# EDGAR Filing Document

**Accession Number:** 0000081264
**File Stem:** 0001752724-25-153712
**Filing Date:** 2025-6
**Character Count:** 555707
**Document Hash:** 450e9688cc575433a5ca402153f72fc5
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-153712.hdr.sgml**: 20250624

**ACCESSION NUMBER**: 0001752724-25-153712

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250430

**FILED AS OF DATE**: 20250624

**DATE AS OF CHANGE**: 20250624

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PUTNAM INCOME FUND
- **CENTRAL INDEX KEY:** 0000081264

**ORGANIZATION NAME:**
- **EIN:** 046013712
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-00653
- **FILM NUMBER:** 251068679

**BUSINESS ADDRESS:**
- **STREET 1:** 100 FEDERAL STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110
- **BUSINESS PHONE:** 6172921000

**MAIL ADDRESS:**
- **STREET 1:** 100 FEDERAL STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PUTNAM INCOME FUND INC/PRED/
- **DATE OF NAME CHANGE:** 19821109

## Series and Classes Contracts Data

### PUTNAM INCOME FUND (Series ID: S000006155)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000016962 | Class A Shares | PINCX           |
| C000016964 | Class C Shares | PUICX           |
| C000016965 | Class M Shares | PNCMX           |
| C000016966 | Class R Shares | PIFRX           |
| C000016967 | Class Y Shares | PNCYX           |
| C000118063 | Class R5       |  |
| C000118064 | Class R6       |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Putnam Income Fund

- **b. Investment Company Act file number:** 811-00653

- **c. CIK number of Registrant:** 0000081264

- **d. LEI of Registrant:** 3TKDW1UO376UZIMY9G60

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

  - **Street Address 1:** 100 Federal Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

  - **Telephone number:** 617-292-1000

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

- **a. Name of Series:** Putnam Income Fund

- **b. EDGAR series identifier (if any):** S000006155

- **c. LEI of Series:** 3TKDW1UO376UZIMY9G60

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

- **a. Date of fiscal year-end:** 2025-10-31

- **b. Date as of which information is reported:** 2025-04-30

**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:** $1491144917.70

**Total Liabilities:** $447297557.75

**Net Assets:** $1043847359.95

**Delayed Delivery Securities:** $334991378.17

**Cash Not Reported:** $52.60

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 27034.74000000 | **1-Year:** 37565.05000000 | **5-Year:** 123258.35000000 | **10-Year:** 242466.10000000 | **30-Year:** 124343.41000000

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

- **3-Month:** 141.45000000 | **1-Year:** 2283.72000000 | **5-Year:** 10471.06000000 | **10-Year:** 3289.42000000 | **30-Year:** 534.55000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000016965 | 2.10%                | -0.08%               | -0.03%               |
| Class ID C000016964 | 2.19%                | -0.33%               | 0.13%                |
| Class ID C000118063 | 2.21%                | -0.02%               | 0.01%                |
| Class ID C000016967 | 2.19%                | -0.02%               | 0.20%                |
| Class ID C000118064 | 2.19%                | -0.01%               | 0.02%                |
| Class ID C000016962 | 2.02%                | -0.05%               | 0.19%                |
| Class ID C000016966 | 2.24%                | -0.28%               | 0.17%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $2689320.54              | $13114133.54                               |
| Month 2  | $4478937.45              | $-8694252.69                               |
| Month 3  | $-789508.31              | $349539.03                                 |

**Designated Index Information**

- **Index Name:** LBUSTRUU Index

- **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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| JPMorgan Chase & Co.                                                            | JPMorgan Chase & Co.                                                                  | CUSIP: 46647PDK9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     647000 | PA      | $667604.12    | 0.06%             | 2033-09-14      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                                                      | Mars, Inc.                                                                            | CUSIP: 571676AU9<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     363000 | PA      | $366007.91    | 0.04%             | 2031-04-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                       | HCA, Inc.                                                                             | CUSIP: 404119BT5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     597000 | PA      | $598738.71    | 0.06%             | 2026-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                                                    | Ford Credit Auto Owner Trust, Series 2024-B, Class A3                                 | CUSIP: 34531QAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3669000 | PA      | $3720877.46   | 0.36%             | 2029-04-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Agency Credit Risk Debt Notes                                  | FHLMC STACR Debt Notes, Series 2015-DNA3, Class M3                                    | CUSIP: 3137G0GW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      49264 | PA      | $50048.32     | 0.00%             | 2028-04-25      | Floating      | 9.17%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F050650<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -16000000 | PA      | $-15664809.60 | -1.50%            | 2055-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Electricite de France SA                                                        | Electricite de France SA                                                              | CUSIP: 28504DAF0<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | NUSS              | FR        |    1110000 | PA      | $1132493.13   | 0.11%             | 2035-01-13      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2017-H18, Class CI                                                       | CUSIP: 38376R7A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6434834 | PA      | $422636.01    | 0.04%             | 2067-09-20      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| Toll Brothers Finance Corp.                                                     | Toll Brothers Finance Corp.                                                           | CUSIP: 88947EAT7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     773000 | PA      | $766138.49    | 0.07%             | 2028-02-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Romania                                                                         | Romanian Government Bond                                                              | CUSIP: 77586TAE6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     200000 | PA      | $170737.86    | 0.02%             | 2044-01-22      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 36179TXX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1039924 | PA      | $1036580.74   | 0.10%             | 2048-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                      | JPMBB Commercial Mortgage Securities Trust, Series 2013-C14, Class D                  | CUSIP: 46640LAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     917000 | PA      | $710188.99    | 0.07%             | 2046-08-15      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  700000000 | PA      | $21897488.61  | 2.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                             | Constellation Energy Generation LLC                                                   | CUSIP: 210385AD2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |     320000 | PA      | $336523.27    | 0.03%             | 2034-01-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO IX Ltd.                                                           | Jamestown CLO IX Ltd., Series 2016-9A, Class A2RR                                     | CUSIP: 47048JAZ6<br>LEI: 254900NFTK4YH0WYT485 | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $694824.17    | 0.07%             | 2034-07-25      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                                      | AT&T, Inc.                                                                            | CUSIP: 00206RHJ4<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    1525000 | PA      | $1523089.91   | 0.15%             | 2029-03-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                                                     | ONEOK, Inc.                                                                           | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     906000 | PA      | $941431.98    | 0.09%             | 2032-11-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2015-H12, Class AI                                                       | CUSIP: 38376RBE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6837582 | PA      | $153496.88    | 0.01%             | 2065-05-20      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                      | FHLMC Pool, 15 Year                                                                   | CUSIP: 3132D53H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     686940 | PA      | $660415.78    | 0.06%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                                 | WFRBS Commercial Mortgage Trust, Series 2013-C11, Class B                             | CUSIP: 92937EAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     982363 | PA      | $967330.74    | 0.09%             | 2045-03-15      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Standard Industries, Inc.                                                       | Standard Industries, Inc.                                                             | CUSIP: 853496AG2<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |     120000 | PA      | $112034.29    | 0.01%             | 2030-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                            | Glencore Funding LLC                                                                  | CUSIP: 378272BP2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    1027000 | PA      | $1094837.85   | 0.10%             | 2030-10-06      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                                                    | Bain Capital Credit CLO Ltd., Series 2022-2A, Class A1                                | CUSIP: 05682GAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     900000 | PA      | $898444.37    | 0.09%             | 2035-04-22      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617JJ4B9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11948 | PA      | $12317.46     | 0.00%             | 2049-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Trestles CLO IV Ltd.                                                            | Trestles CLO IV Ltd., Series 2021-4A, Class A                                         | CUSIP: 89532WAA7<br>LEI: 254900EO5I6CR0IOWS98 | Long             | ABS-CBDO         | CORP              | KY        |    1350000 | PA      | $1353248.18   | 0.13%             | 2034-07-21      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| State of California                                                             | State of California                                                                   | CUSIP: 13063A5E0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     770000 | PA      | $895598.94    | 0.09%             | 2034-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Tapestry, Inc.                                                                  | Tapestry, Inc.                                                                        | CUSIP: 876030AA5<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |     250000 | PA      | $216481.61    | 0.02%             | 2032-03-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3138Y7CJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     343337 | PA      | $318637.41    | 0.03%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PetSmart, Inc. / PetSmart Finance Corp.                                         | PetSmart, Inc. / PetSmart Finance Corp.                                               | CUSIP: 71677KAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     275000 | PA      | $263142.58    | 0.03%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140XN4Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     926433 | PA      | $743094.42    | 0.07%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Shackleton 2019-XIV CLO Ltd.                                                    | Shackleton XIV CLO Ltd., Series 2019-14A, Class BR                                    | CUSIP: 81880XAQ5<br>LEI: 549300HOHPZON6E4VH77 | Long             | ABS-CBDO         | CORP              | KY        |    1650000 | PA      | $1653905.59   | 0.16%             | 2034-07-20      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617J16T7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     574814 | PA      | $583762.76    | 0.06%             | 2049-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Rogers Communications, Inc.                                                     | Rogers Communications, Inc.                                                           | CUSIP: 775109DE8<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |    1882000 | PA      | $1898604.64   | 0.18%             | 2029-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                    | GS Mortgage Securities Trust, Series 2014-GC26, Class XA                              | CUSIP: 36250HAG8<br>LEI: 549300V3F4KBEWHAZP46 | Long             | ABS-MBS          | CORP              | US        |      31637 | PA      | $0.37         | 0.00%             | 2047-11-10      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                | Boeing Co. (The)                                                                      | CUSIP: 097023DC6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     475000 | PA      | $444045.77    | 0.04%             | 2031-02-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                             | CUSIP: 00774MAY1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     345000 | PA      | $296708.64    | 0.03%             | 2033-10-29      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   28770000 | PA      | $188946.83    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Humana, Inc.                                                                    | Humana, Inc.                                                                          | CUSIP: 444859BU5<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1751447.53   | 0.17%             | 2028-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2023-R06, Class 1M1                       | CUSIP: 20754EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     569427 | PA      | $571796.16    | 0.05%             | 2043-07-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| VICI Properties LP                                                              | VICI Properties LP                                                                    | CUSIP: 925650AF0<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     460000 | PA      | $462896.62    | 0.04%             | 2034-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC, Series 3369, Class BO                                                          | CUSIP: 31397KMR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2220 | PA      | $1879.99      | 0.00%             | 2037-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Rogers Communications, Inc.                                                     | Rogers Communications, Inc.                                                           | CUSIP: 775109BG5<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     118000 | PA      | $91135.60     | 0.01%             | 2048-02-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                      | FHLMC Pool, 30 Year                                                                   | CUSIP: 3133KNCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     647121 | PA      | $546843.07    | 0.05%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617K4VB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50011 | PA      | $50868.14     | 0.00%             | 2049-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618FAHL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     783826 | PA      | $819979.91    | 0.08%             | 2053-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AES Corp. (The)                                                                 | AES Corp. (The)                                                                       | CUSIP: 00130HCG8<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |     841000 | PA      | $720304.27    | 0.07%             | 2031-01-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                        | Celanese US Holdings LLC                                                              | CUSIP: 15089QAN4<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     645000 | PA      | $651333.90    | 0.06%             | 2029-07-15      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| Berry Global, Inc.                                                              | Berry Global, Inc.                                                                    | CUSIP: 08576PAL5<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |     263000 | PA      | $269005.92    | 0.03%             | 2028-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                | Deutsche Bank AG                                                                      | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     345000 | PA      | $332272.07    | 0.03%             | 2027-11-16      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 36202FVH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     607734 | PA      | $613453.58    | 0.06%             | 2041-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                      | FHLMC Pool, 30 Year                                                                   | CUSIP: 3132E0ZK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1636455 | PA      | $1645095.97   | 0.16%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                                                  | RMF Proprietary Issuance Trust, Series 2022-3, Class A                                | CUSIP: 74970FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1895860 | PA      | $1823344.21   | 0.17%             | 2062-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   85071000 | PA      | $-1284671.29  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Peru                                                                | Peru Government Bond                                                                  | CUSIP: 715638DF6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     720000 | PA      | $639055.43    | 0.06%             | 2031-01-23      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                      | FHLMC Pool, 30 Year                                                                   | CUSIP: 3133KPPA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     844777 | PA      | $831005.63    | 0.08%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Nouryon Finance BV                                                              | Nouryon Finance BV, First Lien, November 2024 Dollar CME Term Loan, B2                | CUSIP: N8232NAM9<br>LEI: N/A                  | Long             | LON              | CORP              | NL        |     103692 | PA      | $103173.63    | 0.01%             | 2028-04-03      | Variable      | 7.55%                 | No            |                  2 | On Loan: No      |
| Hunter Douglas, Inc.                                                            | Hunter Douglas, Inc., First Lien, CME Term Loan, B1                                   | CUSIP: N8137FAE0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     970225 | PA      | $948598.24    | 0.09%             | 2032-01-16      | Variable      | 7.55%                 | No            |                  2 | On Loan: No      |
| CIFC Funding 2021-IV Ltd.                                                       | CIFC Funding Ltd., Series 2021-4A, Class AR                                           | CUSIP: 12547DAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1650000 | PA      | $1643276.97   | 0.16%             | 2037-07-23      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618AWHH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      84872 | PA      | $86556.54     | 0.01%             | 2053-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                                  | Morgan Stanley Capital I Trust, Series 2018-L1, Class C                               | CUSIP: 61691QAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     341000 | PA      | $312424.20    | 0.03%             | 2051-10-15      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                        | Celanese US Holdings LLC                                                              | CUSIP: 15089QAM6<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    2118000 | PA      | $2137070.07   | 0.20%             | 2027-07-15      | Fixed         | 6.41%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-2, Class M                     | CUSIP: 35563PKR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     539000 | PA      | $519629.69    | 0.05%             | 2058-08-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |   56609500 | PA      | $3117812.96   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                            | Mitsubishi UFJ Financial Group, Inc.                                                  | CUSIP: 606822AD6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     747000 | PA      | $744064.39    | 0.07%             | 2026-03-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                      | CSMC Trust, Series 2016-NXSR, Class XA                                                | CUSIP: 12594PAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   87898475 | PA      | $531126.54    | 0.05%             | 2049-12-15      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| Comision Federal de Electricidad                                                | Comision Federal de Electricidad                                                      | CUSIP: N/A<br>LEI: 4469000001BFPONMPF32       | Long             | DBT              | NUSS              | MX        |     400000 | PA      | $329790.40    | 0.03%             | 2033-07-26      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                           | Mexico Government Bond                                                                | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1050000 | PA      | $894503.40    | 0.09%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Station Place Securitization Trust                                              | Station Place Securitization Trust, Series 2024-5, Class A                            | CUSIP: 85778YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3620000 | PA      | $3618218.60   | 0.35%             | 2025-08-04      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2024-R02, Class 1M1                       | CUSIP: 20754GAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6852 | PA      | $6834.47      | 0.00%             | 2044-02-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2023-R01, Class 1M1                       | CUSIP: 207932AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16335 | PA      | $16723.05     | 0.00%             | 2042-12-25      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                      | FHLMC Pool, 30 Year                                                                   | CUSIP: 3132DM4H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     683439 | PA      | $577038.24    | 0.06%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO XVII Ltd.                                                  | Neuberger Berman CLO XVII Ltd., Series 2014-17A, Class AR3                            | CUSIP: 64129UCC7<br>LEI: 549300XVEYZNG956Y145 | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $997239.14    | 0.10%             | 2038-07-22      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140XMA55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4307658 | PA      | $4342632.19   | 0.42%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                               | Wells Fargo & Co.                                                                     | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    2647000 | PA      | $2723942.07   | 0.26%             | 2029-07-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                              | Crown Castle, Inc.                                                                    | CUSIP: 22822VAH4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     953000 | PA      | $932227.29    | 0.09%             | 2027-09-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2017-H10, Class MI                                                       | CUSIP: 38375UB25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6797792 | PA      | $201248.63    | 0.02%             | 2067-04-20      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| Alexander Funding Trust II                                                      | Alexander Funding Trust II                                                            | CUSIP: 014916AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     798000 | PA      | $847688.78    | 0.08%             | 2028-07-31      | Fixed         | 7.47%                 | No            |                  2 | On Loan: No      |
| Discovery Communications LLC                                                    | Discovery Communications LLC                                                          | CUSIP: 25470DAL3<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    1256000 | PA      | $1255214.82   | 0.12%             | 2026-03-11      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2022-R08, Class 1M1                       | CUSIP: 20755DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     397886 | PA      | $406154.49    | 0.04%             | 2042-07-25      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3138Y7CX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     560602 | PA      | $547749.40    | 0.05%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                        | U.S. Treasury Note                                                                    | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     186000 | PA      | $144721.02    | 0.01%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2024-R06, Class 1M1                       | CUSIP: 20755RAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24000 | PA      | $23973.55     | 0.00%             | 2044-09-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    6199000 | PA      | $75523.53     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                                                   | Equinix, Inc.                                                                         | CUSIP: 29444UBK1<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     268000 | PA      | $264261.60    | 0.03%             | 2025-09-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Ally Financial, Inc.                                                            | Ally Financial, Inc.                                                                  | CUSIP: 02005NBQ2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     382000 | PA      | $380375.20    | 0.04%             | 2027-06-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617JUUV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17603 | PA      | $18351.04     | 0.00%             | 2049-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                    | UBS Group AG                                                                          | CUSIP: 225401AQ1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    4913000 | PA      | $4900569.82   | 0.47%             | 2026-06-05      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| ServiceNow, Inc.                                                                | ServiceNow, Inc.                                                                      | CUSIP: 81762PAE2<br>LEI: 549300HJTQM36M0E1G39 | Long             | DBT              | CORP              | US        |     412000 | PA      | $353548.33    | 0.03%             | 2030-09-01      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2015-H25, Class AI                                                       | CUSIP: 38376RJD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7505199 | PA      | $110851.04    | 0.01%             | 2065-09-20      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| Proofpoint, Inc.                                                                | Proofpoint, Inc., First Lien, CME Term Loan                                           | CUSIP: 74345HAG6<br>LEI: 529900C5FODDK0WSR085 | Long             | LON              | CORP              | US        |     103159 | PA      | $102662.32    | 0.01%             | 2028-08-31      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| Alimentation Couche-Tard, Inc.                                                  | Alimentation Couche-Tard, Inc.                                                        | CUSIP: 01626PAH9<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |    1437000 | PA      | $1407578.72   | 0.13%             | 2027-07-26      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3138XZBL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     202356 | PA      | $194541.40    | 0.02%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                             | COMM Mortgage Trust, Series 2012-LC4, Class E                                         | CUSIP: 126192AL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1918000 | PA      | $244286.07    | 0.02%             | 2044-12-10      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                                              | Southern Co. (The)                                                                    | CUSIP: 842587DT1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     642000 | PA      | $664309.08    | 0.06%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| BANK                                                                            | BANK, Series 2018-BN13, Class XA                                                      | CUSIP: 06539LBC3<br>LEI: 549300664283JRAXM588 | Long             | ABS-MBS          | CORP              | US        |  166114717 | PA      | $2083277.89   | 0.20%             | 2061-08-15      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| Centene Corp.                                                                   | Centene Corp.                                                                         | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    1380000 | PA      | $1166652.69   | 0.11%             | 2031-08-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Alimentation Couche-Tard, Inc.                                                  | Alimentation Couche-Tard, Inc.                                                        | CUSIP: 01626PAM8<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     916000 | PA      | $847134.36    | 0.08%             | 2030-01-25      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3138WNBL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76716 | PA      | $69423.86     | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                             | Petroleos Mexicanos                                                                   | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |     200000 | PA      | $171557.17    | 0.02%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC, Series 4018, Class DI                                                          | CUSIP: 3137AMVW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     117779 | PA      | $2544.52      | 0.00%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2014-H11, Class GI                                                       | CUSIP: 38375UKB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17525462 | PA      | $433194.38    | 0.04%             | 2064-06-20      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Co. LLC                                                 | Oncor Electric Delivery Co. LLC                                                       | CUSIP: 68233JCM4<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    1648000 | PA      | $1454385.25   | 0.14%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F012452<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8000000 | PA      | $7063322.08   | 0.68%             | 2040-05-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SARL / JBS USA Food Co. / JBS USA Foods Group                       | JBS USA LUX SARL / JBS USA Food Co. / JBS USA Foods Group                             | CUSIP: 472140AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1040000 | PA      | $1071282.02   | 0.10%             | 2035-04-20      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                                 | WFRBS Commercial Mortgage Trust, Series 2013-C14, Class XA                            | CUSIP: 92890PAL8<br>LEI: 549300GADFYEKC4OLM57 | Long             | ABS-MBS          | CORP              | US        |    1511591 | PA      | $13.00        | 0.00%             | 2046-06-15      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XXXII Ltd.                                                         | Symphony CLO XXXII Ltd., Series 2022-32A, Class A1                                    | CUSIP: 87168NAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     750000 | PA      | $749066.13    | 0.07%             | 2035-04-23      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618F6AG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     288969 | PA      | $299121.83    | 0.03%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                         | Hyundai Capital America                                                               | CUSIP: 44891ACR6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    1195000 | PA      | $1248519.88   | 0.12%             | 2029-01-16      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EPR Properties                                                                  | EPR Properties                                                                        | CUSIP: 26884UAD1<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |     407000 | PA      | $400291.72    | 0.04%             | 2027-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Icon Investments Six DAC                                                        | Icon Investments Six DAC                                                              | CUSIP: 45115AAB0<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |     406000 | PA      | $415937.76    | 0.04%             | 2029-05-08      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617LSDS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     125330 | PA      | $120257.94    | 0.01%             | 2049-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| IPALCO Enterprises, Inc.                                                        | IPALCO Enterprises, Inc.                                                              | CUSIP: 462613AP5<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1431271.94   | 0.14%             | 2030-05-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Resecuritization Trust                                           | Morgan Stanley Resecuritization Trust, Series 2015-R4, Class CB1                      | CUSIP: 61690WAY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1331219 | PA      | $1325256.05   | 0.13%             | 2047-08-26      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | Morgan Stanley                                                                        | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1276000 | PA      | $1296451.29   | 0.12%             | 2029-02-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2022-HQA2, Class M1B                                  | CUSIP: 35564KB32<br>LEI: 5493000IRLADKYZNON28 | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $1053583.40   | 0.10%             | 2042-07-25      | Floating      | 8.35%                 | No            |                  2 | On Loan: No      |
| Power Finance Corp. Ltd.                                                        | Power Finance Corp. Ltd.                                                              | CUSIP: 73928RAB2<br>LEI: 3358003Q6D9LIJJZ1614 | Long             | DBT              | NUSS              | IN        |     350000 | PA      | $332352.36    | 0.03%             | 2030-04-23      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Gartner, Inc.                                                                   | Gartner, Inc.                                                                         | CUSIP: 366651AE7<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |    1063000 | PA      | $979527.71    | 0.09%             | 2030-10-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2016-H23, Class NI                                                       | CUSIP: 38376RA63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12171663 | PA      | $528858.78    | 0.05%             | 2066-10-20      | Variable      | 3.03%                 | No            |                  2 | On Loan: No      |
| Xcel Energy, Inc.                                                               | Xcel Energy, Inc.                                                                     | CUSIP: 98389BBA7<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |     880000 | PA      | $883884.14    | 0.08%             | 2033-08-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Aircastle Ltd. / Aircastle Ireland DAC                                          | Aircastle Ltd. / Aircastle Ireland DAC                                                | CUSIP: 00929JAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     695000 | PA      | $689422.30    | 0.07%             | 2030-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                             | COMM Mortgage Trust, Series 2014-CR19, Class D                                        | CUSIP: 12592GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     583126 | PA      | $561216.44    | 0.05%             | 2047-08-10      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| Enbridge, Inc.                                                                  | Enbridge, Inc.                                                                        | CUSIP: 29250NBH7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     456000 | PA      | $437931.71    | 0.04%             | 2026-10-04      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Huntsman International LLC                                                      | Huntsman International LLC                                                            | CUSIP: 44701QBE1<br>LEI: 3YTEJFW18LGIUQ2N5J61 | Long             | DBT              | CORP              | US        |    1371000 | PA      | $1292985.18   | 0.12%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                            | Royal Bank of Canada                                                                  | CUSIP: 780082AD5<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     922000 | PA      | $922134.31    | 0.09%             | 2026-01-27      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Station Place Securitization Trust                                              | Station Place Securitization Trust, Series 2024-2, Class A                            | CUSIP: 85770KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3840000 | PA      | $3843226.75   | 0.37%             | 2025-06-22      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   33000000 | PA      | $1964813.15   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2014-180                                                                 | CUSIP: 38379HVB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5869295 | PA      | $1173031.35   | 0.11%             | 2044-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Wyeth LLC                                                                       | Wyeth LLC                                                                             | CUSIP: 983024AN0<br>LEI: 549300Q9GR3WRH4N4836 | Long             | DBT              | CORP              | US        |     233000 | PA      | $245667.69    | 0.02%             | 2037-04-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                                            | Columbia Pipelines Operating Co. LLC                                                  | CUSIP: 19828TAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     574000 | PA      | $585516.05    | 0.06%             | 2053-11-15      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| CF Industries, Inc.                                                             | CF Industries, Inc.                                                                   | CUSIP: 12527GAH6<br>LEI: 5FVKT86LAD2F40NPC183 | Long             | DBT              | CORP              | US        |      42000 | PA      | $41946.17     | 0.00%             | 2026-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                             | GS Mortgage-Backed Securities Trust, Series 2024-RPL4, Class A1                       | CUSIP: 362948AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     483760 | PA      | $469641.00    | 0.04%             | 2061-09-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                            | American Tower Corp.                                                                  | CUSIP: 03027XBM1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    1651000 | PA      | $1469267.48   | 0.14%             | 2031-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                                                      | Mars, Inc.                                                                            | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     645000 | PA      | $647804.57    | 0.06%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| First-Citizens Bank & Trust Co.                                                 | First-Citizens Bank & Trust Co.                                                       | CUSIP: 125581GX0<br>LEI: L9VVX1KT5TFTKS0MLF66 | Long             | DBT              | CORP              | US        |    2279000 | PA      | $2352795.27   | 0.23%             | 2028-03-09      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| South Bow USA Infrastructure Holdings LLC                                       | South Bow USA Infrastructure Holdings LLC                                             | CUSIP: 83007CAC6<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    1325000 | PA      | $1314748.42   | 0.13%             | 2029-10-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Aramark Services, Inc.                                                          | Aramark Services, Inc.                                                                | CUSIP: 038522AQ1<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | DBT              | CORP              | US        |     109000 | PA      | $107363.31    | 0.01%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F022451<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $2788397.46   | 0.27%             | 2040-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA                                                                                  | CUSIP: 3140FXFM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2989288 | PA      | $2796861.50   | 0.27%             | 2057-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                                    | Pacific Gas and Electric Co.                                                          | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     545000 | PA      | $439654.73    | 0.04%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                          | Truist Financial Corp.                                                                | CUSIP: 89788MAR3<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    1143000 | PA      | $1168134.59   | 0.11%             | 2030-01-24      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140JS4K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55807 | PA      | $55369.29     | 0.01%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| McGraw-Hill Education, Inc.                                                     | McGraw-Hill Education, Inc.                                                           | CUSIP: 57767XAA8<br>LEI: 254900U6YJ9QZ4IQOR26 | Long             | DBT              | CORP              | US        |      52000 | PA      | $50993.19     | 0.00%             | 2028-08-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, 30 Year                                                                      | CUSIP: 3622ABZF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     620119 | PA      | $599095.16    | 0.06%             | 2052-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Huntsman International LLC                                                      | Huntsman International LLC                                                            | CUSIP: 44701QBG6<br>LEI: 3YTEJFW18LGIUQ2N5J61 | Long             | DBT              | CORP              | US        |    1720000 | PA      | $1552776.58   | 0.15%             | 2034-10-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA                                                                                  | CUSIP: 31418BPA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65374 | PA      | $62207.50     | 0.01%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II                                                                               | CUSIP: 36186JHQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2924 | PA      | $2909.84      | 0.00%             | 2065-06-20      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                                   | UBS Commercial Mortgage Trust, Series 2017-C7, Class XA                               | CUSIP: 90276WAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   56055397 | PA      | $1224799.21   | 0.12%             | 2050-12-15      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, Series 409, Class C24                                                           | CUSIP: 3136FLFT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3183407 | PA      | $664777.61    | 0.06%             | 2042-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618B5KJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41001 | PA      | $41475.95     | 0.00%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2023-66, Class PS                                                        | CUSIP: 38384ARL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3019753 | PA      | $3220271.46   | 0.31%             | 2053-05-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| Georgia Power Co.                                                               | Georgia Power Co.                                                                     | CUSIP: 373334KT7<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     829000 | PA      | $827424.95    | 0.08%             | 2033-05-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CenterPoint Energy Resources Corp.                                              | CenterPoint Energy Resources Corp.                                                    | CUSIP: 15189WAS9<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |     469000 | PA      | $474284.97    | 0.05%             | 2034-07-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F052656<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -63000000 | PA      | $-62873840.61 | -6.02%            | 2055-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                                                    | CaixaBank SA                                                                          | CUSIP: 12803RAG9<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     810000 | PA      | $835678.93    | 0.08%             | 2030-03-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| Taylor Morrison Communities, Inc.                                               | Taylor Morrison Communities, Inc.                                                     | CUSIP: 87724RAJ1<br>LEI: 549300O1Z08HI2MRK572 | Long             | DBT              | CORP              | US        |     255000 | PA      | $247304.99    | 0.02%             | 2030-08-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Warnermedia Holdings, Inc.                                                      | Warnermedia Holdings, Inc.                                                            | CUSIP: 55903VBC6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    1648000 | PA      | $1411742.11   | 0.14%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Hayfin US XIV Ltd.                                                              | Hayfin US XIV Ltd., Series 2021-14A, Class A1                                         | CUSIP: 42088AAA2<br>LEI: 5493000YWK38UXBNS724 | Long             | ABS-CBDO         | CORP              | KY        |    1650000 | PA      | $1652495.91   | 0.16%             | 2034-07-20      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                                                             | Fifth Third Bancorp                                                                   | CUSIP: 316773DK3<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |     591000 | PA      | $619910.81    | 0.06%             | 2029-07-27      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| Australia & New Zealand Banking Group Ltd.                                      | Australia & New Zealand Banking Group Ltd.                                            | CUSIP: 052528AK2<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |     482000 | PA      | $480224.12    | 0.05%             | 2026-05-19      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CNA Financial Corp.                                                             | CNA Financial Corp.                                                                   | CUSIP: 126117AY6<br>LEI: 549300YX2GSZD7YG1R84 | Long             | DBT              | CORP              | US        |     537000 | PA      | $530567.95    | 0.05%             | 2034-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner Trust                                              | Honda Auto Receivables Owner Trust, Series 2023-3, Class A3                           | CUSIP: 43815QAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3273000 | PA      | $3297322.32   | 0.32%             | 2028-02-18      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F022659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   34000000 | PA      | $28270431.18  | 2.71%             | 2055-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Dominican Republic                                                              | Dominican Republic Government Bond                                                    | CUSIP: N/A<br>LEI: 254900EHU7Q8FGVPI369       | Long             | DBT              | NUSS              | DO        |     640000 | PA      | $576160.00    | 0.06%             | 2032-09-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2023-HQA3, Class M1                                   | CUSIP: 35564K3G2<br>LEI: 529900ZTXRUUVE8G8W08 | Long             | ABS-MBS          | CORP              | US        |      28326 | PA      | $28469.30     | 0.00%             | 2043-11-25      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                                 | BRAVO Residential Funding Trust, Series 2021-HE2, Class B1                            | CUSIP: 10569CAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3000000 | PA      | $2993048.70   | 0.29%             | 2069-11-25      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                            | JPMorgan Chase & Co.                                                                  | CUSIP: 46647PEW2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     636000 | PA      | $647350.89    | 0.06%             | 2036-01-24      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Hewlett Packard Enterprise Co.                                                  | Hewlett Packard Enterprise Co.                                                        | CUSIP: 42824CBW8<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |     913000 | PA      | $842927.40    | 0.08%             | 2054-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617LELG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     361196 | PA      | $324508.69    | 0.03%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wachovia Bank Commercial Mortgage Trust                                         | Wachovia Bank Commercial Mortgage Trust, Series 2006-C29                              | CUSIP: 92978PAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      64155 | PA      | $151.03       | 0.00%             | 2048-11-15      | Variable      | 0.49%                 | No            |                  2 | On Loan: No      |
| Virginia Electric and Power Co.                                                 | Virginia Electric and Power Co.                                                       | CUSIP: 927804GR9<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     691000 | PA      | $684184.34    | 0.07%             | 2034-08-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Petronas Capital Ltd.                                                           | Petronas Capital Ltd.                                                                 | CUSIP: 716743AV1<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |     230000 | PA      | $233479.21    | 0.02%             | 2031-01-03      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Waste Connections, Inc.                                                         | Waste Connections, Inc.                                                               | CUSIP: 94106BAG6<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |    1036000 | PA      | $1040249.82   | 0.10%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                      | FHLMC Pool, 30 Year                                                                   | CUSIP: 3132E0K27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1590782 | PA      | $1599180.76   | 0.15%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Petrobras Global Finance BV                                                     | Petrobras Global Finance BV                                                           | CUSIP: 71647NBK4<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |     100000 | PA      | $101140.00    | 0.01%             | 2033-07-03      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                                         | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL4, Class A1                   | CUSIP: 79584CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1898000 | PA      | $1902154.72   | 0.18%             | 2030-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                                 | WFRBS Commercial Mortgage Trust, Series 2014-C23, Class XA                            | CUSIP: 92939HBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5157489 | PA      | $35.59        | 0.00%             | 2057-10-15      | Variable      | 0.21%                 | No            |                  2 | On Loan: No      |
| Ohio State University (The)                                                     | Ohio State University (The), Series 2010 C                                            | CUSIP: 677632MV0<br>LEI: JFC10ZULKO4X2E3HBY86 | Long             | DBT              | MUN               | US        |     845000 | PA      | $830539.68    | 0.08%             | 2040-06-01      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA                                                                                  | CUSIP: 3138YGXW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76962 | PA      | $73233.67     | 0.01%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 15 Year                                                                         | CUSIP: 3140QNJP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1661604 | PA      | $1526233.74   | 0.15%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                                    | AbbVie, Inc.                                                                          | CUSIP: 00287YDU0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     261000 | PA      | $263288.37    | 0.03%             | 2034-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| KKR CLO 52 Ltd.                                                                 | KKR CLO 52 Ltd., Series 2023-52A, Class A2                                            | CUSIP: 48255XAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250901.40    | 0.02%             | 2036-07-16      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| Republic of Indonesia                                                           | Indonesia Government Bond                                                             | CUSIP: N/A<br>LEI: 529900FWX0GRR7WG5W79       | Long             | DBT              | NUSS              | ID        |     675000 | PA      | $674540.41    | 0.06%             | 2027-01-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617JJVH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14764 | PA      | $15190.40     | 0.00%             | 2049-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617KGPP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11839 | PA      | $11666.80     | 0.00%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617JSVJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     199778 | PA      | $181706.84    | 0.02%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                           | Wells Fargo Commercial Mortgage Trust, Series 2019-C50, Class XA                      | CUSIP: 95001XBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   42667216 | PA      | $1795223.11   | 0.17%             | 2052-05-15      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3138YND46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     274905 | PA      | $268016.24    | 0.03%             | 2045-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Berry Global, Inc.                                                              | Berry Global, Inc.                                                                    | CUSIP: 08576PAH4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |     715000 | PA      | $697269.48    | 0.07%             | 2026-01-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| BDS Ltd.                                                                        | BDS Ltd., Series 2021-FL9, Class A                                                    | CUSIP: 05493NAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     131706 | PA      | $130908.88    | 0.01%             | 2038-11-16      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                             | COMM Mortgage Trust, Series 2019-GC44, Class XA                                       | CUSIP: 12655TBN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   84787096 | PA      | $1670729.74   | 0.16%             | 2057-08-15      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140MWH66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     725649 | PA      | $714613.00    | 0.07%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2009-79, Class IC                                                        | CUSIP: 38376CM30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2398304 | PA      | $278220.34    | 0.03%             | 2039-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                           | Wells Fargo Commercial Mortgage Trust, Series 2018-C46, Class C                       | CUSIP: 95001QAZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     412000 | PA      | $380344.43    | 0.04%             | 2051-08-15      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities, Series 2016-C01, Class 1M2                        | CUSIP: 30711XBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      11526 | PA      | $11888.74     | 0.00%             | 2028-08-25      | Floating      | 11.22%                | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC / Charter Communications Operating Capital | Charter Communications Operating LLC / Charter Communications Operating Capital Corp. | CUSIP: 161175BR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     299000 | PA      | $298712.74    | 0.03%             | 2029-03-30      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| United States of America                                                        | U.S. Treasury Bond                                                                    | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     171000 | PA      | $173190.85    | 0.02%             | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| DuPont de Nemours, Inc.                                                         | DuPont de Nemours, Inc.                                                               | CUSIP: 26078JAF7<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |    1969000 | PA      | $1924649.99   | 0.18%             | 2048-11-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   37620500 | PA      | $1387120.24   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Protective Life Global Funding                                                  | Protective Life Global Funding                                                        | CUSIP: 74368CBV5<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |     885000 | PA      | $918382.79    | 0.09%             | 2028-12-08      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, Series 2021-12, Class NI                                                        | CUSIP: 3136BFHG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24023238 | PA      | $3973450.83   | 0.38%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618AWHG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     124500 | PA      | $127814.63    | 0.01%             | 2053-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3138W1SQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30840 | PA      | $28023.93     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                 | Goldman Sachs Group, Inc. (The), Series U                                             | CUSIP: 38144GAG6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     350000 | PA      | $335409.83    | 0.03%             | 2026-08-10      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | U.S. Treasury 10 Year Ultra Notes                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        551 | NC      | $1129720.25   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Crown Castle, Inc.                                                              | Crown Castle, Inc.                                                                    | CUSIP: 22822VBF7<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    1151000 | PA      | $1154197.45   | 0.11%             | 2029-09-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Brunswick Corp.                                                                 | Brunswick Corp.                                                                       | CUSIP: 117043AV1<br>LEI: YM4O38W15AX4YLLQKU27 | Long             | DBT              | CORP              | US        |    1039000 | PA      | $772620.44    | 0.07%             | 2052-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Howmet Aerospace, Inc.                                                          | Howmet Aerospace, Inc.                                                                | CUSIP: 443201AB4<br>LEI: 549300HO5WFZUT5N2T22 | Long             | DBT              | CORP              | US        |    1183000 | PA      | $1125154.49   | 0.11%             | 2029-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2021-91, Class AI                                                        | CUSIP: 38382TNG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15691150 | PA      | $2924827.29   | 0.28%             | 2051-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617GPMJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     146303 | PA      | $142166.77    | 0.01%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617JJ4U7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32850 | PA      | $34425.05     | 0.00%             | 2049-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2021-HQA4, Class M1                                   | CUSIP: 35564KNK1<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | CORP              | US        |      31223 | PA      | $31002.76     | 0.00%             | 2041-12-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2021-DNA7, Class M2                                   | CUSIP: 35564KMH9<br>LEI: 5493000ISOMSKCX2AW62 | Long             | ABS-MBS          | CORP              | US        |     394000 | PA      | $395477.82    | 0.04%             | 2041-11-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO 2 Ltd.                                                          | Birch Grove CLO 2 Ltd., Series 2021-2A, Class A1R                                     | CUSIP: 09077LAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1750000 | PA      | $1754439.08   | 0.17%             | 2037-10-19      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                       | Towd Point Mortgage Trust, Series 2018-5, Class M1                                    | CUSIP: 89176VAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     209000 | PA      | $175583.43    | 0.02%             | 2058-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | CDSCMBX                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     953000 | PA      | $-409174.16   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618FFB70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     657273 | PA      | $692969.51    | 0.07%             | 2053-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CNO Financial Group, Inc.                                                       | CNO Financial Group, Inc.                                                             | CUSIP: 12621EAM5<br>LEI: 11XPYHB76MPM4Y4P2897 | Long             | DBT              | CORP              | US        |    1875000 | PA      | $1936422.34   | 0.19%             | 2034-06-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                      | FHLMC Pool, 30 Year                                                                   | CUSIP: 3132A4SB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     105870 | PA      | $107237.55    | 0.01%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Carnival Corp.                                                                  | Carnival Corp.                                                                        | CUSIP: 143658BQ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    2416000 | PA      | $2305939.12   | 0.22%             | 2028-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                        | COLT Mortgage Loan Trust, Series 2021-1, Class B1                                     | CUSIP: 19688EAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2996000 | PA      | $2180072.36   | 0.21%             | 2066-06-25      | Variable      | 3.14%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | Morgan Stanley                                                                        | CUSIP: 61747YFM2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1201000 | PA      | $1209610.09   | 0.12%             | 2039-02-07      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                                      | Aviation Capital Group LLC                                                            | CUSIP: 05369AAS0<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     960000 | PA      | $950588.56    | 0.09%             | 2030-04-10      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| International Flavors & Fragrances, Inc.                                        | International Flavors & Fragrances, Inc.                                              | CUSIP: 459506AL5<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |     302000 | PA      | $251570.77    | 0.02%             | 2048-09-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                            | JPMorgan Chase & Co.                                                                  | CUSIP: 46647PEK8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1354000 | PA      | $1356688.18   | 0.13%             | 2035-07-22      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                    | Oracle Corp.                                                                          | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     330000 | PA      | $238546.30    | 0.02%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                           | Athene Global Funding                                                                 | CUSIP: 04685A4D0<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     871000 | PA      | $870055.64    | 0.08%             | 2031-11-13      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 17 Ltd.                                                               | AIMCO CLO 17 Ltd., Series 2022-17A, Class A1R                                         | CUSIP: 00889JAK0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    1850000 | PA      | $1854378.14   | 0.18%             | 2037-07-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                                 | CFCRE Commercial Mortgage Trust, Series 2011-C2, Class E                              | CUSIP: 12527DAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     175000 | PA      | $162593.11    | 0.02%             | 2047-12-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Tapestry, Inc.                                                                  | Tapestry, Inc.                                                                        | CUSIP: 876030AL1<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |     841000 | PA      | $819481.22    | 0.08%             | 2035-03-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618BQLU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     317389 | PA      | $320314.63    | 0.03%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                           | Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class AS                      | CUSIP: 94989WAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     712000 | PA      | $704607.45    | 0.07%             | 2048-11-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                                    | AbbVie, Inc.                                                                          | CUSIP: 00287YDS5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    1018000 | PA      | $1038506.57   | 0.10%             | 2029-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                                                        | South Africa Government Bond                                                          | CUSIP: 836205BA1<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     330000 | PA      | $311401.61    | 0.03%             | 2029-09-30      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2024-DNA1, Class A1                                   | CUSIP: 35564NAW3<br>LEI: 529900N6M839KA246662 | Long             | ABS-MBS          | CORP              | US        |     110273 | PA      | $110399.24    | 0.01%             | 2044-02-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   17226000 | PA      | $911076.69    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Georgia-Pacific LLC                                                             | Georgia-Pacific LLC                                                                   | CUSIP: 37331NAN1<br>LEI: L2EVHWFHVAQK72TMH265 | Long             | DBT              | CORP              | US        |     457000 | PA      | $441110.83    | 0.04%             | 2026-05-15      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                            | American Tower Corp.                                                                  | CUSIP: 03027XAX8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    1724000 | PA      | $1675246.33   | 0.16%             | 2027-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    8620800 | PA      | $362967.72    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JBS USA Holding Lux SARL / JBS USA Food Co. / JBS Lux Co. SARL                  | JBS USA Holding Lux SARL / JBS USA Food Co. / JBS Lux Co. SARL                        | CUSIP: 46590XAY2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     300000 | PA      | $306439.16    | 0.03%             | 2033-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                                  | Broadcom, Inc.                                                                        | CUSIP: 11135FBX8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     434000 | PA      | $442624.15    | 0.04%             | 2029-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 21H032654<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7000000 | PA      | $6359916.85   | 0.61%             | 2055-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2012-136                                                                 | CUSIP: 38377X4D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4971891 | PA      | $671990.31    | 0.06%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BA Credit Card Trust                                                            | BA Credit Card Trust, Series 2024-A1, Class A                                         | CUSIP: 05522RDJ4<br>LEI: 5493006DQ60M1CRKHH19 | Long             | ABS-O            | CORP              | US        |    5680000 | PA      | $5777703.95   | 0.55%             | 2029-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd.                                                          | Palmer Square CLO Ltd., Series 2021-3A, Class B                                       | CUSIP: 69688FAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2925000 | PA      | $2930537.26   | 0.28%             | 2035-01-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2015-53, Class MI                                                        | CUSIP: 38379LL46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5492895 | PA      | $1096707.01   | 0.11%             | 2045-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CNO Global Funding                                                              | CNO Global Funding                                                                    | CUSIP: 18977W2C3<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |     307000 | PA      | $285443.40    | 0.03%             | 2029-01-06      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                                                   | Equinix, Inc.                                                                         | CUSIP: 29444UBE5<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    2563000 | PA      | $2412827.55   | 0.23%             | 2029-11-18      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                              | General Motors Financial Co., Inc.                                                    | CUSIP: 37045XEN2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    1056000 | PA      | $1078100.76   | 0.10%             | 2029-01-07      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    8000000 | PA      | $461621.60    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2022-DNA4, Class M1A                                  | CUSIP: 35564KWS4<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | CORP              | US        |      22980 | PA      | $23337.87     | 0.00%             | 2042-05-25      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                                     | Capital One Financial Corp.                                                           | CUSIP: 14040HDC6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    1068000 | PA      | $1190294.75   | 0.11%             | 2031-10-30      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                      | FHLMC Pool, 30 Year                                                                   | CUSIP: 31346YWY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5811 | PA      | $5642.31      | 0.00%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                              | Ellington Financial Mortgage Trust, Series 2020-1, Class A2                           | CUSIP: 31574PAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     131000 | PA      | $128116.31    | 0.01%             | 2065-05-25      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| Snap, Inc.                                                                      | Snap, Inc.                                                                            | CUSIP: 83304AAL0<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $999580.40    | 0.10%             | 2033-03-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                                      | AT&T, Inc.                                                                            | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     305000 | PA      | $284727.48    | 0.03%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-15170.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 36179XS80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     930273 | PA      | $825830.17    | 0.08%             | 2053-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618AQUN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     254412 | PA      | $262487.51    | 0.03%             | 2053-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Vertiv Group Corp.                                                              | Vertiv Group Corp.                                                                    | CUSIP: 92535UAB0<br>LEI: 549300ZT8RQ5VK10E643 | Long             | DBT              | CORP              | US        |    1555000 | PA      | $1503608.18   | 0.14%             | 2028-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                                | Paramount Global                                                                      | CUSIP: 92556HAB3<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     215000 | PA      | $208077.49    | 0.02%             | 2031-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 20 Year                                                                         | CUSIP: 31418D6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6858594 | PA      | $5636709.88   | 0.54%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                      | FHLMC Pool, 30 Year                                                                   | CUSIP: 3133KGGK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     160652 | PA      | $151513.29    | 0.01%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Corebridge Global Funding                                                       | Corebridge Global Funding                                                             | CUSIP: 00138CBA5<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |     917000 | PA      | $933259.86    | 0.09%             | 2029-06-24      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3138ET7G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1485275 | PA      | $1400561.57   | 0.13%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DP World Salaam                                                                 | DP World Salaam                                                                       | CUSIP: N/A<br>LEI: 549300SUYBT9X88E9435       | Long             | DBT              | CORP              | KY        |     310000 | PA      | $309728.75    | 0.03%             | 2025-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618FDLL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2515726 | PA      | $2595898.49   | 0.25%             | 2053-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                  | BNP Paribas SA                                                                        | CUSIP: 05565AAR4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     636000 | PA      | $632118.94    | 0.06%             | 2026-05-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Truist Bank                                                                     | Truist Bank                                                                           | CUSIP: 07330MAC1<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |     410000 | PA      | $401447.76    | 0.04%             | 2029-09-17      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 21H052652<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31000000 | PA      | $30993096.61  | 2.97%             | 2055-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federative Republic of Brazil                                                   | Brazil Government Bond                                                                | CUSIP: 105756CC2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     288000 | PA      | $269326.95    | 0.03%             | 2030-06-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                             | COMM Mortgage Trust, Series 2014-CR17, Class C                                        | CUSIP: 12631DBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     634000 | PA      | $582300.47    | 0.06%             | 2047-05-10      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Howmet Aerospace, Inc.                                                          | Howmet Aerospace, Inc.                                                                | CUSIP: 013817AK7<br>LEI: 549300HO5WFZUT5N2T22 | Long             | DBT              | CORP              | US        |     453000 | PA      | $471960.77    | 0.05%             | 2037-02-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                                 | CFCRE Commercial Mortgage Trust, Series 2011-C2, Class D                              | CUSIP: 12527DAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     113793 | PA      | $109906.23    | 0.01%             | 2047-12-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2014-102, Class IG                                                       | CUSIP: 38379CU79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     474983 | PA      | $10788.57     | 0.00%             | 2041-03-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, 30 Year                                                                      | CUSIP: 3622ACN55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1276184 | PA      | $1297353.50   | 0.12%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2021-DNA5, Class M2                                   | CUSIP: 35564KHE2<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | CORP              | US        |      17845 | PA      | $17904.24     | 0.00%             | 2034-01-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                      | FHLMC Pool, 30 Year                                                                   | CUSIP: 3132E0JF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4468425 | PA      | $4506359.43   | 0.43%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                             | COMM Mortgage Trust, Series 2014-UBS6, Class C                                        | CUSIP: 12592PBL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     264063 | PA      | $260861.08    | 0.02%             | 2047-12-10      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                                    | Pacific Gas and Electric Co.                                                          | CUSIP: 694308KG1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1117000 | PA      | $1132791.04   | 0.11%             | 2032-06-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2020-151, Class MI                                                       | CUSIP: 38382J3Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25213627 | PA      | $3832831.79   | 0.37%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC, Series 3391                                                                    | CUSIP: 31397P6U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29671 | PA      | $25795.83     | 0.00%             | 2037-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                            | Glencore Funding LLC                                                                  | CUSIP: 378272BU1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     984000 | PA      | $984588.34    | 0.09%             | 2034-04-04      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA                                                                                  | CUSIP: 3140FXDF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2024261 | PA      | $1829248.62   | 0.18%             | 2056-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO XXXII Ltd.                                                      | Sound Point CLO XXXII Ltd., Series 2021-4A, Class A                                   | CUSIP: 83616AAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1000265.96   | 0.10%             | 2034-10-25      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618BWHX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33270 | PA      | $33585.59     | 0.00%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2019-H14, Class IB                                                       | CUSIP: 38380LYU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11599517 | PA      | $523961.79    | 0.05%             | 2069-08-20      | Variable      | 2.58%                 | No            |                  2 | On Loan: No      |
| Medline Borrower LP                                                             | Medline Borrower LP                                                                   | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |     115000 | PA      | $107389.78    | 0.01%             | 2029-04-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3138Y7FF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54558 | PA      | $50078.71     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                      | FHLMC Pool, 30 Year                                                                   | CUSIP: 3131XVET8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     207685 | PA      | $191875.35    | 0.02%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Venture XIX CLO Ltd.                                                            | Venture XIX CLO Ltd., Series 2014-19A, Class ARR                                      | CUSIP: 92330EAP2<br>LEI: 549300KIDQKDB48YU144 | Long             | ABS-CBDO         | CORP              | KY        |     152198 | PA      | $152402.11    | 0.01%             | 2032-01-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Franklin Ultra Short Bond ETF                                                   | Franklin Ultra Short Bond ETF                                                         | CUSIP: 35473P496<br>LEI: 549300C2WYDHE3Y9X469 | Long             |  | RF                | US        |     691980 | NS      | $17289120.30  | 1.66%             |  |  |  | No            |                  1 | On Loan: No      |
| Prologis LP                                                                     | Prologis LP                                                                           | CUSIP: 74340XCJ8<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |     987000 | PA      | $978412.44    | 0.09%             | 2034-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3138XW2X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     205185 | PA      | $200946.52    | 0.02%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                                                             | Fifth Third Bancorp                                                                   | CUSIP: 316773DM9<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |     470000 | PA      | $469026.14    | 0.04%             | 2030-09-06      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | DTRS                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    9100000 | PA      | $103583.59    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                           | Wells Fargo Commercial Mortgage Trust, Series 2017-C41, Class XA                      | CUSIP: 95001ABE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   76326553 | PA      | $1755571.78   | 0.17%             | 2050-11-15      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| Chobani LLC                                                                     | Chobani LLC, First Lien, 2025 New CME Term Loan                                       | CUSIP: 17026YAK5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1390000 | PA      | $1391445.60   | 0.13%             | 2027-10-25      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618AWHW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     208818 | PA      | $210665.37    | 0.02%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Allegro CLO XII Ltd.                                                            | Allegro CLO XII Ltd., Series 2020-1A, Class A1R                                       | CUSIP: 01750TAN6<br>LEI: 254900E0ZQX4DLP7HF87 | Long             | ABS-CBDO         | CORP              | KY        |     800000 | PA      | $800178.60    | 0.08%             | 2037-07-21      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                                                     | ONEOK, Inc.                                                                           | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     665000 | PA      | $648944.54    | 0.06%             | 2031-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Ryder System, Inc.                                                              | Ryder System, Inc.                                                                    | CUSIP: 78355HLC1<br>LEI: ZXJ6Y2OSPZXIVGRILD15 | Long             | DBT              | CORP              | US        |     759000 | PA      | $765331.59    | 0.07%             | 2029-09-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Wise CLO Ltd.                                                                   | Wise CLO Ltd., Series 2024-2A, Class A                                                | CUSIP: 97718GAA1<br>LEI: 254900UJ1RZE30CBZ497 | Long             | ABS-CBDO         | CORP              | KY        |     750000 | PA      | $748126.87    | 0.07%             | 2037-07-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA I, Single-family, 30 Year                                                        | CUSIP: 36213GNT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5684 | PA      | $5738.08      | 0.00%             | 2031-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                                | CVS Health Corp.                                                                      | CUSIP: 126650EH9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    1425000 | PA      | $1445018.98   | 0.14%             | 2055-03-10      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617KJW67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36240 | PA      | $36254.70     | 0.00%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                             | COMM Mortgage Trust, Series 2014-CR17, Class D                                        | CUSIP: 12631DAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     233000 | PA      | $190567.21    | 0.02%             | 2047-05-10      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                | Boeing Co. (The)                                                                      | CUSIP: 097023AU9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1472000 | PA      | $1528078.93   | 0.15%             | 2033-02-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                        | Angel Oak Mortgage Trust, Series 2024-9, Class A1                                     | CUSIP: 03466JAA7<br>LEI: 254900O3R79X1AD55F36 | Long             | ABS-MBS          | CORP              | US        |     870049 | PA      | $865906.96    | 0.08%             | 2069-09-25      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Republic of Bulgaria                                                            | Bulgaria Government Bond                                                              | CUSIP: N/A<br>LEI: 529900PG0XCL4LICL838       | Long             | DBT              | NUSS              | BG        |     300000 | PA      | $290704.46    | 0.03%             | 2037-03-05      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                                 | TransDigm, Inc., First Lien, CME Term Loan, L                                         | CUSIP: 89364MCD4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1074600 | PA      | $1064917.85   | 0.10%             | 2032-01-19      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                          | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class E     | CUSIP: 46639YAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2038000 | PA      | $88805.85     | 0.01%             | 2046-04-15      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                                        | U.S. Treasury Note                                                                    | CUSIP: 912810PX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     135000 | PA      | $137343.47    | 0.01%             | 2038-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                                 | Citigroup, Inc., Series X                                                             | CUSIP: 172967MV0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1275000 | PA      | $1243198.25   | 0.12%             | 2026-02-18      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140H25H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62242 | PA      | $58969.17     | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KazMunayGas National Co. JSC                                                    | KazMunayGas National Co. JSC                                                          | CUSIP: N/A<br>LEI: 2138001H1M69RFJCSH88       | Long             | DBT              | CORP              | KZ        |     400000 | PA      | $391544.50    | 0.04%             | 2030-04-24      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Illumina, Inc.                                                                  | Illumina, Inc.                                                                        | CUSIP: 452327AQ2<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |     819000 | PA      | $819380.36    | 0.08%             | 2026-09-09      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Gartner, Inc.                                                                   | Gartner, Inc.                                                                         | CUSIP: 366651AG2<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |     185000 | PA      | $173702.59    | 0.02%             | 2029-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140XJJM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3238794 | PA      | $3183341.38   | 0.30%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                                                      | Mars, Inc.                                                                            | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     495000 | PA      | $499212.08    | 0.05%             | 2032-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618AVGQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     267272 | PA      | $273558.80    | 0.03%             | 2053-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                                                   | Enel Finance International NV                                                         | CUSIP: 29278GAP3<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     785000 | PA      | $682766.43    | 0.07%             | 2031-07-12      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 21H050656<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4000000 | PA      | $3924642.76   | 0.38%             | 2055-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Hewlett Packard Enterprise Co.                                                  | Hewlett Packard Enterprise Co.                                                        | CUSIP: 42824CBT5<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |     786000 | PA      | $778899.02    | 0.07%             | 2029-10-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618BTAG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     183961 | PA      | $186447.09    | 0.02%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618BLVN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29175 | PA      | $29462.51     | 0.00%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                                    | Barclays plc                                                                          | CUSIP: 06738ECY9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    1190000 | PA      | $1206337.43   | 0.12%             | 2031-02-25      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Republic of Guatemala                                                           | Guatemala Government Bond                                                             | CUSIP: 401494AX7<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |     320000 | PA      | $336516.80    | 0.03%             | 2032-10-04      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618FDLN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1201982 | PA      | $1228071.47   | 0.12%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617BPYV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     224253 | PA      | $206440.82    | 0.02%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3138EGE26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27075 | PA      | $28350.23     | 0.00%             | 2040-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |    2571400 | PA      | $35045.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                                        | PNC Financial Services Group, Inc. (The)                                              | CUSIP: 693475BE4<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    2951000 | PA      | $2794459.54   | 0.27%             | 2033-06-06      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                                     | Amgen, Inc.                                                                           | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     686000 | PA      | $658893.68    | 0.06%             | 2053-03-02      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                                  | Morgan Stanley Capital I Trust, Series 2018-H4, Class XA                              | CUSIP: 61691RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   51852312 | PA      | $1274830.58   | 0.12%             | 2051-12-15      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2022-R05, Class 2M1                       | CUSIP: 20754DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     655323 | PA      | $657470.02    | 0.06%             | 2042-04-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617KGNP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16949 | PA      | $16722.38     | 0.00%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F062655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $1029925.81   | 0.10%             | 2055-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PG&E Corp.                                                                      | PG&E Corp.                                                                            | CUSIP: 69331CAJ7<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |     115000 | PA      | $110891.21    | 0.01%             | 2030-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M                     | CUSIP: 35563PLU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3845934 | PA      | $3751995.94   | 0.36%             | 2058-10-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140QNEP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     717965 | PA      | $577202.19    | 0.06%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2020-112, Class MS                                                       | CUSIP: 38382HLM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4351512 | PA      | $657625.74    | 0.06%             | 2050-08-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Kinetik Holdings LP                                                             | Kinetik Holdings LP                                                                   | CUSIP: 49461MAA8<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |     105000 | PA      | $102697.87    | 0.01%             | 2030-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                           | Wells Fargo Commercial Mortgage Trust, Series 2015-LC20, Class C                      | CUSIP: 94989EAL1<br>LEI: 549300W6NRTMFPYUPG47 | Long             | ABS-MBS          | CORP              | US        |     731649 | PA      | $702376.13    | 0.07%             | 2050-04-15      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | CDSCMBX                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     904000 | PA      | $18929.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Petronas Capital Ltd.                                                           | Petronas Capital Ltd.                                                                 | CUSIP: 716743AV1<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |     200000 | PA      | $203025.40    | 0.02%             | 2031-01-03      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2022-DNA6, Class M1B                                  | CUSIP: 35564KH44<br>LEI: 5493000IS30HKV5IAS29 | Long             | ABS-MBS          | CORP              | US        |      27000 | PA      | $28290.15     | 0.00%             | 2042-09-25      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| Commercial Metals Co.                                                           | Commercial Metals Co.                                                                 | CUSIP: 201723AR4<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |     115000 | PA      | $104627.23    | 0.01%             | 2032-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust                                     | MF1 Multi-family Housing Mortgage Loan Trust, Series 2021-FL5, Class A                | CUSIP: 55282XAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      53479 | PA      | $53340.32     | 0.01%             | 2036-07-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Intesa Sanpaolo SpA                                                             | Intesa Sanpaolo SpA                                                                   | CUSIP: 46115HBQ9<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    1520000 | PA      | $1360258.69   | 0.13%             | 2032-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| VICI Properties LP / VICI Note Co., Inc.                                        | VICI Properties LP / VICI Note Co., Inc.                                              | CUSIP: 92564RAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1605000 | PA      | $1580774.45   | 0.15%             | 2028-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3138WHFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     294947 | PA      | $264191.14    | 0.03%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                                                      | US Bancorp                                                                            | CUSIP: 91159HJB7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     734000 | PA      | $607650.86    | 0.06%             | 2036-11-03      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| Carnival Corp.                                                                  | Carnival Corp.                                                                        | CUSIP: 143658BQ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     798000 | PA      | $761647.11    | 0.07%             | 2028-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2024-R06, Class 1A1                       | CUSIP: 20755RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     111311 | PA      | $111152.73    | 0.01%             | 2044-09-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| KKR Group Finance Co. VI LLC                                                    | KKR Group Finance Co. VI LLC                                                          | CUSIP: 48252AAA9<br>LEI: 549300TUJWGHJM3FSJ07 | Long             | DBT              | CORP              | US        |    1161000 | PA      | $1122747.12   | 0.11%             | 2029-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                                                   | Enel Finance International NV                                                         | CUSIP: 29278GBA5<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    1255000 | PA      | $1420808.19   | 0.14%             | 2032-10-14      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                                            | Colombia Government Bond                                                              | CUSIP: 195325DL6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     200000 | PA      | $195340.00    | 0.02%             | 2027-04-25      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Brunswick Corp.                                                                 | Brunswick Corp.                                                                       | CUSIP: 117043AT6<br>LEI: YM4O38W15AX4YLLQKU27 | Long             | DBT              | CORP              | US        |     867000 | PA      | $707371.48    | 0.07%             | 2031-08-18      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  535891000 | PA      | $4057622.25   | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M2                       | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1549000 | PA      | $1581272.95   | 0.15%             | 2042-01-25      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617JJ2S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24967 | PA      | $25997.47     | 0.00%             | 2049-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140KXMJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     208103 | PA      | $175104.02    | 0.02%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2023-R07, Class 2M1                       | CUSIP: 20753BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31416 | PA      | $31611.56     | 0.00%             | 2043-09-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Rogers Communications, Inc.                                                     | Rogers Communications, Inc.                                                           | CUSIP: 775109AX9<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     348000 | PA      | $288739.59    | 0.03%             | 2043-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618AWHF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     166197 | PA      | $170744.68    | 0.02%             | 2053-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                 | Intercontinental Exchange, Inc.                                                       | CUSIP: 45866FAN4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     400000 | PA      | $327903.36    | 0.03%             | 2032-09-15      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617JSDT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21750 | PA      | $21575.99     | 0.00%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Targa Resources Partners LP / Targa Resources Partners Finance Corp.            | Targa Resources Partners LP / Targa Resources Partners Finance Corp.                  | CUSIP: 87612BBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     938000 | PA      | $912774.99    | 0.09%             | 2031-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | CDSCMBX                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    2416000 | PA      | $-451665.89   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 31371M5N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10285 | PA      | $10769.30     | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage-Backed Pass-Through Certificates Trust                            | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR17, Class A1B2           | CUSIP: 92922F7S1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1132569 | PA      | $1013000.00   | 0.10%             | 2045-12-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618FFB96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     468817 | PA      | $493313.60    | 0.05%             | 2053-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                                                        | South Africa Government Bond                                                          | CUSIP: 836205AV6<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     300000 | PA      | $200213.63    | 0.02%             | 2046-10-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Eastern Energy Gas Holdings LLC                                                 | Eastern Energy Gas Holdings LLC                                                       | CUSIP: 27636AAB8<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |    1055000 | PA      | $1089715.74   | 0.10%             | 2035-01-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC / Charter Communications Operating Capital | Charter Communications Operating LLC / Charter Communications Operating Capital Corp. | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     155000 | PA      | $154802.76    | 0.01%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| South Bow USA Infrastructure Holdings LLC                                       | South Bow USA Infrastructure Holdings LLC                                             | CUSIP: 83007CAE2<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |     624000 | PA      | $603770.08    | 0.06%             | 2034-10-01      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Magnetite XXXVII Ltd.                                                           | Magnetite XXXVII Ltd., Series 2023-37A, Class A                                       | CUSIP: 55952AAA7<br>LEI: 529900QDM2RO966NLE49 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $502447.26    | 0.05%             | 2036-10-20      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue Securities Trust                                 | Multi-family Connecticut Avenue Securities Trust, Series 2019-01, Class M10           | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |    2667356 | PA      | $2673322.22   | 0.26%             | 2049-10-25      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140J5JS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2567241 | PA      | $2305957.49   | 0.22%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                         | Hyundai Capital America                                                               | CUSIP: 44891ACV7<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     481000 | PA      | $483736.20    | 0.05%             | 2031-01-08      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                             | COMM Mortgage Trust, Series 2012-CR1, Class D                                         | CUSIP: 12624BAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     953063 | PA      | $863992.24    | 0.08%             | 2045-05-15      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage-Backed Pass-Through Certificates Trust                            | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR13, Class A1B2           | CUSIP: 92922F4R6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     625999 | PA      | $609383.02    | 0.06%             | 2045-10-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2016-H24, Class JI                                                       | CUSIP: 38376RG26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5147876 | PA      | $292636.15    | 0.03%             | 2066-11-20      | Variable      | 2.79%                 | No            |                  2 | On Loan: No      |
| JBS USA Holding Lux SARL / JBS USA Food Co. / JBS Lux Co. SARL                  | JBS USA Holding Lux SARL / JBS USA Food Co. / JBS Lux Co. SARL                        | CUSIP: 47214BAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    1183000 | PA      | $1283435.52   | 0.12%             | 2034-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Haleon US Capital LLC                                                           | Haleon US Capital LLC                                                                 | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    1331000 | PA      | $1310994.48   | 0.13%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3138EHW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44941 | PA      | $47054.99     | 0.00%             | 2040-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Nassau 2020-I Ltd.                                                              | Nassau Ltd., Series 2020-1A, Class A1R                                                | CUSIP: 631715AW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     249457 | PA      | $249947.59    | 0.02%             | 2035-01-15      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC / Charter Communications Operating Capital | Charter Communications Operating LLC / Charter Communications Operating Capital Corp. | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     245000 | PA      | $182641.07    | 0.02%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                              | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class F          | CUSIP: 61762MBG5<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |    2331000 | PA      | $187230.82    | 0.02%             | 2046-07-15      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| Terex Corp.                                                                     | Terex Corp.                                                                           | CUSIP: 880779BA0<br>LEI: YAWJZJYEQ7M1SYMOS462 | Long             | DBT              | CORP              | US        |     110000 | PA      | $105327.46    | 0.01%             | 2029-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                           | Wells Fargo Commercial Mortgage Trust, Series 2020-C55, Class XA                      | CUSIP: 95002EBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   62316521 | PA      | $2975750.98   | 0.29%             | 2053-02-15      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                                                     | ONEOK, Inc.                                                                           | CUSIP: 29336TAD2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |      85000 | PA      | $89885.29     | 0.01%             | 2030-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Rockland Park CLO Ltd.                                                          | Rockland Park CLO Ltd., Series 2021-1A, Class B                                       | CUSIP: 773663AC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $2003795.19   | 0.19%             | 2034-04-20      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Ashtead Capital, Inc.                                                           | Ashtead Capital, Inc.                                                                 | CUSIP: 045054AR4<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |     370000 | PA      | $374540.67    | 0.04%             | 2033-10-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II                                                                               | CUSIP: 36182HFR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18280 | PA      | $18215.16     | 0.00%             | 2065-05-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2023-R02, Class 1M1                       | CUSIP: 20755AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32254 | PA      | $32896.38     | 0.00%             | 2043-01-25      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Sprint Capital Corp.                                                            | Sprint Capital Corp.                                                                  | CUSIP: 852060AD4<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |    1702000 | PA      | $1820907.95   | 0.17%             | 2028-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                      | J.P. Morgan Mortgage Trust, Series 2024-VIS2, Class A1                                | CUSIP: 46658DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     493265 | PA      | $497230.95    | 0.05%             | 2064-11-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617BUS59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52934 | PA      | $48663.86     | 0.00%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, 30 Year                                                                      | CUSIP: 3622AANA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     893367 | PA      | $820676.49    | 0.08%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                                  | Morgan Stanley Capital I Trust, Series 2015-UBS8, Class B                             | CUSIP: 61691ABP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     319000 | PA      | $306042.63    | 0.03%             | 2048-12-15      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                               | CIFC Funding Ltd., Series 2014-2RA, Class AR                                          | CUSIP: 12548RAH7<br>LEI: 549300O8WGQU5B6HEB94 | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1497225.00   | 0.14%             | 2037-10-24      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Imola Merger Corp.                                                              | Imola Merger Corp.                                                                    | CUSIP: 45258LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     115000 | PA      | $109962.94    | 0.01%             | 2029-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617BG3Z1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     166629 | PA      | $152983.51    | 0.01%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chobani LLC / Chobani Finance Corp., Inc.                                       | Chobani LLC / Chobani Finance Corp., Inc.                                             | CUSIP: 17027NAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1160000 | PA      | $1216429.36   | 0.12%             | 2029-07-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                                                      | Mars, Inc.                                                                            | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     595000 | PA      | $591313.85    | 0.06%             | 2045-05-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                                | NRG Energy, Inc.                                                                      | CUSIP: 629377CX8<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     980000 | PA      | $979243.93    | 0.09%             | 2034-11-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA                                                                                  | CUSIP: 3138WJZG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     510245 | PA      | $471501.76    | 0.05%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| 1011778 BC ULC / New Red Finance, Inc.                                          | 1011778 BC ULC / New Red Finance, Inc.                                                | CUSIP: 68245XAP4<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     115000 | PA      | $107654.81    | 0.01%             | 2029-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Marvell Technology, Inc.                                                        | Marvell Technology, Inc.                                                              | CUSIP: 573874AQ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     520000 | PA      | $538435.17    | 0.05%             | 2033-09-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA I, Single-family, 30 Year                                                        | CUSIP: 3620C0ZX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1062781 | PA      | $1074978.22   | 0.10%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                      | FHLMC Pool, 30 Year                                                                   | CUSIP: 3132AAQY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     126429 | PA      | $119183.97    | 0.01%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                    | Oracle Corp.                                                                          | CUSIP: 68389XCC7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     337000 | PA      | $328496.76    | 0.03%             | 2026-03-25      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   28770000 | PA      | $156948.31    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Ready Capital Mortgage Financing LLC                                            | Ready Capital Mortgage Financing LLC, Series 2021-FL7, Class A                        | CUSIP: 75575WAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     348833 | PA      | $347939.03    | 0.03%             | 2036-11-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                | Boeing Co. (The)                                                                      | CUSIP: 097023CR4<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1095000 | PA      | $730697.89    | 0.07%             | 2059-08-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                      | Verus Securitization Trust, Series 2024-1, Class A1                                   | CUSIP: 92540EAA1<br>LEI: 984500A3F1D749452747 | Long             | ABS-MBS          | CORP              | US        |    1706232 | PA      | $1709282.91   | 0.16%             | 2069-01-25      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2022-DNA5, Class M1A                                  | CUSIP: 35564KYN3<br>LEI: 5493000IS349P4O9HR58 | Long             | ABS-MBS          | CORP              | US        |      29236 | PA      | $29829.12     | 0.00%             | 2042-06-25      | Floating      | 7.30%                 | No            |                  2 | On Loan: No      |
| Sempra, Inc.                                                                    | Sempra, Inc.                                                                          | CUSIP: 816851BA6<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    1336000 | PA      | $1298807.67   | 0.12%             | 2027-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC, Series 5349, Class IB                                                          | CUSIP: 3137HANZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3389216 | PA      | $725733.81    | 0.07%             | 2046-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                            | Meta Platforms, Inc.                                                                  | CUSIP: 30303M8W5<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     369000 | PA      | $355379.97    | 0.03%             | 2064-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618BSD82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22966 | PA      | $23219.68     | 0.00%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618FFCH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     196071 | PA      | $200970.18    | 0.02%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2022-R07, Class 1M1                       | CUSIP: 20754MBZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     636867 | PA      | $652400.87    | 0.06%             | 2042-06-25      | Floating      | 7.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 31419A4K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26779 | PA      | $28039.31     | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO 9 Ltd.                                        | GoldenTree Loan Management US CLO 9 Ltd., Series 2021-9A, Class AR                    | CUSIP: 38138JAN3<br>LEI: 549300CQMHYJ3DLMP206 | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1504865.70   | 0.14%             | 2037-04-20      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Exelon Corp.                                                                    | Exelon Corp.                                                                          | CUSIP: 30161NAC5<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     709000 | PA      | $716414.84    | 0.07%             | 2035-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2022-R04, Class 1M2                       | CUSIP: 20753YCK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      53000 | PA      | $54477.86     | 0.01%             | 2042-03-25      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                                         | CarMax Auto Owner Trust, Series 2024-2, Class A3                                      | CUSIP: 14319EAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1592000 | PA      | $1618533.86   | 0.16%             | 2029-01-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II                                                                               | CUSIP: 36185KDF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5352 | PA      | $5322.41      | 0.00%             | 2065-05-20      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                                | CVS Health Corp.                                                                      | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    1802000 | PA      | $1626039.58   | 0.16%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC, Series 406, Class F30                                                          | CUSIP: 3133Q3H79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1997778 | PA      | $2008171.34   | 0.19%             | 2053-10-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                      | FHLMC Pool, 30 Year                                                                   | CUSIP: 3133KK5P0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1010625 | PA      | $810643.96    | 0.08%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO IX Ltd.                                                           | Jamestown CLO IX Ltd., Series 2016-9A, Class A1RR                                     | CUSIP: 47048JAX1<br>LEI: 254900NFTK4YH0WYT485 | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1002706.11   | 0.10%             | 2034-07-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities, Series 2018-C02, Class 2M2                        | CUSIP: 30711XC36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |       7085 | PA      | $7197.95      | 0.00%             | 2030-08-25      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Boise Cascade Co.                                                               | Boise Cascade Co.                                                                     | CUSIP: 09739DAD2<br>LEI: 549300Z8B8LSRHC7XA55 | Long             | DBT              | CORP              | US        |     110000 | PA      | $103990.33    | 0.01%             | 2030-07-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | CDSCMBX                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     116000 | PA      | $11239.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Las Vegas Sands Corp.                                                           | Las Vegas Sands Corp.                                                                 | CUSIP: 517834AE7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     769000 | PA      | $752405.21    | 0.07%             | 2026-08-18      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                          | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2012-C6, Class E       | CUSIP: 46634SAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     614000 | PA      | $595480.16    | 0.06%             | 2045-05-15      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| Builders FirstSource, Inc.                                                      | Builders FirstSource, Inc.                                                            | CUSIP: 12008RAR8<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |     105000 | PA      | $105704.03    | 0.01%             | 2032-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Fairfax Financial Holdings Ltd.                                                 | Fairfax Financial Holdings Ltd.                                                       | CUSIP: 303901BB7<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     784000 | PA      | $790239.17    | 0.08%             | 2028-04-17      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| CCO Holdings LLC / CCO Holdings Capital Corp.                                   | CCO Holdings LLC / CCO Holdings Capital Corp.                                         | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1075000 | PA      | $973794.17    | 0.09%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                                           | Arroyo Mortgage Trust, Series 2020-1, Class A3                                        | CUSIP: 04285CAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150000 | PA      | $134389.25    | 0.01%             | 2055-03-25      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| Commonwealth Bank of Australia                                                  | Commonwealth Bank of Australia                                                        | CUSIP: 202712BN4<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |     500000 | PA      | $440435.79    | 0.04%             | 2031-03-11      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| TIAA Real Estate CDO Ltd.                                                       | TIAA Real Estate CDO Ltd., Series 2003-1A, Class E                                    | CUSIP: 88631FAA6<br>LEI: 5493005Y5RSPJ6PO8N21 | Long             | ABS-CBDO         | CORP              | KY        |    1661295 | PA      | $134.56       | 0.00%             | 2038-12-28      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                        | Angel Oak Mortgage Trust, Series 2023-3, Class A1                                     | CUSIP: 034931AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1182935 | PA      | $1172207.43   | 0.11%             | 2067-09-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                      | FHLMC Pool, 30 Year                                                                   | CUSIP: 31329MUR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     301777 | PA      | $266072.83    | 0.03%             | 2043-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Ares Capital Corp.                                                              | Ares Capital Corp.                                                                    | CUSIP: 04010LAZ6<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    5612000 | PA      | $5568833.73   | 0.53%             | 2026-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617GCYW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     497441 | PA      | $463563.92    | 0.04%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 21H040657<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10000000 | PA      | $9309574.90   | 0.89%             | 2055-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Magnetite XL Ltd.                                                               | Magnetite XL Ltd., Series 2024-40A, Class A1                                          | CUSIP: 55955RAA7<br>LEI: 5299008V4F49IY3SSP69 | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $2002661.26   | 0.19%             | 2037-07-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2022-R06, Class 1M1                       | CUSIP: 20754NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     579980 | PA      | $591068.51    | 0.06%             | 2042-05-25      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                                      | AT&T, Inc.                                                                            | CUSIP: 00206RDJ8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     356000 | PA      | $290646.42    | 0.03%             | 2048-03-09      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 27 Ltd.                                                             | Elmwood CLO 27 Ltd., Series 2024-3A, Class A                                          | CUSIP: 29003FAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1250000 | PA      | $1251966.08   | 0.12%             | 2037-04-18      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Broadcom Corp. / Broadcom Cayman Finance Ltd.                                   | Broadcom Corp. / Broadcom Cayman Finance Ltd.                                         | CUSIP: 11134LAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2814000 | PA      | $2795015.35   | 0.27%             | 2027-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Commercial Mortgage Trust                                         | Credit Suisse Commercial Mortgage Trust, Series 2007-C2, Class AX                     | CUSIP: 22545YBS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5851467 | PA      | $944.43       | 0.00%             | 2049-01-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3138M7KQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13505 | PA      | $12334.54     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Eversource Energy                                                               | Eversource Energy                                                                     | CUSIP: 30040WAT5<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    1078000 | PA      | $1104757.97   | 0.11%             | 2028-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Wise CLO Ltd.                                                                   | Wise CLO Ltd., Series 2023-2A, Class A                                                | CUSIP: 97719TAA2<br>LEI: 2549000Z4RGK1HNAPB35 | Long             | ABS-CBDO         | CORP              | JE        |    1500000 | PA      | $1506332.94   | 0.14%             | 2037-01-15      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618FDL58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2433451 | PA      | $2467989.21   | 0.24%             | 2053-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                                        | Bristol-Myers Squibb Co.                                                              | CUSIP: 110122EF1<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    1685000 | PA      | $1726870.92   | 0.17%             | 2029-02-22      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617ATK85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36175 | PA      | $33302.97     | 0.00%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                            | Glencore Funding LLC                                                                  | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    1493000 | PA      | $1323788.70   | 0.13%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Benin Government International Bond                                             | Benin Government Bond                                                                 | CUSIP: N/A<br>LEI: 635400Q11P6AE5A5Y230       | Long             | DBT              | NUSS              | BJ        |     131000 | PA      | $130214.66    | 0.01%             | 2032-01-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| MSCI, Inc.                                                                      | MSCI, Inc.                                                                            | CUSIP: 55354GAL4<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |     460000 | PA      | $427268.34    | 0.04%             | 2031-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                                    | Pacific Gas and Electric Co.                                                          | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     245000 | PA      | $247006.38    | 0.02%             | 2053-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA                                                                                  | CUSIP: 31418BMF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10300 | PA      | $9801.45      | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                               | Wells Fargo & Co., Series BB                                                          | CUSIP: 949746TD3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     476000 | PA      | $467807.66    | 0.04%             | 2026-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2024-R04, Class 1M1                       | CUSIP: 20753GAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      62381 | PA      | $62342.45     | 0.01%             | 2044-05-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| International Flavors & Fragrances, Inc.                                        | International Flavors & Fragrances, Inc.                                              | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |     264000 | PA      | $229875.14    | 0.02%             | 2030-11-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Ares Capital Corp.                                                              | Ares Capital Corp.                                                                    | CUSIP: 04010LBE2<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |     218000 | PA      | $224108.78    | 0.02%             | 2027-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO XXVI Ltd.                                                       | Sound Point CLO XXVI Ltd., Series 2020-1A, Class AR                                   | CUSIP: 83614XAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2460000 | PA      | $2456483.68   | 0.24%             | 2034-07-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   17226000 | PA      | $670352.57    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Federative Republic of Brazil                                                   | Brazil Government Bond                                                                | CUSIP: 105756CE8<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     750000 | PA      | $675025.00    | 0.06%             | 2031-09-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                      | FHLMC Pool, 30 Year                                                                   | CUSIP: 3131XQKR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     286155 | PA      | $280210.25    | 0.03%             | 2044-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617G0S27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59444 | PA      | $55562.05     | 0.01%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| S&P Global, Inc.                                                                | S&P Global, Inc.                                                                      | CUSIP: 78409VAP9<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     840000 | PA      | $777418.07    | 0.07%             | 2029-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                       | HCA, Inc.                                                                             | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     334000 | PA      | $303083.09    | 0.03%             | 2032-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2015-H16, Class XI                                                       | CUSIP: 38376REB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5917962 | PA      | $316918.71    | 0.03%             | 2065-07-20      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| Discover Card Execution Note Trust                                              | Discover Card Execution Note Trust, Series 2022-A3, Class A3                          | CUSIP: 254683CW3<br>LEI: 549300CKCX1QE4RUW216 | Long             | ABS-O            | CORP              | US        |    5958000 | PA      | $5944660.04   | 0.57%             | 2027-07-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA I, Single-family, 30 Year                                                        | CUSIP: 36197F2T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42274 | PA      | $39092.95     | 0.00%             | 2047-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AGL Core CLO 31 Ltd.                                                            | AGL Core CLO 31 Ltd., Series 2024-31A, Class A                                        | CUSIP: 00852MAA8<br>LEI: 254900LYT9TA0J0GKX14 | Long             | ABS-CBDO         | CORP              | KY        |     750000 | PA      | $751396.05    | 0.07%             | 2037-07-20      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| GE HealthCare Technologies, Inc.                                                | GE HealthCare Technologies, Inc.                                                      | CUSIP: 36266GAA5<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |     413000 | PA      | $416113.71    | 0.04%             | 2029-08-14      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                      | FHLMC Pool, 30 Year                                                                   | CUSIP: 3131XWED1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1729383 | PA      | $1595102.45   | 0.15%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Toll Brothers Finance Corp.                                                     | Toll Brothers Finance Corp.                                                           | CUSIP: 88947EAU4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     864000 | PA      | $828177.41    | 0.08%             | 2029-11-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                          | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D      | CUSIP: 46639EAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     737000 | PA      | $702051.46    | 0.07%             | 2047-12-15      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| Extra Space Storage LP                                                          | Extra Space Storage LP                                                                | CUSIP: 30225VAR8<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |    1255000 | PA      | $1311116.37   | 0.13%             | 2031-01-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 31409VC76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9891 | PA      | $10257.86     | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP / GLP Financing II, Inc.                                         | GLP Capital LP / GLP Financing II, Inc.                                               | CUSIP: 361841AQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     377000 | PA      | $349991.57    | 0.03%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3138WJTE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     783909 | PA      | $704126.06    | 0.07%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                              | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class E           | CUSIP: 61761AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     534143 | PA      | $524020.86    | 0.05%             | 2045-08-15      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| Sirius XM Radio LLC                                                             | Sirius XM Radio LLC                                                                   | CUSIP: 82967NBG2<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |     125000 | PA      | $111955.84    | 0.01%             | 2030-07-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 36179T7J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1113818 | PA      | $1020583.48   | 0.10%             | 2048-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Targa Resources Partners LP / Targa Resources Partners Finance Corp.            | Targa Resources Partners LP / Targa Resources Partners Finance Corp.                  | CUSIP: 87612BBG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1076000 | PA      | $1075904.78   | 0.10%             | 2028-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                       | Towd Point Mortgage Trust, Series 2015-6, Class M1                                    | CUSIP: 89172RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75969 | PA      | $75715.51     | 0.01%             | 2055-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140JMRA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     655221 | PA      | $653965.06    | 0.06%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, Series 2012-128, Class QI                                                       | CUSIP: 3136A9PE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1194397 | PA      | $44503.59     | 0.00%             | 2042-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Pfizer Investment Enterprises Pte. Ltd.                                         | Pfizer Investment Enterprises Pte. Ltd.                                               | CUSIP: 716973AE2<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |     613000 | PA      | $605538.17    | 0.06%             | 2033-05-19      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2013-164, Class CI                                                       | CUSIP: 38378YFH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     831703 | PA      | $18445.42     | 0.00%             | 2028-11-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II                                                                               | CUSIP: 36182HGB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11720 | PA      | $11662.16     | 0.00%             | 2065-06-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    2377700 | PA      | $296547.16    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 36295LW98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     164201 | PA      | $145075.17    | 0.01%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                        | COLT Mortgage Loan Trust, Series 2023-3, Class A1                                     | CUSIP: 19688RAA7<br>LEI: 213800MIPEZY1A8W1N28 | Long             | ABS-MBS          | CORP              | US        |     981930 | PA      | $996083.37    | 0.10%             | 2068-09-25      | Fixed         | 7.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II                                                                               | CUSIP: 36186JHR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2284 | PA      | $2273.26      | 0.00%             | 2065-06-20      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                                | Paramount Global                                                                      | CUSIP: 124857AZ6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1062340.80   | 0.10%             | 2029-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140XGML0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1137273 | PA      | $1038522.17   | 0.10%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Netflix, Inc.                                                                   | Netflix, Inc.                                                                         | CUSIP: 64110LBA3<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |     503000 | PA      | $488516.47    | 0.05%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Westpac Banking Corp.                                                           | Westpac Banking Corp.                                                                 | CUSIP: 961214EG4<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |     470000 | PA      | $418431.50    | 0.04%             | 2039-07-24      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| BAE Systems plc                                                                 | BAE Systems plc                                                                       | CUSIP: 05523RAM9<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |     900000 | PA      | $875031.60    | 0.08%             | 2054-03-26      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AS Mileage Plan IP Ltd.                                                         | AS Mileage Plan IP Ltd.                                                               | CUSIP: 00218QAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    1790000 | PA      | $1737261.89   | 0.17%             | 2029-10-20      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3138MAJN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22263 | PA      | $20312.62     | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ICG US CLO Ltd.                                                                 | ICG US CLO Ltd., Series 2017-1A, Class ARR                                            | CUSIP: 449259AJ9<br>LEI: 254900T2ODAPJRGAZY53 | Long             | ABS-CBDO         | CORP              | KY        |    2500000 | PA      | $2505408.22   | 0.24%             | 2034-07-28      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Waste Connections, Inc.                                                         | Waste Connections, Inc.                                                               | CUSIP: 941053AH3<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |     179000 | PA      | $178980.43    | 0.02%             | 2028-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Park Avenue Institutional Advisers CLO Ltd.                                     | Park Avenue Institutional Advisers CLO Ltd., Series 2021-1A, Class A1A                | CUSIP: 70015QAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500967.80    | 0.05%             | 2034-01-20      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                      | FHLMC Pool, 30 Year                                                                   | CUSIP: 3133KLZV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     536507 | PA      | $427966.56    | 0.04%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617JLLB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     374832 | PA      | $379193.36    | 0.04%             | 2049-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617JJZ25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21678 | PA      | $22565.77     | 0.00%             | 2048-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage-Backed Pass-Through Certificates Trust                            | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR2, Class 2A1B            | CUSIP: 92922FD39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     220593 | PA      | $216158.40    | 0.02%             | 2045-01-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                            | Cross Mortgage Trust, Series 2024-H4, Class A1                                        | CUSIP: 22758HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1353761 | PA      | $1367347.18   | 0.13%             | 2069-07-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                           | Bank of America Corp.                                                                 | CUSIP: 06051GKL2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2220000 | PA      | $1980269.88   | 0.19%             | 2037-03-08      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                                       | Ford Motor Credit Co. LLC                                                             | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     970000 | PA      | $964795.37    | 0.09%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Jane Street Group / JSG Finance, Inc.                                           | Jane Street Group / JSG Finance, Inc.                                                 | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1370000 | PA      | $1377481.25   | 0.13%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Romania                                                                         | Romanian Government Bond                                                              | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     370000 | PA      | $373798.05    | 0.04%             | 2033-01-17      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Southern Gas Corridor CJSC                                                      | Southern Gas Corridor CJSC                                                            | CUSIP: N/A<br>LEI: 213800DG58KG59XY6318       | Long             | DBT              | NUSS              | AZ        |     320000 | PA      | $323448.00    | 0.03%             | 2026-03-24      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                            | Meta Platforms, Inc.                                                                  | CUSIP: 30303M8V7<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    1482000 | PA      | $1427230.22   | 0.14%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2015-H04, Class AI                                                       | CUSIP: 38378U8K6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9783530 | PA      | $296457.60    | 0.03%             | 2064-12-20      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                           | Wells Fargo Commercial Mortgage Trust, Series 2020-C57, Class C                       | CUSIP: 95002XBG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1121000 | PA      | $1006376.85   | 0.10%             | 2053-08-15      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Cathedral Lake VIII Ltd.                                                        | Cathedral Lake VIII Ltd., Series 2021-8A, Class A1                                    | CUSIP: 14919GAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1880000 | PA      | $1885018.38   | 0.18%             | 2035-01-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Venture XV CLO Ltd.                                                             | Venture XV CLO Ltd., Series 2013-15A, Class AR3                                       | CUSIP: 92328XBD0<br>LEI: 549300UYHZCJPN3LMT03 | Long             | ABS-CBDO         | CORP              | KY        |     839406 | PA      | $840987.62    | 0.08%             | 2032-07-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                                                     | Toronto-Dominion Bank (The)                                                           | CUSIP: 89117F8Z5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |     885000 | PA      | $916935.23    | 0.09%             | 2082-10-31      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 31402QYY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122304 | PA      | $125756.01    | 0.01%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 31418NZ45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18540 | PA      | $18714.88     | 0.00%             | 2040-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AREIT Trust                                                                     | AREIT Trust, Series 2022-CRE6, Class A                                                | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     521462 | PA      | $518294.15    | 0.05%             | 2037-01-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                              | Energy Transfer LP                                                                    | CUSIP: 29278NAP8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     368000 | PA      | $367712.13    | 0.04%             | 2025-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                                  | Southern Co. Gas Capital Corp.                                                        | CUSIP: 8426EPAH1<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     340000 | PA      | $330613.02    | 0.03%             | 2034-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| American Express Credit Account Master Trust                                    | American Express Credit Account Master Trust, Series 2022-3, Class A                  | CUSIP: 02582JJV3<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |    5554000 | PA      | $5540877.56   | 0.53%             | 2027-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                                      | Occidental Petroleum Corp.                                                            | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      93000 | PA      | $85563.84     | 0.01%             | 2040-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Wayfair LLC                                                                     | Wayfair LLC                                                                           | CUSIP: 94419NAB3<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |    1080000 | PA      | $988014.89    | 0.09%             | 2030-09-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                              | T-Mobile USA, Inc.                                                                    | CUSIP: 87264ACY9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    1054000 | PA      | $1047606.10   | 0.10%             | 2033-07-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Pharmacia LLC                                                                   | Pharmacia LLC                                                                         | CUSIP: 71713UAW2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1780000 | PA      | $1916234.54   | 0.18%             | 2028-12-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                | Boeing Co. (The)                                                                      | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     262000 | PA      | $281619.04    | 0.03%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| Athene Holding Ltd.                                                             | Athene Holding Ltd.                                                                   | CUSIP: 04686JAG6<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |     469000 | PA      | $475409.50    | 0.05%             | 2034-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Flex Ltd.                                                                       | Flex Ltd.                                                                             | CUSIP: 33938XAF2<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | SG        |    1255000 | PA      | $1233837.06   | 0.12%             | 2032-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Republic of Kazakhstan                                                          | Kazakhstan Government Bond                                                            | CUSIP: N/A<br>LEI: 5493007OEK8EF02UO833       | Long             | DBT              | NUSS              | KZ        |     250000 | PA      | $241845.75    | 0.02%             | 2035-04-09      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Directv Financing LLC / Directv Financing Co-Obligor, Inc.                      | Directv Financing LLC / Directv Financing Co-Obligor, Inc.                            | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      73000 | PA      | $70619.38     | 0.01%             | 2027-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia (The)                                                       | Bank of Nova Scotia (The)                                                             | CUSIP: 0641598X7<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    1620000 | PA      | $1606988.48   | 0.15%             | 2085-04-27      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Trust                                              | Barclays Commercial Mortgage Trust, Series 2019-C5, Class D                           | CUSIP: 05492JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     528000 | PA      | $419840.47    | 0.04%             | 2052-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| USI, Inc.                                                                       | USI, Inc., First Lien, 2024-D CME Term Loan                                           | CUSIP: 90351NAR6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1064650 | PA      | $1059422.57   | 0.10%             | 2029-11-21      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                                | Paramount Global                                                                      | CUSIP: 124857AX1<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     974000 | PA      | $947181.01    | 0.09%             | 2028-06-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                      | FHLMC Pool, 30 Year                                                                   | CUSIP: 3132DMZ99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     336600 | PA      | $284475.59    | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| International Flavors & Fragrances, Inc.                                        | International Flavors & Fragrances, Inc.                                              | CUSIP: 459506AN1<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |     218000 | PA      | $214102.10    | 0.02%             | 2025-10-01      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA                                                                                  | CUSIP: 3140FXG55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5113458 | PA      | $4611944.03   | 0.44%             | 2057-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3138WJPQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     228986 | PA      | $210805.31    | 0.02%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                                    | ING Groep NV                                                                          | CUSIP: 456837BF9<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    1625000 | PA      | $1658232.81   | 0.16%             | 2027-09-11      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO 8 Ltd.                                                          | Birch Grove CLO 8 Ltd., Series 2024-8A, Class A1                                      | CUSIP: 09077TAA3<br>LEI: 254900WH1INTG23INE62 | Long             | ABS-CBDO         | CORP              | JE        |    1500000 | PA      | $1504412.75   | 0.14%             | 2037-04-20      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                                 | Citigroup, Inc.                                                                       | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    3482000 | PA      | $3472127.66   | 0.33%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Ovintiv, Inc.                                                                   | Ovintiv, Inc.                                                                         | CUSIP: 292505AD6<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |     389000 | PA      | $386351.82    | 0.04%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA                                                                                  | CUSIP: 31418BM60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146514 | PA      | $141925.76    | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2023-19, Class S                                                         | CUSIP: 38383V3H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16849465 | PA      | $2084137.29   | 0.20%             | 2049-11-20      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2021-DNA6, Class M2                                   | CUSIP: 35564KKY4<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | CORP              | US        |     121963 | PA      | $121845.94    | 0.01%             | 2041-10-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA I, Single-family, 30 Year                                                        | CUSIP: 36212CUX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30751 | PA      | $31942.62     | 0.00%             | 2031-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                           | Athene Global Funding                                                                 | CUSIP: 04685A3D1<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    1031000 | PA      | $991463.92    | 0.09%             | 2026-10-02      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| PetSmart LLC                                                                    | PetSmart LLC, First Lien, Initial CME Term Loan                                       | CUSIP: 71677HAL9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1074433 | PA      | $1062119.98   | 0.10%             | 2028-02-11      | Variable      | 8.17%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                                       | Vistra Operations Co. LLC                                                             | CUSIP: 92840VAQ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    1188000 | PA      | $1276514.32   | 0.12%             | 2033-10-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| NYMT Loan Trust                                                                 | NYMT Loan Trust, Series 2022-SP1, Class A1                                            | CUSIP: 62956BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2797015 | PA      | $2788669.91   | 0.27%             | 2062-07-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618F6AJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     359631 | PA      | $367991.74    | 0.04%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                                           | Global Payments, Inc.                                                                 | CUSIP: 37940XAE2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     286000 | PA      | $277072.60    | 0.03%             | 2026-03-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Canadian Natural Resources Ltd.                                                 | Canadian Natural Resources Ltd.                                                       | CUSIP: 136385AC5<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |     856000 | PA      | $931123.06    | 0.09%             | 2032-01-15      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| Georgia Power Co.                                                               | Georgia Power Co.                                                                     | CUSIP: 373334KQ3<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     401000 | PA      | $398608.77    | 0.04%             | 2032-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II                                                                               | CUSIP: 36186JHJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12826 | PA      | $12694.46     | 0.00%             | 2065-06-20      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| CNO Financial Group, Inc.                                                       | CNO Financial Group, Inc.                                                             | CUSIP: 12621EAK9<br>LEI: 11XPYHB76MPM4Y4P2897 | Long             | DBT              | CORP              | US        |     360000 | PA      | $359989.55    | 0.03%             | 2025-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Paraguay Government International Bond                                          | Paraguay Government Bond                                                              | CUSIP: 699149AL4<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |     690000 | PA      | $621517.50    | 0.06%             | 2033-06-28      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| RB Global Holdings, Inc.                                                        | RB Global Holdings, Inc.                                                              | CUSIP: 76774LAC1<br>LEI: 254900LH3N0EGB1LQ203 | Long             | DBT              | CORP              | US        |      95000 | PA      | $99724.73     | 0.01%             | 2031-03-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Rogers Communications, Inc.                                                     | Rogers Communications, Inc.                                                           | CUSIP: 775109DH1<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     765000 | PA      | $762718.14    | 0.07%             | 2055-04-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Boyd Gaming Corp.                                                               | Boyd Gaming Corp.                                                                     | CUSIP: 103304BV2<br>LEI: 254900787YGRYS2A1Z35 | Long             | DBT              | CORP              | US        |     115000 | PA      | $107328.35    | 0.01%             | 2031-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                             | CUSIP: 00774MBJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    1240000 | PA      | $1253957.12   | 0.12%             | 2029-01-19      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                                      | AT&T, Inc.                                                                            | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     774000 | PA      | $638977.36    | 0.06%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Royalty Pharma plc                                                              | Royalty Pharma plc                                                                    | CUSIP: 78081BAQ6<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |     982000 | PA      | $992694.75    | 0.10%             | 2029-09-02      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust                                      | JPMDB Commercial Mortgage Securities Trust, Series 2019-COR6, Class XA                | CUSIP: 48129RBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   65959699 | PA      | $2048418.02   | 0.20%             | 2052-11-13      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3138ETDK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25769 | PA      | $23447.73     | 0.00%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                         | BPCE SA                                                                               | CUSIP: 05578QAH6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     577000 | PA      | $496317.70    | 0.05%             | 2037-01-14      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                                        | Bristol-Myers Squibb Co.                                                              | CUSIP: 110122EH7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     744000 | PA      | $754763.87    | 0.07%             | 2034-02-22      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA I, Single-family, 30 Year                                                        | CUSIP: 36213GNR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14868 | PA      | $15277.98     | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC, Series 4132, Class IP                                                          | CUSIP: 3137AW3K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     523982 | PA      | $40139.54     | 0.00%             | 2042-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia (The)                                                       | Bank of Nova Scotia (The)                                                             | CUSIP: 064159VL7<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    1010000 | PA      | $1006189.04   | 0.10%             | 2025-06-11      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable Enterprises LLC                                               | Time Warner Cable Enterprises LLC                                                     | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1556000 | PA      | $1772019.26   | 0.17%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                       | Towd Point Mortgage Trust, Series 2019-2, Class A2                                    | CUSIP: 89177JAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     327000 | PA      | $294621.54    | 0.03%             | 2058-12-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 31410FDX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6905 | PA      | $7146.49      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd.                                                              | Elevation CLO Ltd., Series 2021-13A, Class A1R                                        | CUSIP: 28622EAS7<br>LEI: 549300YZ3RIOTSOP0V95 | Long             | ABS-CBDO         | CORP              | KY        |     700000 | PA      | $696946.65    | 0.07%             | 2034-07-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2023-DNA1, Class M1A                                  | CUSIP: 35564KP37<br>LEI: 5493000IRILHAKSCHN59 | Long             | ABS-MBS          | CORP              | US        |      62614 | PA      | $63679.77     | 0.01%             | 2043-03-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                           | Bank of America Corp.                                                                 | CUSIP: 06051GMB2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1798000 | PA      | $1760498.59   | 0.17%             | 2035-08-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617JFF74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     519382 | PA      | $511304.50    | 0.05%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                             | Kinder Morgan, Inc.                                                                   | CUSIP: 494553AD2<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     128000 | PA      | $129352.02    | 0.01%             | 2029-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618FAHG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     255073 | PA      | $266373.86    | 0.03%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Synopsys, Inc.                                                                  | Synopsys, Inc.                                                                        | CUSIP: 871607AE7<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |    1185000 | PA      | $1187986.83   | 0.11%             | 2035-04-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3138LWCH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     156407 | PA      | $146562.49    | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                                                      | Corebridge Financial, Inc.                                                            | CUSIP: 21871XAF6<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    1209000 | PA      | $1172430.17   | 0.11%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                                                      | Mars, Inc.                                                                            | CUSIP: 571676BD6<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     305000 | PA      | $300863.36    | 0.03%             | 2065-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Zoetis, Inc.                                                                    | Zoetis, Inc.                                                                          | CUSIP: 98978VAS2<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |     244000 | PA      | $216772.68    | 0.02%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                                                    | Nutrien Ltd.                                                                          | CUSIP: 67077MAT5<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |     333000 | PA      | $328746.33    | 0.03%             | 2029-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage-Backed Pass-Through Certificates Trust                            | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR13, Class A1C4           | CUSIP: 92922F4W5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2192304 | PA      | $2121623.51   | 0.20%             | 2045-10-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| News Corp.                                                                      | News Corp.                                                                            | CUSIP: 65249BAA7<br>LEI: 549300ITS31QK8VRBQ14 | Long             | DBT              | CORP              | US        |     113000 | PA      | $106455.10    | 0.01%             | 2029-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140JMSD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     853471 | PA      | $851131.72    | 0.08%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Herc Holdings, Inc.                                                             | Herc Holdings, Inc.                                                                   | CUSIP: 42704LAA2<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |     105000 | PA      | $103922.43    | 0.01%             | 2027-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2019-125, Class SG                                                       | CUSIP: 38382AQY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3526976 | PA      | $433649.80    | 0.04%             | 2049-10-20      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                       | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                             | CUSIP: 71568QAE7<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | NUSS              | ID        |     350000 | PA      | $356296.85    | 0.03%             | 2028-05-21      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2016-H11, Class HI                                                       | CUSIP: 38375UWZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4861330 | PA      | $116720.54    | 0.01%             | 2066-01-20      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands III BV                                  | Teva Pharmaceutical Finance Netherlands III BV                                        | CUSIP: 88167AAR2<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |     220000 | PA      | $242491.92    | 0.02%             | 2031-09-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 31371MWJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5306 | PA      | $5556.01      | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617LED50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      93592 | PA      | $85125.22     | 0.01%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GreenState Auto Receivables Trust                                               | GreenState Auto Receivables Trust, Series 2024-1A, Class A3                           | CUSIP: 39573AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2000000 | PA      | $2013372.60   | 0.19%             | 2029-01-16      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617LMUZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54627 | PA      | $51176.57     | 0.00%             | 2049-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                           | Bank of America Corp., Series L                                                       | CUSIP: 06051GGC7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    3510000 | PA      | $3492245.75   | 0.33%             | 2027-11-25      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    2377700 | PA      | $281868.86    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CBAM Ltd.                                                                       | CBAM Ltd., Series 2020-12A, Class AR                                                  | CUSIP: 12509VAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     750000 | PA      | $750000.00    | 0.07%             | 2034-07-20      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Fidelity National Financial, Inc.                                               | Fidelity National Financial, Inc.                                                     | CUSIP: 31620RAL9<br>LEI: 549300CAZYIH39SYQ287 | Long             | DBT              | CORP              | US        |     645000 | PA      | $380824.45    | 0.04%             | 2051-09-17      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GFL Environmental, Inc.                                                         | GFL Environmental, Inc.                                                               | CUSIP: 36168QAM6<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |     115000 | PA      | $109150.17    | 0.01%             | 2028-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 36179TSH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1706268 | PA      | $1605960.70   | 0.15%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                              | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26, Class XA         | CUSIP: 61690VBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22153551 | PA      | $513.96       | 0.00%             | 2048-10-15      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   14445000 | PA      | $4210372.24   | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                                  | Morgan Stanley Capital I Trust, Series 2016-UB12, Class XA                            | CUSIP: 61691EBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   60498849 | PA      | $418482.64    | 0.04%             | 2049-12-15      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                      | FHLMC Pool, 15 Year                                                                   | CUSIP: 3132D55F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     784614 | PA      | $749489.81    | 0.07%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2014-76                                                                  | CUSIP: 38379B6E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1531559 | PA      | $323110.94    | 0.03%             | 2044-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Nasdaq, Inc.                                                                    | Nasdaq, Inc.                                                                          | CUSIP: 63111XAJ0<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |      33000 | PA      | $33899.12     | 0.00%             | 2034-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Bunker Hill Loan Depositary Trust                                               | Bunker Hill Loan Depositary Trust, Series 2020-1, Class A3                            | CUSIP: 12062RAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2100000 | PA      | $1981071.75   | 0.19%             | 2055-02-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                | Boeing Co. (The)                                                                      | CUSIP: 097023BS3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     797000 | PA      | $530384.33    | 0.05%             | 2046-06-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                                               | Philip Morris International, Inc.                                                     | CUSIP: 718172DA4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    2232000 | PA      | $2290587.12   | 0.22%             | 2030-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Viking Cruises Ltd.                                                             | Viking Cruises Ltd.                                                                   | CUSIP: 92676XAG2<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |    1000000 | PA      | $1070035.00   | 0.10%             | 2031-07-15      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                                | NRG Energy, Inc.                                                                      | CUSIP: 629377CN0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     868000 | PA      | $852090.73    | 0.08%             | 2025-12-02      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2021-HQA4, Class M2                                   | CUSIP: 35564KNS4<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | CORP              | US        |    3732140 | PA      | $3757471.53   | 0.36%             | 2041-12-25      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| Penn Entertainment, Inc.                                                        | Penn Entertainment, Inc., First Lien, CME Term Loan, B                                | CUSIP: 70757DAZ2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     122790 | PA      | $122568.13    | 0.01%             | 2029-05-03      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| KKR CLO 43 Ltd.                                                                 | KKR CLO 43 Ltd., Series 2022-43A, Class A1R                                           | CUSIP: 48255UAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    1150000 | PA      | $1152709.21   | 0.11%             | 2036-01-15      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140K4CQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14880 | PA      | $14474.28     | 0.00%             | 2049-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | U.S. Treasury 10 Year Notes                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        435 | NC      | $1032718.85   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Republic of Cote d'Ivoire                                                       | Ivory Coast Government Bond                                                           | CUSIP: N/A<br>LEI: 254900ICW11T82O6H590       | Long             | DBT              | NUSS              | CI        |     750000 | PA      | $647257.50    | 0.06%             | 2033-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2015-H12, Class GI                                                       | CUSIP: 38376RBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10647021 | PA      | $347880.77    | 0.03%             | 2065-05-20      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 31411H6U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11641 | PA      | $12087.38     | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Republic of Chile                                                               | Chile Government Bond                                                                 | CUSIP: 168863EE4<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |     200000 | PA      | $204982.25    | 0.02%             | 2037-01-13      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                      | FHLMC Pool, 30 Year                                                                   | CUSIP: 3132DMYY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     660683 | PA      | $556739.44    | 0.05%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                        | COLT Mortgage Loan Trust, Series 2020-2, Class A2                                     | CUSIP: 19688JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      62543 | PA      | $61964.32     | 0.01%             | 2065-03-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                                     | Capital One Financial Corp.                                                           | CUSIP: 14040HCG8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     642000 | PA      | $528638.52    | 0.05%             | 2032-07-29      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                                    | Pacific Gas and Electric Co.                                                          | CUSIP: 694308KL0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1834000 | PA      | $1896324.07   | 0.18%             | 2029-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617JLK83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     107461 | PA      | $107720.06    | 0.01%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                               | Wells Fargo & Co.                                                                     | CUSIP: 95000U2A0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    2660000 | PA      | $2612418.72   | 0.25%             | 2028-05-22      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| SMBC Aviation Capital Finance DAC                                               | SMBC Aviation Capital Finance DAC                                                     | CUSIP: 78448TAL6<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |    1402000 | PA      | $1420694.73   | 0.14%             | 2029-04-03      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO 7 Ltd.                                                     | Diameter Capital CLO 7 Ltd., Series 2024-7A, Class A1A                                | CUSIP: 25255WAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1600000 | PA      | $1602976.57   | 0.15%             | 2037-07-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2022-R03, Class 1M1                       | CUSIP: 20753XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     145286 | PA      | $146600.49    | 0.01%             | 2042-03-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 36291FR67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     263332 | PA      | $262903.33    | 0.03%             | 2045-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                                       | Vistra Operations Co. LLC                                                             | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     769000 | PA      | $777478.23    | 0.07%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                        | Celanese US Holdings LLC                                                              | CUSIP: 15089QAP9<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     391000 | PA      | $384669.17    | 0.04%             | 2032-07-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                              | T-Mobile USA, Inc.                                                                    | CUSIP: 87264ADB8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     243000 | PA      | $234847.76    | 0.02%             | 2054-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 36202TWF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40954 | PA      | $40887.63     | 0.00%             | 2044-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding 2020-I Ltd.                                                        | CIFC Funding Ltd., Series 2020-1A, Class A1R                                          | CUSIP: 12555QAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2520000 | PA      | $2524364.97   | 0.24%             | 2036-07-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| Hewlett Packard Enterprise Co.                                                  | Hewlett Packard Enterprise Co.                                                        | CUSIP: 42824CBU2<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |     914000 | PA      | $903298.47    | 0.09%             | 2031-10-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2022-HQA1, Class M2                                   | CUSIP: 35564KTJ8<br>LEI: 5493000IRODEKU3J3Q16 | Long             | ABS-MBS          | CORP              | US        |    6323000 | PA      | $6708328.68   | 0.64%             | 2042-03-25      | Floating      | 9.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II                                                                               | CUSIP: 36198NS55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     143624 | PA      | $142491.00    | 0.01%             | 2065-05-20      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Foundry JV Holdco LLC                                                           | Foundry JV Holdco LLC                                                                 | CUSIP: 350930AG8<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |     550000 | PA      | $561446.84    | 0.05%             | 2033-01-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| DR Horton, Inc.                                                                 | DR Horton, Inc.                                                                       | CUSIP: 23331ABS7<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |    2787000 | PA      | $2706943.29   | 0.26%             | 2034-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citizens Auto Receivables Trust                                                 | Citizens Auto Receivables Trust, Series 2023-2, Class A3                              | CUSIP: 17295FAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $504459.20    | 0.05%             | 2028-02-15      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                    | Oracle Corp.                                                                          | CUSIP: 68389XCD5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    2276000 | PA      | $2153134.01   | 0.21%             | 2028-03-25      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618B9GV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     179215 | PA      | $183677.21    | 0.02%             | 2053-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | Morgan Stanley                                                                        | CUSIP: 61748UAE2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     340000 | PA      | $346760.53    | 0.03%             | 2031-01-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Benteler International AG                                                       | Benteler International AG                                                             | CUSIP: 08263DAA4<br>LEI: 529900ZAFSOBVFCKF263 | Long             | DBT              | CORP              | AT        |     225000 | PA      | $229953.15    | 0.02%             | 2028-05-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618FFCK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     680174 | PA      | $705890.89    | 0.07%             | 2053-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd.                                                                   | Voya CLO Ltd., Series 2024-4A, Class A1                                               | CUSIP: 92920KAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1850000 | PA      | $1838059.39   | 0.18%             | 2037-07-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Visio Trust                                                                     | Visio Trust, Series 2022-1, Class A2                                                  | CUSIP: 92838CAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1338645 | PA      | $1333920.21   | 0.13%             | 2057-08-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140H24V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73730 | PA      | $69762.45     | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617JJ4A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48323 | PA      | $50829.48     | 0.00%             | 2049-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC, Series 5050, Class IM                                                          | CUSIP: 3137F7Q24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2359225 | PA      | $470393.20    | 0.05%             | 2050-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                                      | AT&T, Inc.                                                                            | CUSIP: 00206RGL0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     474000 | PA      | $472413.59    | 0.05%             | 2028-02-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue Securities Trust                                 | Multi-family Connecticut Avenue Securities Trust, Series 2020-01, Class M10           | CUSIP: 62548QAD3<br>LEI: 5493002KQF9IH3CTQZ40 | Long             | ABS-MBS          | CORP              | US        |    3123122 | PA      | $3177644.72   | 0.30%             | 2050-03-25      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| Chevy Chase Funding LLC Mortgage-Backed Certificates                            | Chevy Chase Funding LLC, Series 2004-3A, Class A2                                     | CUSIP: 16678RBV8<br>LEI: 549300TC8R2SGZ2KM445 | Long             | ABS-MBS          | CORP              | US        |     397804 | PA      | $379410.13    | 0.04%             | 2035-08-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Jefferies Financial Group, Inc.                                                 | Jefferies Financial Group, Inc.                                                       | CUSIP: 47233WEJ4<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |     733000 | PA      | $743241.40    | 0.07%             | 2034-04-14      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3138Y7E57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123346 | PA      | $113591.32    | 0.01%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bain Capital CLO Ltd.                                                           | Bain Capital CLO Ltd., Series 2024-1A, Class A1                                       | CUSIP: 056920AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     551000 | PA      | $550200.33    | 0.05%             | 2037-04-16      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP / GLP Financing II, Inc.                                         | GLP Capital LP / GLP Financing II, Inc.                                               | CUSIP: 361841AH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1625000 | PA      | $1621930.86   | 0.16%             | 2026-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, Series 2015-33, Class AI                                                        | CUSIP: 3136APCA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6878936 | PA      | $911992.11    | 0.09%             | 2045-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2020-123, Class NI                                                       | CUSIP: 38382HM98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14393160 | PA      | $2129763.12   | 0.20%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617JJ2R6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21636 | PA      | $22748.60     | 0.00%             | 2049-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  -28770000 | PA      | $-35899.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA                                                                                  | CUSIP: 3138YEPC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17430 | PA      | $16766.58     | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| F&G Annuities & Life, Inc.                                                      | F&G Annuities & Life, Inc.                                                            | CUSIP: 30190AAF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1104000 | PA      | $1125774.81   | 0.11%             | 2029-06-04      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                        | U.S. Treasury Bills                                                                   | CUSIP: 912797MS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   13700000 | PA      | $13460912.81  | 1.29%             | 2025-10-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd.                                                              | Elevation CLO Ltd., Series 2018-10A, Class AR                                         | CUSIP: 28623CAL5<br>LEI: 5493005Q4N14IP6ASK07 | Long             | ABS-CBDO         | CORP              | KY        |    1244047 | PA      | $1241362.04   | 0.12%             | 2031-10-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| SBA Communications Corp.                                                        | SBA Communications Corp.                                                              | CUSIP: 78410GAG9<br>LEI: 5299001HX8ZN8Y8QIT49 | Long             | DBT              | CORP              | US        |     120000 | PA      | $111310.13    | 0.01%             | 2029-02-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2024-DNA2, Class A1                                   | CUSIP: 35564NCW1<br>LEI: 529900GRKKKHILZX4347 | Long             | ABS-MBS          | CORP              | US        |     116908 | PA      | $116903.51    | 0.01%             | 2044-05-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Republic of Chile                                                               | Chile Government Bond                                                                 | CUSIP: 168863EB0<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |     230000 | PA      | $233265.92    | 0.02%             | 2029-01-22      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                                              | Macquarie Airfinance Holdings Ltd.                                                    | CUSIP: 55609NAE8<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |     758000 | PA      | $744606.67    | 0.07%             | 2030-03-17      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                                               | Philip Morris International, Inc.                                                     | CUSIP: 718172DT3<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     390000 | PA      | $387777.32    | 0.04%             | 2030-04-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Glatfelter Corp.                                                                | Glatfelter Corp., First Lien, CME Term Loan                                           | CUSIP: 89458XAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1082288 | PA      | $1039336.92   | 0.10%             | 2031-11-04      | Variable      | 8.56%                 | No            |                  2 | On Loan: No      |
| Berry Global, Inc.                                                              | Berry Global, Inc.                                                                    | CUSIP: 08576PAF8<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    3143000 | PA      | $2983310.02   | 0.29%             | 2027-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| American Electric Power Co., Inc.                                               | American Electric Power Co., Inc., Series N                                           | CUSIP: 025537AR2<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |     515000 | PA      | $505953.66    | 0.05%             | 2025-11-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, Series 2007-14, Class KO                                                        | CUSIP: 31396PG62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27468 | PA      | $23111.90     | 0.00%             | 2037-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                    | Oracle Corp.                                                                          | CUSIP: 68389XBQ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      48000 | PA      | $35629.12     | 0.00%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140XNNB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5275244 | PA      | $5312917.47   | 0.51%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                           | Bank of America Corp.                                                                 | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     375000 | PA      | $390417.71    | 0.04%             | 2028-11-10      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618B6KC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     267962 | PA      | $277377.17    | 0.03%             | 2053-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 36195T2M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     151986 | PA      | $134191.01    | 0.01%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Kenvue, Inc.                                                                    | Kenvue, Inc.                                                                          | CUSIP: 49177JAK8<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |    1720000 | PA      | $1741736.43   | 0.17%             | 2033-03-22      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| CBAM Ltd.                                                                       | CBAM Ltd., Series 2017-2A, Class AR                                                   | CUSIP: 12481KAS7<br>LEI: 254900JYLIAZT0YFW632 | Long             | ABS-CBDO         | CORP              | KY        |    1650000 | PA      | $1653141.90   | 0.16%             | 2034-07-17      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA I, Single-family, 30 Year                                                        | CUSIP: 36212CTP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7871 | PA      | $7963.88      | 0.00%             | 2031-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class M                     | CUSIP: 35563PMX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2024000 | PA      | $1883512.95   | 0.18%             | 2059-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140QPSZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     789289 | PA      | $776045.23    | 0.07%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Oriental Republic of Uruguay                                                    | Uruguay Government Bond                                                               | CUSIP: 917288BA9<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     650000 | PA      | $763912.50    | 0.07%             | 2033-01-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 31391UDX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27218 | PA      | $28209.61     | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2014-5, Class LI                                                         | CUSIP: 38376MBJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     397000 | PA      | $8388.21      | 0.00%             | 2029-01-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618B9HS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     137353 | PA      | $139302.28    | 0.01%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                                            | Deephaven Residential Mortgage Trust, Series 2022-3, Class A3                         | CUSIP: 24381YAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2441621 | PA      | $2468229.02   | 0.24%             | 2067-07-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 36180MYG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     253765 | PA      | $230335.04    | 0.02%             | 2043-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 31416CKF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20911 | PA      | $21896.11     | 0.00%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AutoNation, Inc.                                                                | AutoNation, Inc.                                                                      | CUSIP: 05329WAM4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     226000 | PA      | $225400.15    | 0.02%             | 2025-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618FFB21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     642886 | PA      | $671171.06    | 0.06%             | 2053-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                                            | American Express Co.                                                                  | CUSIP: 025816DP1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     524000 | PA      | $530790.44    | 0.05%             | 2028-02-16      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Gray Media, Inc.                                                                | Gray Media, Inc., First Lien, CME Term Loan, D                                        | CUSIP: 389376AZ7<br>LEI: 529900TM5726KDN7UU35 | Long             | LON              | CORP              | US        |     103121 | PA      | $95550.25     | 0.01%             | 2028-12-01      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 36179TZ73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     406180 | PA      | $404560.84    | 0.04%             | 2048-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617L6VC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     111835 | PA      | $104195.94    | 0.01%             | 2049-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2015-52, Class KI                                                        | CUSIP: 38379LWF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1248871 | PA      | $60837.40     | 0.01%             | 2040-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2011-70, Class YI                                                        | CUSIP: 38377WKG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2955466 | PA      | $21834.39     | 0.00%             | 2040-12-20      | Floating      | 0.15%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners LP                                                     | Cheniere Energy Partners LP                                                           | CUSIP: 16411QAG6<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    2912000 | PA      | $2846116.00   | 0.27%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2015-H20, Class AI                                                       | CUSIP: 38376RFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8413958 | PA      | $213108.74    | 0.02%             | 2065-08-20      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                      | FHLMC Pool, 30 Year                                                                   | CUSIP: 3132AATC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1939650 | PA      | $1844924.09   | 0.18%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Genesee & Wyoming, Inc.                                                         | Genesee & Wyoming, Inc., First Lien, Initial CME Term Loan                            | CUSIP: 37156QAZ9<br>LEI: G617XSG94Z7G0RMW3L02 | Long             | LON              | CORP              | US        |    1074600 | PA      | $1062414.04   | 0.10%             | 2031-04-10      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140EVB63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121238 | PA      | $115002.85    | 0.01%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Venture Global LNG, Inc.                                                        | Venture Global LNG, Inc.                                                              | CUSIP: 92332YAB7<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     230000 | PA      | $222015.76    | 0.02%             | 2031-06-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Ameren Corp.                                                                    | Ameren Corp.                                                                          | CUSIP: 023608AQ5<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | DBT              | CORP              | US        |     757000 | PA      | $768351.56    | 0.07%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Crown Point CLO 10 Ltd.                                                         | Crown Point CLO 10 Ltd., Series 2021-10A, Class A                                     | CUSIP: 22846FAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250540.83    | 0.02%             | 2034-07-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP / GLP Financing II, Inc.                                         | GLP Capital LP / GLP Financing II, Inc.                                               | CUSIP: 361841AS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     650000 | PA      | $685894.95    | 0.07%             | 2033-12-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                             | Constellation Energy Generation LLC                                                   | CUSIP: 210385AF7<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |     485000 | PA      | $458700.34    | 0.04%             | 2054-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                                 | Citigroup, Inc.                                                                       | CUSIP: 172967KR1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     386000 | PA      | $319742.63    | 0.03%             | 2046-05-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                                 | CSAIL Commercial Mortgage Trust, Series 2019-C17, Class XA                            | CUSIP: 12597BAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   55149354 | PA      | $2403541.21   | 0.23%             | 2052-09-15      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3138M7G33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37405 | PA      | $34144.90     | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                                    | Pacific Gas and Electric Co.                                                          | CUSIP: 694308KP1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     543000 | PA      | $582799.53    | 0.06%             | 2034-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Cisco Systems, Inc.                                                             | Cisco Systems, Inc.                                                                   | CUSIP: 17275RBT8<br>LEI: 549300LKFJ962MZ46593 | Long             | DBT              | CORP              | US        |     872000 | PA      | $882915.56    | 0.08%             | 2034-02-26      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Oshkosh Corp.                                                                   | Oshkosh Corp.                                                                         | CUSIP: 688239AF9<br>LEI: 549300FEKNPCFSA2B506 | Long             | DBT              | CORP              | US        |    1176000 | PA      | $1172584.16   | 0.11%             | 2028-05-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Tapestry, Inc.                                                                  | Tapestry, Inc.                                                                        | CUSIP: 876030AK3<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |     694000 | PA      | $697210.76    | 0.07%             | 2030-03-11      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities, Series 2018-C05, Class 1M2                        | CUSIP: 30711XY24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     827745 | PA      | $834713.16    | 0.08%             | 2031-01-25      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 36194G5Z3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51598 | PA      | $45746.42     | 0.00%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618AKPM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52857 | PA      | $53354.14     | 0.01%             | 2053-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                                 | CSAIL Commercial Mortgage Trust, Series 2015-C1, Class C                              | CUSIP: 126281BF0<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |    1507000 | PA      | $1375589.60   | 0.13%             | 2050-04-15      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2014-131, Class BS                                                       | CUSIP: 38379EZ54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          0 | PA      | $0.00         | 0.00%             | 2044-09-16      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                                            | Colombia Government Bond                                                              | CUSIP: 195325DS1<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     200000 | PA      | $161478.30    | 0.02%             | 2031-04-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | CDSCMBX                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     831000 | PA      | $-73257.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, Series 2003-34, Class P1                                                        | CUSIP: 31393CFC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51889 | PA      | $47093.30     | 0.00%             | 2043-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19000000 | PA      | $18961951.93  | 1.82%             | 2055-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                            | JPMorgan Chase & Co., Series W                                                        | CUSIP: 48123UAB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     740000 | PA      | $653312.91    | 0.06%             | 2047-05-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                            | Cross Mortgage Trust, Series 2024-H3, Class A1                                        | CUSIP: 22758DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     605258 | PA      | $611719.38    | 0.06%             | 2069-06-25      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust                                      | JPMDB Commercial Mortgage Securities Trust, Series 2018-C8, Class C                   | CUSIP: 46591ABG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     387000 | PA      | $346057.92    | 0.03%             | 2051-06-15      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3138Y7E99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     980813 | PA      | $870497.54    | 0.08%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 15 Year                                                                         | CUSIP: 3140XFZU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4208064 | PA      | $3856883.69   | 0.37%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II                                                                               | CUSIP: 3617HTC87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     928033 | PA      | $967997.21    | 0.09%             | 2068-12-20      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                                       | Vistra Operations Co. LLC                                                             | CUSIP: 92840VAE2<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     915000 | PA      | $895318.12    | 0.09%             | 2029-07-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618FAHE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1162757 | PA      | $1190107.26   | 0.11%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ally Financial, Inc.                                                            | Ally Financial, Inc.                                                                  | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     544000 | PA      | $602735.76    | 0.06%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618AKPG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56705 | PA      | $57237.92     | 0.01%             | 2053-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617LADV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13598 | PA      | $13640.04     | 0.00%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                      | FHLMC Pool, 30 Year                                                                   | CUSIP: 3132AA4K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1066602 | PA      | $949401.02    | 0.09%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                            | JPMorgan Chase & Co.                                                                  | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2057000 | PA      | $1881079.76   | 0.18%             | 2031-05-13      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| BANK                                                                            | BANK, Series 2020-BN26, Class XA                                                      | CUSIP: 06540JBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   38345781 | PA      | $1680066.73   | 0.16%             | 2063-03-15      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| IHO Verwaltungs GmbH                                                            | IHO Verwaltungs GmbH                                                                  | CUSIP: 44963BAD0<br>LEI: 529900JL0HDVGZMUJF32 | Long             | DBT              | CORP              | DE        |     250000 | PA      | $242381.95    | 0.02%             | 2029-05-15      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| GCAT Trust                                                                      | GCAT Trust, Series 2020-NQM2, Class A3                                                | CUSIP: 36166RAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1267809 | PA      | $1232429.57   | 0.12%             | 2065-04-25      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618FFCD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     792781 | PA      | $830116.44    | 0.08%             | 2053-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                | Boeing Co. (The)                                                                      | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     767000 | PA      | $820011.24    | 0.08%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| Berry Global, Inc.                                                              | Berry Global, Inc.                                                                    | CUSIP: 085770AA3<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |     208000 | PA      | $207711.15    | 0.02%             | 2026-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Republic Services, Inc.                                                         | Republic Services, Inc.                                                               | CUSIP: 760759BJ8<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |     772000 | PA      | $790502.54    | 0.08%             | 2029-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618BQKD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      91221 | PA      | $92229.87     | 0.01%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Electricite de France SA                                                        | Electricite de France SA                                                              | CUSIP: 268317AP9<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | NUSS              | FR        |    1114000 | PA      | $1058088.18   | 0.10%             | 2035-10-13      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                                               | Philip Morris International, Inc.                                                     | CUSIP: 718172DP1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     780000 | PA      | $783164.76    | 0.08%             | 2031-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Westlake Corp.                                                                  | Westlake Corp.                                                                        | CUSIP: 960413AY8<br>LEI: GOXNEVUM0LL78B1OS344 | Long             | DBT              | CORP              | US        |     891000 | PA      | $588201.89    | 0.06%             | 2041-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F040651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11000000 | PA      | $10252861.63  | 0.98%             | 2055-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                            | Glencore Funding LLC                                                                  | CUSIP: 378272BN7<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     721000 | PA      | $753136.38    | 0.07%             | 2028-10-06      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                      | FHLMC Pool, 30 Year                                                                   | CUSIP: 3133KR5T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2456703 | PA      | $2510795.75   | 0.24%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Puget Sound Energy, Inc.                                                        | Puget Sound Energy, Inc.                                                              | CUSIP: 745332CL8<br>LEI: 8MNFJR7KOMBQ7X62LK44 | Long             | DBT              | CORP              | US        |     684000 | PA      | $646785.43    | 0.06%             | 2053-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, Series 2006-84, Class OT                                                        | CUSIP: 31396K2S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3210 | PA      | $2679.74      | 0.00%             | 2036-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LPL Holdings, Inc.                                                              | LPL Holdings, Inc.                                                                    | CUSIP: 50212YAL8<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |     779000 | PA      | $786806.76    | 0.08%             | 2030-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Commonwealth Bank of Australia                                                  | Commonwealth Bank of Australia                                                        | CUSIP: 2027A0HR3<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |     401000 | PA      | $399919.39    | 0.04%             | 2025-12-09      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3138XJZ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     507326 | PA      | $469568.31    | 0.04%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, Series 2023-49, Class IB                                                        | CUSIP: 3136BQKK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3358517 | PA      | $529173.28    | 0.05%             | 2047-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617B3QN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     519449 | PA      | $477552.42    | 0.05%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREMF 2015-K51 Mortgage Trust                                                   | FREMF Mortgage Trust, Series 2015-K51, Class B                                        | CUSIP: 30293XAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1402000 | PA      | $1392008.79   | 0.13%             | 2048-10-25      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| Benin Government International Bond                                             | Benin Government Bond                                                                 | CUSIP: N/A<br>LEI: 635400Q11P6AE5A5Y230       | Long             | DBT              | NUSS              | BJ        |     210000 | PA      | $192413.79    | 0.02%             | 2035-01-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2022-R01, Class 1M2                       | CUSIP: 20754LAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     215000 | PA      | $216121.53    | 0.02%             | 2041-12-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Civitas Resources, Inc.                                                         | Civitas Resources, Inc.                                                               | CUSIP: 17888HAB9<br>LEI: IIVIHPH28S64K95M2381 | Long             | DBT              | CORP              | US        |     225000 | PA      | $214150.10    | 0.02%             | 2031-07-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                                  | Morgan Stanley Capital I Trust, Series 2016-BNK2, Class XA                            | CUSIP: 61690YBV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21686327 | PA      | $219823.45    | 0.02%             | 2049-11-15      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618FFCG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     206143 | PA      | $211293.95    | 0.02%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F020455<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7000000 | PA      | $6360875.57   | 0.61%             | 2040-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618B5MP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73608 | PA      | $74306.90     | 0.01%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ellington CLO III Ltd.                                                          | Ellington CLO III Ltd., Series 2018-3A, Class B                                       | CUSIP: 28852LAG8<br>LEI: 254900V20GCNJI0I7591 | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1505737.90   | 0.14%             | 2030-07-20      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140XNRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     920434 | PA      | $806689.01    | 0.08%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Transmission LLC                                                    | FirstEnergy Transmission LLC                                                          | CUSIP: 33767BAG4<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     425000 | PA      | $421042.39    | 0.04%             | 2030-01-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Ovintiv, Inc.                                                                   | Ovintiv, Inc.                                                                         | CUSIP: 012873AH8<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |      57000 | PA      | $63347.84     | 0.01%             | 2030-09-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F060659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   63000000 | PA      | $63917748.09  | 6.12%             | 2055-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                              | Banco Santander SA                                                                    | CUSIP: 05971KAA7<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    4600000 | PA      | $4605945.96   | 0.44%             | 2025-11-19      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2012-113, Class ID                                                       | CUSIP: 38378HVU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6233344 | PA      | $964793.32    | 0.09%             | 2042-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                                                      | LAD Auto Receivables Trust, Series 2023-3A, Class A3                                  | CUSIP: 50168BAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     848346 | PA      | $851165.73    | 0.08%             | 2027-09-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 21H022655<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21000000 | PA      | $17900836.17  | 1.71%             | 2055-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                             | GS Mortgage-Backed Securities Trust, Series 2020-RPL1, Class M2                       | CUSIP: 36260AAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1125000 | PA      | $970338.26    | 0.09%             | 2059-07-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Australia & New Zealand Banking Group Ltd.                                      | Australia & New Zealand Banking Group Ltd.                                            | CUSIP: 052528AM8<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |    1145000 | PA      | $992432.02    | 0.10%             | 2035-11-25      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Citizens Auto Receivables Trust                                                 | Citizens Auto Receivables Trust, Series 2024-2, Class A2B                             | CUSIP: 17331XAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     657252 | PA      | $657354.96    | 0.06%             | 2026-11-16      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| VICI Properties LP                                                              | VICI Properties LP                                                                    | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    1339000 | PA      | $1340506.38   | 0.13%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140JXZG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110004 | PA      | $109158.20    | 0.01%             | 2049-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 33 Ltd.                                                             | Elmwood CLO 33 Ltd., Series 2024-9RA, Class AR                                        | CUSIP: 29001EAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1494951.94   | 0.14%             | 2037-10-21      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F020653<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   69000000 | PA      | $54746532.00  | 5.24%             | 2055-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617G0SZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     113484 | PA      | $106133.01    | 0.01%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                                              | Macquarie Airfinance Holdings Ltd.                                                    | CUSIP: 55609NAD0<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |     447000 | PA      | $459532.99    | 0.04%             | 2031-03-26      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140XCAU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     694059 | PA      | $557998.27    | 0.05%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                                              | A&D Mortgage Trust, Series 2023-NQM4, Class A2                                        | CUSIP: 00002MAB5<br>LEI: 9845002EOD0CFAFA4F48 | Long             | ABS-MBS          | CORP              | US        |     667893 | PA      | $681797.25    | 0.07%             | 2068-09-25      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                            | JPMorgan Chase & Co.                                                                  | CUSIP: 46647PDA1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    5131000 | PA      | $5125943.66   | 0.49%             | 2028-04-26      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Trust                                              | Barclays Commercial Mortgage Trust, Series 2019-C5, Class F                           | CUSIP: 05492JAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4179000 | PA      | $2255073.23   | 0.22%             | 2052-11-15      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| DBUBS Mortgage Trust                                                            | DBUBS Mortgage Trust, Series 2011-LC3A, Class D                                       | CUSIP: 23305YAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2977719 | PA      | $2876000.23   | 0.28%             | 2044-08-10      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |    2571400 | PA      | $81293.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2022-R03, Class 1M2                       | CUSIP: 20753XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38000 | PA      | $39301.83     | 0.00%             | 2042-03-25      | Floating      | 7.85%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                              | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class C          | CUSIP: 61690AAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3614000 | PA      | $3412251.70   | 0.33%             | 2047-12-15      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                             | Constellation Energy Generation LLC                                                   | CUSIP: 210385AE0<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |     785000 | PA      | $813650.38    | 0.08%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Westinghouse Air Brake Technologies Corp.                                       | Westinghouse Air Brake Technologies Corp.                                             | CUSIP: 960386AR1<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |    1209000 | PA      | $1242793.99   | 0.12%             | 2034-03-11      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                                | Paramount Global                                                                      | CUSIP: 92553PAP7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     630000 | PA      | $454147.68    | 0.04%             | 2043-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140JUFY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49529 | PA      | $49505.60     | 0.00%             | 2049-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Aon Global Ltd.                                                                 | Aon Global Ltd.                                                                       | CUSIP: 00185AAB0<br>LEI: VVT2B79I2Z4U3R6BY589 | Long             | DBT              | CORP              | GB        |     820000 | PA      | $665515.16    | 0.06%             | 2042-12-12      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II                                                                               | CUSIP: 36186JHS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8650 | PA      | $8558.93      | 0.00%             | 2065-06-20      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2018-H02, Class EI                                                       | CUSIP: 38375U6A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7862117 | PA      | $362585.13    | 0.03%             | 2068-01-20      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                 | Intercontinental Exchange, Inc.                                                       | CUSIP: 45866FAV6<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     655000 | PA      | $656607.11    | 0.06%             | 2029-06-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                             | Kinder Morgan, Inc.                                                                   | CUSIP: 28368EAE6<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    1976000 | PA      | $2242524.86   | 0.21%             | 2032-01-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    8620800 | PA      | $239216.74    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LPL Holdings, Inc.                                                              | LPL Holdings, Inc.                                                                    | CUSIP: 50212YAH7<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |     855000 | PA      | $909136.42    | 0.09%             | 2028-11-17      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617MCUV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     119607 | PA      | $114766.18    | 0.01%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ovintiv, Inc.                                                                   | Ovintiv, Inc.                                                                         | CUSIP: 69047QAC6<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |     133000 | PA      | $131179.81    | 0.01%             | 2033-07-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2019-65, Class BS                                                        | CUSIP: 38381VKZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5799790 | PA      | $624569.55    | 0.06%             | 2049-05-20      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA                                                                                  | CUSIP: 31418CG32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     337866 | PA      | $312218.72    | 0.03%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CNO Global Funding                                                              | CNO Global Funding                                                                    | CUSIP: 18977W2F6<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |     332000 | PA      | $332751.41    | 0.03%             | 2029-09-09      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Xcel Energy, Inc.                                                               | Xcel Energy, Inc.                                                                     | CUSIP: 98389BBE9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    1590000 | PA      | $1606459.43   | 0.15%             | 2035-04-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd.                                                                | Oaktree CLO Ltd., Series 2021-1A, Class A1R                                           | CUSIP: 67402JAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1089000 | PA      | $1083529.55   | 0.10%             | 2038-01-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| FREMF 2018-KF43 Mortgage Trust                                                  | FREMF Mortgage Trust, Series 2018-KF43, Class B                                       | CUSIP: 30296DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2579818 | PA      | $2487234.60   | 0.24%             | 2028-01-25      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2023-140, Class JS                                                       | CUSIP: 38384EUV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGSE             | US        |    1103606 | PA      | $1137684.25   | 0.11%             | 2053-09-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                              | General Motors Financial Co., Inc.                                                    | CUSIP: 37045XEZ5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     389000 | PA      | $382771.81    | 0.04%             | 2029-10-06      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Caesars Entertainment, Inc.                                                     | Caesars Entertainment, Inc., First Lien, CME Term Loan, B1                            | CUSIP: 12768EAH9<br>LEI: 549300FA4CTCW903Y781 | Long             | LON              | CORP              | US        |    1074573 | PA      | $1059797.49   | 0.10%             | 2031-02-06      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                              | T-Mobile USA, Inc.                                                                    | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      34000 | PA      | $32817.63     | 0.00%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Light & Wonder International, Inc.                                              | Light & Wonder International, Inc.                                                    | CUSIP: 80874YBE9<br>LEI: RLTHESQ0RNFQJWPBJN60 | Long             | DBT              | CORP              | US        |     230000 | PA      | $234716.61    | 0.02%             | 2029-11-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617MH3D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1587078 | PA      | $1391118.13   | 0.13%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Commercial Mortgage Trust                                       | Banc of America Commercial Mortgage Trust, Series 2015-UBS7, Class B                  | CUSIP: 06054ABC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4306000 | PA      | $4097886.28   | 0.39%             | 2048-09-15      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                                                 | Air Lease Corp.                                                                       | CUSIP: 00912XBF0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    1045000 | PA      | $1044836.43   | 0.10%             | 2028-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                                                  | Hyundai Auto Receivables Trust, Series 2023-A, Class A3                               | CUSIP: 448979AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1636488 | PA      | $1635502.50   | 0.16%             | 2027-04-15      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140JKL87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19334 | PA      | $19447.50     | 0.00%             | 2049-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140QS3Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     373694 | PA      | $374927.77    | 0.04%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                             | Constellation Energy Generation LLC                                                   | CUSIP: 210385AB6<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    1245000 | PA      | $1286609.26   | 0.12%             | 2028-03-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Georgia Power Co.                                                               | Georgia Power Co.                                                                     | CUSIP: 373334KW0<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     297000 | PA      | $300033.54    | 0.03%             | 2034-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                | Boeing Co. (The)                                                                      | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1424000 | PA      | $1395470.36   | 0.13%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| EPR Properties                                                                  | EPR Properties                                                                        | CUSIP: 26884UAG4<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |     498000 | PA      | $440634.47    | 0.04%             | 2031-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    9856000 | PA      | $-66208.82    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                      | FHLMC Pool, 30 Year                                                                   | CUSIP: 31329JH83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     128067 | PA      | $120008.94    | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                                                    | Ford Credit Auto Owner Trust, Series 2024-A, Class A3                                 | CUSIP: 34535EAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5827000 | PA      | $5899399.31   | 0.57%             | 2028-12-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 31418MGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73294 | PA      | $76743.24     | 0.01%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3138EMY39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123095 | PA      | $124081.19    | 0.01%             | 2044-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Putnam Funds Trust                                                              | Putnam Short Term Investment Fund, Class P                                            | CUSIP: 74676P664<br>LEI: 549300S9JYWEMKQCLW53 | Long             |  | RF                | US        |   76964985 | NS      | $76964985.01  | 7.37%             |  |  |  | No            |                  1 | On Loan: No      |
| Republic of Colombia                                                            | Colombia Government Bond                                                              | CUSIP: 195325EG6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     560000 | PA      | $546819.42    | 0.05%             | 2034-02-02      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2023-152, Class FB                                                       | CUSIP: 38384DZX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2791928 | PA      | $2839765.07   | 0.27%             | 2051-04-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Venture Global Calcasieu Pass LLC                                               | Venture Global Calcasieu Pass LLC                                                     | CUSIP: 92328MAE3<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2603289.00   | 0.25%             | 2030-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3138EKBW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     324685 | PA      | $327752.86    | 0.03%             | 2042-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Blackstone Private Credit Fund                                                  | Blackstone Private Credit Fund                                                        | CUSIP: 09261HAK3<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |     874000 | PA      | $842243.56    | 0.08%             | 2027-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                                     | Capital One Financial Corp.                                                           | CUSIP: 14040HBJ3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     875000 | PA      | $873307.62    | 0.08%             | 2025-10-29      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Sempra, Inc.                                                                    | Sempra, Inc.                                                                          | CUSIP: 816851BR9<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |     850000 | PA      | $856195.17    | 0.08%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC, Series 3065, Class DC                                                          | CUSIP: 31396EU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     119150 | PA      | $124616.52    | 0.01%             | 2035-03-15      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3138Y7C34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     391640 | PA      | $361720.99    | 0.03%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2015-H10, Class CI                                                       | CUSIP: 38376RAF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8953548 | PA      | $222970.20    | 0.02%             | 2065-04-20      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 21H020659<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13000000 | PA      | $10609095.25  | 1.02%             | 2055-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2023-HQA2, Class M1A                                  | CUSIP: 35564K2F5<br>LEI: 5493000KIGZAWUOW4E32 | Long             | ABS-MBS          | CORP              | US        |      46279 | PA      | $46535.54     | 0.00%             | 2043-06-25      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Rogers Communications, Inc.                                                     | Rogers Communications, Inc., Series NC5                                               | CUSIP: 775109DG3<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |    1535000 | PA      | $1547392.39   | 0.15%             | 2055-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Ohio, Inc.                                                          | Duke Energy Ohio, Inc.                                                                | CUSIP: 26442EAF7<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |     758000 | PA      | $743251.64    | 0.07%             | 2029-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO 5 Ltd.                                                          | Signal Peak CLO 5 Ltd., Series 2018-5A, Class A1R                                     | CUSIP: 82666VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1900000 | PA      | $1901898.36   | 0.18%             | 2037-04-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2015-H12, Class EI                                                       | CUSIP: 38376RBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10107152 | PA      | $214039.16    | 0.02%             | 2065-04-20      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                      | JPMBB Commercial Mortgage Securities Trust, Series 2013-C12, Class C                  | CUSIP: 46639NAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     135715 | PA      | $130483.12    | 0.01%             | 2045-07-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII Trust                                       | Bayview Opportunity Master Fund VII Trust, Series 2023-1A, Class A                    | CUSIP: 072927AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1028770 | PA      | $1054408.76   | 0.10%             | 2060-10-28      | Fixed         | 6.93%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust                              | GM Financial Consumer Automobile Receivables Trust, Series 2024-2, Class A3           | CUSIP: 379931AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2147000 | PA      | $2170276.92   | 0.21%             | 2029-03-16      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2022-HQA1, Class M1A                                  | CUSIP: 35564KTA7<br>LEI: 5493000IRODEKU3J3Q16 | Long             | ABS-MBS          | CORP              | US        |       4775 | PA      | $4798.02      | 0.00%             | 2042-03-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| Electricite de France SA                                                        | Electricite de France SA                                                              | CUSIP: 28504KAA5<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | NUSS              | FR        |     210000 | PA      | $235404.75    | 0.02%             | 2033-03-15      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| RR 29 Ltd.                                                                      | RR 29 Ltd., Series 2024-29RA, Class A1R                                               | CUSIP: 74989VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1150000 | PA      | $1152964.13   | 0.11%             | 2039-07-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140QNE65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     673652 | PA      | $568920.58    | 0.05%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                   | Citigroup Mortgage Loan Trust, Series 2022-A, Class A1                                | CUSIP: 17330VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     437827 | PA      | $437732.75    | 0.04%             | 2062-09-25      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| Patterson-UTI Energy, Inc.                                                      | Patterson-UTI Energy, Inc.                                                            | CUSIP: 703481AC5<br>LEI: 254900XGFBKIXD6G0697 | Long             | DBT              | CORP              | US        |     403000 | PA      | $389835.96    | 0.04%             | 2029-11-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Ready Capital Mortgage Financing LLC                                            | Ready Capital Mortgage Financing LLC, Series 2021-FL7, Class AS                       | CUSIP: 75575WAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3900000 | PA      | $3894898.76   | 0.37%             | 2036-11-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 36291FRM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1069980 | PA      | $1068237.28   | 0.10%             | 2045-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617LSDU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32393 | PA      | $31849.82     | 0.00%             | 2049-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2019-HRP1, Class M2                       | CUSIP: 20754PAC4<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | CORP              | US        |     101694 | PA      | $101886.38    | 0.01%             | 2039-11-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617LDUA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8800 | PA      | $8879.01      | 0.00%             | 2049-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AES Corp. (The)                                                                 | AES Corp. (The)                                                                       | CUSIP: 00130HCE3<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |     236000 | PA      | $230169.86    | 0.02%             | 2026-01-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Ashtead Capital, Inc.                                                           | Ashtead Capital, Inc.                                                                 | CUSIP: 045054AP8<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |     505000 | PA      | $429642.67    | 0.04%             | 2031-08-12      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Ovintiv, Inc.                                                                   | Ovintiv, Inc.                                                                         | CUSIP: 69047QAB8<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |    2036000 | PA      | $2074316.62   | 0.20%             | 2028-05-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 15 Year                                                                         | CUSIP: 3140XM2T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1661714 | PA      | $1522777.65   | 0.15%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NiSource, Inc.                                                                  | NiSource, Inc.                                                                        | CUSIP: 65473PAS4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |     855000 | PA      | $874532.92    | 0.08%             | 2029-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                      | FHLMC Pool, 30 Year                                                                   | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     350735 | PA      | $296065.44    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                                       | Vistra Operations Co. LLC                                                             | CUSIP: 92840VAG7<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     904000 | PA      | $888616.56    | 0.09%             | 2027-01-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II                                                                               | CUSIP: 3617A8DZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8276 | PA      | $8173.18      | 0.00%             | 2065-08-20      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO I Ltd.                                                              | Elmwood CLO I Ltd., Series 2019-1A, Class A1RR                                        | CUSIP: 290015AW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1400000 | PA      | $1403209.12   | 0.13%             | 2037-04-20      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                           | Bank of America Corp.                                                                 | CUSIP: 06051GHZ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1325000 | PA      | $1199708.11   | 0.11%             | 2031-02-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3138ELTQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     186849 | PA      | $195643.71    | 0.02%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    8000000 | PA      | $426541.99    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   60437000 | PA      | $-618541.33   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                            | JPMorgan Chase & Co.                                                                  | CUSIP: 46647PEV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1619000 | PA      | $1653913.74   | 0.16%             | 2031-01-24      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Howmet Aerospace, Inc.                                                          | Howmet Aerospace, Inc.                                                                | CUSIP: 022249AU0<br>LEI: 549300HO5WFZUT5N2T22 | Long             | DBT              | CORP              | US        |     397000 | PA      | $420209.81    | 0.04%             | 2028-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140MN3M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     712061 | PA      | $703386.76    | 0.07%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618FFCE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     231016 | PA      | $236935.73    | 0.02%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA                                                                                  | CUSIP: 31418BP42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96004 | PA      | $91353.54     | 0.01%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Pfizer Investment Enterprises Pte. Ltd.                                         | Pfizer Investment Enterprises Pte. Ltd.                                               | CUSIP: 716973AG7<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |     854000 | PA      | $791472.02    | 0.08%             | 2053-05-19      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| JBS USA Holding Lux SARL / JBS USA Food Co. / JBS Lux Co. SARL                  | JBS USA Holding Lux SARL / JBS USA Food Co. / JBS Lux Co. SARL                        | CUSIP: 46590XAN6<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    1324000 | PA      | $1245553.40   | 0.12%             | 2029-02-02      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        | -235050000 | PA      | $-1308942.54  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618B9GT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     445082 | PA      | $458202.99    | 0.04%             | 2053-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | CDSCMBX                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    3485000 | PA      | $308173.94    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                        | Celanese US Holdings LLC                                                              | CUSIP: 15089QAK0<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     238000 | PA      | $227234.53    | 0.02%             | 2026-08-05      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                           | Athene Global Funding                                                                 | CUSIP: 04685A3Z2<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    1439000 | PA      | $1462982.85   | 0.14%             | 2031-07-11      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust                              | GM Financial Consumer Automobile Receivables Trust, Series 2023-1, Class A3           | CUSIP: 38013JAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     729059 | PA      | $729621.56    | 0.07%             | 2028-02-16      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Interpublic Group of Cos., Inc. (The)                                           | Interpublic Group of Cos., Inc. (The)                                                 | CUSIP: 460690BT6<br>LEI: 5493008IUOJ5VWTRC333 | Long             | DBT              | CORP              | US        |     391000 | PA      | $342638.86    | 0.03%             | 2031-03-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Capital One Prime Auto Receivables Trust                                        | Capital One Prime Auto Receivables Trust, Series 2022-1, Class A3                     | CUSIP: 14043QAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2142525 | PA      | $2130567.23   | 0.20%             | 2027-04-15      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                      | JPMBB Commercial Mortgage Securities Trust, Series 2014-C22, Class XA                 | CUSIP: 46642NBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1542418 | PA      | $23.75        | 0.00%             | 2047-09-15      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| Black Diamond CLO Ltd.                                                          | Black Diamond CLO Ltd., Series 2021-1A, Class A1A                                     | CUSIP: 09204WAA2<br>LEI: 549300IEWA7GZ3ECTT90 | Long             | ABS-CBDO         | CORP              | KY        |     400000 | PA      | $399999.80    | 0.04%             | 2034-11-22      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618FTV78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26394 | PA      | $27163.04     | 0.00%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MasTec, Inc.                                                                    | MasTec, Inc.                                                                          | CUSIP: 576323AT6<br>LEI: 549300TMDIT8WREDOF45 | Long             | DBT              | CORP              | US        |    1758000 | PA      | $1798706.49   | 0.17%             | 2029-06-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618FAHJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     306678 | PA      | $321660.62    | 0.03%             | 2053-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LCM 41 Ltd.                                                                     | LCM 41 Ltd., Series 41A, Class A1                                                     | CUSIP: 501971AA3<br>LEI: 549300NXCNS8YRPWOQ95 | Long             | ABS-CBDO         | CORP              | JE        |     500000 | PA      | $499079.04    | 0.05%             | 2036-04-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618FMUP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     986430 | PA      | $1025647.43   | 0.10%             | 2053-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | CDSCMBX                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     876000 | PA      | $22490.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                                         | FHLMC STACR REMIC Trust, Series 2022-DNA3, Class M1A                                  | CUSIP: 35564KUW7<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | CORP              | US        |       4530 | PA      | $4585.23      | 0.00%             | 2042-04-25      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| VMware LLC                                                                      | VMware LLC                                                                            | CUSIP: 928563AJ4<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     466000 | PA      | $447437.34    | 0.04%             | 2026-08-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | U.S. Treasury Ultra Bonds                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        333 | NC      | $-60442.16    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Vmed O2 UK Financing I plc                                                      | Vmed O2 UK Financing I plc                                                            | CUSIP: 92858RAB6<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |     210000 | PA      | $184791.04    | 0.02%             | 2031-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M1                       | CUSIP: 20754BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      67485 | PA      | $67452.93     | 0.01%             | 2042-01-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F030454<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $949569.93    | 0.09%             | 2040-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Mattel, Inc.                                                                    | Mattel, Inc.                                                                          | CUSIP: 577081BF8<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |     110000 | PA      | $103722.86    | 0.01%             | 2029-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                             | COMM Mortgage Trust, Series 2014-UBS4, Class XA                                       | CUSIP: 12591QAS1<br>LEI: 5493004GWEVMOU8S3L34 | Long             | ABS-MBS          | CORP              | US        |    3770844 | PA      | $14263.97     | 0.00%             | 2047-08-10      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| VICI Properties LP / VICI Note Co., Inc.                                        | VICI Properties LP / VICI Note Co., Inc.                                              | CUSIP: 92564RAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     844000 | PA      | $829182.74    | 0.08%             | 2027-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                                   | UBS Commercial Mortgage Trust, Series 2018-C12, Class XA                              | CUSIP: 90353DBA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  104127584 | PA      | $2456682.09   | 0.24%             | 2051-08-15      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 31417BXC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153118 | PA      | $143483.24    | 0.01%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618BBSK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      79459 | PA      | $80523.11     | 0.01%             | 2053-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   17980000 | PA      | $251470.50    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                | Boeing Co. (The)                                                                      | CUSIP: 097023CN3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     145000 | PA      | $133147.60    | 0.01%             | 2030-02-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618B0L92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     194365 | PA      | $199506.01    | 0.02%             | 2053-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Hungary                                                                         | Hungary Government Bond                                                               | CUSIP: N/A<br>LEI: 5299003F3UFKGCCMAP43       | Long             | DBT              | NUSS              | HU        |     350000 | PA      | $350004.38    | 0.03%             | 2029-06-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 21H030658<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14000000 | PA      | $12397205.80  | 1.19%             | 2055-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                                  | Carvana Auto Receivables Trust, Series 2023-P3, Class A3                              | CUSIP: 14688GAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     952646 | PA      | $960071.81    | 0.09%             | 2028-08-10      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617LEPL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     139765 | PA      | $125569.81    | 0.01%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617K4U96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74157 | PA      | $73378.65     | 0.01%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BDS Ltd.                                                                        | BDS Ltd., Series 2021-FL10, Class A                                                   | CUSIP: 07335YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     828445 | PA      | $827405.20    | 0.08%             | 2036-12-16      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| DIRECTV Financing LLC                                                           | DIRECTV Financing LLC, First Lien, 2024 Refinancing CME Term Loan, B                  | CUSIP: 25460HAD4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      33832 | PA      | $32829.70     | 0.00%             | 2029-08-02      | Variable      | 9.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2017-H08, Class NI                                                       | CUSIP: 38376R2Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5003147 | PA      | $162494.72    | 0.02%             | 2067-03-20      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                         | Hyundai Capital America                                                               | CUSIP: 44891ADG9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     485000 | PA      | $475259.23    | 0.05%             | 2029-09-26      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140QKVB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2581850 | PA      | $2164783.06   | 0.21%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617K4U88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      71084 | PA      | $70515.43     | 0.01%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Foundry JV Holdco LLC                                                           | Foundry JV Holdco LLC                                                                 | CUSIP: 350930AF0<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |     365000 | PA      | $369889.51    | 0.04%             | 2031-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2010-9, Class UI                                                         | CUSIP: 38375AX25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2489901 | PA      | $515015.37    | 0.05%             | 2040-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2010-H19, Class GI                                                       | CUSIP: 38375BFR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3428277 | PA      | $121031.90    | 0.01%             | 2060-08-20      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140H25U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75865 | PA      | $71711.79     | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140XK5T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     732200 | PA      | $757788.19    | 0.07%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618FMUQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     928871 | PA      | $958473.56    | 0.09%             | 2053-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Aker BP ASA                                                                     | Aker BP ASA                                                                           | CUSIP: 00973RAP8<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |     947000 | PA      | $829750.13    | 0.08%             | 2054-10-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617JSE28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12042 | PA      | $12413.73     | 0.00%             | 2049-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Republic of Panama                                                              | Panama Government Bond                                                                | CUSIP: 698299BX1<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     530000 | PA      | $551242.40    | 0.05%             | 2031-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| DaVita, Inc.                                                                    | DaVita, Inc.                                                                          | CUSIP: 23918KAW8<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |     960000 | PA      | $969984.96    | 0.09%             | 2032-09-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Atlassian Corp.                                                                 | Atlassian Corp.                                                                       | CUSIP: 049468AA9<br>LEI: 549300V7ZY5P02D2MY38 | Long             | DBT              | CORP              | US        |     520000 | PA      | $529025.29    | 0.05%             | 2029-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140EVTB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1187454 | PA      | $1057674.15   | 0.10%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | Morgan Stanley                                                                        | CUSIP: 6174467Y9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    5792000 | PA      | $5783955.49   | 0.55%             | 2026-09-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co. LP / PTL Finance Corp.                                 | Penske Truck Leasing Co. LP / PTL Finance Corp.                                       | CUSIP: 709599BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1546000 | PA      | $1540455.27   | 0.15%             | 2027-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Dick's Sporting Goods, Inc.                                                     | Dick's Sporting Goods, Inc.                                                           | CUSIP: 253393AG7<br>LEI: 529900SSBV5I4LWSK313 | Long             | DBT              | CORP              | US        |    1055000 | PA      | $723747.07    | 0.07%             | 2052-01-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 21H042653<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36000000 | PA      | $34467149.52  | 3.30%             | 2055-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                                     | Amgen, Inc.                                                                           | CUSIP: 031162DQ0<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    1361000 | PA      | $1400126.69   | 0.13%             | 2030-03-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Hyatt Hotels Corp.                                                              | Hyatt Hotels Corp.                                                                    | CUSIP: 448579AR3<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |     460000 | PA      | $461701.80    | 0.04%             | 2029-06-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Hewlett Packard Enterprise Co.                                                  | Hewlett Packard Enterprise Co.                                                        | CUSIP: 42824CBV0<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |     457000 | PA      | $441383.71    | 0.04%             | 2034-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Paychex, Inc.                                                                   | Paychex, Inc.                                                                         | CUSIP: 704326AA5<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |    1510000 | PA      | $1533113.74   | 0.15%             | 2030-04-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F032450<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $963581.90    | 0.09%             | 2040-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 36179MNL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53250 | PA      | $53848.56     | 0.01%             | 2042-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   32780000 | PA      | $-936515.03   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $4782423.40   | 0.46%             | 2055-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2014-71, Class BI                                                        | CUSIP: 38379BZU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9744 | PA      | $167.48       | 0.00%             | 2029-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TGNR Intermediate Holdings LLC                                                  | TGNR Intermediate Holdings LLC                                                        | CUSIP: 77289KAA3<br>LEI: 5493007AZNVKZ5HEMT23 | Long             | DBT              | CORP              | US        |     110000 | PA      | $101195.30    | 0.01%             | 2029-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC, Series 4839, Class WS                                                          | CUSIP: 3137FJK99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13085760 | PA      | $1930597.09   | 0.18%             | 2056-08-15      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617LEXM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     104773 | PA      | $100928.36    | 0.01%             | 2050-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fertitta Entertainment LLC                                                      | Fertitta Entertainment LLC, First Lien, Initial CME Term Loan, B                      | CUSIP: 31556PAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     997429 | PA      | $974054.55    | 0.09%             | 2029-01-29      | Variable      | 7.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2017-H12, Class QI                                                       | CUSIP: 38376R2S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7336779 | PA      | $291989.14    | 0.03%             | 2067-05-20      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140XFGA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     318415 | PA      | $268796.81    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Republic of the Philippines                                                     | Philippine Government Bond                                                            | CUSIP: 718286DG9<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     460000 | PA      | $474665.84    | 0.05%             | 2035-02-04      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd.                                                    | Royal Caribbean Cruises Ltd.                                                          | CUSIP: 780153BU5<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    1719000 | PA      | $1746224.66   | 0.17%             | 2032-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                            | BBCMS Mortgage Trust, Series 2024-5C29, Class XA                                      | CUSIP: 05555PAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22884792 | PA      | $1393503.06   | 0.13%             | 2057-09-15      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| AES Andes SA                                                                    | AES Andes SA                                                                          | CUSIP: 00111VAD9<br>LEI: 549300IF4IFG0FS0RM26 | Long             | DBT              | CORP              | CL        |     200000 | PA      | $200211.16    | 0.02%             | 2032-03-14      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                                      | Occidental Petroleum Corp.                                                            | CUSIP: 674599DD4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      32000 | PA      | $34183.23     | 0.00%             | 2031-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, Series 2017-72, Class ID                                                        | CUSIP: 3136AXV85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11103278 | PA      | $2147722.64   | 0.21%             | 2047-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank Gospodarstwa Krajowego                                                     | Bank Gospodarstwa Krajowego                                                           | CUSIP: N/A<br>LEI: 259400BCOV9JJIGLYF05       | Long             | DBT              | NUSS              | PL        |     400000 | PA      | $403037.20    | 0.04%             | 2033-05-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2014-30, Class KI                                                        | CUSIP: 38379AAT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     409954 | PA      | $8671.60      | 0.00%             | 2029-02-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140K4B58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     193873 | PA      | $182783.94    | 0.02%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                              | Energy Transfer LP, Series B                                                          | CUSIP: 29273VAJ9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1817000 | PA      | $1751165.37   | 0.17%             | 2028-02-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618B5KH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19438 | PA      | $19674.52     | 0.00%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Brunswick Corp.                                                                 | Brunswick Corp.                                                                       | CUSIP: 117043AW9<br>LEI: YM4O38W15AX4YLLQKU27 | Long             | DBT              | CORP              | US        |     830000 | PA      | $841346.74    | 0.08%             | 2029-03-18      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3138X0YX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     361974 | PA      | $338661.91    | 0.03%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TAMKO Building Products LLC                                                     | TAMKO Building Products LLC, First Lien, 2024 CME Term Loan                           | CUSIP: 87510EAD1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     349125 | PA      | $348833.49    | 0.03%             | 2030-09-20      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA I, Single-family, 30 Year                                                        | CUSIP: 36213GNS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6179 | PA      | $6415.67      | 0.00%             | 2031-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                           | Athene Global Funding                                                                 | CUSIP: 04685A2R1<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     391000 | PA      | $344673.87    | 0.03%             | 2030-11-19      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                    | GS Mortgage Securities Trust, Series 2014-GC22, Class XA                              | CUSIP: 36253BAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13132333 | PA      | $77076.29     | 0.01%             | 2047-06-10      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                              | T-Mobile USA, Inc.                                                                    | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    1976000 | PA      | $1955147.17   | 0.19%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                      | JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class XA                 | CUSIP: 46643PBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4881659 | PA      | $59.56        | 0.00%             | 2047-11-15      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| Home Depot, Inc. (The)                                                          | Home Depot, Inc. (The)                                                                | CUSIP: 437076DF6<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     747000 | PA      | $709969.39    | 0.07%             | 2054-06-25      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2019-H02, Class DI                                                       | CUSIP: 38380LQD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9453717 | PA      | $429229.95    | 0.04%             | 2068-11-20      | Variable      | 2.74%                 | No            |                  2 | On Loan: No      |
| Netflix, Inc.                                                                   | Netflix, Inc.                                                                         | CUSIP: 64110LAU0<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    2729000 | PA      | $2843114.83   | 0.27%             | 2029-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617LNR97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     854925 | PA      | $769684.02    | 0.07%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617KA2C6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47763 | PA      | $46961.44     | 0.00%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities, Series 2017-C06, Class 1M2B                       | CUSIP: 30711XQU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |       8554 | PA      | $8576.20      | 0.00%             | 2030-02-25      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| Romania                                                                         | Romanian Government Bond                                                              | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     420000 | PA      | $349976.99    | 0.03%             | 2031-02-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners LP                                                     | Cheniere Energy Partners LP                                                           | CUSIP: 16411QAK7<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |      72000 | PA      | $67321.50     | 0.01%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | CDSCMBX                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     438000 | PA      | $10600.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                | Deutsche Bank AG                                                                      | CUSIP: 251526CE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     904000 | PA      | $889741.59    | 0.09%             | 2026-11-24      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Rogers Communications, Inc.                                                     | Rogers Communications, Inc.                                                           | CUSIP: 775109CH2<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     580000 | PA      | $530383.18    | 0.05%             | 2032-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618B9GL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     170477 | PA      | $171839.03    | 0.02%             | 2053-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 36194J5R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     154995 | PA      | $137036.55    | 0.01%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140H1HT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29461 | PA      | $28010.23     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2012-38, Class MI                                                        | CUSIP: 38378DRC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11173278 | PA      | $1970942.82   | 0.19%             | 2042-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                                                 | Air Lease Corp.                                                                       | CUSIP: 00914AAE2<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     780000 | PA      | $733504.11    | 0.07%             | 2029-10-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| International Flavors & Fragrances, Inc.                                        | International Flavors & Fragrances, Inc.                                              | CUSIP: 459506AK7<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |     619000 | PA      | $616439.83    | 0.06%             | 2028-09-26      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617JVKQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53328 | PA      | $52589.22     | 0.01%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Caesars Entertainment, Inc.                                                     | Caesars Entertainment, Inc.                                                           | CUSIP: 12769GAD2<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $943368.75    | 0.09%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2014-100, Class JI                                                       | CUSIP: 38379DJU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1266302 | PA      | $43161.52     | 0.00%             | 2029-07-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2019-83                                                                  | CUSIP: 38381XAY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7552466 | PA      | $1597527.82   | 0.15%             | 2049-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 31417GHQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43885 | PA      | $39877.24     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 21H060655<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -11000000 | PA      | $-11128476.59 | -1.07%            | 2055-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                                             | Toyota Auto Receivables Owner Trust, Series 2023-C, Class A3                          | CUSIP: 89231FAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     920000 | PA      | $925377.40    | 0.09%             | 2028-04-17      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                                            | Columbia Pipelines Operating Co. LLC                                                  | CUSIP: 19828TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     915000 | PA      | $957402.71    | 0.09%             | 2030-08-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                                      | Aviation Capital Group LLC                                                            | CUSIP: 05369AAQ4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    1552000 | PA      | $1567580.53   | 0.15%             | 2029-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617BYLB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40813 | PA      | $38024.90     | 0.00%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2015-H01, Class CI                                                       | CUSIP: 38375USW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2149399 | PA      | $49605.97     | 0.00%             | 2064-12-20      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | U.S. Treasury Long Bonds                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        228 | NC      | $142103.28    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ONEOK, Inc.                                                                     | ONEOK, Inc.                                                                           | CUSIP: 682680BL6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     964000 | PA      | $989522.06    | 0.09%             | 2033-09-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                       | HCA, Inc.                                                                             | CUSIP: 404119CU1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     731000 | PA      | $735064.58    | 0.07%             | 2034-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2017-H23, Class BI                                                       | CUSIP: 38375UT59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7995276 | PA      | $286118.94    | 0.03%             | 2067-11-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617BPYW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     223360 | PA      | $205070.29    | 0.02%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                       | HCA, Inc.                                                                             | CUSIP: 404119BU2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     302000 | PA      | $301457.41    | 0.03%             | 2027-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618B5MQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38706 | PA      | $39012.90     | 0.00%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | CDSCMBX                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     198000 | PA      | $6394.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617JSCH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44579 | PA      | $44740.61     | 0.00%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                         | Hyundai Capital America                                                               | CUSIP: 44891ABL0<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     181000 | PA      | $189378.35    | 0.02%             | 2030-04-08      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Carnival Corp.                                                                  | Carnival Corp.                                                                        | CUSIP: 143658BY7<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     135000 | PA      | $134145.90    | 0.01%             | 2030-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                                 | Citigroup, Inc., Series CC                                                            | CUSIP: 172967PK1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1367000 | PA      | $1351628.91   | 0.13%             | 2029-08-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618FDLM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1744980 | PA      | $1805222.47   | 0.17%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Antero Resources Corp.                                                          | Antero Resources Corp.                                                                | CUSIP: 03674XAS5<br>LEI: APVBKPOULHUX7YZLKU17 | Long             | DBT              | CORP              | US        |      90000 | PA      | $87180.00     | 0.01%             | 2030-03-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3138W1L39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     130687 | PA      | $118104.36    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                             | CUSIP: 00774MBL8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     565000 | PA      | $560960.52    | 0.05%             | 2029-09-10      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                                                 | Air Lease Corp.                                                                       | CUSIP: 00914AAT9<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    1494000 | PA      | $1539716.01   | 0.15%             | 2027-12-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                                  | Morgan Stanley Capital I Trust, Series 2018-H3, Class XA                              | CUSIP: 61767YBA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   48768980 | PA      | $948898.05    | 0.09%             | 2051-07-15      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Commonwealth Bank of Australia                                                  | Commonwealth Bank of Australia                                                        | CUSIP: 202712BV6<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |     855000 | PA      | $872799.18    | 0.08%             | 2034-03-13      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                         | Hyundai Capital America                                                               | CUSIP: 44891ACY1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     918000 | PA      | $925511.62    | 0.09%             | 2029-03-19      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Diamondback Energy, Inc.                                                        | Diamondback Energy, Inc.                                                              | CUSIP: 25278XAV1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    1599000 | PA      | $1670677.38   | 0.16%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Atlassian Corp.                                                                 | Atlassian Corp.                                                                       | CUSIP: 049468AB7<br>LEI: 549300V7ZY5P02D2MY38 | Long             | DBT              | CORP              | US        |     172000 | PA      | $173147.82    | 0.02%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617GQYF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     371778 | PA      | $342835.51    | 0.03%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Hudbay Minerals, Inc.                                                           | Hudbay Minerals, Inc.                                                                 | CUSIP: 443628AH5<br>LEI: 549300WI524AL577IX21 | Long             | DBT              | CORP              | CA        |     105000 | PA      | $104647.51    | 0.01%             | 2029-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                                        | Lloyds Banking Group plc                                                              | CUSIP: 53944YAQ6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    1772000 | PA      | $1234791.73   | 0.12%             | 2046-12-14      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                                                     | ONEOK, Inc.                                                                           | CUSIP: 682680BE2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     310000 | PA      | $327906.00    | 0.03%             | 2031-01-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Canadian Natural Resources Ltd.                                                 | Canadian Natural Resources Ltd.                                                       | CUSIP: 136385BB6<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |     935000 | PA      | $932534.53    | 0.09%             | 2029-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Hyatt Hotels Corp.                                                              | Hyatt Hotels Corp.                                                                    | CUSIP: 448579AT9<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |     310000 | PA      | $308355.43    | 0.03%             | 2031-12-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2022-HQA3, Class M1A                                  | CUSIP: 35564KE39<br>LEI: 5493000IRJ8RDHSNEL96 | Long             | ABS-MBS          | CORP              | US        |     804895 | PA      | $816859.36    | 0.08%             | 2042-08-25      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| DT Midstream, Inc.                                                              | DT Midstream, Inc.                                                                    | CUSIP: 23345MAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1515000 | PA      | $1502373.99   | 0.14%             | 2034-12-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Spirit AeroSystems, Inc.                                                        | Spirit AeroSystems, Inc.                                                              | CUSIP: 85205TAR1<br>LEI: ZD2NBKV6GCC3UMGBM518 | Long             | DBT              | CORP              | US        |     968000 | PA      | $1072695.54   | 0.10%             | 2030-11-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 36202F3Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50569 | PA      | $51153.78     | 0.00%             | 2042-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2022-DNA2, Class M1A                                  | CUSIP: 35564KRE1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | CORP              | US        |       5763 | PA      | $5760.71      | 0.00%             | 2042-02-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                                  | Morgan Stanley Capital I Trust, Series 2015-UBS8, Class A4                            | CUSIP: 61691ABL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     403000 | PA      | $399911.85    | 0.04%             | 2048-12-15      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618BSD90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37907 | PA      | $38256.24     | 0.00%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2021-R03, Class 1M2                       | CUSIP: 20754AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     123000 | PA      | $123328.40    | 0.01%             | 2041-12-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II                                                                               | CUSIP: 36186JHC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5710 | PA      | $5647.45      | 0.00%             | 2065-05-20      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 36179XS72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1856205 | PA      | $1596581.52   | 0.15%             | 2053-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Corp. Nacional del Cobre de Chile                                               | Corp. Nacional del Cobre de Chile                                                     | CUSIP: 21987BBL1<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | NUSS              | CL        |     260000 | PA      | $269776.00    | 0.03%             | 2035-01-13      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618FFCJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     623774 | PA      | $648808.57    | 0.06%             | 2053-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, Series 2023-49, Class IA                                                        | CUSIP: 3136BQKJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4163941 | PA      | $536844.40    | 0.05%             | 2046-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MF1 Ltd.                                                                        | MF1 Ltd., Series 2021-FL6, Class A                                                    | CUSIP: 55283TAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     228033 | PA      | $227906.80    | 0.02%             | 2036-07-16      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                                 | WFRBS Commercial Mortgage Trust, Series 2014-C21, Class C                             | CUSIP: 92939FAY5<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |    1285000 | PA      | $1228826.23   | 0.12%             | 2047-08-15      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| Arthur J Gallagher & Co.                                                        | Arthur J Gallagher & Co.                                                              | CUSIP: 04316JAL3<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |     695000 | PA      | $704027.70    | 0.07%             | 2029-12-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                             | CUSIP: 00774MBN4<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     150000 | PA      | $150924.59    | 0.01%             | 2028-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                                 | WFRBS Commercial Mortgage Trust, Series 2014-C22, Class XA                            | CUSIP: 92890KBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3273547 | PA      | $661.58       | 0.00%             | 2057-09-15      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617BUS26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      49515 | PA      | $45582.10     | 0.00%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                                       | Vistra Operations Co. LLC                                                             | CUSIP: 92840VAH5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     115000 | PA      | $110724.37    | 0.01%             | 2029-05-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2022-DNA6, Class M1A                                  | CUSIP: 35564KH36<br>LEI: 5493000IS30HKV5IAS29 | Long             | ABS-MBS          | CORP              | US        |     168789 | PA      | $169980.82    | 0.02%             | 2042-09-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Tenet Healthcare Corp.                                                          | Tenet Healthcare Corp.                                                                | CUSIP: 88033GDU1<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     235000 | PA      | $241066.29    | 0.02%             | 2031-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Golden Credit Card Trust                                                        | Golden Credit Card Trust, Series 2022-4A, Class A                                     | CUSIP: 380881FP2<br>LEI: 549300BEDPMEONLTJX58 | Long             | ABS-O            | CORP              | CA        |    5492000 | PA      | $5485192.67   | 0.53%             | 2027-09-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| TCW CLO Ltd.                                                                    | TCW CLO Ltd., Series 2021-2A, Class AS                                                | CUSIP: 87190MAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1503257.14   | 0.14%             | 2034-07-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                                     | PRKCM Trust, Series 2023-AFC2, Class A1                                               | CUSIP: 693964AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4434001 | PA      | $4457013.08   | 0.43%             | 2058-06-25      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| Republic of Guatemala                                                           | Guatemala Government Bond                                                             | CUSIP: N/A<br>LEI: 529900QKDFFU9UWW5315       | Long             | DBT              | NUSS              | GT        |     480000 | PA      | $480847.59    | 0.05%             | 2036-06-13      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Apex Credit CLO 2024-II Ltd.                                                    | Apex Credit CLO Ltd., Series 2024-2A, Class A                                         | CUSIP: 03753EAA0<br>LEI: 213800V47GF24QSFBA63 | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1498392.16   | 0.14%             | 2037-07-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                           | NextEra Energy Capital Holdings, Inc.                                                 | CUSIP: 65339KDM9<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     805000 | PA      | $785297.86    | 0.08%             | 2055-03-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                            | Meta Platforms, Inc.                                                                  | CUSIP: 30303M8R6<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    1758000 | PA      | $1759817.70   | 0.17%             | 2063-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | CDSCMBX                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     641000 | PA      | $-29888.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   14445000 | PA      | $395134.81    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                                  | Morgan Stanley Capital I Trust, Series 2012-C4, Class E                               | CUSIP: 61760VAF0<br>LEI: 5493005SNWQW3UUOQX45 | Long             | ABS-MBS          | CORP              | US        |          0 | PA      | $0.00         | 0.00%             | 2045-03-15      | Variable      | 4.82%                 | No            |                  3 | On Loan: No      |
| Exelon Corp.                                                                    | Exelon Corp.                                                                          | CUSIP: 30161NBM2<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    1242000 | PA      | $1270275.41   | 0.12%             | 2029-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617GPMK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     378885 | PA      | $366183.85    | 0.04%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                    | Oracle Corp.                                                                          | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     842000 | PA      | $757859.38    | 0.07%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| 7-Eleven, Inc.                                                                  | 7-Eleven, Inc.                                                                        | CUSIP: 817826AD2<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |    2634000 | PA      | $2408757.94   | 0.23%             | 2028-02-10      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA                                                                                  | CUSIP: 3140FXC59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     363707 | PA      | $328051.48    | 0.03%             | 2056-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                                                  | Hyundai Auto Receivables Trust, Series 2024-A, Class A3                               | CUSIP: 448973AD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2750000 | PA      | $2779689.00   | 0.27%             | 2029-02-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO III Ltd.                                                            | Elmwood CLO III Ltd., Series 2019-3A, Class A1RR                                      | CUSIP: 29002HAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1700000 | PA      | $1700425.00   | 0.16%             | 2037-07-18      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO XVIII Ltd.                                                         | Trinitas CLO XVIII Ltd., Series 2021-18A, Class A1                                    | CUSIP: 89640LAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     750000 | PA      | $749257.00    | 0.07%             | 2035-01-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd.                                                             | Wind River CLO Ltd., Series 2021-4A, Class A                                          | CUSIP: 97316UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1200000 | PA      | $1199750.65   | 0.11%             | 2035-01-20      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                               | Duke Energy Corp.                                                                     | CUSIP: 26441CCF0<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    1267000 | PA      | $1215548.36   | 0.12%             | 2054-06-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                                       | Williams Cos., Inc. (The)                                                             | CUSIP: 969457CP3<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     975000 | PA      | $983918.93    | 0.09%             | 2035-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                                                        | South Africa Government Bond                                                          | CUSIP: 836205AW4<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     200000 | PA      | $196523.75    | 0.02%             | 2027-09-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617GQXB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1116441 | PA      | $1029544.07   | 0.10%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                           | NextEra Energy Capital Holdings, Inc.                                                 | CUSIP: 65339KDK3<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    2585000 | PA      | $2639461.12   | 0.25%             | 2032-03-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                              | T-Mobile USA, Inc.                                                                    | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    1307000 | PA      | $1246011.98   | 0.12%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   16008000 | PA      | $127085.09    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                | Boeing Co. (The)                                                                      | CUSIP: 097023DP7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      36000 | PA      | $37095.26     | 0.00%             | 2027-05-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617JLLA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     325164 | PA      | $330737.45    | 0.03%             | 2049-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                                           | Arroyo Mortgage Trust, Series 2019-3, Class M1                                        | CUSIP: 04285AAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3050000 | PA      | $2757289.06   | 0.26%             | 2048-10-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| MSCI, Inc.                                                                      | MSCI, Inc.                                                                            | CUSIP: 55354GAK6<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    2688000 | PA      | $2486199.48   | 0.24%             | 2030-09-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Humana, Inc.                                                                    | Humana, Inc.                                                                          | CUSIP: 444859BR2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     409000 | PA      | $336709.76    | 0.03%             | 2032-02-03      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                                      | Occidental Petroleum Corp.                                                            | CUSIP: 674599EJ0<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     328000 | PA      | $323471.11    | 0.03%             | 2029-08-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands III BV                                  | Teva Pharmaceutical Finance Netherlands III BV                                        | CUSIP: 88167AAQ4<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $194565.24    | 0.02%             | 2029-05-09      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Harley-Davidson Motorcycle Trust                                                | Harley-Davidson Motorcycle Trust, Series 2024-A, Class A3                             | CUSIP: 412922AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1520726.55   | 0.15%             | 2029-03-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |  156700000 | PA      | $1446174.04   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2015-H26, Class DI                                                       | CUSIP: 38376RJW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5518119 | PA      | $262673.48    | 0.03%             | 2065-10-20      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2019-121, Class SD                                                       | CUSIP: 38382AAJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2477485 | PA      | $294145.34    | 0.03%             | 2049-10-20      | Floating      | 1.57%                 | No            |                  2 | On Loan: No      |
| WestRock MWV LLC                                                                | WestRock MWV LLC                                                                      | CUSIP: 961548AV6<br>LEI: 4DL8C98Z5G5IXZLH3578 | Long             | DBT              | CORP              | US        |     426000 | PA      | $486590.42    | 0.05%             | 2030-01-15      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                                              | Southern Co. (The)                                                                    | CUSIP: 842587DS3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     763000 | PA      | $792177.66    | 0.08%             | 2029-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                             | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    1581000 | PA      | $1397603.53   | 0.13%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617G0RS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     410333 | PA      | $377809.67    | 0.04%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                          | Truist Financial Corp.                                                                | CUSIP: 89788MAS1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     893000 | PA      | $908790.43    | 0.09%             | 2035-01-24      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Capital One Multi-Asset Execution Trust                                         | Capital One Multi-Asset Execution Trust, Series 2022-A2, Class A                      | CUSIP: 14041NGA3<br>LEI: R42WS16M9R97TJJKGU15 | Long             | ABS-O            | CORP              | US        |    5944000 | PA      | $5941329.96   | 0.57%             | 2027-05-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618B5MN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37155 | PA      | $37546.27     | 0.00%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3138Y9DA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     225225 | PA      | $220990.82    | 0.02%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| American Electric Power Co., Inc.                                               | American Electric Power Co., Inc.                                                     | CUSIP: 025537AX9<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |     572000 | PA      | $586564.80    | 0.06%             | 2033-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                                 | TransDigm, Inc.                                                                       | CUSIP: 893647BS5<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     100000 | PA      | $103114.30    | 0.01%             | 2030-12-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| VICI Properties LP / VICI Note Co., Inc.                                        | VICI Properties LP / VICI Note Co., Inc.                                              | CUSIP: 92564RAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     972000 | PA      | $931788.94    | 0.09%             | 2029-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                        | Celanese US Holdings LLC                                                              | CUSIP: 15089QAX2<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     720000 | PA      | $720436.24    | 0.07%             | 2030-11-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 36291QQ49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     383847 | PA      | $383221.68    | 0.04%             | 2046-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | CDSCMBX                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     265000 | PA      | $-24530.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Axalta Coating Systems LLC                                                      | Axalta Coating Systems LLC                                                            | CUSIP: 05453GAC9<br>LEI: 549300G80QONCHILSF69 | Long             | DBT              | CORP              | US        |     240000 | PA      | $222549.22    | 0.02%             | 2029-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140KLLG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     920823 | PA      | $737928.26    | 0.07%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140EVUP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1252367 | PA      | $1115493.54   | 0.11%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618FMUL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2591733 | PA      | $2645566.46   | 0.25%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617L6V73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     205021 | PA      | $184405.03    | 0.02%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                    | UBS Group AG                                                                          | CUSIP: 225401AT5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     617000 | PA      | $601226.18    | 0.06%             | 2027-02-02      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | U.S. Treasury 2 Year Notes                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        199 | NC      | $393033.36    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| HCA, Inc.                                                                       | HCA, Inc.                                                                             | CUSIP: 404119CV9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     962000 | PA      | $915724.47    | 0.09%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                | Boeing Co. (The)                                                                      | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      91000 | PA      | $85365.44     | 0.01%             | 2050-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618AUVD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     473919 | PA      | $484673.02    | 0.05%             | 2053-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                | Deutsche Bank AG                                                                      | CUSIP: 251526BN8<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     470000 | PA      | $459375.81    | 0.04%             | 2032-12-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                               | Duke Energy Corp.                                                                     | CUSIP: 26441CCE3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    1774000 | PA      | $1804534.92   | 0.17%             | 2034-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 15 Year                                                                         | CUSIP: 3138ETQP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126608 | PA      | $125423.47    | 0.01%             | 2031-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                    | Oracle Corp.                                                                          | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1308000 | PA      | $1000379.34   | 0.10%             | 2041-03-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2024-R03, Class 2M1                       | CUSIP: 207941AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31795 | PA      | $31760.35     | 0.00%             | 2044-03-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618BTAF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30098 | PA      | $30308.71     | 0.00%             | 2053-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                                  | Morgan Stanley Residential Mortgage Loan Trust, Series 2024-3, Class AF               | CUSIP: 61776QAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     230050 | PA      | $227831.47    | 0.02%             | 2054-07-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                              | Energy Transfer LP                                                                    | CUSIP: 29273VAQ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     388000 | PA      | $393588.46    | 0.04%             | 2033-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140QMAG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     504312 | PA      | $424569.27    | 0.04%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Eastern Energy Gas Holdings LLC                                                 | Eastern Energy Gas Holdings LLC                                                       | CUSIP: 27636AAA0<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |     405000 | PA      | $381664.95    | 0.04%             | 2054-10-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                | Boeing Co. (The)                                                                      | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     584000 | PA      | $564457.48    | 0.05%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                      | FHLMC Pool, 30 Year                                                                   | CUSIP: 3131XRJN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39899 | PA      | $39548.13     | 0.00%             | 2045-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140EVH91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     248197 | PA      | $221133.32    | 0.02%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                                          | NRZ Excess Spread-Collateralized Notes, Series 2020-PLS1, Class A                     | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     415828 | PA      | $411172.39    | 0.04%             | 2025-12-25      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                | Boeing Co. (The)                                                                      | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      55000 | PA      | $57870.95     | 0.01%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Icon Investments Six DAC                                                        | Icon Investments Six DAC                                                              | CUSIP: 45115AAA2<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |     874000 | PA      | $891706.10    | 0.09%             | 2027-05-08      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Station Place Securitization Trust                                              | Station Place Securitization Trust, Series 2024-10, Class A                           | CUSIP: 85779PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $4014013.20   | 0.38%             | 2025-10-27      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                             | Citigroup Commercial Mortgage Trust, Series 2016-P6, Class B                          | CUSIP: 17291EAZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1631000 | PA      | $1486351.67   | 0.14%             | 2049-12-10      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2023-HQA3, Class A1                                   | CUSIP: 35564K3F4<br>LEI: 529900ZTXRUUVE8G8W08 | Long             | ABS-MBS          | CORP              | US        |      95648 | PA      | $96521.64     | 0.01%             | 2043-11-25      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2015-H25, Class CI                                                       | CUSIP: 38376RJH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6101243 | PA      | $242316.98    | 0.02%             | 2065-10-20      | Variable      | 2.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617JJ4C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25177 | PA      | $26127.86     | 0.00%             | 2049-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ashtead Capital, Inc.                                                           | Ashtead Capital, Inc.                                                                 | CUSIP: 045054AF0<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    1995000 | PA      | $1979503.02   | 0.19%             | 2027-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F030652<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9000000 | PA      | $7812132.30   | 0.75%             | 2055-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                                 | BRAVO Residential Funding Trust, Series 2020-RPL1, Class M1                           | CUSIP: 10568YAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5430000 | PA      | $5140584.26   | 0.49%             | 2059-05-26      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Royalty Pharma plc                                                              | Royalty Pharma plc                                                                    | CUSIP: 78081BAR4<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    1168000 | PA      | $1160422.19   | 0.11%             | 2034-09-02      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                              | Crown Castle, Inc.                                                                    | CUSIP: 22822VAK7<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     777000 | PA      | $759327.31    | 0.07%             | 2028-02-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617L9UV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27622 | PA      | $25735.44     | 0.00%             | 2049-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DR Horton, Inc.                                                                 | DR Horton, Inc.                                                                       | CUSIP: 23331ABU2<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |    1115000 | PA      | $1116926.79   | 0.11%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA                                                                                  | CUSIP: 3138WES42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25071 | PA      | $23976.93     | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                      | FHLMC Pool, 30 Year                                                                   | CUSIP: 3131XQTV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23386 | PA      | $22611.20     | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Merrill Lynch Commercial Mortgage Trust                         | Bank of America Merrill Lynch Commercial Mortgage Trust, Series 2016-UB10, Class C    | CUSIP: 06054MAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     167000 | PA      | $159939.09    | 0.02%             | 2049-07-15      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| Jefferies Financial Group, Inc.                                                 | Jefferies Financial Group, Inc.                                                       | CUSIP: 47233WJG5<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    1230000 | PA      | $1233196.54   | 0.12%             | 2026-03-16      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Credit Risk                                        | FHLMC, Multi-family Structured Pass-Through Certificates, Series 2021-MN3, Class M2   | CUSIP: 35563GAB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     478000 | PA      | $497874.00    | 0.05%             | 2051-11-25      | Floating      | 8.35%                 | No            |                  2 | On Loan: No      |
| American Transmission Systems, Inc.                                             | American Transmission Systems, Inc.                                                   | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     430000 | PA      | $373711.83    | 0.04%             | 2032-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| BAE Systems plc                                                                 | BAE Systems plc                                                                       | CUSIP: 05523RAJ6<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    1745000 | PA      | $1782265.00   | 0.17%             | 2029-03-26      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3617JJ3Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33549 | PA      | $35345.81     | 0.00%             | 2049-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 15 Year                                                                         | CUSIP: 3140QL5S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3952124 | PA      | $3702686.80   | 0.35%             | 2036-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2020-H02, Class GI                                                       | CUSIP: 38380LU68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14761044 | PA      | $748886.82    | 0.07%             | 2070-01-20      | Variable      | 2.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC, Series 3117, Class AF                                                          | CUSIP: 31396HU72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6996 | PA      | $6131.35      | 0.00%             | 2036-02-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                                                       | OBX Trust, Series 2023-NQM7, Class A1                                                 | CUSIP: 67117XAA4<br>LEI: 254900K7TTKPUWNMSZ83 | Long             | ABS-MBS          | CORP              | US        |    1252405 | PA      | $1266548.68   | 0.12%             | 2063-04-25      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| North Texas Tollway Authority                                                   | North Texas Tollway Authority, Series 2009 B                                          | CUSIP: 66285WFB7<br>LEI: PQGZGRE0F2WPMYQQ1B78 | Long             | DBT              | MUN               | US        |     675000 | PA      | $750969.16    | 0.07%             | 2049-01-01      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| DTE Energy Co.                                                                  | DTE Energy Co.                                                                        | CUSIP: 233331BL0<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |     684000 | PA      | $705448.19    | 0.07%             | 2034-06-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC, Series 3408, Class EK                                                          | CUSIP: 31397PUB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     185609 | PA      | $218040.54    | 0.02%             | 2037-04-15      | Floating      | 7.85%                 | No            |                  2 | On Loan: No      |
| Chase Auto Owner Trust                                                          | Chase Auto Owner Trust, Series 2024-1A, Class A3                                      | CUSIP: 16144BAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4211000 | PA      | $4254656.28   | 0.41%             | 2029-05-25      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2018-H17, Class GI                                                       | CUSIP: 38380LLJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11852840 | PA      | $443071.00    | 0.04%             | 2068-10-20      | Variable      | 2.53%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                                      | Occidental Petroleum Corp.                                                            | CUSIP: 674599DZ5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    2685000 | PA      | $2841156.92   | 0.27%             | 2027-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Synopsys, Inc.                                                                  | Synopsys, Inc.                                                                        | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |      90000 | PA      | $87063.54     | 0.01%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Caesars Entertainment, Inc.                                                     | Caesars Entertainment, Inc.                                                           | CUSIP: 12769GAB6<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |     100000 | PA      | $102426.83    | 0.01%             | 2030-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                             | Connecticut Avenue Securities Trust, Series 2022-R04, Class 1M1                       | CUSIP: 20753YCH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     124105 | PA      | $125070.71    | 0.01%             | 2042-03-25      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners LP                                                     | Cheniere Energy Partners LP                                                           | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     562000 | PA      | $493646.02    | 0.05%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                            | American Tower Corp.                                                                  | CUSIP: 03027XBA7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    1095000 | PA      | $1014567.99   | 0.10%             | 2030-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Marvell Technology, Inc.                                                        | Marvell Technology, Inc.                                                              | CUSIP: 573874AP9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     637000 | PA      | $659420.49    | 0.06%             | 2029-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UKG, Inc.                                                                       | UKG, Inc., First Lien, Initial CME Term Loan                                          | CUSIP: 89841EAB1<br>LEI: 529900FKHWSTQ1GXK240 | Long             | LON              | CORP              | US        |    1049712 | PA      | $1047328.93   | 0.10%             | 2031-02-10      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2022-DNA3, Class M1B                                  | CUSIP: 35564KUX5<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | CORP              | US        |      10000 | PA      | $10273.96     | 0.00%             | 2042-04-25      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                              | Energy Transfer LP                                                                    | CUSIP: 29273VAZ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1424000 | PA      | $1443824.98   | 0.14%             | 2029-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                               | Duke Energy Corp.                                                                     | CUSIP: 26441CCC7<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      85000 | PA      | $86185.03     | 0.01%             | 2029-01-05      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                                       | Ford Motor Credit Co. LLC                                                             | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     805000 | PA      | $772193.50    | 0.07%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd.                                                    | Royal Caribbean Cruises Ltd.                                                          | CUSIP: 780153BV3<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     981000 | PA      | $984377.48    | 0.09%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Hess Midstream Operations LP                                                    | Hess Midstream Operations LP                                                          | CUSIP: 428102AE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     115000 | PA      | $108068.40    | 0.01%             | 2030-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | U.S. Treasury 5 Year Notes                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       1408 | NC      | $3088860.54   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                                            | FNMA, 15 Year                                                                         | CUSIP: 31418EDJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1651126 | PA      | $1568655.44   | 0.15%             | 2037-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                                                      | Mars, Inc.                                                                            | CUSIP: 571676BC8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     485000 | PA      | $478416.18    | 0.05%             | 2055-05-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| TICP CLO XII Ltd.                                                               | TICP CLO XII Ltd., Series 2018-12A, Class BR                                          | CUSIP: 87250FAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1950000 | PA      | $1953691.58   | 0.19%             | 2034-07-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-05-30

**Name of Applicant:** Putnam Income Fund

**Signature:** Monica Krogh

**Name of Signer:** Monica Krogh

**Title:** Assistant Treasurer