD/GBP FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-3470419.88  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36201DY97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40352 | PA      | $41036.00     | 0.00%             | 2035-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                  | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F050676<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37800000 | PA      | $37049085.61  | 0.82%             | 2055-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3133AFRZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2901870 | PA      | $2340008.89   | 0.05%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36200MY80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8763 | PA      | $9010.08      | 0.00%             | 2033-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31418B6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10596019 | PA      | $10064105.05  | 0.22%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                               | GS Mortgage Securities Corp Trust 2018-SRP5                                     | CUSIP: 36255TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15264055 | PA      | $11493833.70  | 0.26%             | 2031-09-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                   | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     190000 | PA      | $177181.17    | 0.00%             | 2032-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae                                                                      | CUSIP: 21H022671<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -2900000 | PA      | $-2464280.45  | -0.05%            | 2055-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36241KF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1115 | PA      | $1159.97      | 0.00%             | 2035-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                       | Bank of America Corp                                                            | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    6660000 | PA      | $6555810.56   | 0.15%             | 2033-04-27      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| PERMIAN RESOURC OPTG LLC                                   | Permian Resources Operating LLC                                                 | CUSIP: 71424VAB6<br>LEI: 5493004CTVUMQLRPOE23 | Long             | DBT              | CORP              | US        |    5040000 | PA      | $5090022.00   | 0.11%             | 2033-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                   | EQT Corp                                                                        | CUSIP: 26884LAN9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    3383000 | PA      | $3138533.32   | 0.07%             | 2031-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36292LFL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2614 | PA      | $2659.64      | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SEB Funding LLC                                            | SEB Funding LLC                                                                 | CUSIP: 78433DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14060000 | PA      | $14397040.70  | 0.32%             | 2054-04-30      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                     | Williams Cos Inc/The                                                            | CUSIP: 969457BX7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    1670000 | PA      | $1579470.02   | 0.04%             | 2030-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LETRA TESOURO NACIONAL                                     | Brazil Letras do Tesouro Nacional                                               | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   77209000 | PA      | $13231776.89  | 0.29%             | 2026-01-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36200KZ59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60874 | PA      | $63628.03     | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                               | CUSIP: 3136BHGV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7134594 | PA      | $5917648.81   | 0.13%             | 2051-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LIGHTNING POWER LLC                                        | Lightning Power LLC                                                             | CUSIP: 53229KAA7<br>LEI: 254900BWCHJ03XRL8K59 | Long             | DBT              | CORP              | US        |    1337000 | PA      | $1407995.69   | 0.03%             | 2032-08-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                            | Fannie Mae Interest Strip                                                       | CUSIP: 3136FES60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     201245 | PA      | $34161.36     | 0.00%             | 2040-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                             | Long Beach Mortgage Loan Trust 2006-9                                           | CUSIP: 54251WAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2948292 | PA      | $916592.00    | 0.02%             | 2036-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| SHIFT4 PAYMENTS LLC/FIN                                    | Shift4 Payments LLC / Shift4 Payments Finance Sub Inc                           | CUSIP: 82453AAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3740000 | PA      | $3886585.56   | 0.09%             | 2032-08-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GFL ENVIRONMENTAL INC                                      | GFL Environmental Inc                                                           | CUSIP: 36168QAL8<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |    2850000 | PA      | $2766382.11   | 0.06%             | 2028-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                               | Comcast Corp                                                                    | CUSIP: 20030NDG3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    5390000 | PA      | $5169832.30   | 0.11%             | 2030-04-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31383BZ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2570 | PA      | $2645.05      | 0.00%             | 2029-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                           | Freddie Mac Strips                                                              | CUSIP: 31325YXR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3568024 | PA      | $908107.48    | 0.02%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                                | HOMES 2023-NQM1 Trust                                                           | CUSIP: 43761JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6656775 | PA      | $6660880.78   | 0.15%             | 2068-01-25      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 3617BCRN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     556619 | PA      | $536927.85    | 0.01%             | 2047-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                              | Citigroup Inc                                                                   | CUSIP: 172967EW7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1915000 | PA      | $2412902.72   | 0.05%             | 2039-07-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                             | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H4BR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   97711663 | PA      | $1811613.32   | 0.04%             | 2031-09-25      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140FXDP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19881584 | PA      | $18599509.33  | 0.41%             | 2056-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 3617BBKQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     419517 | PA      | $385186.42    | 0.01%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                            | United States Treasury Note/Bond                                                | CUSIP: 91282CNF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1110000 | PA      | $1119625.79   | 0.02%             | 2032-05-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                                    | KazMunayGas National Co JSC                                                     | CUSIP: 48126PAA0<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |    7610000 | PA      | $6610637.22   | 0.15%             | 2033-04-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                   | Occidental Petroleum Corp                                                       | CUSIP: 674599CS2<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      60000 | PA      | $55817.56     | 0.00%             | 2029-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC Trust 2017-CHOP                                                            | CUSIP: 12651QAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8456000 | PA      | $8217605.07   | 0.18%             | 2032-07-15      | Floating      | 9.79%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                   | Occidental Petroleum Corp                                                       | CUSIP: 674599ED3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     900000 | PA      | $952245.00    | 0.02%             | 2030-09-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                             | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H8BN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28565629 | PA      | $673417.57    | 0.01%             | 2032-06-25      | Variable      | 0.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31383SAY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        514 | PA      | $541.46       | 0.00%             | 2029-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                            | United States Treasury Note/Bond                                                | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2350000 | PA      | $2240210.94   | 0.05%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GENERAL DYNAMICS CORP                                      | General Dynamics Corp                                                           | CUSIP: 369550BH0<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |    1045000 | PA      | $939402.44    | 0.02%             | 2040-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                          | HSBC Holdings PLC                                                               | CUSIP: 404280DC0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    6190000 | PA      | $6063084.51   | 0.13%             | 2033-03-29      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                           | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $1562003.95   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                           | CUSIP: 3132FGBJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        117 | PA      | $116.36       | 0.00%             | 2025-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                             | BCAP LLC 2010-RR9 Trust                                                         | CUSIP: 05533GCP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6101322 | PA      | $4801441.63   | 0.11%             | 2035-10-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                              | UBS Commercial Mortgage Trust 2017-C1                                           | CUSIP: 90276EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4740000 | PA      | $4638417.06   | 0.10%             | 2050-06-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr                             | GreenPoint Mortgage Funding Trust 2005-AR4                                      | CUSIP: 39538WBR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     606733 | PA      | $592430.33    | 0.01%             | 2045-10-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                              | CUSIP: 3137H6QT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3741544 | PA      | $767633.58    | 0.02%             | 2048-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3138XCGD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7095 | PA      | $6986.64      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                              | CUSIP: 3137H4BA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8571589 | PA      | $1772598.52   | 0.04%             | 2051-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                   | AT&T Inc                                                                        | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     670000 | PA      | $469246.08    | 0.01%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Belron Finance US LLC                                      | BELRON FINANCE 2019 LLC                                                         | CUSIP: 08078UAM5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3720628 | PA      | $3742114.77   | 0.08%             | 2031-10-16      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                               | CUSIP: 29379VCH4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    1830000 | PA      | $1767299.33   | 0.04%             | 2055-02-16      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36291TBM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48291 | PA      | $49894.64     | 0.00%             | 2034-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                      | CUSIP: 92343VBG8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    2030000 | PA      | $1627108.97   | 0.04%             | 2042-11-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3138AFWD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12249 | PA      | $12408.15     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38379UH41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9851146 | PA      | $463928.90    | 0.01%             | 2058-02-16      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3132ADGQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7511231 | PA      | $6999977.99   | 0.16%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 3617MB5B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     763202 | PA      | $717019.73    | 0.02%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                            | Cigna Group/The                                                                 | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    2680000 | PA      | $2683823.45   | 0.06%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                    | MPLX LP                                                                         | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    2590000 | PA      | $2615834.42   | 0.06%             | 2029-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                           | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       4710 | NC      | $4015882.69   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| SIEMENS FUNDING BV                                         | Siemens Funding BV                                                              | CUSIP: 82622RAD8<br>LEI: 213800CCRGH2TO338X64 | Long             | DBT              | CORP              | NL        |    2780000 | PA      | $2821730.16   | 0.06%             | 2032-05-28      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                 | US Bancorp                                                                      | CUSIP: 91159HJM3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    3240000 | PA      | $3364936.70   | 0.07%             | 2029-06-12      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36201C4L5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3471 | PA      | $3517.15      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                               | Broadcom Inc                                                                    | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   10210000 | PA      | $8615605.48   | 0.19%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                     | BP Capital Markets America Inc                                                  | CUSIP: 10373QBL3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    2020000 | PA      | $1960501.08   | 0.04%             | 2030-04-06      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3132D9F58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5231780 | PA      | $4515423.37   | 0.10%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140FXG89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13931825 | PA      | $13352790.49  | 0.30%             | 2057-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH OF BAHAMAS                                    | Bahamas Government International Bond                                           | CUSIP: 056732AP5<br>LEI: 549300W13SXC7EKNJC20 | Long             | DBT              | NUSS              | BS        |    1610000 | PA      | $1637370.00   | 0.04%             | 2036-06-24      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                        | Elevance Health Inc                                                             | CUSIP: 036752AT0<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $2978106.73   | 0.07%             | 2032-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                                   | Delta Air Lines Inc / SkyMiles IP Ltd                                           | CUSIP: 830867AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | N/A       |    2685987 | PA      | $2679850.60   | 0.06%             | 2025-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3138AUH59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134132 | PA      | $133610.64    | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36202SYR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     309211 | PA      | $314091.62    | 0.01%             | 2033-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SPIRIT AIRLINES LLC                                        | SPIRIT AIRLINES LLC                                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     206310 | NS      | $1029486.90   | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                                       | Shell Finance US Inc                                                            | CUSIP: 822905AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2830000 | PA      | $2396324.97   | 0.05%             | 2045-05-11      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                                   | Venture Global Calcasieu Pass LLC                                               | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |   10180000 | PA      | $8910645.11   | 0.20%             | 2033-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| First Eagle Holdings Inc                                   | FIRST EAGLE HOLDINGS INC                                                        | CUSIP: 05554JAJ6<br>LEI: 549300ZKYR56QRODD510 | Long             | LON              | CORP              | US        |       4441 | PA      | $4450.12      | 0.00%             | 2029-03-05      | Floating      | 7.30%                 | No            |                  2 | On Loan: No      |
| Thrust Engine Leasing                                      | Thrust Engine Leasing 2021 DAC                                                  | CUSIP: 88603UAA7<br>LEI: 254900X0E0PUM0VQBP74 | Long             | ABS-O            | CORP              | US        |    9751734 | PA      | $9513268.54   | 0.21%             | 2040-07-15      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                      | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    1210000 | PA      | $1148862.06   | 0.03%             | 2034-11-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                              | CUSIP: 3137APW48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1115769 | PA      | $113743.81    | 0.00%             | 2039-08-15      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                      | Continental Resources Inc/OK                                                    | CUSIP: 212015AU5<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    3430000 | PA      | $3315768.51   | 0.07%             | 2026-11-15      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                          | Magnetite XXIX Ltd                                                              | CUSIP: 55955KAN4<br>LEI: 549300XSCWZTP19VRZ67 | Long             | ABS-CBDO         | CORP              | KY        |    4840000 | PA      | $4855592.06   | 0.11%             | 2037-07-15      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                              | Citigroup Inc                                                                   | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     670000 | PA      | $668744.29    | 0.01%             | 2033-05-24      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3138MN4E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53228 | PA      | $51433.20     | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                                   | Pioneer Natural Resources Co                                                    | CUSIP: 723787AR8<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    1610000 | PA      | $1430680.02   | 0.03%             | 2031-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36210XV53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        616 | PA      | $622.77       | 0.00%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CLI Funding LLC                                            | CLI Funding IX LLC                                                              | CUSIP: 12571WAA1<br>LEI: 2549008S2Z91ASJFZL83 | Long             | ABS-O            | CORP              | US        |    7618000 | PA      | $7696738.12   | 0.17%             | 2049-07-20      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                   | Ford Motor Credit Co LLC                                                        | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    5890000 | PA      | $5853574.77   | 0.13%             | 2027-05-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| VISA INC                                                   | Visa Inc                                                                        | CUSIP: 92826CAF9<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |    2480000 | PA      | $2157347.49   | 0.05%             | 2045-12-14      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                | 5 YEAR U.S. TREASURY NOTE WEEK 4                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       2952 | NC      | $23062.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Scientific Games International, Inc.                       | LIGHT & WONDER INTERNATIONAL INC                                                | CUSIP: 80875AAW1<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | LON              | CORP              | US        |    2561337 | PA      | $2566779.56   | 0.06%             | 2029-04-14      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140L3H79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2916335 | PA      | $2347552.05   | 0.05%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                | CUSIP: 94974BGU8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    2165000 | PA      | $1857148.06   | 0.04%             | 2046-12-07      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                | 6-7 U.S. TREASURY NOTE WEEK 2                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       2967 | NC      | $1529859.38   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                   | CUSIP: 097023CD5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    3580000 | PA      | $3408808.52   | 0.08%             | 2029-03-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3325000 | PA      | $3135349.51   | 0.07%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36212NAN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19273 | PA      | $19891.24     | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140FKCJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3029183 | PA      | $2699802.85   | 0.06%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                     | Pacific Gas and Electric Co                                                     | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3850000 | PA      | $3344019.60   | 0.07%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36213ER73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25871 | PA      | $26353.95     | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                      | CUSIP: 92343VDU5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    4890000 | PA      | $4869433.93   | 0.11%             | 2037-03-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                         | Ukraine Government International Bond                                           | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    1431391 | PA      | $667508.02    | 0.01%             | 2035-02-01      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Springcastle SPV                                           | SpringCastle America Funding LLC                                                | CUSIP: 85022WAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5693211 | PA      | $5365049.83   | 0.12%             | 2037-09-25      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage                             | MASTR Adjustable Rate Mortgages Trust 2006-OA1                                  | CUSIP: 576433G42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      59261 | PA      | $54451.79     | 0.00%             | 2046-04-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                             | Morgan Stanley                                                                  | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2020000 | PA      | $1769443.26   | 0.04%             | 2032-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31388EF84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13433 | PA      | $14166.86     | 0.00%             | 2031-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                             | Alternative Loan Trust 2006-6CB                                                 | CUSIP: 12668BRZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2327681 | PA      | $1900481.14   | 0.04%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36201H6L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2429 | PA      | $2445.87      | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                             | Morgan Stanley Mortgage Loan Trust 2005-3AR                                     | CUSIP: 61745M4P5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     443198 | PA      | $395908.45    | 0.01%             | 2035-07-25      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                                  | College Ave Student Loans 2024-B LLC                                            | CUSIP: 19423UAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5586219 | PA      | $5740726.28   | 0.13%             | 2054-08-25      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro                             | RAMP Series 2004-SL4 Trust                                                      | CUSIP: 76112BGP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     303442 | PA      | $100645.57    | 0.00%             | 2032-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Aimco                                                      | Aimco CLO 15 Ltd                                                                | CUSIP: 00889BAE1<br>LEI: 254900QER1MDK5C1YE06 | Long             | ABS-CBDO         | CORP              | KY        |   11560000 | PA      | $11537062.65  | 0.26%             | 2038-04-17      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| INTER-AMERICAN DEVEL BK                                    | Inter-American Development Bank                                                 | CUSIP: 000000000<br>LEI: VKU1UKDS9E7LYLMACP54 | Long             | DBT              | NUSS              | N/A       | 3547000000 | PA      | $42700271.64  | 0.95%             | 2030-10-06      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                               | CUSIP: 3136AATF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     916227 | PA      | $113176.71    | 0.00%             | 2042-12-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                              | CUSIP: 3137HHNF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4450004 | PA      | $4441667.31   | 0.10%             | 2054-12-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36291SZF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1591 | PA      | $1642.55      | 0.00%             | 2035-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                               | CUSIP: 3136A54N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1980767 | PA      | $2137088.84   | 0.05%             | 2042-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140J5W39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15088501 | PA      | $13496141.59  | 0.30%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31412X4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12330 | PA      | $12892.62     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36291GUQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1828 | PA      | $1886.93      | 0.00%             | 2034-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36205GAG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41031 | PA      | $42003.82     | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Jimmy John's Funding LLC                                   | Jimmy Johns Funding LLC                                                         | CUSIP: 47760QAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6046932 | PA      | $5996807.06   | 0.13%             | 2047-07-30      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                         | Expand Energy Corp                                                              | CUSIP: 845467AT6<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |    2690000 | PA      | $2617520.37   | 0.06%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                    | HCA Inc                                                                         | CUSIP: 197677AH0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   14760000 | PA      | $16077024.47  | 0.36%             | 2095-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| NRTH PARK Mortgage Trust                                   | NRTH 2024-PARK Mortgage Trust                                                   | CUSIP: 67021HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3540000 | PA      | $3547024.07   | 0.08%             | 2039-03-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                          | CI Financial Corp                                                               | CUSIP: 125491AT7<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |    5360000 | PA      | $5658031.81   | 0.13%             | 2029-05-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3138AFC65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99615 | PA      | $100908.56    | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GGM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $5134877.18   | 0.11%             | 2041-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Flutter Entertainment Public Limited Company               | FLUTTER ENTERTAINMENT PLC                                                       | CUSIP: 000000000<br>LEI: 635400VFWPBIKJK6GN11 | Long             | LON              | CORP              | NL        |    1373015 | PA      | $1371299.02   | 0.03%             | 2030-11-30      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                  | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042673<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   94600000 | PA      | $90499643.41  | 2.01%             | 2055-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                               | CUSIP: 3136ARUS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7191064 | PA      | $813683.97    | 0.02%             | 2045-11-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                           | CUSIP: 3132J4D89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21985 | PA      | $22083.92     | 0.00%             | 2031-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                         | Union Pacific Corp                                                              | CUSIP: 907818FQ6<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    2540000 | PA      | $2101652.46   | 0.05%             | 2036-04-06      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36225BPZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        283 | PA      | $291.71       | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                | 6-7 U.S. TREASURY NOTE WEEK 2                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       2967 | NC      | $278156.25    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                     | UnitedHealth Group Inc                                                          | CUSIP: 91324PDV1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    4755000 | PA      | $3353668.98   | 0.07%             | 2059-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                   | Benchmark 2019-B12 Mortgage Trust                                               | CUSIP: 08162FAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $3666141.60   | 0.08%             | 2052-08-15      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 3622ABU91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7560721 | PA      | $6768985.62   | 0.15%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 3617X5VE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     431705 | PA      | $373012.08    | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                | 5 YEAR U.S. TREASURY NOTE                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -1232 | NC      | $-1366750.00  | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36213CYW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18271 | PA      | $18991.47     | 0.00%             | 2035-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36200AKR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4607 | PA      | $4671.96      | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alpha Generation LLC                                       | ALPHA GENERATION LLC                                                            | CUSIP: 02072UAC6<br>LEI: 254900K5V62L4YGVKF49 | Long             | LON              | CORP              | US        |    3720628 | PA      | $3719995.63   | 0.08%             | 2031-09-30      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36202VYM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67056 | PA      | $69029.23     | 0.00%             | 2034-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust                               | Morgan Stanley Resecuritization Trust 2015-R7                                   | CUSIP: 61765PAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8737102 | PA      | $7899318.81   | 0.18%             | 2029-02-26      | Variable      | 7.06%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                             | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H7ZD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  106804837 | PA      | $1688488.35   | 0.04%             | 2032-06-25      | Variable      | 0.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38382XP25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4546377 | PA      | $444287.86    | 0.01%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140XGGW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21627230 | PA      | $17489894.44  | 0.39%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                      | Micron Technology Inc                                                           | CUSIP: 595112CD3<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    3470000 | PA      | $3554547.73   | 0.08%             | 2031-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36291LJ48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19076 | PA      | $19688.95     | 0.00%             | 2035-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                             | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H14D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   74657314 | PA      | $1690808.99   | 0.04%             | 2028-05-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae                                                                      | CUSIP: 21H022671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3300000 | PA      | $2804181.20   | 0.06%             | 2055-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SNAM SPA                                                   | Snam SpA                                                                        | CUSIP: 83304JAA5<br>LEI: 8156002278562044AF79 | Long             | DBT              | CORP              | IT        |    1680000 | PA      | $1694837.81   | 0.04%             | 2030-05-28      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36209YUL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2292 | PA      | $2305.22      | 0.00%             | 2031-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                               | CUSIP: 29379VBY8<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    2197000 | PA      | $1588154.20   | 0.04%             | 2051-01-31      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                 | AbbVie Inc                                                                      | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     140000 | PA      | $135978.65    | 0.00%             | 2035-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Four Seasons Hotels Limited                                | FOUR SEASONS HOTELS LTD                                                         | CUSIP: 35100DAV8<br>LEI: 5493009FUVX8LHYY2202 | Long             | LON              | CORP              | CA        |    2486231 | PA      | $2503945.12   | 0.06%             | 2029-11-30      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 3617MKP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3913167 | PA      | $3296112.95   | 0.07%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140FECF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2758978 | PA      | $2472922.86   | 0.05%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MEDLINE BORROWER/MEDL CO                                   | Medline Borrower LP/Medline Co-Issuer Inc                                       | CUSIP: 58506DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4440000 | PA      | $4566690.96   | 0.10%             | 2029-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31390FC49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        218 | PA      | $229.57       | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Alterra Mountain Company                                   | ALTERRA MOUNTAIN CO                                                             | CUSIP: 46124CAQ0<br>LEI: 549300C5O4FSVNUEI843 | Long             | LON              | CORP              | US        |      13218 | PA      | $13300.15     | 0.00%             | 2028-08-17      | Floating      | 7.08%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36207KHD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        349 | PA      | $352.51       | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31412NXE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57153 | PA      | $57962.12     | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUNDING C                             | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2005-4              | CUSIP: 16678RET0<br>LEI: 5493000HGUJLFEQO2209 | Long             | ABS-MBS          | CORP              | US        |     175353 | PA      | $167588.42    | 0.00%             | 2036-10-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                   | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2045000 | PA      | $2029698.84   | 0.05%             | 2031-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140FF3K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     933033 | PA      | $831576.36    | 0.02%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36213UPE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4135 | PA      | $4275.82      | 0.00%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                              | DISH DBS Corp                                                                   | CUSIP: 25470XAY1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     510000 | PA      | $453392.24    | 0.01%             | 2026-07-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                   | Mars Inc                                                                        | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     780000 | PA      | $790763.36    | 0.02%             | 2032-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3133AFRX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2415026 | PA      | $1937061.04   | 0.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38377LAC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17042905 | PA      | $17527336.26  | 0.39%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                        | JPMorgan Chase & Co                                                             | CUSIP: 46647PBL9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    6130000 | PA      | $5606074.91   | 0.12%             | 2031-04-22      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Commercial Mortgage Trust 2022-LP2                                           | CUSIP: 05610HAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9254000 | PA      | $9247902.54   | 0.21%             | 2039-02-15      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                   | AT&T Inc                                                                        | CUSIP: 00206RBA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    2710000 | PA      | $2680522.60   | 0.06%             | 2041-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr                             | GreenPoint Mortgage Funding Trust 2006-AR3                                      | CUSIP: 39538WHC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      62015 | PA      | $62170.45     | 0.00%             | 2036-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36178WDN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3503960 | PA      | $3176896.73   | 0.07%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                              | Citigroup Inc                                                                   | CUSIP: 172967MD0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1230000 | PA      | $1064558.65   | 0.02%             | 2048-07-23      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    2330000 | PA      | $2290769.07   | 0.05%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                     | Philip Morris International Inc                                                 | CUSIP: 718172DG1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    3360000 | PA      | $3420413.17   | 0.08%             | 2029-02-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31383JXE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10777 | PA      | $11133.41     | 0.00%             | 2029-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                              | Citigroup Inc                                                                   | CUSIP: 172967ME8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    7640000 | PA      | $7489960.41   | 0.17%             | 2030-03-20      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                       | Royal Bank of Canada                                                            | CUSIP: 78016FZQ0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    1770000 | PA      | $1693518.80   | 0.04%             | 2032-05-04      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                                    | Kinder Morgan Energy Partners LP                                                | CUSIP: 494550AQ9<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    1497000 | PA      | $1688535.87   | 0.04%             | 2033-08-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Vertiv Group Corporation                                   | VERTIV GROUP CORP                                                               | CUSIP: 92537EAF5<br>LEI: 549300ZT8RQ5VK10E643 | Long             | LON              | CORP              | US        |    2483744 | PA      | $2489245.21   | 0.06%             | 2027-03-02      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36200FPE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43984 | PA      | $44948.02     | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                              | CUSIP: 29273VAY6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      30000 | PA      | $30387.25     | 0.00%             | 2034-05-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Aimco                                                      | AIMCO CLO 22 Ltd                                                                | CUSIP: 00901UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    7270000 | PA      | $7310381.94   | 0.16%             | 2037-04-19      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                   | EQT Corp                                                                        | CUSIP: 26884LAL3<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    2358000 | PA      | $2378901.17   | 0.05%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38380P8N7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19022447 | PA      | $1723370.90   | 0.04%             | 2060-09-16      | Variable      | 1.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140XADY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2125544 | PA      | $1720393.40   | 0.04%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                | 10 YEAR U.S. TREASURY NOTE WEEK 4                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       1970 | NC      | $1970.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MICRON TECHNOLOGY INC                                      | Micron Technology Inc                                                           | CUSIP: 595112BZ5<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    2791000 | PA      | $2911883.04   | 0.06%             | 2033-02-09      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                           | CUSIP: 3132L8WB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     160184 | PA      | $151970.75    | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3132E0BK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13912856 | PA      | $14320928.57  | 0.32%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                                    | Kinder Morgan Energy Partners LP                                                | CUSIP: 494550BW5<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |     680000 | PA      | $631777.09    | 0.01%             | 2044-09-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36212TW42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1270 | PA      | $1268.65      | 0.00%             | 2030-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3132DMT62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3269378 | PA      | $2652528.59   | 0.06%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                              | CUSIP: 31398WQK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     881957 | PA      | $893567.12    | 0.02%             | 2030-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                             | Freddie Mac Multiclass Certificates Series 2020-RR07                            | CUSIP: 3137FRVC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   34072000 | PA      | $2182083.32   | 0.05%             | 2028-09-27      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                               | Alphabet Inc                                                                    | CUSIP: 02079KAN7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    1430000 | PA      | $1401316.13   | 0.03%             | 2065-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| SPIRIT LOYALTY KY LTD/IP                                   | Spirit Loyalty Cayman Ltd / Spirit IP Cayman Ltd                                | CUSIP: 84859BAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    7401079 | PA      | $5310274.32   | 0.12%             | 2030-03-12      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3131XUM38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2286613 | PA      | $2118849.58   | 0.05%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                               | CaixaBank SA                                                                    | CUSIP: 12803RAL8<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    4710000 | PA      | $4730441.97   | 0.10%             | 2031-07-03      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                           | Connecticut Avenue Securities Trust 2020-R02                                    | CUSIP: 20754WAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2450000 | PA      | $2508514.82   | 0.06%             | 2040-01-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 36195JJM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      92037 | PA      | $83770.24     | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                     | USD/CAD FORWARD                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-426778.81   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36294T2N4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1357 | PA      | $1414.51      | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 3622AB6B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3499631 | PA      | $3364098.83   | 0.07%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                   | Ford Motor Credit Co LLC                                                        | CUSIP: 345397C68<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1584088.19   | 0.04%             | 2030-03-06      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                     | CVS Pass-Through Trust                                                          | CUSIP: 126650BP4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3203583 | PA      | $3249435.00   | 0.07%             | 2028-12-10      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 3622ACPU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14449479 | PA      | $14522991.91  | 0.32%             | 2053-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                          | EOG Resources Inc                                                               | CUSIP: 26875PAN1<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1281533.20   | 0.03%             | 2035-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 3622AAKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8639673 | PA      | $7533431.01   | 0.17%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36202WHX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54123 | PA      | $55317.54     | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                               | Broadcom Inc                                                                    | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     145000 | PA      | $140801.33    | 0.00%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| GIP Pilot Acquisition Partners LP                          | GIP PILOT ACQUISITION PA                                                        | CUSIP: 31773HAE2<br>LEI: 254900NQOAOPPA12X060 | Long             | LON              | CORP              | US        |    2447939 | PA      | $2459150.29   | 0.05%             | 2030-10-04      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36210AFQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1443 | PA      | $1442.42      | 0.00%             | 2028-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Allied Universal Holdco LLC                                | Allied Universal Holdco LLC                                                     | CUSIP: 01957TAH0<br>LEI: 98450038B4549046D794 | Long             | LON              | CORP              | US        |    2521249 | PA      | $2536111.58   | 0.06%             | 2028-05-12      | Floating      | 8.18%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                   | RTX Corp                                                                        | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    3629000 | PA      | $3214560.14   | 0.07%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SERVICE PROPERTIES TRUST                                   | Service Properties Trust                                                        | CUSIP: 81761LAD4<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |    4110000 | PA      | $4277881.17   | 0.09%             | 2029-06-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| AON NORTH AMERICA INC                                      | Aon North America Inc                                                           | CUSIP: 03740MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5620000 | PA      | $5775808.04   | 0.13%             | 2034-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                | CUSIP: 94974BGE4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $5140216.86   | 0.11%             | 2044-11-04      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    3860000 | PA      | $3607398.51   | 0.08%             | 2030-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                              | CUSIP: 86765BAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1170000 | PA      | $1049118.20   | 0.02%             | 2044-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36195R7E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2891926 | PA      | $2789634.40   | 0.06%             | 2047-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                       | Las Vegas Sands Corp                                                            | CUSIP: 517834AE7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     600000 | PA      | $592256.04    | 0.01%             | 2026-08-18      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                              | CUSIP: 3137BDMP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10626149 | PA      | $9559256.22   | 0.21%             | 2044-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                     | USD/AUD FORWARD                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-28339.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3133ALHV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2552753 | PA      | $2177491.76   | 0.05%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                                     | Conseco Finance Corp                                                            | CUSIP: 393505X98<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4166775 | PA      | $3784360.36   | 0.08%             | 2031-02-01      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                       | Bank of America Corp                                                            | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     620000 | PA      | $620100.09    | 0.01%             | 2028-04-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UFC Holdings LLC                                           | UFC HOLDINGS LLC                                                                | CUSIP: 90266UAK9<br>LEI: 549300JEOTH7UMZ3C491 | Long             | LON              | CORP              | US        |    3720652 | PA      | $3738771.20   | 0.08%             | 2031-11-21      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31388FSE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1082 | PA      | $1141.14      | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3133AJFE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3080324 | PA      | $2609100.39   | 0.06%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                     | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822CE2<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    1860000 | PA      | $1850066.11   | 0.04%             | 2028-04-19      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                   | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   12550000 | PA      | $12230906.21  | 0.27%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                              | CUSIP: 3137F8UQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18608868 | PA      | $2586091.10   | 0.06%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                      | CUSIP: 92343VFE9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    5170000 | PA      | $4901632.85   | 0.11%             | 2030-03-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                          | General Motors Co                                                               | CUSIP: 37045VAF7<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    1080000 | PA      | $1060261.10   | 0.02%             | 2043-10-02      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                    | Bristol-Myers Squibb Co                                                         | CUSIP: 110122EL8<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    1450000 | PA      | $1409069.55   | 0.03%             | 2064-02-22      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31418BLU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1059836 | PA      | $1031228.17   | 0.02%             | 2035-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36201TMH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20274 | PA      | $20333.46     | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                          | IRON MOUNTAIN INC                                                               | CUSIP: 46284NAV1<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | LON              | CORP              | US        |    3720557 | PA      | $3722100.99   | 0.08%             | 2031-01-31      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| VLS Commercial Mortgage Trust                              | VLS Commercial Mortgage Trust 2020-LAB                                          | CUSIP: 92858TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17345000 | PA      | $14761014.75  | 0.33%             | 2042-10-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                           | T-Mobile USA Inc                                                                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   15295000 | PA      | $14859454.53  | 0.33%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31402WQN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6955 | PA      | $7030.07      | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                     | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |          1 | NC      | $93345.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROSUS NV                                                  | Prosus NV                                                                       | CUSIP: 74365PAF5<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   12990000 | PA      | $11511116.43  | 0.26%             | 2031-07-13      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38384BPF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9189067 | PA      | $1655819.42   | 0.04%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3138EMKV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     935114 | PA      | $949349.49    | 0.02%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31371KDM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2693 | PA      | $2841.36      | 0.00%             | 2031-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                         | Ukraine Government International Bond                                           | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    1244688 | PA      | $640372.32    | 0.01%             | 2034-02-01      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                   | Vistra Operations Co LLC                                                        | CUSIP: 92840VAR3<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     890000 | PA      | $931057.48    | 0.02%             | 2032-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31387NR74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1627 | PA      | $1681.11      | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31389X7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4276 | PA      | $4509.37      | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                | PRKCM 2021-AFC1 Trust                                                           | CUSIP: 69357TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10557102 | PA      | $8764690.90   | 0.19%             | 2056-08-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                   | Devon Energy Corp                                                               | CUSIP: 25179MBD4<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     638000 | PA      | $639449.31    | 0.01%             | 2027-10-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Delta Air Lines Inc                                        | SkyMiles IP Ltd                                                                 | CUSIP: 24736CBS2<br>LEI: 2549008L7P4I8VB90936 | Long             | LON              | CORP              | KY        |    4527273 | PA      | $4562087.46   | 0.10%             | 2027-10-20      | Floating      | 8.02%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                              | UBS Commercial Mortgage Trust 2018-C11                                          | CUSIP: 90276XAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2992255 | PA      | $2983213.47   | 0.07%             | 2051-06-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140FGAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8269169 | PA      | $7384590.12   | 0.16%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Sycamore Tree CLO Ltd                                      | Sycamore Tree CLO 2025-6 Ltd                                                    | CUSIP: 87122HAA0<br>LEI: 2138001M3BAXCUCAUG38 | Long             | ABS-CBDO         | CORP              | KY        |    8200000 | PA      | $8190948.02   | 0.18%             | 2038-04-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3132A92X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        611 | PA      | $609.73       | 0.00%             | 2026-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                     | Williams Cos Inc/The                                                            | CUSIP: 88339WAC0<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    2520000 | PA      | $2515668.60   | 0.06%             | 2034-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                              | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    2810000 | PA      | $2697178.72   | 0.06%             | 2030-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                              | Citigroup Inc                                                                   | CUSIP: 172967DR9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     133000 | PA      | $137680.74    | 0.00%             | 2036-08-25      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association                      | CNH/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $826776.27    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                             | Option One Mortgage Loan Trust 2007-FXD2                                        | CUSIP: 68403BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12421084 | PA      | $11248425.86  | 0.25%             | 2037-03-25      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| RELIANCE INDUSTRIES LTD                                    | Reliance Industries Ltd                                                         | CUSIP: 759470BB2<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |    6910000 | PA      | $6140368.21   | 0.14%             | 2032-01-12      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3138ADR98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10972 | PA      | $11087.50     | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                   | Western Midstream Operating LP                                                  | CUSIP: 958667AA5<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    1410000 | PA      | $1187205.05   | 0.03%             | 2050-02-01      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2022-DNA6                                         | CUSIP: 35564KH44<br>LEI: 5493000IS30HKV5IAS29 | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $5270830.50   | 0.12%             | 2042-09-25      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| TRUIST BANK                                                | Truist Bank                                                                     | CUSIP: 07330MAC1<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |    2961000 | PA      | $2928014.79   | 0.06%             | 2029-09-17      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| National Collegiate Student Lo                             | National Collegiate Student Loan Trust 2006-4                                   | CUSIP: 63543WAD3<br>LEI: 635400VHKJCABQGBTP36 | Long             | ABS-O            | CORP              | US        |     669315 | PA      | $666769.75    | 0.01%             | 2032-05-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38379U4A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26256858 | PA      | $784722.98    | 0.02%             | 2058-12-16      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                   | RTX Corp                                                                        | CUSIP: 75513EAD3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    4430000 | PA      | $4005655.44   | 0.09%             | 2030-07-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -989 | NC      | $-1344421.88  | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                                            | United States Treasury Note/Bond                                                | CUSIP: 912810TW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     940000 | PA      | $939302.34    | 0.02%             | 2043-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SOUTHERN NATURAL GAS                                       | Southern Natural Gas Co LLC                                                     | CUSIP: 843452AZ6<br>LEI: 254900KDLS1X42SY7037 | Long             | DBT              | CORP              | US        |    2503000 | PA      | $2837307.96   | 0.06%             | 2032-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36200XYW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19362 | PA      | $19818.33     | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                    | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAR2<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    2560000 | PA      | $2902041.60   | 0.06%             | 2031-09-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| STORE Master Funding LLC                                   | Store Master Funding I-VII XIV XIX XX XXIV                                      | CUSIP: 86212XAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6392708 | PA      | $6442512.00   | 0.14%             | 2053-06-20      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Trust 2022-PSB                                                               | CUSIP: 05606DAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000396 | PA      | $7006958.99   | 0.16%             | 2039-08-15      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140L6TB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4138963 | PA      | $3329881.22   | 0.07%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PROVINCIA DE BUENOS AIRE                                   | Provincia de Buenos Aires/Government Bonds                                      | CUSIP: 000000000<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |   13222838 | PA      | $9536972.20   | 0.21%             | 2037-09-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36200N6L0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      90315 | PA      | $93778.66     | 0.00%             | 2034-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                        | JPMorgan Chase & Co                                                             | CUSIP: 46625HLL2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     410000 | PA      | $374579.41    | 0.01%             | 2045-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                            | Nissan Motor Co Ltd                                                             | CUSIP: 654744AB7<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |   35120000 | PA      | $34924709.62  | 0.78%             | 2025-09-17      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                               | CUSIP: 3136A65W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95592 | PA      | $87003.90     | 0.00%             | 2042-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38379RRT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25191010 | PA      | $733927.50    | 0.02%             | 2056-11-16      | Variable      | 0.52%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                             | Structured Asset Securities Corp Mortgage Loan Trust 2006-ARS1                  | CUSIP: 86358LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1071314 | PA      | $20000.04     | 0.00%             | 2036-02-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| BLUE RACER MID LLC/FINAN                                   | Blue Racer Midstream LLC / Blue Racer Finance Corp                              | CUSIP: 095796AK4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3980000 | PA      | $4219962.16   | 0.09%             | 2032-07-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140J9NP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12341687 | PA      | $11584357.44  | 0.26%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36202WL56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25472 | PA      | $25857.11     | 0.00%             | 2033-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                   | AT&T Inc                                                                        | CUSIP: 00206RBK7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    3579000 | PA      | $2969311.95   | 0.07%             | 2045-06-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                               | CUSIP: 3136AHGQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4672919 | PA      | $516865.05    | 0.01%             | 2043-12-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                          | L3Harris Technologies Inc                                                       | CUSIP: 413875AT2<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |     510000 | PA      | $476353.59    | 0.01%             | 2045-04-27      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -99 | NC      | $-371250.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                              | CUSIP: 29273VAN0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    4275000 | PA      | $4304787.90   | 0.10%             | N/A             | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                          | General Motors Co                                                               | CUSIP: 37045VAP5<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    2050000 | PA      | $1909019.90   | 0.04%             | 2038-04-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 3617GQY31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     276517 | PA      | $266729.65    | 0.01%             | 2048-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Kings Park CLO Ltd                                         | Kings Park CLO Ltd                                                              | CUSIP: 496094AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9910000 | PA      | $9919931.80   | 0.22%             | 2035-01-21      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                      | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    5013000 | PA      | $4497660.09   | 0.10%             | 2031-03-21      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3138WGJG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2602149 | PA      | $2397294.70   | 0.05%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Multifamily Trust                                          | Multifamily Trust 2016-1                                                        | CUSIP: 62547L103<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1133189 | PA      | $1125253.23   | 0.02%             | 2046-04-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Clarios Global LP                                          | CLARIOS GLOBAL LP                                                               | CUSIP: 000000000<br>LEI: 549300474L1ZLXZY2P98 | Long             | LON              | CORP              | US        |    1328674 | PA      | $1326601.43   | 0.03%             | 2030-05-06      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36290S7E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        495 | PA      | $511.42       | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                                        | Charles Schwab Corp/The                                                         | CUSIP: 808513CH6<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    2110000 | PA      | $2283815.51   | 0.05%             | 2034-08-24      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| Suntrust Alternative Loan Trus                             | SunTrust Alternative Loan Trust 2006-1F                                         | CUSIP: 86800RAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15437356 | PA      | $3634032.41   | 0.08%             | 2036-04-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                           | T-Mobile USA Inc                                                                | CUSIP: 87264ADF9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    3780000 | PA      | $3829865.46   | 0.09%             | 2034-04-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                                        | BHMS 2018-MZB                                                                   | CUSIP: 05549GAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12920000 | PA      | $12884167.67  | 0.29%             | 2025-07-15      | Floating      | 11.25%                | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GVS0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    5434000 | PA      | $4835518.48   | 0.11%             | 2045-10-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38378UGA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     679436 | PA      | $33926.23     | 0.00%             | 2042-11-20      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 3617K1ZG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1191088 | PA      | $1118980.32   | 0.02%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3133C8DQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2236529 | PA      | $2250800.09   | 0.05%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36201Q3R2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21833 | PA      | $22706.19     | 0.00%             | 2032-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140QMK52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1962399 | PA      | $1752967.20   | 0.04%             | 2041-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TEVA PHARM FIN IV                                          | Teva Pharmaceutical Finance Netherlands IV BV                                   | CUSIP: 881937AA4<br>LEI: 549300GKSD1RG56QRY33 | Long             | DBT              | CORP              | NL        |    2140000 | PA      | $2179718.27   | 0.05%             | 2030-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                                       | Shell Finance US Inc                                                            | CUSIP: 822905AE5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     710000 | PA      | $565011.23    | 0.01%             | 2046-05-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WYETH LLC                                                  | Wyeth LLC                                                                       | CUSIP: 983024AN0<br>LEI: 549300Q9GR3WRH4N4836 | Long             | DBT              | CORP              | US        |    1778000 | PA      | $1897419.81   | 0.04%             | 2037-04-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                                   | Anheuser-Busch InBev Worldwide Inc                                              | CUSIP: 03523TBV9<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    3560000 | PA      | $3536034.22   | 0.08%             | 2049-01-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 3617MB5P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     523278 | PA      | $491530.40    | 0.01%             | 2050-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31418B2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7024540 | PA      | $6683369.16   | 0.15%             | 2036-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3133AGRD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2700954 | PA      | $2174021.08   | 0.05%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36294SN37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7023 | PA      | $7273.90      | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                          | General Motors Co                                                               | CUSIP: 37045VAT7<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    1040000 | PA      | $973010.37    | 0.02%             | 2049-04-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                  | ONEOK Inc                                                                       | CUSIP: 682680BN2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    1990000 | PA      | $2069922.34   | 0.05%             | 2053-09-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    5790000 | PA      | $5711137.77   | 0.13%             | 2028-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36201EGC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24237 | PA      | $24891.92     | 0.00%             | 2035-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                | 5 YEAR U.S. TREASURY NOTE WEEK 4                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -1476 | NC      | $-11531.26    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36290VVH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13984 | PA      | $14433.20     | 0.00%             | 2034-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding                              | Bear Stearns Mortgage Funding Trust 2007-AR2                                    | CUSIP: 07401TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6870165 | PA      | $6548616.17   | 0.15%             | 2037-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3133KYVN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14300001 | PA      | $12340446.55  | 0.27%             | 2041-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                | BNP Paribas SA                                                                  | CUSIP: 05581KAG6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    8945000 | PA      | $9483815.94   | 0.21%             | 2034-12-05      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36200DMM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67508 | PA      | $69643.90     | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31389NBG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7733 | PA      | $8158.00      | 0.00%             | 2032-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36208CHE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        154 | PA      | $155.50       | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                            | Cameron LNG LLC                                                                 | CUSIP: 133434AB6<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |    2071000 | PA      | $1776388.26   | 0.04%             | 2035-01-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3132ADJC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     634133 | PA      | $590952.05    | 0.01%             | 2044-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -99 | NC      | $-29390.63    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GSRPM Mortgage Loan Trust                                  | GSRPM Mortgage Loan Trust 2007-1                                                | CUSIP: 362707AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3360053 | PA      | $3147400.70   | 0.07%             | 2046-10-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor                             | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-AP2             | CUSIP: 65535VLL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41488 | PA      | $19193.62     | 0.00%             | 2035-05-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                                    | Exxon Mobil Corp                                                                | CUSIP: 30231GBM3<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    1450000 | PA      | $1028977.38   | 0.02%             | 2051-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                               | CUSIP: 3136AETS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2098106 | PA      | $243359.54    | 0.01%             | 2043-06-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36200NEQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1254 | PA      | $1307.56      | 0.00%             | 2034-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                      | Truist Financial Corp                                                           | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    3230000 | PA      | $3274034.07   | 0.07%             | 2027-06-08      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                           | CUSIP: 3132KSTZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6045 | PA      | $6076.60      | 0.00%             | 2030-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                             | Solventum Corp                                                                  | CUSIP: 83444MAS0<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    3490000 | PA      | $3491566.42   | 0.08%             | 2054-04-30      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31412YBH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     192968 | PA      | $202401.88    | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                   | Benchmark 2020-IG1 Mortgage Trust                                               | CUSIP: 08162LAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13500000 | PA      | $11104375.05  | 0.25%             | 2043-09-15      | Variable      | 2.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31412NUP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38446 | PA      | $38999.82     | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31418BYV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9425468 | PA      | $8964437.35   | 0.20%             | 2036-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                             | Bear Stearns Asset Backed Securities I Trust 2005-CL1                           | CUSIP: 073879U97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     267544 | PA      | $265651.43    | 0.01%             | 2034-09-25      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                        | Gilead Sciences Inc                                                             | CUSIP: 375558BD4<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    3525000 | PA      | $3158356.89   | 0.07%             | 2046-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                               | CUSIP: 293791AP4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    2105000 | PA      | $2338405.45   | 0.05%             | 2034-10-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| FED REPUBLIC OF BRAZIL                                     | Brazilian Government International Bond                                         | CUSIP: 105756CH1<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    7580000 | PA      | $7523606.85   | 0.17%             | 2034-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3132DTAR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4807806 | PA      | $4862260.18   | 0.11%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36201LK45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     115917 | PA      | $121038.17    | 0.00%             | 2034-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31418EAV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     743027 | PA      | $613200.90    | 0.01%             | 2042-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                       | Bank of America Corp                                                            | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1360000 | PA      | $1338892.69   | 0.03%             | 2030-02-07      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36201TJ32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74789 | PA      | $75996.84     | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                         | Coterra Energy Inc                                                              | CUSIP: 127097AG8<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    1739000 | PA      | $1717878.54   | 0.04%             | 2027-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                     | Pacific Gas and Electric Co                                                     | CUSIP: 694308JH1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1070000 | PA      | $766280.64    | 0.02%             | 2040-08-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36225B7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        516 | PA      | $539.32       | 0.00%             | 2034-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36292LJA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        322 | PA      | $334.31       | 0.00%             | 2036-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                     | Diamondback Energy Inc                                                          | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    1439000 | PA      | $1376956.08   | 0.03%             | 2029-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                 | Humana Inc                                                                      | CUSIP: 444859BR2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    3750000 | PA      | $3151921.35   | 0.07%             | 2032-02-03      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                | Oracle Corp                                                                     | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     730000 | PA      | $681922.43    | 0.02%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 36241LW51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1904944 | PA      | $1891197.76   | 0.04%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                               | CUSIP: 3136AH6K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9089317 | PA      | $8053696.54   | 0.18%             | 2044-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Spirit Aviation Holdings Inc                               | Spirit Aviation Holdings Inc                                                    | CUSIP: 84863V101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     290376 | NS      | $1448976.24   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31416BMV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     418712 | PA      | $429815.02    | 0.01%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140L1TN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2457792 | PA      | $2000906.24   | 0.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                     | USD/JPY FORWARD                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-51806.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROCHE HOLDINGS INC                                         | Roche Holdings Inc                                                              | CUSIP: 771196BY7<br>LEI: PVJRP0EQNV6OGDPZGY95 | Long             | DBT              | CORP              | US        |    3190000 | PA      | $1951660.02   | 0.04%             | 2051-12-13      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                     | CHF/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |          1 | NC      | $126834.00    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3133AQPP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22502472 | PA      | $18878954.67  | 0.42%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31418DY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2955502 | PA      | $2543029.75   | 0.06%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36212NAM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        142 | PA      | $145.85       | 0.00%             | 2032-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                      | CUSIP: 92343VGY4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    2623000 | PA      | $2556539.66   | 0.06%             | 2035-02-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| MILEAGE PLUS HLDINGS LLC                                   | Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd       | CUSIP: 599191AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1488000 | PA      | $1490882.26   | 0.03%             | 2027-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERG                                   | Berkshire Hathaway Energy Co                                                    | CUSIP: 59562VAM9<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |       6000 | PA      | $6457.55      | 0.00%             | 2036-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                      | Northrop Grumman Corp                                                           | CUSIP: 666807BN1<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9773.49      | 0.00%             | 2028-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PROGRESS ENERGY INC                                        | Progress Energy Inc                                                             | CUSIP: 743263AP0<br>LEI: 549300FBMTW0JYWMNB26 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $5003988.34   | 0.11%             | 2039-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DaVita Inc.                                                | DAVITA INC                                                                      | CUSIP: 23918VBB9<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | LON              | CORP              | US        |    1785503 | PA      | $1797117.20   | 0.04%             | 2031-05-09      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36200N5X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     116296 | PA      | $119692.03    | 0.00%             | 2034-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                   | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1280000 | PA      | $904789.64    | 0.02%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                     | General Motors Financial Co Inc                                                 | CUSIP: 37045XBT2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     880000 | PA      | $876432.27    | 0.02%             | 2027-01-17      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                           | Altria Group Inc                                                                | CUSIP: 02209SBF9<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     830000 | PA      | $826103.44    | 0.02%             | 2049-02-14      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic                                          | JP Morgan Resecuritization Trust Series 2015-1                                  | CUSIP: 46644BAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8256305 | PA      | $7747191.70   | 0.17%             | 2036-09-27      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 3617MB4M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1470829 | PA      | $1354603.07   | 0.03%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3133KRCR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1344721 | PA      | $1404946.86   | 0.03%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RR DONNELLEY & SONS CO                                     | RR Donnelley & Sons Co                                                          | CUSIP: 257867BJ9<br>LEI: SU4X0P4WWRGOQDTSV032 | Long             | DBT              | CORP              | US        |    4450000 | PA      | $4453359.75   | 0.10%             | 2029-08-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36208YJC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        385 | PA      | $385.75       | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36291PAL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        879 | PA      | $905.75       | 0.00%             | 2034-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort                             | First Horizon Alternative Mortgage Securities Trust 2007-FA3                    | CUSIP: 32053GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6398283 | PA      | $1388537.50   | 0.03%             | 2037-06-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Jazz Financing Lux Sarl                                    | JAZZ FINANCING LUX SARL                                                         | CUSIP: 000000000<br>LEI: 635400WUEO2NSG5OIU34 | Long             | LON              | CORP              | LU        |      17237 | PA      | $17331.39     | 0.00%             | 2028-05-05      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140FLZK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     285490 | PA      | $254295.92    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31418D2V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1568023 | PA      | $1353156.02   | 0.03%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140FNN83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     779622 | PA      | $695191.28    | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                             | 280 Park Avenue 2017-280P Mortgage Trust                                        | CUSIP: 90205FAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1780000 | PA      | $1710841.30   | 0.04%             | 2034-09-15      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36209T6Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6296 | PA      | $6365.77      | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                          | Kinder Morgan Inc                                                               | CUSIP: 49456BAJ0<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    1140000 | PA      | $1007349.93   | 0.02%             | 2046-02-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36294RAV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3420 | PA      | $3535.18      | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36212F2S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6975 | PA      | $7306.64      | 0.00%             | 2034-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   14630000 | PA      | $13331436.23  | 0.30%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE ENTRMN                                   | Time Warner Cable Enterprises LLC                                               | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2060000 | PA      | $2399781.71   | 0.05%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31384KME3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1558 | PA      | $1642.81      | 0.00%             | 2029-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140L5GZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1544292 | PA      | $1240196.11   | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Commercial Mortgage Trust 2021-XL2                                           | CUSIP: 05609KAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3500000 | PA      | $3481879.10   | 0.08%             | 2038-10-15      | Floating      | 8.32%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                            | CDS CDX.NA.IG.44.V1                                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |          1 | NC      | $-2334588.91  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BHP BILLITON FIN USA LTD                                   | BHP Billiton Finance USA Ltd                                                    | CUSIP: 055451AV0<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |    1270000 | PA      | $1204906.67   | 0.03%             | 2043-09-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                              | CUSIP: 3137AJYN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1623758 | PA      | $201414.53    | 0.00%             | 2041-12-15      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3133AFXA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1999626 | PA      | $1613142.00   | 0.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BURLINGTN NORTH SANTA FE                                   | Burlington Northern Santa Fe LLC                                                | CUSIP: 12189LBH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2120000 | PA      | $1341134.45   | 0.03%             | 2052-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Peer Holding III BV                                        | PEER HOLDING III BV                                                             | CUSIP: 000000000<br>LEI: 7245002S0K5Q59JCVQ03 | Long             | LON              | CORP              | NL        |    2490000 | PA      | $2506496.25   | 0.06%             | 2031-07-01      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                            | CVS Health Corp                                                                 | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     520000 | PA      | $498998.38    | 0.01%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                           | CUSIP: 31292L6V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     444228 | PA      | $402459.81    | 0.01%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Park Avenue Trust                                          | 245 Park Avenue Trust 2017-245P                                                 | CUSIP: 90187LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9410000 | PA      | $9148737.00   | 0.20%             | 2037-06-05      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                                   | Brazil Notas do Tesouro Nacional Serie F                                        | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  245741000 | PA      | $38468410.39  | 0.85%             | 2033-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                   | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    2620000 | PA      | $2350057.47   | 0.05%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily                                    | Freddie Mac Multifamily ML Certificates                                         | CUSIP: 35833FAC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   32329556 | PA      | $4130424.12   | 0.09%             | 2036-10-25      | Variable      | 2.02%                 | No            |                  2 | On Loan: No      |
| CAMERON LNG LLC                                            | Cameron LNG LLC                                                                 | CUSIP: 133434AA8<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |    1030000 | PA      | $936051.59    | 0.02%             | 2031-07-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140EXDX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     715626 | PA      | $636194.94    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| API GROUP DE INC                                           | API GROUP DE INC                                                                | CUSIP: 00186XAN3<br>LEI: 549300XP4G7B4QYA0G83 | Long             | LON              | CORP              | US        |    1070981 | PA      | $1072432.17   | 0.02%             | 2029-01-03      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3138EGQ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187292 | PA      | $189723.34    | 0.00%             | 2040-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36200MWG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19297 | PA      | $19775.16     | 0.00%             | 2033-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae                                                                      | CUSIP: 21H032670<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -400000 | PA      | $-363707.15   | -0.01%            | 2055-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RELIANCE INDUSTRIES LTD                                    | Reliance Industries Ltd                                                         | CUSIP: 759470BD8<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |    6280000 | PA      | $4333831.58   | 0.10%             | 2052-01-12      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                           | CUSIP: 3132LMAR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     194965 | PA      | $189507.51    | 0.00%             | 2033-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                           | Altria Group Inc                                                                | CUSIP: 02209SBN2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    2620000 | PA      | $1814719.05   | 0.04%             | 2051-02-04      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Deerfield Dakota Holding LLC                               | Deerfield Dakota Holding LLC                                                    | CUSIP: 24440EAB3<br>LEI: 549300FDREJLOIGXY104 | Long             | LON              | CORP              | US        |    1551647 | PA      | $1511350.91   | 0.03%             | 2027-04-09      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| VIKING CRUISES LTD                                         | Viking Cruises Ltd                                                              | CUSIP: 92676XAF4<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |    8660000 | PA      | $8741360.70   | 0.19%             | 2029-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF NIGERIA                                        | Nigeria Government International Bond                                           | CUSIP: 65412JAD5<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |    7670000 | PA      | $7312578.69   | 0.16%             | 2030-02-23      | Fixed         | 7.14%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                           | Georgia Power Co                                                                | CUSIP: 373334LB5<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    2410000 | PA      | $2444886.44   | 0.05%             | 2035-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                        | JPMorgan Chase & Co                                                             | CUSIP: 46647PBM7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    5150000 | PA      | $3949701.40   | 0.09%             | 2041-04-22      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                           | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $-8226413.13  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                            | Sands China Ltd                                                                 | CUSIP: 80007RAQ8<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    3980000 | PA      | $3663029.22   | 0.08%             | 2029-03-08      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                             | Fannie Mae-Aces                                                                 | CUSIP: 3136B8UA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2979784 | PA      | $2666406.43   | 0.06%             | 2037-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| DCP RIGHTS, LLC                                            | SHOW Trust 2022-BIZ                                                             | CUSIP: 82539LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15000000 | PA      | $13447105.50  | 0.30%             | 2027-01-15      | Floating      | 7.30%                 | No            |                  2 | On Loan: No      |
| TECK RESOURCES LIMITED                                     | Teck Resources Ltd                                                              | CUSIP: 878742AS4<br>LEI: T8KI5SQ2JRWHL7XY0E11 | Long             | DBT              | CORP              | CA        |     641000 | PA      | $638980.49    | 0.01%             | 2040-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                               | Alphabet Inc                                                                    | CUSIP: 02079KAM9<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1281282.72   | 0.03%             | 2055-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31407XUW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5686 | PA      | $5812.24      | 0.00%             | 2035-11-01      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36201X5M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38041 | PA      | $39179.70     | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                                   | Uruguay Government International Bond                                           | CUSIP: 917288BA9<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |          1 | PA      | $1.19         | 0.00%             | 2033-01-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                               | GS Mortgage Securities Trust 2017-GS8                                           | CUSIP: 36254KAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4690000 | PA      | $4560568.19   | 0.10%             | 2050-11-10      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                  | ONEOK Inc                                                                       | CUSIP: 682680BK8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    2410000 | PA      | $2524123.53   | 0.06%             | 2030-11-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                               | Comcast Corp                                                                    | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    3350000 | PA      | $2782775.05   | 0.06%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36213FW33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      88495 | PA      | $89146.38     | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140XMHZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13195948 | PA      | $13340248.90  | 0.30%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                              | DISH DBS Corp                                                                   | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1120000 | PA      | $971600.00    | 0.02%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                     | Philip Morris International Inc                                                 | CUSIP: 718172DJ5<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    2110000 | PA      | $2153214.61   | 0.05%             | 2034-02-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                    | MPLX LP                                                                         | CUSIP: 55336VAN0<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    1470000 | PA      | $1193901.22   | 0.03%             | 2048-04-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS L                                   | First Quantum Minerals Ltd                                                      | CUSIP: 335934AU9<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |     200000 | PA      | $207749.40    | 0.00%             | 2031-06-01      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3138ERNP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     533114 | PA      | $473333.39    | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                              | UBS Commercial Mortgage Trust 2017-C3                                           | CUSIP: 90276GAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4700000 | PA      | $4563752.17   | 0.10%             | 2050-08-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                             | Home Depot Inc/The                                                              | CUSIP: 437076CC4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    3220000 | PA      | $2572652.55   | 0.06%             | 2040-04-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                               | CUSIP: 3136AP3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8640012 | PA      | $7452024.74   | 0.17%             | 2045-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                             | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FYTY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12880320 | PA      | $442610.30    | 0.01%             | 2036-02-25      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| BIG Commercial Mortgage Trust                              | BIG Commercial Mortgage Trust 2022-BIG                                          | CUSIP: 05551UAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8160000 | PA      | $8147683.30   | 0.18%             | 2039-02-15      | Floating      | 9.75%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                      | Venture Global Plaquemines LNG LLC                                              | CUSIP: 922966AA4<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     370000 | PA      | $396461.66    | 0.01%             | 2033-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 3622AB4U3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17263003 | PA      | $16604923.94  | 0.37%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36291XRL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      87143 | PA      | $89747.67     | 0.00%             | 2035-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                  | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F030678<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   64400000 | PA      | $55735175.78  | 1.24%             | 2055-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                   | RTX Corp                                                                        | CUSIP: 75513ECV1<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     850000 | PA      | $913651.65    | 0.02%             | 2031-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                   | Mars Inc                                                                        | CUSIP: 571676BC8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   10040000 | PA      | $10022632.21  | 0.22%             | 2055-05-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36225A3K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2018 | PA      | $2061.74      | 0.00%             | 2028-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                | Exelon Corp                                                                     | CUSIP: 30161NAC5<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    2726000 | PA      | $2805274.42   | 0.06%             | 2035-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                | Legacy Mortgage Asset Trust 2021-GS1                                            | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8930320 | PA      | $8936349.30   | 0.20%             | 2066-10-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2592000 | PA      | $2591852.07   | 0.06%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association                      | GBP/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $396457.88    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                               | Synopsys Inc                                                                    | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    2290000 | PA      | $2278470.26   | 0.05%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO 3, Ltd.                                    | HalseyPoint CLO 3 Ltd                                                           | CUSIP: 40638UAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10000000 | PA      | $10052197.00  | 0.22%             | 2037-07-30      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                          | General Motors Co                                                               | CUSIP: 37045VAK6<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    1170000 | PA      | $1240019.83   | 0.03%             | 2036-04-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                             | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H5DR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28869774 | PA      | $290444.36    | 0.01%             | 2031-11-25      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                               | CUSIP: 3136ATQK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2760069 | PA      | $212620.50    | 0.00%             | 2046-09-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| OGLETHORPE POWER CORP                                      | Oglethorpe Power Corp                                                           | CUSIP: 677050AY2<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |    2340000 | PA      | $2301933.39   | 0.05%             | 2055-02-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Origen Manufactured Housing                                | Origen Manufactured Housing Contract Trust 2007-A                               | CUSIP: 68620CAB6<br>LEI: 5493001P8LORMOBBQA95 | Long             | ABS-O            | CORP              | US        |    2449813 | PA      | $2286118.78   | 0.05%             | 2037-04-15      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve                             | Structured Asset Mortgage Investments II Trust 2006-AR6                         | CUSIP: 86360UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      60275 | PA      | $52777.77     | 0.00%             | 2046-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                   | CUSIP: 097023BY0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    2720000 | PA      | $2186949.41   | 0.05%             | 2038-03-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 3622A2R38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2236980 | PA      | $2083043.16   | 0.05%             | 2046-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                           | Altria Group Inc                                                                | CUSIP: 02209SAV5<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    3130000 | PA      | $2316880.90   | 0.05%             | 2046-09-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31388UEA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1934 | PA      | $2039.81      | 0.00%             | 2031-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3133AGNG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21298 | PA      | $17194.75     | 0.00%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                      | Palmer Square CLO 2021-1 Ltd                                                    | CUSIP: 69701WAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9460000 | PA      | $9466401.58   | 0.21%             | 2038-04-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                              | Citigroup Inc                                                                   | CUSIP: 172967HA2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1884000 | PA      | $2056944.04   | 0.05%             | 2043-09-13      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| TSY INFL IX N/B                                            | United States Treasury Inflation Indexed Bonds                                  | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31856426 | PA      | $31899342.34  | 0.71%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38383CNR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1454495 | PA      | $286869.93    | 0.01%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                      | Foundry JV Holdco LLC                                                           | CUSIP: 350930AB9<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    5930000 | PA      | $6200382.74   | 0.14%             | 2030-01-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36213EUP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5122 | PA      | $5282.72      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140XLWR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17091333 | PA      | $16980420.39  | 0.38%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES INC                                        | United Airlines Inc                                                             | CUSIP: 90932LAH0<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $8742196.80   | 0.19%             | 2029-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                                   | NIKE Inc                                                                        | CUSIP: 654106AL7<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $1757508.54   | 0.04%             | 2040-03-27      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                            | United States Treasury Note/Bond                                                | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   52040000 | PA      | $38926326.43  | 0.86%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BARRICK NA FINANCE LLC                                     | Barrick North America Finance LLC                                               | CUSIP: 06849RAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1170000 | PA      | $1183147.63   | 0.03%             | 2043-05-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38379UY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14193721 | PA      | $471697.10    | 0.01%             | 2058-08-15      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                             | Bear Stearns Asset Backed Securities I Trust 2006-AC4                           | CUSIP: 07388WAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1136050 | PA      | $1360965.33   | 0.03%             | 2036-07-25      | Floating      | 17.04%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 3617AD7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1856185 | PA      | $1790530.24   | 0.04%             | 2047-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36291NXP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14924 | PA      | $15406.31     | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                             | SMB Private Education Loan Trust 2015-C                                         | CUSIP: 78448R106<br>LEI: 549300GD7VLLBVPDNJ81 | Long             | ABS-O            | CORP              | US        |      24595 | PA      | $6596383.45   | 0.15%             | 2046-09-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36202SYF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6649 | PA      | $6968.31      | 0.00%             | 2033-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                              | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     520000 | PA      | $532708.31    | 0.01%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31387Q2R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        734 | PA      | $774.43       | 0.00%             | 2031-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                  | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F020679<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28500000 | PA      | $22567905.98  | 0.50%             | 2055-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HERC HOLDINGS INC                                          | Herc Holdings Inc                                                               | CUSIP: 42704LAF1<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |     870000 | PA      | $909134.64    | 0.02%             | 2030-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                   | CUSIP: 097023CH6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    3720000 | PA      | $3671505.00   | 0.08%             | 2026-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31387NWV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1247 | PA      | $1315.79      | 0.00%             | 2031-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                           | CUSIP: 3132J9C63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1289674 | PA      | $1211241.77   | 0.03%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                              | MHC Commercial Mortgage Trust 2021-MHC                                          | CUSIP: 55316VAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     127200 | PA      | $127550.92    | 0.00%             | 2038-04-15      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                | 6-7 U.S. TREASURY NOTE WEEK 4                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       1970 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 3617MN3V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8716746 | PA      | $7621682.04   | 0.17%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                  | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F052672<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   44700000 | PA      | $44696757.91  | 0.99%             | 2055-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3133KYUU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2312312 | PA      | $1997188.84   | 0.04%             | 2041-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38378NWU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     227522 | PA      | $217869.15    | 0.00%             | 2048-06-16      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                   | Warnermedia Holdings Inc                                                        | CUSIP: 55903VBA0<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    2990000 | PA      | $2790300.02   | 0.06%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140XP3K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5163393 | PA      | $5197643.42   | 0.12%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                            | Sands China Ltd                                                                 | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    3950000 | PA      | $3981923.90   | 0.09%             | 2028-08-08      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140FLNF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2195167 | PA      | $1956474.59   | 0.04%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                               | Comcast Corp                                                                    | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    2770000 | PA      | $1687302.15   | 0.04%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                             | Amazon.com Inc                                                                  | CUSIP: 023135BT2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    5800000 | PA      | $3489188.13   | 0.08%             | 2050-06-03      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140L1TP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4447095 | PA      | $3563194.44   | 0.08%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                     | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664CR0<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $3894903.81   | 0.09%             | 2049-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                             | Mastercard Inc                                                                  | CUSIP: 57636QAQ7<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |    2340000 | PA      | $1849177.65   | 0.04%             | 2050-03-26      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                           | Connecticut Avenue Securities Trust 2019-R05                                    | CUSIP: 20754HAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3284373 | PA      | $3369727.19   | 0.07%             | 2039-07-25      | Floating      | 8.52%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                | Oracle Corp                                                                     | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    6350000 | PA      | $5793861.48   | 0.13%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| PM GENERAL PURCHASER LLC                                   | PM General Purchaser LLC                                                        | CUSIP: 69356MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4471000 | PA      | $3104841.24   | 0.07%             | 2028-10-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                           | CUSIP: 3129337A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4129 | PA      | $4187.86      | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36201JJH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23165 | PA      | $23792.89     | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                   | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    5050000 | PA      | $4910085.31   | 0.11%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3132D9E91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4327905 | PA      | $3736230.00   | 0.08%             | 2041-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3133ANC36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5276265 | PA      | $4451551.77   | 0.10%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                       | Las Vegas Sands Corp                                                            | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    1480000 | PA      | $1510008.01   | 0.03%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                                       | Shell Finance US Inc                                                            | CUSIP: 822905AG0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4630000 | PA      | $3169801.02   | 0.07%             | 2050-04-06      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                    | Jane Street Group / JSG Finance Inc                                             | CUSIP: 47077WAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4230000 | PA      | $4453690.86   | 0.10%             | 2031-04-30      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                          | General Motors Co                                                               | CUSIP: 37045VAZ3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    1890000 | PA      | $1921220.46   | 0.04%             | 2032-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| COTIVITI INC                                               | COTIVITI INC                                                                    | CUSIP: 22164MAB3<br>LEI: 254900YAQHVRTG4IFI64 | Long             | LON              | CORP              | US        |    2590916 | PA      | $2582015.92   | 0.06%             | 2031-05-01      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                             | USD/BRL FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-3178809.86  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| TENNESSEE GAS PIPELINE                                     | Tennessee Gas Pipeline Co LLC                                                   | CUSIP: 880451AZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2350000 | PA      | $2171321.44   | 0.05%             | 2030-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3131XXLE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     271811 | PA      | $264553.69    | 0.01%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36213TFS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51267 | PA      | $53305.35     | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                            | Cigna Group/The                                                                 | CUSIP: 125523AJ9<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    2482000 | PA      | $2334884.14   | 0.05%             | 2038-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION                  | TRS JPEIFNTR INDEX                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |          1 | NC      | $576867.07    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36200NTU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1276 | PA      | $1340.86      | 0.00%             | 2034-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140FHWQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     903961 | PA      | $805949.71    | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KENVUE INC                                                 | Kenvue Inc                                                                      | CUSIP: 49177JAK8<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |    1627000 | PA      | $1651852.98   | 0.04%             | 2033-03-22      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140XFN49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     607091 | PA      | $548274.46    | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38380JBV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14111129 | PA      | $466152.69    | 0.01%             | 2059-12-16      | Variable      | 0.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36292HRK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40770 | PA      | $41884.52     | 0.00%             | 2035-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140FXFZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3608427 | PA      | $3369020.88   | 0.07%             | 2057-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                 | AbbVie Inc                                                                      | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    4416000 | PA      | $3640502.93   | 0.08%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140KLVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1975834 | PA      | $1590178.16   | 0.04%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 3622ABA93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11938477 | PA      | $10505785.77  | 0.23%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                           | Freddie Mac Strips                                                              | CUSIP: 3142G4Z20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5951204 | PA      | $602106.08    | 0.01%             | 2052-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                   | AT&T Inc                                                                        | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    3490000 | PA      | $2356750.20   | 0.05%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                       | Targa Resources Corp                                                            | CUSIP: 87612GAB7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    2370000 | PA      | $1979576.70   | 0.04%             | 2052-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2023-DNA2                                         | CUSIP: 35564KW70<br>LEI: 5493000IRI80KQJUNK40 | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $5674103.50   | 0.13%             | 2043-04-25      | Floating      | 11.91%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3138XRVL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70374 | PA      | $68934.61     | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                              | DISH DBS Corp                                                                   | CUSIP: 25470XBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8120000 | PA      | $5420100.00   | 0.12%             | 2029-06-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    7070000 | PA      | $6286095.51   | 0.14%             | 2032-04-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO I Ltd.                                         | Elmwood CLO I Ltd                                                               | CUSIP: 290015AW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10000000 | PA      | $10064240.00  | 0.22%             | 2037-04-20      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                | BNP Paribas SA                                                                  | CUSIP: 09659W2V5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    3510000 | PA      | $3563882.75   | 0.08%             | 2029-01-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                               | Broadcom Inc                                                                    | CUSIP: 11135FAQ4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    1207000 | PA      | $1188042.93   | 0.03%             | 2030-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36178DH20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2192818 | PA      | $1992149.36   | 0.04%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38380AK63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4214449 | PA      | $561286.68    | 0.01%             | 2046-10-16      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                                | Rad CLO 22 Ltd                                                                  | CUSIP: 74923VAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   24500000 | PA      | $24594846.85  | 0.55%             | 2037-01-20      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36201FBJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8081 | PA      | $8177.89      | 0.00%             | 2033-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae                                                                      | CUSIP: 21H040673<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6000000 | PA      | $5579596.74   | 0.12%             | 2055-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae                                                                      | CUSIP: 21H062677<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2700000 | PA      | $2772473.67   | 0.06%             | 2055-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                               | UBS Group AG                                                                    | CUSIP: 225401BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    3510000 | PA      | $4341068.88   | 0.10%             | 2033-11-15      | Fixed         | 9.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                              | Citigroup Inc                                                                   | CUSIP: 172967KR1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     150000 | PA      | $128146.53    | 0.00%             | 2046-05-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                     | BP Capital Markets America Inc                                                  | CUSIP: 10373QBG4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    3900000 | PA      | $2507463.62   | 0.06%             | 2050-02-24      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                         | Ukraine Government International Bond                                           | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    1693812 | PA      | $647878.64    | 0.01%             | 2034-02-01      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36294YN91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9333 | PA      | $9598.20      | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                               | UBS Group AG                                                                    | CUSIP: 902613BK3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    2550000 | PA      | $2690920.65   | 0.06%             | N/A             | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31386GJU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9502 | PA      | $9708.48      | 0.00%             | 2031-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 3617MKLU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4150060 | PA      | $3792565.48   | 0.08%             | 2050-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3138MQGP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49810 | PA      | $47685.52     | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                             | Morgan Stanley                                                                  | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    7533000 | PA      | $7426536.56   | 0.16%             | 2029-01-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140NMRP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1910112 | PA      | $1949227.11   | 0.04%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Triton Water Holdings Inc                                  | PRIMO BRANDS CORP                                                               | CUSIP: 89678QAD8<br>LEI: 254900J0WS4AXV2LAX55 | Long             | LON              | CORP              | US        |    2557546 | PA      | $2569617.63   | 0.06%             | 2028-03-31      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| Chart Industries, Inc.                                     | Chart Indus 03/18/30                                                            | CUSIP: 16115EAT4<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | LON              | CORP              | US        |    3730000 | PA      | $3746318.75   | 0.08%             | 2030-03-15      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                        | COMM 2020-CX Mortgage Trust                                                     | CUSIP: 12656KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10440000 | PA      | $8923320.65   | 0.20%             | 2046-11-10      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140JWCA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     374277 | PA      | $334493.23    | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                           | BAT Capital Corp                                                                | CUSIP: 05526DCD5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      20000 | PA      | $20270.12     | 0.00%             | 2055-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       3006 | NC      | $11066520.80  | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG STAMFORD CT                                         | UBS AG/Stamford CT                                                              | CUSIP: 22550L2M2<br>LEI: 254900R882POXXVAK772 | Long             | DBT              | CORP              | CH        |    8010000 | PA      | $8642922.25   | 0.19%             | 2028-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                   | AT&T Inc                                                                        | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    3450000 | PA      | $2888568.18   | 0.06%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVERNMENT                                         | Ukraine Government International Bond                                           | CUSIP: 000000000<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |    2904271 | PA      | $1469774.86   | 0.03%             | 2035-02-01      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140X6PH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15243700 | PA      | $14169769.79  | 0.31%             | 2038-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                      | Continental Resources Inc/OK                                                    | CUSIP: 212015AQ4<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    1341000 | PA      | $1054806.60   | 0.02%             | 2044-06-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| PFP III                                                    | PFP 2024-11 Ltd                                                                 | CUSIP: 69291WAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6046039 | PA      | $6065664.43   | 0.13%             | 2039-09-17      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140QRDB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12388639 | PA      | $12937898.21  | 0.29%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36290WMW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4390 | PA      | $4387.82      | 0.00%             | 2033-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 3622A3CG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2477013 | PA      | $2314494.01   | 0.05%             | 2048-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                 | Humana Inc                                                                      | CUSIP: 444859BF8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9967.28      | 0.00%             | 2027-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY CORP                                           | FirstEnergy Corp                                                                | CUSIP: 337932AJ6<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |    5044000 | PA      | $4292513.66   | 0.10%             | 2047-07-15      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 3617BKV81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     484668 | PA      | $445003.50    | 0.01%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                | 5 YEAR U.S. TREASURY NOTE                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -473 | NC      | $-22171.88    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                           | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       2422 | NC      | $4894094.36   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - SCRT                                         | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2017-2                   | CUSIP: 35563PBH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2966619 | PA      | $2953306.90   | 0.07%             | 2056-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38379GZ83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     249856 | PA      | $50023.26     | 0.00%             | 2044-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                               | Synopsys Inc                                                                    | CUSIP: 871607AD9<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    1360000 | PA      | $1378150.12   | 0.03%             | 2032-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                   | Ford Motor Credit Co LLC                                                        | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    4120000 | PA      | $4092953.48   | 0.09%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                                  | College Ave Student Loans 2019-A LLC                                            | CUSIP: 19421UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9220531 | PA      | $9221433.06   | 0.20%             | 2048-12-28      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3138ERTC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5821486 | PA      | $5413527.76   | 0.12%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                  | ONEOK Inc                                                                       | CUSIP: 682680BL6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     580000 | PA      | $608836.45    | 0.01%             | 2033-09-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                            | Sands China Ltd                                                                 | CUSIP: 80007RAK1<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |     350000 | PA      | $348406.91    | 0.01%             | 2026-01-08      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3138EGXA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132189 | PA      | $133905.01    | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                            | United States Treasury Note/Bond                                                | CUSIP: 912810QN1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   31090000 | PA      | $31504128.44  | 0.70%             | 2041-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                | CUSIP: 94974BFP0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    4440000 | PA      | $4213766.90   | 0.09%             | 2043-11-02      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                      | CUSIP: 92343VFD1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    2220000 | PA      | $1691917.34   | 0.04%             | 2050-03-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                    | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111FX6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     880000 | PA      | $846254.24    | 0.02%             | 2030-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                        | JPMorgan Chase & Co                                                             | CUSIP: 46647PBX3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    6960000 | PA      | $6037670.75   | 0.13%             | 2032-02-04      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3138AHWX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17378 | PA      | $17546.88     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                | US 2YR NOTE (CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -5382 | NC      | $-4282093.41  | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                                    | Royal Caribbean Cruises Ltd                                                     | CUSIP: 780153BV3<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    5790000 | PA      | $5905232.58   | 0.13%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36201F5J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7844 | PA      | $7884.83      | 0.00%             | 2032-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                           | CUSIP: 3128P7RC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5267 | PA      | $5355.83      | 0.00%             | 2031-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSUR & ANNUITY                                   | Teachers Insurance & Annuity Association of America                             | CUSIP: 878091BD8<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |    2385000 | PA      | $2146421.10   | 0.05%             | 2044-09-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 3622ACKW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6345657 | PA      | $6286596.47   | 0.14%             | 2053-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                               | CUSIP: 3136BRLM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7174883 | PA      | $1305306.31   | 0.03%             | 2049-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140L7M41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1865376 | PA      | $1503980.31   | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                          | Kinder Morgan Inc                                                               | CUSIP: 49456BAQ4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     970000 | PA      | $873272.12    | 0.02%             | 2048-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2021-DNA2                                         | CUSIP: 35564KDX4<br>LEI: 5493007ZK0X40BI7UF30 | Long             | ABS-MBS          | CORP              | US        |   10010000 | PA      | $11153293.15  | 0.25%             | 2033-08-25      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| WEA FINANCE LLC/WESTFIEL                                   | WEA Finance LLC / Westfield UK & Europe Finance PLC                             | CUSIP: 92890HAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     600000 | PA      | $488671.36    | 0.01%             | 2044-09-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae                                                                      | CUSIP: 21H020675<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6100000 | PA      | $4969479.99   | 0.11%             | 2055-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Harbor Freight Tools USA Inc                               | HARBOR FREIGHT TOOLS USA INC                                                    | CUSIP: 41151PAR6<br>LEI: 549300Y48HLCFTTB4249 | Long             | LON              | CORP              | US        |    1657622 | PA      | $1625331.38   | 0.04%             | 2031-06-11      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                     | BP Capital Markets America Inc                                                  | CUSIP: 10373QBN9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    1220000 | PA      | $745472.92    | 0.02%             | 2050-11-10      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36297AJ46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     192903 | PA      | $200941.47    | 0.00%             | 2039-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association                      | USD/JPY FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $3678.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                                   | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAK7<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    2281000 | PA      | $2171656.93   | 0.05%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| YAMANA GOLD INC                                            | Yamana Gold Inc                                                                 | CUSIP: 98462YAD2<br>LEI: 54930002VY22NXG01418 | Long             | DBT              | CORP              | CA        |    9020000 | PA      | $8984454.44   | 0.20%             | 2027-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                      | Argentine Republic Government International Bond                                | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    4395513 | PA      | $3516410.27   | 0.08%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140L7PC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3419214 | PA      | $2750142.00   | 0.06%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fortress Credit BSL Limited                                | Fortress Credit BSL XXIV Ltd                                                    | CUSIP: 34990BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    6390000 | PA      | $6360135.70   | 0.14%             | 2038-04-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31413DUU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28978 | PA      | $30302.55     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                                   | Rogers Communications Inc                                                       | CUSIP: 775109DF5<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |    3730000 | PA      | $3735382.84   | 0.08%             | 2034-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                   | OCP SA                                                                          | CUSIP: 67091TAF2<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |    9390000 | PA      | $9746425.62   | 0.22%             | 2034-05-02      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                  | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F030678<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -8400000 | PA      | $-7269805.54  | -0.16%            | 2055-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KROGER CO                                                  | Kroger Co/The                                                                   | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    3270000 | PA      | $3248639.31   | 0.07%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36291K6G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46150 | PA      | $47528.45     | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36178WDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2709682 | PA      | $2458362.92   | 0.05%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAIN INC                                      | Caesars Entertainment Inc                                                       | CUSIP: 12769GAC4<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |     629000 | PA      | $645819.94    | 0.01%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36213QXQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3513 | PA      | $3625.21      | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38380JGF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10435437 | PA      | $393064.29    | 0.01%             | 2059-09-16      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| SNAM SPA                                                   | Snam SpA                                                                        | CUSIP: 83304JAB3<br>LEI: 8156002278562044AF79 | Long             | DBT              | CORP              | IT        |    3880000 | PA      | $3965898.39   | 0.09%             | 2035-05-28      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| METLIFE CAPITAL TRUST IV                                   | MetLife Capital Trust IV                                                        | CUSIP: 591560AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6080000 | PA      | $6680387.84   | 0.15%             | 2037-12-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                                | Extended Stay America Trust 2021-ESH                                            | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3902661 | PA      | $3906098.68   | 0.09%             | 2038-07-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| MELCO RESORTS FINANCE                                      | Melco Resorts Finance Ltd                                                       | CUSIP: 58547DAH2<br>LEI: 5493000FQDBWKDBZEF60 | Long             | DBT              | CORP              | KY        |    3830000 | PA      | $3874113.94   | 0.09%             | 2032-04-17      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                            | CVS Health Corp                                                                 | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    1660000 | PA      | $1653481.86   | 0.04%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                        | CommonSpirit Health                                                             | CUSIP: 14916RAD6<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     410000 | PA      | $343673.33    | 0.01%             | 2042-11-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36201TMR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20940 | PA      | $21530.96     | 0.00%             | 2033-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31405SBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1861 | PA      | $1925.27      | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                     | Pacific Gas and Electric Co                                                     | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    4040000 | PA      | $2593835.30   | 0.06%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36201YCJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38261 | PA      | $38566.61     | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140XL3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10187922 | PA      | $10512261.05  | 0.23%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 3617JYLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2083346 | PA      | $1896185.83   | 0.04%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38379RLZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11712878 | PA      | $226850.34    | 0.01%             | 2058-08-16      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                              | CUSIP: 3137FUHY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9167375 | PA      | $1181475.68   | 0.03%             | 2050-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                             | Solventum Corp                                                                  | CUSIP: 83444MAP6<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    4170000 | PA      | $4295214.59   | 0.10%             | 2029-03-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                             | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-32140.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                              | CUSIP: 3137AXES8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     534694 | PA      | $15752.45     | 0.00%             | 2031-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                             | Wells Fargo Commercial Mortgage Trust 2017-C41                                  | CUSIP: 95001ABE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   28820149 | PA      | $610327.18    | 0.01%             | 2050-11-15      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31388JTP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        351 | PA      | $362.16       | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                    | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAF8<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |   21910000 | PA      | $15781039.02  | 0.35%             | 2046-10-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140X9R23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4271954 | PA      | $3596248.61   | 0.08%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                               | CUSIP: 29379VBZ5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     870000 | PA      | $633784.04    | 0.01%             | 2060-01-31      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                      | Micron Technology Inc                                                           | CUSIP: 595112CH4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     100000 | PA      | $104695.98    | 0.00%             | 2035-11-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    6620000 | PA      | $6590157.64   | 0.15%             | 2031-04-04      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36241LNK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     182983 | PA      | $189880.27    | 0.00%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                             | Alternative Loan Trust 2006-OA9                                                 | CUSIP: 02146YAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     185909 | PA      | $157911.05    | 0.00%             | 2046-07-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                     | CUSIP: 38145GAH3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    7153000 | PA      | $7071764.31   | 0.16%             | 2026-11-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY COMPANY/THE                                    | Walt Disney Co/The                                                              | CUSIP: 254687EH5<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    2260000 | PA      | $2586154.73   | 0.06%             | 2037-11-15      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Mortgage Loan Resecuritization                             | Mortgage Loan Resecuritization Trust                                            | CUSIP: 61914WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16480629 | PA      | $16183733.59  | 0.36%             | 2036-04-16      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                        | Dominion Energy Inc                                                             | CUSIP: 25746UBD0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    2350000 | PA      | $2683848.90   | 0.06%             | 2038-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36201FSR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21225 | PA      | $21785.26     | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                        | JPMorgan Chase & Co                                                             | CUSIP: 46647PBJ4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    7560000 | PA      | $7552093.30   | 0.17%             | 2031-03-24      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                           | Freddie Mac Strips                                                              | CUSIP: 3142G42H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3773154 | PA      | $515943.71    | 0.01%             | 2052-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                           | Freddie Mac Strips                                                              | CUSIP: 31325VKQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3169686 | PA      | $336616.14    | 0.01%             | 2044-08-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                       | Bank of America Corp                                                            | CUSIP: 06051GHS1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2690000 | PA      | $2235942.39   | 0.05%             | 2050-03-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140XFTH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2530889 | PA      | $2133047.91   | 0.05%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                 | US Bancorp                                                                      | CUSIP: 91159HJN1<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    2350000 | PA      | $2469326.47   | 0.05%             | 2034-06-12      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                   | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1220000 | PA      | $1244509.20   | 0.03%             | 2029-01-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                           | CUSIP: 3132LMG83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     434762 | PA      | $422464.94    | 0.01%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38376R6U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11375058 | PA      | $342507.56    | 0.01%             | 2067-09-20      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                      | CUSIP: 92343VGK4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    2950000 | PA      | $2276734.04   | 0.05%             | 2041-03-22      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                             | Air Lease Corp                                                                  | CUSIP: 00914AAU6<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    3360000 | PA      | $3435318.94   | 0.08%             | 2028-02-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36200CC86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1501 | PA      | $1520.29      | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SYNOPSYS INC                                               | Synopsys Inc                                                                    | CUSIP: 871607AE7<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    1140000 | PA      | $1149517.40   | 0.03%             | 2035-04-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                 | Pfizer Inc                                                                      | CUSIP: 717081CY7<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |       5000 | PA      | $5942.87      | 0.00%             | 2039-03-15      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                     | Reperforming Loan REMIC Trust 2006-R2                                           | CUSIP: 125435AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4232785 | PA      | $170841.14    | 0.00%             | 2036-07-25      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38379GYA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33789 | PA      | $131.60       | 0.00%             | 2026-07-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                                    | Honeywell International Inc                                                     | CUSIP: 438516CS3<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |    2140000 | PA      | $2154724.61   | 0.05%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                    | Bristol-Myers Squibb Co                                                         | CUSIP: 110122EG9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    4020000 | PA      | $4164742.27   | 0.09%             | 2031-02-22      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                              | Citigroup Commercial Mortgage Trust 2017-P7                                     | CUSIP: 17325HBS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9194000 | PA      | $8618342.51   | 0.19%             | 2050-04-14      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                       | Bank of America Corp                                                            | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2030000 | PA      | $1789692.17   | 0.04%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                               | UBS Group AG                                                                    | CUSIP: 902613BF4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    7010000 | PA      | $7668757.74   | 0.17%             | N/A             | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Terex Corporation                                          | TEREX CORP                                                                      | CUSIP: 88078FBM9<br>LEI: YAWJZJYEQ7M1SYMOS462 | Long             | LON              | CORP              | US        |    2483775 | PA      | $2501111.75   | 0.06%             | 2031-10-08      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                  | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F032674<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11200000 | PA      | $10084925.20  | 0.22%             | 2055-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                      | Northrop Grumman Corp                                                           | CUSIP: 666807BU5<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    8320000 | PA      | $7815356.47   | 0.17%             | 2050-05-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC 2022-CNTR                                                                  | CUSIP: 12665CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   33000000 | PA      | $21907380.00  | 0.49%             | 2025-01-09      | Floating      | 8.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3138ERRD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2268737 | PA      | $2023026.99   | 0.04%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                               | CUSIP: 3136BDQ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11672197 | PA      | $1740256.88   | 0.04%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                            | United States Treasury Note/Bond                                                | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2370000 | PA      | $2373888.27   | 0.05%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                                   | OCP SA                                                                          | CUSIP: 67091TAE5<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |    2310000 | PA      | $1756795.43   | 0.04%             | 2051-06-23      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140JWB41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2309417 | PA      | $2062125.04   | 0.05%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                     | UnitedHealth Group Inc                                                          | CUSIP: 91324PEJ7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    3560000 | PA      | $3447339.42   | 0.08%             | 2032-05-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                           | CUSIP: 3132LME44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     209088 | PA      | $203678.61    | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36202VS85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9627 | PA      | $9665.98      | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                               | Comcast Corp                                                                    | CUSIP: 20030NDL2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    3670000 | PA      | $2204593.41   | 0.05%             | 2051-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                        | Bank of Nova Scotia/The                                                         | CUSIP: 06417XAG6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    4500000 | PA      | $4260916.22   | 0.09%             | 2037-05-04      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                  | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F022675<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -10700000 | PA      | $-8873329.49  | -0.20%            | 2055-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38380R2L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22578045 | PA      | $1337478.21   | 0.03%             | 2061-04-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                           | T-Mobile USA Inc                                                                | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    1950000 | PA      | $1930529.07   | 0.04%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                           | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |      -2317 | NC      | $-72406.25    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38379U6W1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13649106 | PA      | $519143.74    | 0.01%             | 2057-02-16      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| ILFC E-CAPITAL TRUST II                                    | ILFC E-Capital Trust II                                                         | CUSIP: 44965UAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2870000 | PA      | $2452299.63   | 0.05%             | 2065-12-21      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust                               | RBSSP Resecuritization Trust 2009-12                                            | CUSIP: 74928UBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3462184 | PA      | $2336822.11   | 0.05%             | 2036-03-25      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                           | T-Mobile USA Inc                                                                | CUSIP: 87264AAX3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    2530000 | PA      | $2243166.31   | 0.05%             | 2040-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                           | CUSIP: 3132J3CZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23684 | PA      | $23113.56     | 0.00%             | 2033-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                    | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111FY4<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     380000 | PA      | $296614.78    | 0.01%             | 2050-04-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36225BPC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8268 | PA      | $8658.54      | 0.00%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                                   | EUR/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |          1 | NC      | $387224.33    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC                                               | Broadcom Inc                                                                    | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     154000 | PA      | $127728.41    | 0.00%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                             | Solventum Corp                                                                  | CUSIP: 83444MAQ4<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3428051.45   | 0.08%             | 2031-03-13      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                            | Danske Bank A/S                                                                 | CUSIP: 23636ABE0<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    4650000 | PA      | $4664528.65   | 0.10%             | 2026-09-22      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                           | CUSIP: 3132LMXZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     424207 | PA      | $411054.12    | 0.01%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140FQJU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     680456 | PA      | $606758.13    | 0.01%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SCOTT Trust 2023-SFS                                       | SCOTT Trust 2023-SFS                                                            | CUSIP: 810064AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9300000 | PA      | $9545306.10   | 0.21%             | 2040-03-10      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31409VMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1688 | PA      | $1737.60      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                              | CUSIP: 86765BAV1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1413000 | PA      | $1259664.94   | 0.03%             | 2047-10-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1767812.38   | 0.04%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association                      | USD/CNH FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1669540.20  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T                             | Renaissance Home Equity Loan Trust 2003-4                                       | CUSIP: 759950BR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3243550 | PA      | $2955942.37   | 0.07%             | 2034-03-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3132D9JN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1843190 | PA      | $1584796.62   | 0.04%             | 2042-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140QERD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     470735 | PA      | $414653.34    | 0.01%             | 2040-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MASTR Reperforming Loan Trust                              | MASTR Reperforming Loan Trust 2005-2                                            | CUSIP: 57643QAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1550487 | PA      | $757854.00    | 0.02%             | 2035-05-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| QXO BUILDING PRODUCTS                                      | QXO Building Products Inc                                                       | CUSIP: 74825NAA5<br>LEI: 549300HDXQWWCBOYXP31 | Long             | DBT              | CORP              | US        |    2430000 | PA      | $2509465.86   | 0.06%             | 2032-04-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                             | Structured Asset Securities Corp Trust 2005-SC1                                 | CUSIP: 86359DTG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2617550 | PA      | $1914602.64   | 0.04%             | 2031-05-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| UBS AG LONDON                                              | UBS AG/London                                                                   | CUSIP: 902674A26<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |    4463000 | PA      | $3842003.45   | 0.09%             | 2048-06-26      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                               | CUSIP: 3136A76M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1976 | PA      | $4.31         | 0.00%             | 2027-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                             | 280 Park Avenue 2017-280P Mortgage Trust                                        | CUSIP: 90205FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     880000 | PA      | $848316.92    | 0.02%             | 2034-09-15      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                         | LONG GILT                                                                       | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |        486 | NC      | $906565.76    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140XB4K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1682940 | PA      | $1426425.62   | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31418BKY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1719341 | PA      | $1673469.25   | 0.04%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31412MBF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        895 | PA      | $944.72       | 0.00%             | 2037-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                      | Toronto-Dominion Bank/The                                                       | CUSIP: 89115A2E1<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    1490000 | PA      | $1463169.50   | 0.03%             | 2032-06-08      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                       | Las Vegas Sands Corp                                                            | CUSIP: 517834AK3<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    4200000 | PA      | $4318587.29   | 0.10%             | 2029-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36200GGA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1267 | PA      | $1327.87      | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 3617AEBH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     551407 | PA      | $531900.41    | 0.01%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Starwood Property Mortgage LLC                             | STARWOOD PROPERTY MORTGAGE LLC                                                  | CUSIP: 85570DAK8<br>LEI: 5493008SB15CNJRIOK13 | Long             | LON              | CORP              | US        |    2490000 | PA      | $2495453.10   | 0.06%             | 2027-11-18      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                | 5 YEAR U.S. TREASURY NOTE                                                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      -1232 | NC      | $-134750.00   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FORD HOLDINGS LLC                                          | Ford Holdings LLC                                                               | CUSIP: 345277AE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4820000 | PA      | $5484328.36   | 0.12%             | 2030-03-01      | Fixed         | 9.30%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                   | Ford Motor Credit Co LLC                                                        | CUSIP: 345397B51<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1550000 | PA      | $1453979.27   | 0.03%             | 2028-02-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                    | GSR Mortgage Loan Trust 2005-AR7                                                | CUSIP: 362341WX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     501870 | PA      | $261829.52    | 0.01%             | 2035-11-25      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| Citadel Securities LP                                      | CITADEL SECURITIES LP                                                           | CUSIP: 17288YAN2<br>LEI: 549300NV5RXBUS3X7L47 | Long             | LON              | CORP              | US        |    5577123 | PA      | $5606067.86   | 0.12%             | 2031-10-31      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                               | CUSIP: 3136A6Q56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57199 | PA      | $51983.43     | 0.00%             | 2042-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                | Asurion LLC                                                                     | CUSIP: 04649VBC3<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    3883687 | PA      | $3847956.75   | 0.09%             | 2028-08-21      | Floating      | 8.68%                 | No            |                  2 | On Loan: No      |
| QUIKRETE HOLDINGS INC                                      | Quikrete Holdings Inc                                                           | CUSIP: 74843PAA8<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |    3060000 | PA      | $3148571.46   | 0.07%             | 2032-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                              | CUSIP: 3137H1PP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7460518 | PA      | $1268299.92   | 0.03%             | 2049-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                              | CUSIP: 3137H9AM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8104557 | PA      | $1349475.25   | 0.03%             | 2050-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                       | Bank of America Corp                                                            | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    8720000 | PA      | $7974172.56   | 0.18%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                             | Morgan Stanley                                                                  | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1160000 | PA      | $1158571.25   | 0.03%             | 2030-01-23      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                               | CUSIP: 29379VBR3<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    3205000 | PA      | $3160449.22   | 0.07%             | 2078-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga                             | MF1 2022-FL10 LLC                                                               | CUSIP: 55285BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   12382232 | PA      | $12429736.57  | 0.28%             | 2037-09-17      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                    | United Rentals North America Inc                                                | CUSIP: 911365BP8<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |    3080000 | PA      | $2831388.56   | 0.06%             | 2032-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                       | Las Vegas Sands Corp                                                            | CUSIP: 517834AF4<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    3140000 | PA      | $2991601.72   | 0.07%             | 2029-08-08      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                           | CUSIP: 3128P7NU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      91969 | PA      | $93172.57     | 0.00%             | 2030-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3133A0MT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     921232 | PA      | $817057.97    | 0.02%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                              | CUSIP: 29273VAM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   15052000 | PA      | $15370560.53  | 0.34%             | N/A             | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                     | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-180702.25   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ZF NA CAPITAL                                              | ZF North America Capital Inc                                                    | CUSIP: 98877DAF2<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |    8960000 | PA      | $8615656.09   | 0.19%             | 2030-04-23      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -473 | NC      | $-354750.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| AT&T INC                                                   | AT&T Inc                                                                        | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     370000 | PA      | $248434.25    | 0.01%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                | BNP Paribas SA                                                                  | CUSIP: 09659W2F0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    3970000 | PA      | $3958059.71   | 0.09%             | 2028-08-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36180JBN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1319019 | PA      | $1272362.74   | 0.03%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                             | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FQ4B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27153005 | PA      | $820756.59    | 0.02%             | 2029-10-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| FREEPORT-MCMORAN INC                                       | Freeport-McMoRan Inc                                                            | CUSIP: 35671DBC8<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |    3232000 | PA      | $3056310.42   | 0.07%             | 2043-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3133KYU64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8324756 | PA      | $7176371.50   | 0.16%             | 2041-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                | BNP Paribas SA                                                                  | CUSIP: 05602XDJ4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    3110000 | PA      | $3296201.92   | 0.07%             | N/A             | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                   | Mars Inc                                                                        | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    1860000 | PA      | $1883213.56   | 0.04%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                           | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       2779 | NC      | $2796368.75   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                | 5 YEAR U.S. TREASURY NOTE WEEK 4                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       1476 | NC      | $11531.26     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ALTRIA GROUP INC                                           | Altria Group Inc                                                                | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    3750000 | PA      | $3235654.91   | 0.07%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36291PV60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62482 | PA      | $64919.63     | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                       | Las Vegas Sands Corp                                                            | CUSIP: 517834AN7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     260000 | PA      | $268325.68    | 0.01%             | 2030-06-14      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                | US 5YR NOTE (CBT)                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |      16643 | NC      | $18343016.88  | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| MCDONALD'S CORP                                            | McDonald's Corp                                                                 | CUSIP: 58013MFR0<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    6670000 | PA      | $5300920.40   | 0.12%             | 2050-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                               | GS Mortgage Securities Trust 2015-GC30                                          | CUSIP: 36250GAU9<br>LEI: 549300L45M7638EL0H21 | Long             | ABS-MBS          | CORP              | US        |   11340000 | PA      | $10787994.88  | 0.24%             | 2050-05-10      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                       | Lockheed Martin Corp                                                            | CUSIP: 539830BR9<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    2230000 | PA      | $2147876.82   | 0.05%             | 2032-06-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| KKR GROUP FIN CO II                                        | KKR Group Finance Co II LLC                                                     | CUSIP: 48249DAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     908000 | PA      | $864652.00    | 0.02%             | 2043-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                   | AT&T Inc                                                                        | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    3630000 | PA      | $2458913.79   | 0.05%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2650000 | PA      | $2242427.85   | 0.05%             | 2063-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                   | Devon Energy Corp                                                               | CUSIP: 25179MAV5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    5726000 | PA      | $5741622.19   | 0.13%             | 2025-12-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                     | Venture Global LNG Inc                                                          | CUSIP: 92332YAE1<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    9620000 | PA      | $9733400.37   | 0.22%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3138XQYC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121742 | PA      | $119051.79    | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                         | Expand Energy Corp                                                              | CUSIP: 845467AR0<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |     920000 | PA      | $921454.23    | 0.02%             | 2029-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                      | CUSIP: 92343VEA8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    2745000 | PA      | $2669321.42   | 0.06%             | 2033-08-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140XGFQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   66707729 | PA      | $58819181.54  | 1.31%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140L1UL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3967695 | PA      | $3194118.75   | 0.07%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36294PZF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        612 | PA      | $631.68       | 0.00%             | 2036-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36291Q4J0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2996 | PA      | $3085.06      | 0.00%             | 2035-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36291RNU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2262 | PA      | $2343.20      | 0.00%             | 2034-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36201V3F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6986 | PA      | $7227.05      | 0.00%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                          | L3Harris Technologies Inc                                                       | CUSIP: 413875AS4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    2028000 | PA      | $1985566.19   | 0.04%             | 2035-04-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36291LMD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      78007 | PA      | $80968.05     | 0.00%             | 2035-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                   | Western Midstream Operating LP                                                  | CUSIP: 958667AC1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    2935000 | PA      | $2823784.07   | 0.06%             | 2030-02-01      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| Sotera Health Holdings LLC                                 | SOTERA HEALTH HOLDINGS LLC                                                      | CUSIP: 83600VAG6<br>LEI: 549300OVT7MBXFLOFU20 | Long             | LON              | CORP              | US        |    3769535 | PA      | $3790757.35   | 0.08%             | 2031-05-30      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                               | Barclays PLC                                                                    | CUSIP: 06738EBK0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    2290000 | PA      | $2301617.01   | 0.05%             | 2030-06-20      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38380RTP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   24132403 | PA      | $18669796.81  | 0.41%             | 2063-06-16      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36291RAC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2563 | PA      | $2639.50      | 0.00%             | 2034-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC                                      | American Airlines Inc                                                           | CUSIP: 023771T40<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |    4100000 | PA      | $4301551.90   | 0.10%             | 2029-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140FHEM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1028480 | PA      | $917088.96    | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36197LFL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     871541 | PA      | $840713.38    | 0.02%             | 2047-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                | U.S. TREASURY BOND                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -472 | NC      | $-14750.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| AMAZON.COM INC                                             | Amazon.com Inc                                                                  | CUSIP: 023135BM7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    2970000 | PA      | $2433494.36   | 0.05%             | 2057-08-22      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31410LAS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     480310 | PA      | $486544.30    | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36202WLY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14873 | PA      | $15104.70     | 0.00%             | 2033-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                       | Royal Bank of Canada                                                            | CUSIP: 78016HZW3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    1960000 | PA      | $2008665.41   | 0.04%             | 2034-02-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                           | T-Mobile USA Inc                                                                | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    6710000 | PA      | $6010085.80   | 0.13%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36200DQZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1617 | PA      | $1615.76      | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                     | UnitedHealth Group Inc                                                          | CUSIP: 91324PDZ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    1080000 | PA      | $672711.21    | 0.01%             | 2050-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Silver Point CLO, Ltd                                      | Silver Point CLO 8 Ltd                                                          | CUSIP: 827918AA1<br>LEI: 254900U97WKD6RJ07L38 | Long             | ABS-CBDO         | CORP              | KY        |    9410000 | PA      | $9397569.39   | 0.21%             | 2038-04-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3133KYVS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   44616231 | PA      | $38299473.25  | 0.85%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                             | Lowe's Cos Inc                                                                  | CUSIP: 548661DU8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     540000 | PA      | $544330.93    | 0.01%             | 2030-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3131XECV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     671468 | PA      | $651743.10    | 0.01%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140MB7B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     339947 | PA      | $298822.63    | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 3622ACCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12483272 | PA      | $12367090.25  | 0.27%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                      | CUSIP: 92343VGB4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    3240000 | PA      | $2318427.91   | 0.05%             | 2051-03-22      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                               | QUALCOMM Inc                                                                    | CUSIP: 747525BW2<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |    2480000 | PA      | $2498123.89   | 0.06%             | 2035-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36225B2X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6146 | PA      | $6371.78      | 0.00%             | 2033-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                   | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2510000 | PA      | $2511687.25   | 0.06%             | 2027-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                           | Altria Group Inc                                                                | CUSIP: 02209SBD4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     975000 | PA      | $986075.29    | 0.02%             | 2029-02-14      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38375UY79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1271082 | PA      | $45674.30     | 0.00%             | 2067-11-20      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3133KYUH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   34488375 | PA      | $28835475.42  | 0.64%             | 2040-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                      | Foundry JV Holdco LLC                                                           | CUSIP: 350930AA1<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    2290000 | PA      | $2329212.98   | 0.05%             | 2034-01-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                             | Eli Lilly & Co                                                                  | CUSIP: 532457CM8<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1309336.13   | 0.03%             | 2054-02-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -985 | NC      | $-153906.25   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36178WGN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4609 | PA      | $4181.95      | 0.00%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6063098 | PA      | $5233589.87   | 0.12%             | 2041-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                              | Carnival Corp                                                                   | CUSIP: 143658BZ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    3470000 | PA      | $3537231.25   | 0.08%             | 2031-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36241KA65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12227 | PA      | $12685.64     | 0.00%             | 2034-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                              | CUSIP: 3137H4YQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18460376 | PA      | $3109316.28   | 0.07%             | 2052-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage                             | MASTR Adjustable Rate Mortgages Trust 2004-6                                    | CUSIP: 576433PD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26182 | PA      | $25708.23     | 0.00%             | 2034-07-25      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GWV2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1765000 | PA      | $1737190.59   | 0.04%             | 2029-04-23      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                                   | Brazil Notas do Tesouro Nacional Serie F                                        | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  140000000 | PA      | $24450589.90  | 0.54%             | 2027-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                             | Morgan Stanley                                                                  | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    9370000 | PA      | $8642322.90   | 0.19%             | 2031-01-22      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                                      | DB Master Finance LLC                                                           | CUSIP: 233046AS0<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |    7633150 | PA      | $6676783.48   | 0.15%             | 2051-11-20      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                                    | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2315000 | PA      | $2430414.46   | 0.05%             | 2033-11-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140FXKP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1765892 | PA      | $1692518.05   | 0.04%             | 2058-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                           | CUSIP: 3132LMAK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     433616 | PA      | $422414.36    | 0.01%             | 2033-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140XFPJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17257505 | PA      | $14541312.89  | 0.32%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38380GZN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1600533 | PA      | $289749.78    | 0.01%             | 2047-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                               | CUSIP: 31397UUU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     366969 | PA      | $378247.60    | 0.01%             | 2041-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140FQGW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     283981 | PA      | $252294.67    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36201MCK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3863 | PA      | $4049.26      | 0.00%             | 2032-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3138AFV31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35477 | PA      | $35937.82     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36209BHF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        472 | PA      | $475.25       | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                            | United States Treasury Note/Bond                                                | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2000000 | PA      | $1175156.24   | 0.03%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3133B3XG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12483908 | PA      | $10483179.03  | 0.23%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                            | United States Treasury Note/Bond                                                | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33156000 | PA      | $28396300.70  | 0.63%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                             | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FQXL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   37704820 | PA      | $251709.84    | 0.01%             | 2026-10-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                               | CSMC 2014-USA OA LLC                                                            | CUSIP: 12649AAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    6435000 | PA      | $5964842.81   | 0.13%             | 2037-09-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                             | Bombardier Inc                                                                  | CUSIP: 097751CB5<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |     540000 | PA      | $567513.00    | 0.01%             | 2031-07-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                     | MXN/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |          1 | NC      | $358293.51    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38381EKC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2745991 | PA      | $202554.73    | 0.00%             | 2061-10-16      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                | BNP Paribas SA                                                                  | CUSIP: 05565A5R0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    8880000 | PA      | $9412524.72   | 0.21%             | N/A             | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7XB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7249 | PA      | $7352.97      | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140L5GE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3163949 | PA      | $2680003.53   | 0.06%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                           | IRS USD                                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |          1 | NC      | $803005.55    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan                             | GMACM Home Equity Loan Trust 2004-HE3                                           | CUSIP: 361856DG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     542179 | PA      | $517979.31    | 0.01%             | 2034-10-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38378KQR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6674922 | PA      | $127003.08    | 0.00%             | 2047-11-16      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 3622ABYM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7343249 | PA      | $6592384.06   | 0.15%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                           | Peruvian Government International Bond                                          | CUSIP: 715638EB4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    5770000 | PA      | $5773865.90   | 0.13%             | 2035-02-08      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3133AGRE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2152794 | PA      | $1746443.86   | 0.04%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                               | UBS Group AG                                                                    | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    1180000 | PA      | $1155760.32   | 0.03%             | 2031-04-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COPPER CORP                                       | Southern Copper Corp                                                            | CUSIP: 84265VAA3<br>LEI: 2549007U6NAP46Q9TU15 | Long             | DBT              | CORP              | US        |    7220000 | PA      | $8295094.10   | 0.18%             | 2035-07-27      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                     | CAD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |          1 | NC      | $132437.79    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                | 10 YEAR U.S. TREASURY NOTE                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -985 | NC      | $-1754531.25  | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Fanniemae Strip                                            | Fannie Mae Interest Strip                                                       | CUSIP: 31424U6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2889660 | PA      | $370515.77    | 0.01%             | 2052-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3138WHWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     416215 | PA      | $370147.94    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31418D4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7706385 | PA      | $6647927.82   | 0.15%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    5770000 | PA      | $5271056.33   | 0.12%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36200STX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3749 | PA      | $3872.57      | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36210ARL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16591 | PA      | $17126.63     | 0.00%             | 2035-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                             | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FREM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16296000 | PA      | $912142.53    | 0.02%             | 2030-01-25      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| Gainwell Acquisition Corp                                  | Gainwell Acquisition Corp                                                       | CUSIP: 59909TAC8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     408353 | PA      | $394367.08    | 0.01%             | 2027-10-01      | Floating      | 8.40%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                   | Devon Energy Corp                                                               | CUSIP: 25179MAL7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    2530000 | PA      | $2342552.15   | 0.05%             | 2041-07-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FLUTTER TREASURY DAC                                       | Flutter Treasury DAC                                                            | CUSIP: 344045AB5<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |    2080000 | PA      | $2096900.00   | 0.05%             | 2031-06-04      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MCDONALD'S CORP                                            | McDonald's Corp                                                                 | CUSIP: 58013MFQ2<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |      80000 | PA      | $77420.18     | 0.00%             | 2030-07-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                     | Williams Cos Inc/The                                                            | CUSIP: 969457BB5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    4249000 | PA      | $4810359.91   | 0.11%             | 2031-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                               | Centene Corp                                                                    | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    1160000 | PA      | $1069245.66   | 0.02%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    5400000 | PA      | $5204710.84   | 0.12%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                           | CSC Holdings LLC                                                                | CUSIP: 126307BH9<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |   33058000 | PA      | $23290680.34  | 0.52%             | 2031-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                       | Bank of America Corp                                                            | CUSIP: 06051GFC8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2270000 | PA      | $2146533.04   | 0.05%             | 2044-01-21      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                               | UBS Group AG                                                                    | CUSIP: 902613BE7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    2480000 | PA      | $2874099.28   | 0.06%             | N/A             | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31389CLA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2377 | PA      | $2505.87      | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                           | CUSIP: 3128P7JH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81899 | PA      | $82360.35     | 0.00%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3138WQMU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4461590 | PA      | $4194919.99   | 0.09%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EQUIPMENTSHARE.COM INC                                     | EquipmentShare.com Inc                                                          | CUSIP: 29450YAC3<br>LEI: 254900PWJK48CGPKPI80 | Long             | DBT              | CORP              | US        |    1330000 | PA      | $1394478.40   | 0.03%             | 2033-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36178NF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2922371 | PA      | $2651360.54   | 0.06%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                     | Philip Morris International Inc                                                 | CUSIP: 718172AP4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     805000 | PA      | $709770.09    | 0.02%             | 2042-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                  | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F062671<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9000000 | PA      | $9293695.74   | 0.21%             | 2055-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 3617GRCQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     764636 | PA      | $737570.95    | 0.02%             | 2048-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association                      | CHF/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $241030.44    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                            | Fannie Mae Interest Strip                                                       | CUSIP: 31423XQB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43975672 | PA      | $7290039.70   | 0.16%             | 2048-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor                             | Structured Adjustable Rate Mortgage Loan Trust                                  | CUSIP: 86359BWB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        298 | PA      | $293.32       | 0.00%             | 2034-07-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                            | United States Treasury Note/Bond                                                | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     440000 | PA      | $452065.63    | 0.01%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae                                                                      | CUSIP: 21H030674<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18300000 | PA      | $16189493.76  | 0.36%             | 2055-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                       | Bank of America Corp                                                            | CUSIP: 06051GKC2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1880000 | PA      | $1593544.78   | 0.04%             | 2036-09-21      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 36189XM43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1973563 | PA      | $1813345.31   | 0.04%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                                      | Amrize Finance US LLC                                                           | CUSIP: 43475RAC0<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |     640000 | PA      | $648894.23    | 0.01%             | 2030-04-07      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36200GB70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3282 | PA      | $3388.77      | 0.00%             | 2035-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140L05B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2801412 | PA      | $2235924.76   | 0.05%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                              | CUSIP: 3137H9KH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15999628 | PA      | $3426733.18   | 0.08%             | 2050-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OSAKA EXCHANGE,INC                                         | JAPAN 10Y BOND(OSE)                                                             | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              | CORP              | JP        |        -69 | NC      | $143708.89    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| T-MOBILE USA INC                                           | T-Mobile USA Inc                                                                | CUSIP: 87264ADU6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    1230000 | PA      | $1230358.48   | 0.03%             | 2055-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 3622A2DH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1246659 | PA      | $1300300.58   | 0.03%             | 2036-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3133KRCS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6944306 | PA      | $7239882.66   | 0.16%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36207EJL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7046 | PA      | $7303.90      | 0.00%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| METLIFE INC                                                | MetLife Inc                                                                     | CUSIP: 59156RAP3<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |    1593000 | PA      | $1671206.98   | 0.04%             | 2036-12-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                             | Home Depot Inc/The                                                              | CUSIP: 437076CD2<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    5295000 | PA      | $3714792.50   | 0.08%             | 2050-04-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Sunrun Issuer                                              | Sunrun Atlas Issuer 2019-2 LLC                                                  | CUSIP: 86772FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2157072 | PA      | $2044868.94   | 0.05%             | 2055-02-01      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                   | CUSIP: 097023CP8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1094000 | PA      | $922026.03    | 0.02%             | 2035-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                | ASURION LLC                                                                     | CUSIP: 04649VBD1<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |     253261 | PA      | $247305.21    | 0.01%             | 2030-09-19      | Floating      | 8.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36200WS85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17299 | PA      | $17893.19     | 0.00%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3133AKJH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3423600 | PA      | $2754707.70   | 0.06%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                              | Citigroup Inc                                                                   | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    6750000 | PA      | $6757872.19   | 0.15%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                          | Kinder Morgan Inc                                                               | CUSIP: 28368EAD8<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     226000 | PA      | $260501.73    | 0.01%             | 2031-08-01      | Fixed         | 7.80%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                | Oracle Corp                                                                     | CUSIP: 68389XCU7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3110328.94   | 0.07%             | 2054-09-27      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Caesars Entertainment, Inc.                                | CAESARS ENTERTAIN INC                                                           | CUSIP: 12768EAG1<br>LEI: 549300FA4CTCW903Y781 | Long             | LON              | CORP              | US        |    2482409 | PA      | $2484270.35   | 0.06%             | 2030-02-06      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140XBUW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     549752 | PA      | $521221.31    | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                         | Credit Agricole SA                                                              | CUSIP: 225313AK1<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    1330000 | PA      | $1292686.69   | 0.03%             | 2033-01-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Medline Borrower LP                                        | MEDLINE BORROWER LP                                                             | CUSIP: 58503UAF0<br>LEI: 254900QT3R363TVK6F09 | Long             | LON              | CORP              | US        |    3720628 | PA      | $3729092.57   | 0.08%             | 2028-10-23      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                   | Florida Power & Light Co                                                        | CUSIP: 341081GY7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    2780000 | PA      | $2815674.66   | 0.06%             | 2055-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                     | CUSIP: 38148LAF3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    4861000 | PA      | $4370521.11   | 0.10%             | 2045-05-22      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                                    | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JCZ5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    1320000 | PA      | $1345292.20   | 0.03%             | 2035-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3132DPLT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4208274 | PA      | $4246739.50   | 0.09%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31413K6Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2103 | PA      | $2153.55      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association                      | USD/EUR FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-55275.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                               | UBS Group AG                                                                    | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    4430000 | PA      | $4457402.74   | 0.10%             | 2028-05-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T                             | Renaissance Home Equity Loan Trust 2006-1                                       | CUSIP: 759950GX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13327373 | PA      | $6350973.12   | 0.14%             | 2036-05-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                           | Altria Group Inc                                                                | CUSIP: 02209SBE2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |    3130000 | PA      | $3173319.61   | 0.07%             | 2039-02-14      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9749000 | PA      | $9665492.70   | 0.21%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                                    | Kinder Morgan Energy Partners LP                                                | CUSIP: 494550BF2<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    1450000 | PA      | $1551965.94   | 0.03%             | 2040-09-15      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Calpine Construction Finance Company L P                   | CALPINE CONSTRUCTION FIN                                                        | CUSIP: 13134NAH4<br>LEI: V0Q3DOB0FIB2XI1KWU77 | Long             | LON              | CORP              | US        |    4980000 | PA      | $4986225.00   | 0.11%             | 2030-07-31      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| AmWINS Group Inc                                           | AMWINS GROUP INC                                                                | CUSIP: 03234TBA5<br>LEI: 549300SJE7MUB8NMRG61 | Long             | LON              | CORP              | US        |    2483759 | PA      | $2487410.53   | 0.06%             | 2032-01-30      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                           | CUSIP: 312935NT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1146 | PA      | $1154.99      | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association                      | USD/CHF FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-536921.58   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140KKH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2421755 | PA      | $1947618.67   | 0.04%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                  | Boeing Co/The                                                                   | CUSIP: 097023BU8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9712.97      | 0.00%             | 2027-03-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Hildene Community Funding CLO                              | Hildene Community Funding CDO Ltd                                               | CUSIP: 43133KAC9<br>LEI: 549300845E8YWIPN4S43 | Long             | ABS-CBDO         | CORP              | KY        |    6079351 | PA      | $5414168.40   | 0.12%             | 2035-11-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                               | Ecopetrol SA                                                                    | CUSIP: 279158AV1<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    5740000 | PA      | $5542036.01   | 0.12%             | 2036-01-19      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                       | Bank of America Corp                                                            | CUSIP: 06051GJA8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    6570000 | PA      | $5221845.79   | 0.12%             | 2051-03-20      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| PCI GAMING AUTHORITY                                       | PCI GAMING AUTHORITY                                                            | CUSIP: 70455DAG9<br>LEI: 549300KPXAJ1LRW5LP59 | Long             | LON              | CORP              | US        |    2036995 | PA      | $2039124.14   | 0.05%             | 2031-07-21      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140FXCA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     204208 | PA      | $191040.15    | 0.00%             | 2055-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                                      | Amrize Finance US LLC                                                           | CUSIP: 43475RAD8<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |    1290000 | PA      | $1309488.75   | 0.03%             | 2035-04-07      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140L06A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11625403 | PA      | $9358134.32   | 0.21%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3658010 | PA      | $3092398.47   | 0.07%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                                   | RTX Corp                                                                        | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    2820000 | PA      | $2809596.00   | 0.06%             | 2028-11-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                       | Bank of America Corp                                                            | CUSIP: 06051GFU8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    3050000 | PA      | $3047154.23   | 0.07%             | 2026-03-03      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                              | GS Mortgage-Backed Securities Trust 2022-NQM1                                   | CUSIP: 36264EAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10245998 | PA      | $9362597.59   | 0.21%             | 2062-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                     | Verizon Communications Inc                                                      | CUSIP: 92343VDV3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    1455000 | PA      | $1417399.28   | 0.03%             | 2047-03-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36212DLN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5294 | PA      | $5309.42      | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                   | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDP6<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    5210000 | PA      | $4865240.86   | 0.11%             | 2033-04-06      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                   | BX Commercial Mortgage Trust 2024-BIO2                                          | CUSIP: 05613GAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2950000 | PA      | $2938196.76   | 0.07%             | 2041-08-13      | Variable      | 7.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38375UM72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5678021 | PA      | $173547.56    | 0.00%             | 2067-10-20      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                   | Benchmark 2023-V2 Mortgage Trust                                                | CUSIP: 08163TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4400000 | PA      | $4542332.08   | 0.10%             | 2055-05-15      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140FHWR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1669666 | PA      | $1488819.27   | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36201UCH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8644 | PA      | $8744.46      | 0.00%             | 2032-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                              | CUSIP: 31397RCW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     227258 | PA      | $2297.60      | 0.00%             | 2038-01-15      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140FD5K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1457713 | PA      | $1299845.68   | 0.03%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36291QYB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        285 | PA      | $293.41       | 0.00%             | 2036-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Boost Newco Borrower LLC                                   | BOOST NEWCO BORROWER LLC                                                        | CUSIP: 92943EAG1<br>LEI: 254900S8RE1OL7TTCU64 | Long             | LON              | CORP              | US        |    1296476 | PA      | $1301337.61   | 0.03%             | 2031-01-31      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36180JBV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1069591 | PA      | $1031754.97   | 0.02%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38376R5X0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16525249 | PA      | $947118.18    | 0.02%             | 2067-07-20      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                             | Freddie Mac Multifamily PC REMIC Trust 2019-RR01                                | CUSIP: 3137FQ3M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   23500000 | PA      | $851514.28    | 0.02%             | 2028-06-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                                    | Royal Caribbean Cruises Ltd                                                     | CUSIP: 780153BW1<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    2510000 | PA      | $2526902.57   | 0.06%             | 2031-09-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| DTP Commercial Mortgage Trust                              | DTP Commercial Mortgage Trust 2023-STE2                                         | CUSIP: 23346GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3110000 | PA      | $3189727.34   | 0.07%             | 2041-01-15      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                            | CVS Health Corp                                                                 | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    2580000 | PA      | $2286829.96   | 0.05%             | 2045-07-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                    | Jane Street Group / JSG Finance Inc                                             | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     580000 | PA      | $596721.98    | 0.01%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                                    | Transcontinental Gas Pipe Line Co LLC                                           | CUSIP: 893574AH6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3057000 | PA      | $3088614.67   | 0.07%             | 2026-02-01      | Fixed         | 7.85%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                     | Williams Cos Inc/The                                                            | CUSIP: 969457BM1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     985000 | PA      | $1186098.03   | 0.03%             | 2032-03-15      | Variable      | 8.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36290SAR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6193 | PA      | $6343.40      | 0.00%             | 2033-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DP WORLD LTD UAE                                           | DP World Ltd/United Arab Emirates                                               | CUSIP: 000000000<br>LEI: 549300M3U2DNF4QVSS04 | Long             | DBT              | CORP              | AE        |    7340000 | PA      | $8012641.27   | 0.18%             | 2037-07-02      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                   | Devon Energy Corp                                                               | CUSIP: 25179MBE2<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     114000 | PA      | $114052.34    | 0.00%             | 2028-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                           | T-Mobile USA Inc                                                                | CUSIP: 87264ABW4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    3730000 | PA      | $3504503.22   | 0.08%             | 2031-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                      | Continental Resources Inc/OK                                                    | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     299000 | PA      | $294920.60    | 0.01%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE HOLDINGS FINA                                   | Blackstone Holdings Finance Co LLC                                              | CUSIP: 09261BAF7<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |    3306000 | PA      | $2006619.74   | 0.04%             | 2051-08-05      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                              | TransDigm Inc                                                                   | CUSIP: 893647BV8<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |    4350000 | PA      | $4509399.23   | 0.10%             | 2032-03-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| ALTICE FINANCING SA                                        | Altice Financing SA                                                             | CUSIP: 02154CAH6<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |    4570000 | PA      | $3341563.44   | 0.07%             | 2029-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                               | Comcast Corp                                                                    | CUSIP: 20030NCN9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     940000 | PA      | $806399.13    | 0.02%             | 2058-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Bank5                                                      | BANK5 2023-5YR1                                                                 | CUSIP: 06644EAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4500000 | PA      | $4616050.50   | 0.10%             | 2056-04-15      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                             | Bear Stearns Asset Backed Securities I Trust 2004-AC6                           | CUSIP: 073879LN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1239535 | PA      | $1105430.81   | 0.02%             | 2034-11-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3133KNJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11029726 | PA      | $9340742.17   | 0.21%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38379RV34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4674754 | PA      | $141236.93    | 0.00%             | 2059-02-16      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.                | 10 YEAR U.S. TREASURY NOTE WEEK 4                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -985 | NC      | $-985.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Loanpal Solar Loan Ltd.                                    | Loanpal Solar Loan 2021-1 Ltd                                                   | CUSIP: 53948PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2352749 | PA      | $1966748.91   | 0.04%             | 2048-01-20      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3132DQY59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5591496 | PA      | $5741635.48   | 0.13%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38374MJ26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     237470 | PA      | $13554.27     | 0.00%             | 2036-04-20      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                         | Union Pacific Corp                                                              | CUSIP: 907818FG8<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |    2130000 | PA      | $1535035.64   | 0.03%             | 2060-03-20      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                     | Philip Morris International Inc                                                 | CUSIP: 718172DH9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     930000 | PA      | $958209.60    | 0.02%             | 2031-02-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae                                                                      | CUSIP: 21H042679<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12300000 | PA      | $11775656.90  | 0.26%             | 2055-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3133KRCQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4397155 | PA      | $4597969.72   | 0.10%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                   | Cooperatieve Rabobank UA                                                        | CUSIP: 74977RDN1<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    2460000 | PA      | $2429008.87   | 0.05%             | 2028-04-06      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                                   | Fox Corp                                                                        | CUSIP: 35137LAJ4<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    4350000 | PA      | $4259810.62   | 0.09%             | 2039-01-25      | Fixed         | 5.48%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                            | United States Treasury Note/Bond                                                | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6490000 | PA      | $5922125.00   | 0.13%             | 2054-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Bank of America, National Association                      | CHF/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |          1 | NC      | $251976.88    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31390BFZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13891 | PA      | $14649.26     | 0.00%             | 2032-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3131XEB69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     726234 | PA      | $706098.78    | 0.02%             | 2033-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36208V4Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1503 | PA      | $1515.79      | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                             | JP Morgan Chase Commercial Mortgage Securities Trust 2015-FL7                   | CUSIP: 46644PAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10175200 | PA      | $8435241.16   | 0.19%             | 2028-05-15      | Floating      | 8.19%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                            | CVS Health Corp                                                                 | CUSIP: 126650CL2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    1933000 | PA      | $1931548.32   | 0.04%             | 2025-07-20      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36201FVV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1681 | PA      | $1693.60      | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Nexstar Media Inc                                          | NEXSTAR MEDIA INC                                                               | CUSIP: 65336RBB3<br>LEI: 5493006PK6I4I2OOT688 | Long             | LON              | CORP              | US        |    7810000 | PA      | $7805118.75   | 0.17%             | 2032-06-24      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| M&T Equipment Notes                                        | M&T Equipment 2024-LEAF1 Notes                                                  | CUSIP: 55376YAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9460000 | PA      | $9628227.18   | 0.21%             | 2031-08-18      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                            | CVS Health Corp                                                                 | CUSIP: 126650DK3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    1673000 | PA      | $1402462.55   | 0.03%             | 2040-04-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                            | Sands China Ltd                                                                 | CUSIP: 80007RAS4<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    1690000 | PA      | $1492398.10   | 0.03%             | 2031-08-08      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1620000 | PA      | $1729136.92   | 0.04%             | 2034-06-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36201RYD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7960 | PA      | $7968.59      | 0.00%             | 2035-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                                   | Cooperatieve Rabobank UA                                                        | CUSIP: 21684AAC0<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    7790000 | PA      | $7786382.87   | 0.17%             | 2025-08-04      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association                  | CHF/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |          1 | NC      | $100586.43    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PFIZER INC                                                 | Pfizer Inc                                                                      | CUSIP: 717081EY5<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    3680000 | PA      | $3262476.18   | 0.07%             | 2030-05-28      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                             | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FNAJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6300000 | PA      | $283478.58    | 0.01%             | 2029-06-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                           | BAT Capital Corp                                                                | CUSIP: 054989AD0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     210000 | PA      | $234064.59    | 0.01%             | 2053-08-02      | Fixed         | 7.08%                 | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                             | Eli Lilly & Co                                                                  | CUSIP: 532457CN6<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    1860000 | PA      | $1729543.10   | 0.04%             | 2064-02-09      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| 1261229 BC LTD                                             | 1261229 BC Ltd                                                                  | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    5510000 | PA      | $5562289.73   | 0.12%             | 2032-04-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                     | Williams Cos Inc/The                                                            | CUSIP: 96949LAC9<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    1150000 | PA      | $1042993.04   | 0.02%             | 2045-09-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                               | CUSIP: 3136BFGH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3998770 | PA      | $884482.26    | 0.02%             | 2051-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                   | Angel Oak Mortgage Trust I LLC 2019-2                                           | CUSIP: 03463WAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6962588 | PA      | $6961513.28   | 0.15%             | 2049-03-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae                                                                      | CUSIP: 21H050672<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -2700000 | PA      | $-2652641.24  | -0.06%            | 2055-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31387EKT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        929 | PA      | $979.60       | 0.00%             | 2031-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                     | Pacific Gas and Electric Co                                                     | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    4340000 | PA      | $4111691.39   | 0.09%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                               | Comcast Corp                                                                    | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |       4000 | PA      | $2350.69      | 0.00%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                  | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F060675<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   57900000 | PA      | $58842559.31  | 1.31%             | 2055-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Gold Pool                                                           | CUSIP: 3132LMEB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     247844 | PA      | $240964.25    | 0.01%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                             | BRL/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $1374541.08   | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                             | Wells Fargo Commercial Mortgage Trust 2022-JS2                                  | CUSIP: 95003GAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10000000 | PA      | $7341581.00   | 0.16%             | 2039-12-15      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                   | Occidental Petroleum Corp                                                       | CUSIP: 674599CR4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    8917000 | PA      | $8748918.12   | 0.19%             | 2026-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                             | USD/BRL FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-123708.22   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ELI LILLY & CO                                             | Eli Lilly & Co                                                                  | CUSIP: 532457CL0<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    4310000 | PA      | $4309016.16   | 0.10%             | 2034-02-09      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                        | Freddie Mac STACR REMIC Trust 2022-DNA5                                         | CUSIP: 35564KYW3<br>LEI: 5493000IS349P4O9HR58 | Long             | ABS-MBS          | CORP              | US        |    7600000 | PA      | $8365526.72   | 0.19%             | 2042-06-25      | Floating      | 11.06%                | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS L                                   | First Quantum Minerals Ltd                                                      | CUSIP: 335934AW5<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |    1940000 | PA      | $1992263.60   | 0.04%             | 2033-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BAC CAPITAL TRUST XIV                                      | BAC Capital Trust XIV                                                           | CUSIP: 05518VAA3<br>LEI: 549300QO5OB3VGJT6S64 | Long             | DBT              | CORP              | US        |    7226000 | PA      | $6065454.18   | 0.13%             | N/A             | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36200D7L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37796 | PA      | $37984.10     | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                      | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CAH7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     220000 | PA      | $220140.45    | 0.00%             | 2040-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                      | Time Warner Cable LLC                                                           | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    3030000 | PA      | $3131012.81   | 0.07%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140FXEP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12836540 | PA      | $13238008.87  | 0.29%             | 2056-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                    | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GXG4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    6020000 | PA      | $5564859.34   | 0.12%             | 2030-02-07      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Ali Group North America Corporation                        | Ali Group North America Corp                                                    | CUSIP: 01608UAE7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1178120 | PA      | $1186408.39   | 0.03%             | 2029-07-30      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                        | Elevance Health Inc                                                             | CUSIP: 036752AD5<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2045111.40   | 0.05%             | 2047-12-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36201ATP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2779 | PA      | $2790.63      | 0.00%             | 2032-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36292CEU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7019 | PA      | $7244.88      | 0.00%             | 2035-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3132AAK52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2212520 | PA      | $2127135.24   | 0.05%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae                                                                      | CUSIP: 21H042679<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -900000 | PA      | $-861633.43   | -0.02%            | 2055-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36201JGG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5496 | PA      | $5619.27      | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan 2020-3 Ltd                              | Loanpal Solar Loan Ltd                                                          | CUSIP: 53948NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10908348 | PA      | $9200384.38   | 0.20%             | 2047-12-20      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36211SC54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8310 | PA      | $8558.39      | 0.00%             | 2035-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PARSLEY ENERGY LLC/FINAN                                   | Parsley Energy LLC / Parsley Finance Corp                                       | CUSIP: 701885AJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2070000 | PA      | $2032381.43   | 0.05%             | 2028-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                    | Bristol-Myers Squibb Co                                                         | CUSIP: 110122EK0<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     900000 | PA      | $878649.60    | 0.02%             | 2054-02-22      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3138AFB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19643 | PA      | $19897.71     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140XFF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5938163 | PA      | $5003518.59   | 0.11%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                  | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F020679<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -3700000 | PA      | $-2929868.50  | -0.07%            | 2055-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38378KJP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19002198 | PA      | $30171.69     | 0.00%             | 2048-10-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36225BZ92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5472 | PA      | $5690.52      | 0.00%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 3622A2CE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5422623 | PA      | $4919748.62   | 0.11%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                   | Occidental Petroleum Corp                                                       | CUSIP: 674599DD4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    1130000 | PA      | $1244519.85   | 0.03%             | 2031-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FOCUS FINANCIAL PARTNERS                                   | FOCUS FINANCIAL PARTNERS LLC                                                    | CUSIP: 34416DBD9<br>LEI: 5493007L0E0VKRC2CP39 | Long             | LON              | CORP              | US        |    4967519 | PA      | $4962576.12   | 0.11%             | 2031-09-15      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                               | CUSIP: 3136BDR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34524258 | PA      | $5415029.71   | 0.12%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                | CUSIP: 95000U2D4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    3180000 | PA      | $3168644.86   | 0.07%             | 2029-01-24      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38378B2Q1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16687182 | PA      | $304631.18    | 0.01%             | 2054-01-16      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31416YWR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1353957 | PA      | $1371540.03   | 0.03%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 3622ACPG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4090758 | PA      | $4140045.60   | 0.09%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                  | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F040677<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38000000 | PA      | $35338525.22  | 0.78%             | 2055-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36291LEN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30118 | PA      | $30813.60     | 0.00%             | 2034-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MERCK & CO INC                                             | Merck & Co Inc                                                                  | CUSIP: 58933YBF1<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    3010000 | PA      | $1851142.51   | 0.04%             | 2051-12-10      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                             | USD/INR FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $-424237.72   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                             | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FKKQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20867246 | PA      | $182018.73    | 0.00%             | 2033-11-25      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae                                                                      | CUSIP: 21H052678<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23300000 | PA      | $23337857.61  | 0.52%             | 2055-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    1180000 | PA      | $1218237.92   | 0.03%             | 2034-07-25      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                             | HarborView Mortgage Loan Trust 2005-3                                           | CUSIP: 41161PMG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     960646 | PA      | $938466.61    | 0.02%             | 2035-06-19      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| GLENCORE FINANCE CANADA                                    | Glencore Finance Canada Ltd                                                     | CUSIP: 98417EAN0<br>LEI: 5493005TTO0UJ33KCK70 | Long             | DBT              | CORP              | CA        |     870000 | PA      | $878659.30    | 0.02%             | 2041-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                              | Citigroup Mortgage Loan Trust Inc                                               | CUSIP: 17307GXX1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      22027 | PA      | $18243.62     | 0.00%             | 2035-08-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae                                                                      | CUSIP: 21H050672<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25900000 | PA      | $25445706.75  | 0.56%             | 2055-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac REMICS                                                              | CUSIP: 3137HHLW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4992739 | PA      | $4996535.19   | 0.11%             | 2054-12-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                      | Wells Fargo & Co                                                                | CUSIP: 94974BGQ7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    5844000 | PA      | $5145026.63   | 0.11%             | 2045-11-17      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3185217.42   | 0.07%             | 2048-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS L                                   | First Quantum Minerals Ltd                                                      | CUSIP: 335934AV7<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |    3170000 | PA      | $3368432.65   | 0.07%             | 2029-03-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                               | CUSIP: 3136ADKM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1883018 | PA      | $328155.41    | 0.01%             | 2043-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                                    | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                     | CUSIP: 03522AAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6332000 | PA      | $5808806.47   | 0.13%             | 2046-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION                      | USD CALL VERSUS CHF PUT                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |   30731000 | NC      | $218.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36208LZ42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4005 | PA      | $4054.38      | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3132DSUT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7076253 | PA      | $7113727.07   | 0.16%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                | BNP Paribas SA                                                                  | CUSIP: 09659W2H6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    2829000 | PA      | $2878090.73   | 0.06%             | 2030-01-10      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| PAYPAL HOLDINGS INC                                        | PayPal Holdings Inc                                                             | CUSIP: 70450YAH6<br>LEI: 5493005X2GO78EFZ3E94 | Long             | DBT              | CORP              | US        |    2070000 | PA      | $1883870.44   | 0.04%             | 2030-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| JANE STREET GRP/JSG FIN                                    | Jane Street Group / JSG Finance Inc                                             | CUSIP: 47077WAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     460000 | PA      | $464678.75    | 0.01%             | 2032-11-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Citibank, National Association                             | AUD/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |          1 | NC      | $5867894.00   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                           | BAT Capital Corp                                                                | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    4515000 | PA      | $3650380.07   | 0.08%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 36196FZJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29648 | PA      | $27222.79     | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                       | Glencore Funding LLC                                                            | CUSIP: 378272CB2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    2170000 | PA      | $2195716.04   | 0.05%             | 2055-04-01      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                                             | Halliburton Co                                                                  | CUSIP: 406216BJ9<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    1580000 | PA      | $1521756.73   | 0.03%             | 2035-11-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae REMICS                                                               | CUSIP: 3136AARL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2928141 | PA      | $346751.59    | 0.01%             | 2042-12-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 3622ACNL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17378728 | PA      | $17850842.75  | 0.40%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31406UHL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5965 | PA      | $6161.46      | 0.00%             | 2035-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                 | Intel Corp                                                                      | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     610000 | PA      | $362708.84    | 0.01%             | 2051-08-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                                   | Builders FirstSource Inc                                                        | CUSIP: 12008RAT4<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |    2070000 | PA      | $2133890.76   | 0.05%             | 2035-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                              | Citigroup Inc                                                                   | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    5320000 | PA      | $4714474.51   | 0.10%             | 2032-05-01      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                           | CIFC Funding 2015-IV Ltd                                                        | CUSIP: 12550TAY1<br>LEI: 549300ZXX0SJBZWIWI81 | Long             | ABS-CBDO         | CORP              | KY        |    4700000 | PA      | $4707453.73   | 0.10%             | 2034-04-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| National Collegiate Student Lo                             | National Collegiate Student Loan Trust 2005-2                                   | CUSIP: 63543PBU9<br>LEI: 635400WP3MSHUIUNQS85 | Long             | ABS-O            | CORP              | US        |    3256331 | PA      | $3205177.28   | 0.07%             | 2033-06-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31382LDQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8796 | PA      | $9086.02      | 0.00%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3138AFWY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33615 | PA      | $34051.30     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1238000 | PA      | $1268049.18   | 0.03%             | 2055-10-23      | Fixed         | 6.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38381EQD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2576571 | PA      | $1052835.85   | 0.02%             | 2064-03-16      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                              | Citigroup Inc                                                                   | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    5260000 | PA      | $5205355.91   | 0.12%             | 2031-03-31      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                     | UnitedHealth Group Inc                                                          | CUSIP: 91324PDL3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    2870000 | PA      | $2307906.80   | 0.05%             | 2048-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                                  | Fannie Mae or Freddie Mac                                                       | CUSIP: 01F042673<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |  -10300000 | PA      | $-9853555.26  | -0.22%            | 2055-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                             | Bombardier Inc                                                                  | CUSIP: 097751CD1<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    1200000 | PA      | $1244941.20   | 0.03%             | 2033-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140XBSR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2754883 | PA      | $2351000.24   | 0.05%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                      | Venture Global Plaquemines LNG LLC                                              | CUSIP: 922966AB2<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     370000 | PA      | $400818.04    | 0.01%             | 2035-05-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                        | Suzano Austria GmbH                                                             | CUSIP: 86964WAJ1<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |   10050000 | PA      | $9420927.29   | 0.21%             | 2031-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| WASTE CONNECTIONS INC                                      | Waste Connections Inc                                                           | CUSIP: 94106BAG6<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |    2330000 | PA      | $2355818.87   | 0.05%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH AMERICAS                                     | Bausch Health Americas Inc                                                      | CUSIP: 91911XAV6<br>LEI: KOO0397YRO83WY5MGD97 | Long             | DBT              | CORP              | US        |    5181000 | PA      | $5172399.54   | 0.11%             | 2026-04-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                            | Nissan Motor Co Ltd                                                             | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    2390000 | PA      | $2296059.14   | 0.05%             | 2027-09-17      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                         | Energy Transfer LP                                                              | CUSIP: 86765BAQ2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1802941.44   | 0.04%             | 2045-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM COR                                   | Occidental Petroleum Corp                                                       | CUSIP: 674599CN3<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    2820000 | PA      | $1922188.99   | 0.04%             | 2048-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae I Pool                                                               | CUSIP: 36201UBS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44514 | PA      | $45927.13     | 0.00%             | 2032-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 31418MUN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2311878 | PA      | $2342352.61   | 0.05%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38375K4K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     961971 | PA      | $13063.08     | 0.00%             | 2037-08-20      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Government National Mortgage Association                                        | CUSIP: 38381DND8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10976235 | PA      | $742309.63    | 0.02%             | 2063-11-16      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                     | JPY/USD FORWARD                                                                 | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              | CORP              | US        |          1 | NC      | $27256.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3138X5RY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5113 | PA      | $5011.71      | 0.00%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                             | Morgan Stanley                                                                  | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    5560000 | PA      | $5333121.31   | 0.12%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                              | Citigroup Inc                                                                   | CUSIP: 172967JU6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    2462000 | PA      | $2163659.00   | 0.05%             | 2045-07-30      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                            | Sands China Ltd                                                                 | CUSIP: 80007RAN5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    6770000 | PA      | $6505196.87   | 0.14%             | 2027-03-08      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                       | Glencore Funding LLC                                                            | CUSIP: 378272CA4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    5060000 | PA      | $5164382.18   | 0.11%             | 2035-04-01      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                                      | Argentine Republic Government International Bond                                | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     120000 | PA      | $81026.22     | 0.00%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                                     | CCO Holdings LLC / CCO Holdings Capital Corp                                    | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9733000 | PA      | $9069869.30   | 0.20%             | 2032-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                       | Glencore Funding LLC                                                            | CUSIP: 378272AN8<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |      30000 | PA      | $29766.17     | 0.00%             | 2027-03-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                   | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6160000 | PA      | $6220440.69   | 0.14%             | 2029-03-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                    | MPLX LP                                                                         | CUSIP: 55336VAM2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    1340000 | PA      | $1186181.65   | 0.03%             | 2038-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3138MG6C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65010 | PA      | $62649.10     | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ziply Fiber Issuer, LLC                                    | Ziply Fiber Issuer LLC                                                          | CUSIP: 98979QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10000000 | PA      | $10278380.00  | 0.23%             | 2054-04-20      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                      | Time Warner Cable LLC                                                           | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    1617000 | PA      | $1553443.38   | 0.03%             | 2040-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                           | THREE-MONTH SOFR                                                                | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |       2434 | NC      | $684562.50    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Bluemountain CLO Ltd                                       | BlueMountain CLO XXXI Ltd                                                       | CUSIP: 09631BAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     970000 | PA      | $971112.30    | 0.02%             | 2034-04-19      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                          | HSBC Holdings PLC                                                               | CUSIP: 404280CH0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    1610000 | PA      | $1471762.39   | 0.03%             | 2031-06-04      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                           | Freddie Mac Strips                                                              | CUSIP: 31283BCC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64306 | PA      | $1531.75      | 0.00%             | 2027-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                 | Fannie Mae Pool                                                                 | CUSIP: 3140XG4L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2887145 | PA      | $2493067.32   | 0.06%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                        | JPMorgan Chase & Co                                                             | CUSIP: 46647PBN5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1420000 | PA      | $956349.32    | 0.02%             | 2051-04-22      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19405099 | PA      | $16363211.16  | 0.36%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                                     | Egypt Government International Bond                                             | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    8390000 | PA      | $7694761.06   | 0.17%             | 2032-01-15      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                       | FREMF 2019-K103 Mortgage Trust                                                  | CUSIP: 30315DAN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  674109757 | PA      | $2349609.56   | 0.05%             | 2051-12-25      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                                   | Enterprise Products Operating LLC                                               | CUSIP: 29379VBV4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     850000 | PA      | $812840.22    | 0.02%             | 2029-07-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                             | Ginnie Mae II Pool                                                              | CUSIP: 3622ABCD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26305211 | PA      | $22221538.87  | 0.49%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                            | United States Treasury Note/Bond                                                | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     460000 | PA      | $447925.00    | 0.01%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                | Freddie Mac Pool                                                                | CUSIP: 3132A9YC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10976 | PA      | $10944.83     | 0.00%             | 2026-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-08-25

**Name of Applicant:** Western Asset Funds Inc

**Signature:** Christopher Berarducci

**Name of Signer:** Christopher Berarducci

**Title:** Principal Financial Officer