# EDGAR Filing Document

**Accession Number:** 0000813900
**File Stem:** 0001752724-23-039537
**Filing Date:** 2023-2
**Character Count:** 440219
**Document Hash:** 9e66401b60d1742ed7e5ad68f66efdbb
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-039537.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001752724-23-039537

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PACIFIC SELECT FUND
- **CENTRAL INDEX KEY:** 0000813900
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05141
- **FILM NUMBER:** 23665658

**BUSINESS ADDRESS:**
- **STREET 1:** 700 NEWPORT CTR DR
- **STREET 2:** P O BOX 7500
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660
- **BUSINESS PHONE:** 9492193233

**MAIL ADDRESS:**
- **STREET 1:** 700 NEWPORT CTR DR
- **STREET 2:** P O BOX 7500
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660

## Series and Classes Contracts Data

### Managed Bond Portfolio (Series ID: S000026011)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000078080 | Class I      |  |
| C000098952 | Class P      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PACIFIC SELECT FUND

- **b. Investment Company Act file number:** 811-05141

- **c. CIK number of Registrant:** 0000813900

- **d. LEI of Registrant:** 549300KH2YJL0X2VEL27

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

  - **Street Address 1:** 700 NEWPORT CTR DR

  - **City:** NEWPORT BEACH

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

  - **Telephone number:** 949-219-3233

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

- **a. Name of Series:** Managed Bond Portfolio

- **b. EDGAR series identifier (if any):** S000026011

- **c. LEI of Series:** 5SCI88E1XWY2RI6Q4163

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $4570978766.32

**Total Liabilities:** $2112357480.60

**Net Assets:** $2458621285.72

**Delayed Delivery Securities:** $1594796221.00

**Cash Not Reported:** $3156339.12

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -5960.41000000 | **1-Year:** -98491.20000000 | **5-Year:** -198416.12000000 | **10-Year:** -148258.43000000 | **30-Year:** -36225.97000000

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

- **3-Month:** 1311.88000000 | **1-Year:** -14080.04000000 | **5-Year:** 27847.07000000 | **10-Year:** -16594.11000000 | **30-Year:** -3815.03000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000078080 | -1.80%               | 3.82%                | -0.20%               |
| Class ID C000098952 | -1.78%               | 3.84%                | -0.18%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-22674848.19            | $-23596012.00                              |
| Month 2  | $-3392244.56             | $88518332.90                               |
| Month 3  | $8725115.51              | $-22142959.75                              |

**Designated Index Information**

- **Index Name:** Bloomberg US Agg Total Return

- **Index Identifier:** LBUSTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Chicago Mercantile Exchange                       | ZCS BRL 11.98 05/05/22-01/04/27 CME                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    39600000 | OU      | $-129283.55   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                  | Crown Castle Inc                                                                 | CUSIP: 22822VAC5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |     2277000 | PA      | $2167927.24   | 0.09%             | 2026-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Suntrust Alternative Loan Trust                   | Suntrust Alternative Loan Trust Series 2005-1F                                   | CUSIP: 86789MAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2165391 | PA      | $64307.56     | 0.00%             | 2035-12-25      | Floating      | 0.71%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2007-HE5                                  | CUSIP: 61753KAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3931933 | PA      | $1777980.47   | 0.07%             | 2037-03-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412N6P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3085 | PA      | $3144.50      | 0.00%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Manulife Financial Corp                           | Manulife Financial Corp                                                          | CUSIP: 56501RAC0<br>LEI: 5493007GBX87QOZACS27 | Long             | DBT              | CORP              | CA        |      500000 | PA      | $487502.10    | 0.02%             | 2026-03-04      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16-3 A PTT                           | American Airlines 2016-3 Class A Pass Through Trust                              | CUSIP: 023771S25<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2164225 | PA      | $1685000.14   | 0.07%             | 2028-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36208ADU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5554 | PA      | $5431.24      | 0.00%             | 2025-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY BANK                                    | Synchrony Bank                                                                   | CUSIP: 87166FAE3<br>LEI: 549300UATVPGSLE43Z27 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $6832465.99   | 0.28%             | 2027-08-23      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410QKJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14643 | PA      | $15029.13     | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417JA26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10139 | PA      | $9999.38      | 0.00%             | 2024-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Mortgage Loan Trust                    | Lehman ABS Mortgage Loan Trust 2007-1                                            | CUSIP: 52521MAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      805963 | PA      | $570246.25    | 0.02%             | 2037-06-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36209RTD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1282 | PA      | $1284.46      | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust            | Santander Drive Auto Receivables Trust 2022-6                                    | CUSIP: 802918AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7700000 | PA      | $7665735.77   | 0.31%             | 2025-05-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| Park Place Securities Inc                         | Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2005-WCW | CUSIP: 70069FLJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6700000 | PA      | $6144708.02   | 0.25%             | 2035-07-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | OIS JPY MUTKCALM/0.66200 04/19/22-20Y LC                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | JP        |   138000000 | OU      | $107346.32    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RUA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      100938 | PA      | $99433.48     | 0.00%             | 2035-08-01      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CVD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11339 | PA      | $11127.71     | 0.00%             | 2032-06-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | RFR USD SOFR/1.75000 12/21/22-30Y CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    11600000 | OU      | $-1068420.04  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | CDX HY36 5Y ICE                                                                  | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     4752000 | OU      | $-138479.01   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                              | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $6158699.33   | 0.25%             | 2027-04-22      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates             | CWABS Asset-Backed Certificates Trust 2006-5                                     | CUSIP: 126670ZH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      372952 | PA      | $372821.59    | 0.02%             | 2036-09-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                     | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     2900000 | PA      | $2092122.21   | 0.09%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KKV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4411 | PA      | $4394.33      | 0.00%             | 2024-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED PEN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | PE        |           1 | NC      | $13338.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                            | Mizuho Financial Group Inc                                                       | CUSIP: 60687YCL1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |     6500000 | PA      | $6512325.17   | 0.26%             | 2028-09-13      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                               | American Tower Corp                                                              | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     8000000 | PA      | $6350023.28   | 0.26%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371NXJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1893 | PA      | $1904.42      | 0.00%             | 2028-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                      | Saxon Asset Securities Trust 2005-2                                              | CUSIP: 805564SD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2463165 | PA      | $2319895.46   | 0.09%             | 2035-10-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                 | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5700000 | PA      | $3069650.41   | 0.12%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407TSM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       38337 | PA      | $39344.48     | 0.00%             | 2035-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CSK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15868 | PA      | $15594.99     | 0.00%             | 2031-06-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405G5R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7748 | PA      | $7813.47      | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | VERIZON COMMUNICATIONS INC SNR S* ICE                                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     7300000 | OU      | $-267160.39   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CFR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2523 | PA      | $2490.64      | 0.00%             | 2028-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                 | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    30100000 | PA      | $24263421.88  | 0.99%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3131XDUV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       45455 | PA      | $43731.43     | 0.00%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36241KZG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13948 | PA      | $14289.87     | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36296XE75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       35011 | PA      | $35461.45     | 0.00%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31401JNG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2533 | PA      | $2613.40      | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138A5ZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16664 | PA      | $16279.26     | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M8AW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       18976 | PA      | $19716.67     | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |           1 | NC      | $-99264.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $103254.52    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36207KYQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         755 | PA      | $754.50       | 0.00%             | 2029-11-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CC20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         335 | PA      | $328.73       | 0.00%             | 2027-06-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| SCENTRE GROUP TRUST 1/2                           | Scentre Group Trust 1 / Scentre Group Trust 2                                    | CUSIP: 80622GAD6<br>LEI: N/A                  | Long             | DBT              |  | AU        |     7300000 | PA      | $6874762.74   | 0.28%             | 2026-01-28      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                             | Truist Financial Corp                                                            | CUSIP: 89788MAJ1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     6000000 | PA      | $6140406.36   | 0.25%             | 2026-10-28      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132A86L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         958 | PA      | $954.22       | 0.00%             | 2024-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                 | Hyatt Hotels Corp                                                                | CUSIP: 448579AN2<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |     7200000 | PA      | $6751198.80   | 0.27%             | 2024-10-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418SDC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11761 | PA      | $11821.05     | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211YS47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         867 | PA      | $872.45       | 0.00%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31406RFE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       33642 | PA      | $32852.14     | 0.00%             | 2035-09-01      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5000000 | PA      | $4691034.10   | 0.19%             | 2053-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                    | SOUTH AFRICA EM SP GST                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |     4600000 | OU      | $-10122.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KLP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1279 | PA      | $1267.39      | 0.00%             | 2024-06-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | OIS USD SOFR/1.78750 05/03/22-5Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    21500000 | OU      | $-1729528.80  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation           | Structured Asset Securities Corp Mortgage Loan Trust 2006-BC1                    | CUSIP: 86359YAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1363114 | PA      | $1247705.22   | 0.05%             | 2036-03-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                   | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      811300 | PA      | $547882.81    | 0.02%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KQL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1318 | PA      | $1289.41      | 0.00%             | 2024-12-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31359RY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13884 | PA      | $13835.31     | 0.00%             | 2028-04-18      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U1PBA2 PIMCO SWAPTION 2.547 CALL EUR 202303                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -4500000 | NC      | $-10145.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust            | Santander Drive Auto Receivables Trust 2022-5                                    | CUSIP: 80287HAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6700000 | PA      | $6666887.93   | 0.27%             | 2025-01-15      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                      | CUSIP: 694308HW0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      400000 | PA      | $353663.38    | 0.01%             | 2027-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                            | Santander Holdings USA Inc                                                       | CUSIP: 80282KBC9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |     6500000 | PA      | $5585512.27   | 0.23%             | 2028-01-06      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KU60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         359 | PA      | $351.34       | 0.00%             | 2025-09-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                   | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    15786850 | PA      | $13960427.33  | 0.57%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJ3T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      787697 | PA      | $754219.76    | 0.03%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PFP III                                           | PFP 2022-9 Ltd                                                                   | CUSIP: 69291QAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6400000 | PA      | $6315897.60   | 0.26%             | 2035-08-19      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation           | Structured Asset Securities Corp Mortgage Loan Trust 2006-BC4                    | CUSIP: 86359RAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      193978 | PA      | $188314.49    | 0.01%             | 2036-12-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31391LJN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      139003 | PA      | $136769.39    | 0.01%             | 2033-02-01      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | OIS JPY MUT+5.89/0.7500 03/20/19-19Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | JP        |    50000000 | OU      | $58468.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                            | Standard Chartered PLC                                                           | CUSIP: 853254CL2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     1900000 | PA      | $1958216.74   | 0.08%             | 2025-11-16      | Fixed         | 7.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402DM56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       49414 | PA      | $51570.74     | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                   | Benefit Street Partners CLO XVII Ltd                                             | CUSIP: 08182BAL2<br>LEI: 5493001ND55H5MJDIQ39 | Long             | ABS-CBDO         | CORP              | KY        |     7000000 | PA      | $6844074.37   | 0.28%             | 2032-07-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC                     | UWM Mortgage Trust 2021-INV4                                                     | CUSIP: 918307AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6463607 | PA      | $5186963.85   | 0.21%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co of New York Inc            | Consolidated Edison Co of New York Inc                                           | CUSIP: 20911MNL7<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | STIV             | CORP              | US        |     7100000 | PA      | $7080741.25   | 0.29%             | 2023-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | GENERAL ELECTRIC COMPANY SNR S* ICE                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     2900000 | OU      | $67844.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                 | CUSIP: 912810QE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5500000 | PA      | $5915185.54   | 0.24%             | 2040-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                            | Credit Suisse Group AG                                                           | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     8500000 | PA      | $7479098.83   | 0.30%             | 2033-08-12      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust    | Structured Adjustable Rate Mortgage Loan Trust Series 2004-20                    | CUSIP: 863579HD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       50548 | PA      | $49889.53     | 0.00%             | 2035-01-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp                                  | Duke Energy Corp                                                                 | CUSIP: 26244JNB1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | STIV             | CORP              | US        |     4800000 | PA      | $4792659.22   | 0.19%             | 2023-01-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD DKK                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |           1 | NC      | $-55805.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371MAB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3743 | PA      | $3729.77      | 0.00%             | 2025-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Catamaran CLO Ltd                                 | Catamaran CLO 2014-1 Ltd                                                         | CUSIP: 14889DAJ7<br>LEI: 549300C8Q7ISEHHDRH76 | Long             | ABS-CBDO         | CORP              | KY        |     8954068 | PA      | $8826224.73   | 0.36%             | 2030-04-22      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138A4FJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5101 | PA      | $5095.82      | 0.00%             | 2026-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404RQ59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       65008 | PA      | $66904.06     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KQP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3794 | PA      | $3713.59      | 0.00%             | 2024-12-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| EPR Properties                                    | EPR Properties                                                                   | CUSIP: 26884UAB5<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              |  | US        |     2200000 | PA      | $2088755.22   | 0.08%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KRS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1131 | PA      | $1116.28      | 0.00%             | 2025-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36296GQ61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       76463 | PA      | $77268.21     | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416NJV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8052 | PA      | $7937.08      | 0.00%             | 2025-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SPIRIT REALTY LP                                  | Spirit Realty LP                                                                 | CUSIP: 84861TAE8<br>LEI: 549300GTBVIBJRX5BW73 | Long             | DBT              |  | US        |     8100000 | PA      | $7193635.19   | 0.29%             | 2027-01-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| ALASKA AIRLINES 2020 TR                           | Alaska Airlines 2020-1 Class A Pass Through Trust                                | CUSIP: 01166VAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5480952 | PA      | $5226357.79   | 0.21%             | 2027-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities     | First Horizon Alternative Mortgage Securities Trust 2005-AA1                     | CUSIP: 32051GGD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      379637 | PA      | $239738.53    | 0.01%             | 2035-03-25      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | OIS JPY MUT+5.89/0.8000 10/22/18-20Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | JP        |   220000000 | OU      | $97257.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371MHL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15165 | PA      | $15109.12     | 0.00%             | 2025-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUST                            | Commonwealth Bank of Australia                                                   | CUSIP: 2027A0KK4<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |     2900000 | PA      | $2640683.36   | 0.11%             | 2027-03-14      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF CHILE                                 | Chile Government International Bond                                              | CUSIP: 168863DV7<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |     7000000 | PA      | $5980960.86   | 0.24%             | 2034-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416TL80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      336039 | PA      | $340775.49    | 0.01%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6NQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      145124 | PA      | $146470.80    | 0.01%             | 2031-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KMG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4604 | PA      | $4542.46      | 0.00%             | 2024-07-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416NQG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2256 | PA      | $2225.43      | 0.00%             | 2024-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                           | Home Equity Asset Trust 2004-4                                                   | CUSIP: 437084CZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1425082 | PA      | $1414142.27   | 0.06%             | 2034-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KUJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         830 | PA      | $812.74       | 0.00%             | 2025-08-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KE84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1062 | PA      | $1054.43      | 0.00%             | 2023-08-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137F5BX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2716449 | PA      | $2624507.31   | 0.11%             | 2043-10-15      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418SFL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20183 | PA      | $19716.38     | 0.00%             | 2025-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                          | Sumitomo Mitsui Financial Group Inc                                              | CUSIP: 86562MCG3<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     6000000 | PA      | $4954946.46   | 0.20%             | 2028-09-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                    | Option One Mortgage Loan Trust 2006-3                                            | CUSIP: 68389BAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4292927 | PA      | $2888303.93   | 0.12%             | 2037-02-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U1Q9A3 PIMCO SWAPTION 3.14 PUT EUR 20230609                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -5500000 | NC      | $-180462.21   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212WMD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2303 | PA      | $2313.12      | 0.00%             | 2031-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2007-AMC1                                          | CUSIP: 17311BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8969881 | PA      | $3751081.48   | 0.15%             | 2036-12-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202K6U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1537 | PA      | $1504.19      | 0.00%             | 2026-09-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities          | Freddie Mac Structured Pass-Through Certificates                                 | CUSIP: 31395A3J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2476745 | PA      | $2482249.52   | 0.10%             | 2044-07-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138AAYJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5148 | PA      | $5029.33      | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation               | Banc of America Funding 2006-A Trust                                             | CUSIP: 058927AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      250877 | PA      | $234223.23    | 0.01%             | 2036-02-20      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                            | Mizuho Financial Group Inc                                                       | CUSIP: 60687YBH1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |     8700000 | PA      | $6809976.33   | 0.28%             | 2031-07-10      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCKS FINAN NA                           | Daimler Trucks Finance North America LLC                                         | CUSIP: 233853AE0<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |     6650000 | PA      | $6561168.70   | 0.27%             | 2024-12-13      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | BR        |           1 | NC      | $-75313.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31406YFH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1397 | PA      | $1433.20      | 0.00%             | 2035-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| IndyMac ARM Trust                                 | IndyMac ARM Trust 2001-H2                                                        | CUSIP: 45660UAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6723 | PA      | $6120.61      | 0.00%             | 2032-01-25      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| OMEGA HLTHCARE INVESTORS                          | Omega Healthcare Investors Inc                                                   | CUSIP: 681936BK5<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              |  | US        |      590000 | PA      | $544707.15    | 0.02%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KMC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         700 | PA      | $690.28       | 0.00%             | 2024-07-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CA22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1300 | PA      | $1262.24      | 0.00%             | 2026-12-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| AMDOCS LTD                                        | Amdocs Ltd                                                                       | CUSIP: 02342TAE9<br>LEI: 549300HQV672RJ7RQV66 | Long             | DBT              | CORP              | GG        |     4700000 | PA      | $3815122.40   | 0.16%             | 2030-06-15      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31403CX22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12974 | PA      | $13532.46     | 0.00%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust               | Citigroup Commercial Mortgage Trust 2016-C3                                      | CUSIP: 17325GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5863179 | PA      | $5622744.65   | 0.23%             | 2049-11-15      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                           | CUSIP: 77586RAK6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     6500000 | PA      | $5780060.00   | 0.24%             | 2027-02-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Life Storage LP                                   | Life Storage LP                                                                  | CUSIP: 53227JAA2<br>LEI: X0MIGH67XZCB7HL1A534 | Long             | DBT              |  | US        |     2600000 | PA      | $2410157.28   | 0.10%             | 2027-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404U6K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         864 | PA      | $888.73       | 0.00%             | 2034-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KHZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         303 | PA      | $299.85       | 0.00%             | 2023-12-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                     | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     7388000 | PA      | $5454721.90   | 0.22%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                               | Synchrony Financial                                                              | CUSIP: 87165BAP8<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     4700000 | PA      | $4457147.71   | 0.18%             | 2029-03-19      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Harvest CLO                                       | Harvest Clo XI DAC                                                               | CUSIP: 000000000<br>LEI: 635400WYER82ULCNIT53 | Long             | ABS-CBDO         | CORP              | IE        |     5597210 | PA      | $5858786.23   | 0.24%             | 2030-06-26      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CWW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17239 | PA      | $16561.29     | 0.00%             | 2032-12-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust       | MF1 Multifamily Housing Mortgage Loan Trust                                      | CUSIP: 55282XAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3435708 | PA      | $3339312.83   | 0.14%             | 2036-07-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                                 | Wellfleet CLO 2017-1 Ltd                                                         | CUSIP: 94950GAL1<br>LEI: 2549003PA4N7YYXOW035 | Long             | ABS-CBDO         | CORP              | KY        |     4488224 | PA      | $4434365.66   | 0.18%             | 2029-04-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                          | Toyota Motor Credit Corp                                                         | CUSIP: 89236TKM6<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |     3300000 | PA      | $3305483.25   | 0.13%             | 2023-12-11      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                 | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4700000 | PA      | $3324515.63   | 0.14%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Starwood Commercial Mortgage Trust                | STWD 2021-LIH Mortgage Trust                                                     | CUSIP: 78486EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7100000 | PA      | $6853071.94   | 0.28%             | 2036-11-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc      | BAMLL Commercial Mortgage Securities Trust 2021-JACX                             | CUSIP: 05493LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7000000 | PA      | $6578278.00   | 0.27%             | 2038-09-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CKD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3251 | PA      | $3210.14      | 0.00%             | 2029-06-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | GENERAL ELECTRIC COMPANY SNR S* ICE                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     2200000 | OU      | $45557.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Ln Trst  | Asset Backed Securities Corp Home Equity Loan Trust Series OOMC 2005-HE6         | CUSIP: 04541GTP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2000000 | PA      | $1894748.00   | 0.08%             | 2035-07-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36179UWB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1669474 | PA      | $1676809.00   | 0.07%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates             | Countrywide Asset-Backed Certificates                                            | CUSIP: 12669TAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1317171 | PA      | $1083670.88   | 0.04%             | 2047-03-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                            | Logicor Financing Sarl                                                           | CUSIP: 000000000<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |     2300000 | PA      | $1799904.30   | 0.07%             | 2030-01-17      | Fixed         | 1.62%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | SOUTH AFRICA EM SP MYC                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |     9400000 | OU      | $-367104.30   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NYO Commercial Mortgage Trust                     | NYO Commercial Mortgage Trust 2021-1290                                          | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11200000 | PA      | $10185449.12  | 0.41%             | 2038-11-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |           1 | NC      | $97445.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F020612<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -16800000 | PA      | $-13674007.37 | -0.56%            | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CLNC 2019-FL1, Ltd                                | CLNC 2019-FL1 Ltd                                                                | CUSIP: 12565DAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3067650 | PA      | $2989924.66   | 0.12%             | 2035-08-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31406VWP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11094 | PA      | $11379.59     | 0.00%             | 2035-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                        | CUSIP: 31295NEE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       14422 | PA      | $14056.01     | 0.00%             | 2032-03-01      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410W5B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       27056 | PA      | $27754.20     | 0.00%             | 2036-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | OIS JPY MUTKCALM/0.5000 03/15/22-20Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | JP        |  2459000000 | OU      | $1057243.17   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 3622ABJW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       51991 | PA      | $53331.04     | 0.00%             | 2049-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp               | JP Morgan Mortgage Acquisition Trust 2006-ACC1                                   | CUSIP: 46628RAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    10000000 | PA      | $9501775.00   | 0.39%             | 2036-05-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                     | CUSIP: 06738ECC7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     4100000 | PA      | $4251260.69   | 0.17%             | 2026-11-02      | Fixed         | 7.33%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSP/FINL                           | MPT Operating Partnership LP / MPT Finance Corp                                  | CUSIP: 55342UAL8<br>LEI: N/A                  | Long             | DBT              |  | US        |     1300000 | PA      | $1153749.92   | 0.05%             | 2028-06-05      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                  | Soundview Home Loan Trust 2007-WMC1                                              | CUSIP: 83612NAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1405980 | PA      | $403824.14    | 0.02%             | 2037-02-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                               | LCM XIII LP                                                                      | CUSIP: 50184KBL1<br>LEI: 549300WD241FFLNM0E69 | Long             | ABS-CBDO         | CORP              | KY        |     4923212 | PA      | $4862016.49   | 0.20%             | 2027-07-19      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                     | AIB Group PLC                                                                    | CUSIP: 00135TAC8<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |     7500000 | PA      | $7644415.43   | 0.31%             | 2026-10-14      | Fixed         | 7.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371MT31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5616 | PA      | $5850.49      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31408GY84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7231 | PA      | $7396.29      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140J6GM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      245261 | PA      | $234542.72    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                 | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1300000 | PA      | $979951.17    | 0.04%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                        | CUSIP: 31295NEY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10672 | PA      | $10379.23     | 0.00%             | 2032-03-01      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KHX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1097 | PA      | $1082.76      | 0.00%             | 2023-12-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6AX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         224 | PA      | $232.56       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 11.96 05/05/22-01/04/27 CME                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    33800000 | OU      | $-113888.03   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding                       | Towd Point Mortgage Funding 2019 - Granite4 PLC                                  | CUSIP: 000000000<br>LEI: 635400655NWVVZHH1395 | Long             | ABS-MBS          | CORP              | GB        |     8810202 | PA      | $10626266.39  | 0.43%             | 2051-10-20      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Great Hall Mortgages Plc                          | Great Hall Mortgages No 1 PLC                                                    | CUSIP: 39052PAA7<br>LEI: 213800TM9KICQKGTYR78 | Long             | ABS-MBS          | CORP              | GB        |     1606469 | PA      | $1575771.20   | 0.06%             | 2039-06-18      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CAN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15023 | PA      | $14676.99     | 0.00%             | 2026-11-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418TE60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       82721 | PA      | $80810.85     | 0.00%             | 2025-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                          | OZLM VIII Ltd                                                                    | CUSIP: 67107FBL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7172497 | PA      | $7029046.66   | 0.29%             | 2029-10-17      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJJT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       14045 | PA      | $14594.14     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SGSP AUSTRALIA ASSETS                             | SGSP Australia Assets Pty Ltd                                                    | CUSIP: 000000000<br>LEI: 254900BJJ12X7PJT5072 | Long             | DBT              | CORP              | AU        |     1200000 | PA      | $1194247.67   | 0.05%             | 2023-04-09      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128LCBQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         628 | PA      | $642.93       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31403C5V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7776 | PA      | $8070.66      | 0.00%             | 2033-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ResLoC UK PLC                                     | Resloc UK 2007-1 PLC                                                             | CUSIP: 000000000<br>LEI: 213800RE18XIC3OI1847 | Long             | ABS-MBS          | CORP              | GB        |     1792028 | PA      | $1800464.75   | 0.07%             | 2043-12-15      | Floating      | 2.21%                 | Yes           |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust 2020-GSL              | Legacy Mortgage Asset Trust 2020-GS1                                             | CUSIP: 52474PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5595126 | PA      | $5559035.93   | 0.23%             | 2059-10-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage Trust                | Ready Capital Mortgage Financing 2022-FL10 LLC                                   | CUSIP: 755931AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6091339 | PA      | $6066529.30   | 0.25%             | 2039-10-25      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 12.99 12/13/22-01/04/27 CME                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    17600000 | OU      | $37264.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418TFB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7236 | PA      | $7228.85      | 0.00%             | 2025-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416BY44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           1 | PA      | $0.88         | 0.00%             | 2023-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC-GNMA                                        | FHLMC-GNMA                                                                       | CUSIP: 3133T7YG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       23329 | PA      | $23826.22     | 0.00%             | 2026-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211TT54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2308 | PA      | $2307.58      | 0.00%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133B9Z23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2957788 | PA      | $2599914.77   | 0.11%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                              | WEC Energy Group Inc                                                             | CUSIP: 92939UAE6<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |     8400000 | PA      | $6571240.03   | 0.27%             | 2030-10-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418C7B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28235 | PA      | $27692.51     | 0.00%             | 2034-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416NBX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2342 | PA      | $2338.74      | 0.00%             | 2024-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410MJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         527 | PA      | $545.53       | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417YF28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10425 | PA      | $10437.57     | 0.00%             | 2029-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140MMU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      986538 | PA      | $866846.93    | 0.04%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                              | PURCHASED EUR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | XX        |           1 | NC      | $5076.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | 317U1QFA6 PIMCO SWAPTION 4.715 PUT USD 2023091                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  -142500000 | NC      | $-422883.00   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Oracle Corp                                       | Oracle Corp                                                                      | CUSIP: 6840C3NT6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | STIV             | CORP              | US        |     5000000 | PA      | $4982064.45   | 0.20%             | 2023-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                        | GLS Auto Receivables Issuer Trust 2022-2                                         | CUSIP: 36265NAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5341950 | PA      | $5281028.73   | 0.21%             | 2026-01-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KKH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2361 | PA      | $2335.79      | 0.00%             | 2024-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| APRES STATIC CLO 1, LTD                           | Apres Static CLO Ltd                                                             | CUSIP: 03835JBA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2588470 | PA      | $2558398.34   | 0.10%             | 2028-10-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                 | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2900000 | PA      | $1917115.24   | 0.08%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                              | 317U1QPA5 PIMCO SWAPTION 3.75 PUT USD 20230912                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |    75600000 | NC      | $614703.60    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                | CUSIP: 404280DR7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     4800000 | PA      | $5053093.63   | 0.21%             | 2028-11-03      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CXL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8498 | PA      | $8233.54      | 0.00%             | 2033-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | BRITISH TELECOMMUNICATIONS PL SNR SE ICE                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     6200000 | OU      | $-161823.14   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments Trust 2002-AR3                             | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17081 | PA      | $16261.76     | 0.00%             | 2032-09-19      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                     | CUSIP: 11135FBF7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     7700000 | PA      | $5800106.77   | 0.24%             | 2033-02-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211C5D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2348 | PA      | $2355.01      | 0.00%             | 2029-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                              | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-50816.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KK95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9826 | PA      | $9781.66      | 0.00%             | 2024-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2005-AR5                          | CUSIP: 86359LPD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       36274 | PA      | $32022.84     | 0.00%             | 2035-07-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | BOEING CO/THE SNR S* ICE                                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     6900000 | OU      | $147940.41    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| National Grid North America Inc                   | National Grid North America Inc                                                  | CUSIP: 63627BNQ5<br>LEI: 5Q3U0WRKWZZGRMPYFT08 | Long             | STIV             | CORP              | US        |     4900000 | PA      | $4884095.44   | 0.20%             | 2023-01-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Tampa Electric Co                                 | Tampa Electric Co                                                                | CUSIP: 87513MNC8<br>LEI: WS423EPRKJIIJUITXD73 | Long             | STIV             | CORP              | US        |     5000000 | PA      | $4991674.60   | 0.20%             | 2023-01-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Mylan Inc                                         | Mylan Inc                                                                        | CUSIP: 628530BD8<br>LEI: 30ZMPDNA1RHIBH89C294 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1485128.67   | 0.06%             | 2023-11-29      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | 317U1QCA9 PIMCO SWAPTION 4.2325 PUT USD 202309                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |  -142500000 | NC      | $-733547.25   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                              | 317U1QRA3 PIMCO SWAPTION 4.75 PUT USD 20230912                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   -75600000 | NC      | $-215119.80   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US LONG BOND(CBT) MAR23                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -18 | NC      | $-728.69      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418ECR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      488779 | PA      | $429700.98    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DBWF Mortgage Trust                               | DBWF 2018-GLKS Mortgage Trust                                                    | CUSIP: 23307GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6600000 | PA      | $6413170.50   | 0.26%             | 2030-12-19      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KPD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1824 | PA      | $1798.59      | 0.00%             | 2024-10-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140X5VG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       30844 | PA      | $29693.37     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     7500000 | PA      | $4364115.23   | 0.18%             | 2061-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CQH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6489 | PA      | $6336.49      | 0.00%             | 2030-09-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO X LTD                            | Marble Point Clo X Ltd                                                           | CUSIP: 566061AL1<br>LEI: 549300PJ1FVY9B16K017 | Long             | ABS-CBDO         | CORP              | KY        |     7300000 | PA      | $7159016.63   | 0.29%             | 2030-10-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KS89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         423 | PA      | $418.70       | 0.00%             | 2025-06-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                 | CUSIP: 912810QX9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    26200000 | PA      | $21090488.31  | 0.86%             | 2042-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M8GA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      108313 | PA      | $112537.24    | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED CLP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CL        |           1 | NC      | $14042.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                      | CUSIP: 694308JY4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $6777114.05   | 0.28%             | 2023-11-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2007-HE6                                  | CUSIP: 61755CAC6<br>LEI: 5493005XH7EPFP4PGZ13 | Long             | ABS-MBS          | CORP              | US        |     6421281 | PA      | $5632769.60   | 0.23%             | 2037-05-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | COLOMBIA LA SP MYC                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |     1900000 | OU      | $-138441.39   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31403BF32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       34786 | PA      | $35498.57     | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                      | CUSIP: 694308JB4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     2600000 | PA      | $2587215.98   | 0.11%             | 2023-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LIFE STORAGE LP                                   | Life Storage LP                                                                  | CUSIP: 53227JAD6<br>LEI: X0MIGH67XZCB7HL1A534 | Long             | DBT              |  | US        |     7000000 | PA      | $5402224.24   | 0.22%             | 2031-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | OIS JPY MUTKCALM/0.4500 12/15/21-30Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | JP        |   310000000 | OU      | $-514917.70   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| VIRGIN MONEY UK PLC                               | Virgin Money UK PLC                                                              | CUSIP: 000000000<br>LEI: 213800ZK9VGCYYR6O495 | Long             | DBT              | CORP              | GB        |      500000 | PA      | $546840.17    | 0.02%             | 2027-09-03      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| BLOCK FINANCIAL LLC                               | Block Financial LLC                                                              | CUSIP: 093662AH7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     6600000 | PA      | $5789789.28   | 0.24%             | 2030-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US ULTRA BOND CBT MAR23                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          62 | NC      | $-87762.98    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| LCH Limited                                       | RFR USD SOFR/2.85000 08/29/22-5Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    50500000 | OU      | $-1996815.45  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                               | Sound Point Clo XVI Ltd                                                          | CUSIP: 83610KAJ2<br>LEI: 549300ZK5CJ7PM7YBH85 | Long             | ABS-CBDO         | CORP              | KY        |     7400000 | PA      | $7289000.00   | 0.30%             | 2030-07-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138EH7H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       37065 | PA      | $35662.98     | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                | Renaissance Home Equity Loan Trust 2003-2                                        | CUSIP: 759950AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      139631 | PA      | $129068.16    | 0.01%             | 2033-08-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |           1 | NC      | $4593.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                   | State of Israel                                                                  | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     6200000 | PA      | $4876659.60   | 0.20%             | 2060-05-13      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31406ABS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11653 | PA      | $11901.88     | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                            | Credit Suisse Group AG                                                           | CUSIP: 225401AF5<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     9100000 | PA      | $7307382.72   | 0.30%             | 2029-01-12      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31415Y4S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36460 | PA      | $36304.96     | 0.00%             | 2023-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | RFR USD SOFR/4.27000 09/13/23-1Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    31400000 | OU      | $41601.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31374GRC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9244 | PA      | $8949.26      | 0.00%             | 2036-05-01      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212CYU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2109 | PA      | $2168.71      | 0.00%             | 2030-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                               | CommonSpirit Health                                                              | CUSIP: 20268JAK9<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     4200000 | PA      | $4301846.89   | 0.17%             | 2027-11-01      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    34000000 | PA      | $31891062.96  | 1.30%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416H2G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         888 | PA      | $886.73       | 0.00%             | 2024-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co LLC                          | Ford Motor Credit Co LLC                                                         | CUSIP: 000000000<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     4900000 | PA      | $5153411.47   | 0.21%             | 2024-03-06      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust                      | RBSSP Resecuritization Trust 2009-5                                              | CUSIP: 74928WCC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      632610 | PA      | $238127.60    | 0.01%             | 2036-12-26      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KBR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          41 | PA      | $41.12        | 0.00%             | 2023-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407EAE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1686 | PA      | $1713.17      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust                    | PHH Alternative Mortgage Trust Series 2007-1                                     | CUSIP: 69337BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6968165 | PA      | $4874241.49   | 0.20%             | 2037-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36208YY52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6545 | PA      | $6599.32      | 0.00%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| JAPAN FIN ORG MUNICIPAL                           | Japan Finance Organization for Municipalities                                    | CUSIP: 471068AN6<br>LEI: 5493007YYYNZ4NMEOD64 | Long             | DBT              | NUSS              | JP        |     3200000 | PA      | $3160032.00   | 0.13%             | 2023-09-27      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                            | NextEra Energy Capital Holdings Inc                                              | CUSIP: 65339KBR0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     9600000 | PA      | $7916416.42   | 0.32%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                        | CUSIP: 31348SWZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3138 | PA      | $3058.32      | 0.00%             | 2028-01-01      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                          | OZLM VI Ltd                                                                      | CUSIP: 67108LAW3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6108258 | PA      | $6000143.31   | 0.24%             | 2031-04-17      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                            | Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2005-W4      | CUSIP: 040104PT2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1579964 | PA      | $1205657.14   | 0.05%             | 2036-02-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | BR        |           1 | NC      | $-93519.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Host Hotels & Resorts LP                          | Host Hotels & Resorts LP                                                         | CUSIP: 44107TAV8<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              |  | US        |     1350000 | PA      | $1298465.03   | 0.05%             | 2025-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405U2C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      241460 | PA      | $238496.20    | 0.01%             | 2034-12-01      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CWV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       36001 | PA      | $34862.67     | 0.00%             | 2032-12-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                              | CUSIP: 46647PDM5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     7800000 | PA      | $7806083.53   | 0.32%             | 2025-12-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31358SNY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         168 | PA      | $166.58       | 0.00%             | 2030-10-18      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                     | CUSIP: 11135FBL4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     3639000 | PA      | $2913752.25   | 0.12%             | 2034-04-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407EZ71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       65106 | PA      | $63683.77     | 0.00%             | 2035-04-01      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust            | Merrill Lynch Mortgage Investors Trust MLMI Series 2005-A5                       | CUSIP: 59020UYU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       15749 | PA      | $14578.44     | 0.00%             | 2035-06-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp II                                                   | CUSIP: 36266DAA2<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |     6700000 | PA      | $6761113.38   | 0.27%             | 2039-08-15      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KKL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7368 | PA      | $7276.16      | 0.00%             | 2024-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                           | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AP4<br>LEI: N/A                  | Long             | DBT              |  | US        |     1800000 | PA      | $1579660.34   | 0.06%             | 2030-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | IRS EUR 1.75000 03/15/23-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |    87300000 | OU      | $-11634321.34 | -0.47%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416TJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2933 | PA      | $2926.94      | 0.00%             | 2024-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202K3B9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1412 | PA      | $1391.03      | 0.00%             | 2026-06-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| ENTERGY LOUISIANA LLC                             | Entergy Louisiana LLC                                                            | CUSIP: 29364WBH0<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |     7700000 | PA      | $6140260.13   | 0.25%             | 2032-06-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140JPJZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22479 | PA      | $21627.21     | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                            | GSAA Home Equity Trust 2006-14                                                   | CUSIP: 36298YAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8643382 | PA      | $2123060.94   | 0.09%             | 2036-09-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 11.6625 11/04/22-01/02/25 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   307400000 | OU      | $934615.93    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140X6WA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     7019359 | PA      | $6746119.69   | 0.27%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust                   | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18560 | PA      | $17165.39     | 0.00%             | 2045-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Trust                 | GreenPoint Mortgage Funding Trust 2005-AR5                                       | CUSIP: 39538WEA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       29268 | PA      | $26463.55     | 0.00%             | 2045-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31406EW91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19165 | PA      | $19498.69     | 0.00%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    53900000 | PA      | $54022422.53  | 2.20%             | 2053-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36210B3T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       23331 | PA      | $23631.31     | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse AG                                  | Credit Suisse AG                                                                 | CUSIP: 22546DAA4<br>LEI: ANGGYXNX0JLX3X63JN86 | Long             | DBT              | CORP              | CH        |     3200000 | PA      | $3106259.20   | 0.13%             | 2023-08-08      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KTR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         536 | PA      | $528.18       | 0.00%             | 2025-07-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412PCD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17317 | PA      | $16950.18     | 0.00%             | 2029-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138EG2G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      494862 | PA      | $512951.71    | 0.02%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418CW26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42710 | PA      | $41114.74     | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FBR Securitization Trust                          | FBR Securitization Trust 2005-2                                                  | CUSIP: 30246QAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    28530000 | PA      | $27536528.34  | 1.12%             | 2035-09-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31385HJD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24971 | PA      | $25452.42     | 0.00%             | 2034-09-01      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Avoca CLO                                         | Avoca CLO XVII DAC                                                               | CUSIP: 000000000<br>LEI: 635400OUIIBSBWG9WH80 | Long             | ABS-CBDO         | CORP              | IE        |     6000000 | PA      | $6218092.50   | 0.25%             | 2032-10-15      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                             | 317594885 OPTION FEB23 99.8125 OTC EPUT FN 5.5                                   | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |    -3400000 | NC      | $-21363.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5KA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         900 | PA      | $935.36       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410G2H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      533868 | PA      | $554123.43    | 0.02%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   191500000 | PA      | $168255588.29 | 6.84%             | 2053-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138AATL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4644 | PA      | $4536.51      | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                   | AREIT 2022-CRE7 LLC                                                              | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5600000 | PA      | $5526281.60   | 0.22%             | 2039-06-17      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | OIS JPY MUTKCALM/0.8000 06/15/22-30Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | JP        |  3770000000 | OU      | $3878039.27   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138XFF75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       83499 | PA      | $83450.02     | 0.00%             | 2043-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED PEN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | PE        |           1 | NC      | $2997.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211KPY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15379 | PA      | $15451.80     | 0.00%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Tikehau                                           | Tikehau CLO DAC                                                                  | CUSIP: 000000000<br>LEI: 549300JRN5DH0UN2QJ46 | Long             | ABS-CBDO         | CORP              | IE        |     6000000 | PA      | $6235242.90   | 0.25%             | 2034-08-04      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                          | CUSIP: 44891ABZ9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     7200000 | PA      | $6337205.14   | 0.26%             | 2026-09-17      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KU45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         103 | PA      | $100.90       | 0.00%             | 2025-09-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7U87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2627 | PA      | $2723.98      | 0.00%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED GBP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | GB        |           1 | NC      | $6462.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31415P3Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4614 | PA      | $4753.25      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5F54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11491 | PA      | $11990.81     | 0.00%             | 2037-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                          | Lloyds Banking Group PLC                                                         | CUSIP: 000000000<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |      300000 | PA      | $308312.58    | 0.01%             | 2025-06-27      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR NOTE (CBT)MAR23                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -63 | NC      | $19108.97     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3129354W6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       46175 | PA      | $47813.18     | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137FUKQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2456416 | PA      | $2391988.01   | 0.10%             | 2040-10-15      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U1PCA1 PIMCO SWAPTION 2.547 PUT EUR 2023030                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -4500000 | NC      | $-284226.02   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31409G4R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       23671 | PA      | $24073.14     | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RAAC Series                                       | RAAC Series 2007-SP2 Trust                                                       | CUSIP: 74919XAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1570609 | PA      | $1518513.05   | 0.06%             | 2047-06-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Rio Oil Finance Trust                             | Rio Oil Finance Trust Series 2014-3                                              | CUSIP: 76716XAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3233749 | PA      | $3364117.57   | 0.14%             | 2027-01-06      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                           | GA Global Funding Trust                                                          | CUSIP: 36143L2F1<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $6718903.31   | 0.27%             | 2023-12-08      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132D53V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       85502 | PA      | $82312.30     | 0.00%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6RD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       21774 | PA      | $22404.88     | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U1O8A9 PIMCO SWAPTION 3.12 CALL USD 2022123                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |     -700000 | NC      | $-0.07        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138EPPG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      325554 | PA      | $324356.27    | 0.01%             | 2030-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U1Q8A4 PIMCO SWAPTION 2.067 CALL EUR 202306                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -5500000 | NC      | $-14105.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 12.98 12/13/22-01/04/27 CME                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    35200000 | OU      | $73009.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                 | Magnetite XVIII Ltd                                                              | CUSIP: 55953TAS6<br>LEI: 549300BDVLRWS2SODX97 | Long             | ABS-CBDO         | CORP              | KY        |     6753304 | PA      | $6686550.91   | 0.27%             | 2028-11-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RTZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8166 | PA      | $8347.16      | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412ER24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      116700 | PA      | $119140.57    | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Essex Portfolio LP                                | Essex Portfolio LP                                                               | CUSIP: 29717PAQ0<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              |  | US        |     3500000 | PA      | $3294829.09   | 0.13%             | 2026-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KD93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         589 | PA      | $584.54       | 0.00%             | 2023-07-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                           | Dell International LLC / EMC Corp                                                | CUSIP: 24703TAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     9200000 | PA      | $9306557.71   | 0.38%             | 2025-07-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                             | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     6500000 | PA      | $6190241.98   | 0.25%             | 2033-07-22      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| SES SA                                            | SES SA                                                                           | CUSIP: 78413HAA7<br>LEI: 5493008JPA4HYMH1HX51 | Long             | DBT              | CORP              | LU        |      800000 | PA      | $794774.89    | 0.03%             | 2023-04-04      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2021-XL2                                            | CUSIP: 05609KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5430550 | PA      | $5227542.16   | 0.21%             | 2038-10-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                              | 317U1QQA4 PIMCO SWAPTION 4.25 PUT USD 20230912                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   -75600000 | NC      | $-382399.92   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2006-AR6                                           | CUSIP: 17309RAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      418675 | PA      | $365968.56    | 0.01%             | 2036-08-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED PEN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | PE        |           1 | NC      | $5859.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                               | CUSIP: 29278NAL7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     2700000 | PA      | $2693616.07   | 0.11%             | 2023-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202K4L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9397 | PA      | $9273.73      | 0.00%             | 2026-07-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 3620C0WS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       20595 | PA      | $20980.97     | 0.00%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                 | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     2200000 | PA      | $1945013.22   | 0.08%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                            | CVS Pass-Through Trust                                                           | CUSIP: 126650BQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      148621 | PA      | $151386.45    | 0.01%             | 2030-01-10      | Fixed         | 6.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412XES9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1133 | PA      | $1177.40      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                   | Benefit Street Partners CLO XVI Ltd                                              | CUSIP: 08181VAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7000000 | PA      | $6854183.63   | 0.28%             | 2032-01-17      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36209RTE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         524 | PA      | $525.22       | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404GV40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3852 | PA      | $3891.72      | 0.00%             | 2034-01-01      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KQD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2825 | PA      | $2771.26      | 0.00%             | 2024-11-20      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| NY STATE ELECTRIC & GAS                           | New York State Electric & Gas Corp                                               | CUSIP: 649840CT0<br>LEI: 549300GEC6J0YHUXA160 | Long             | DBT              | CORP              | US        |     7200000 | PA      | $5629228.34   | 0.23%             | 2031-10-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp                                  | Duke Energy Corp                                                                 | CUSIP: 26244JNH8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | STIV             | CORP              | US        |     4800000 | PA      | $4788883.20   | 0.19%             | 2023-01-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LUXE Commercial Mortgage Trust                    | LUXE Trust 2021-TRIP                                                             | CUSIP: 55066WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1592059 | PA      | $1525164.35   | 0.06%             | 2038-10-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36296QRY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4054 | PA      | $4139.19      | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31413ALS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10744 | PA      | $10947.37     | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                 | NatWest Group PLC                                                                | CUSIP: 000000000<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     4600000 | PA      | $4804855.99   | 0.20%             | 2025-03-04      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31374CQV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      162817 | PA      | $165447.45    | 0.01%             | 2024-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED PEN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | PE        |           1 | NC      | $4125.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 312914JL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         832 | PA      | $830.87       | 0.00%             | 2023-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KHB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         911 | PA      | $899.69       | 0.00%             | 2023-11-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                       | Extended Stay America Trust 2021-ESH                                             | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6833346 | PA      | $6646625.74   | 0.27%             | 2038-07-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2022-B33 Mortgage Trust                                                | CUSIP: 08163PBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6500000 | PA      | $5763743.05   | 0.23%             | 2055-03-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| IMC Home Equity Loan Trust                        | Imc Home Equity Loan Trust 1998-3                                                | CUSIP: 449670EQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         502 | PA      | $478.02       | 0.00%             | 2029-08-20      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT DRILL VIII/IX                           | Odebrecht Drilling Norbe VIII/IX Ltd                                             | CUSIP: 675757AC2<br>LEI: 549300YNW6BY570L6488 | Long             | DBT              | CORP              | KY        |     2273594 | PA      | $1256160.69   | 0.05%             | 2026-12-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| Starwood Commercial Mortgage Trust                | STWD 2019-FL1 Ltd                                                                | CUSIP: 78485WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5729181 | PA      | $5678982.12   | 0.23%             | 2038-07-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                    | BCAP LLC 2011-RR4-I Trust                                                        | CUSIP: 05533XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      959489 | PA      | $426087.85    | 0.02%             | 2036-02-26      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC                                       | Federal Home Loan Mortgage Corp                                                  | CUSIP: 3134GWJN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |    35600000 | PA      | $32188708.68  | 1.31%             | 2025-08-06      | Fixed         | 0.68%                 | No            |                  2 | On Loan: No      |
| AP MOLLER-MAERSK A/S                              | AP Moller - Maersk A/S                                                           | CUSIP: 00203QAE7<br>LEI: 549300D2K6PKKKXVNN73 | Long             | DBT              | CORP              | DK        |     8600000 | PA      | $8184949.21   | 0.33%             | 2029-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407UMR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      776281 | PA      | $795648.10    | 0.03%             | 2034-11-01      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| CIT Mortgage Loan Trust                           | CIT Mortgage Loan Trust 2007-1                                                   | CUSIP: 12559QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      536517 | PA      | $533990.70    | 0.02%             | 2037-10-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| General Mills Inc                                 | General Mills Inc                                                                | CUSIP: 370334CC6<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $1002312.08   | 0.04%             | 2023-10-17      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                            | Mitsubishi UFJ Financial Group Inc                                               | CUSIP: 606822BS2<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    10600000 | PA      | $9635532.71   | 0.39%             | 2025-07-17      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405JRD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15043 | PA      | $15247.06     | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bacardi Ltd                                       | Bacardi Ltd                                                                      | CUSIP: 067316AE9<br>LEI: 549300R32WTQNHNN5055 | Long             | DBT              | CORP              | BM        |     6700000 | PA      | $6507029.95   | 0.26%             | 2025-05-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 3617L7K73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      930863 | PA      | $888196.28    | 0.04%             | 2049-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wachovia Mortgage Loan Trust, LLC                 | Wachovia Mortgage Loan Trust LLC Series 2006-A Trust                             | CUSIP: 92977TAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       67196 | PA      | $63985.94     | 0.00%             | 2036-05-20      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2020-CNP                                          | CUSIP: 61770YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4900000 | PA      | $3745371.35   | 0.15%             | 2042-04-05      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418MMK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       40718 | PA      | $42521.06     | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust       | Arbor Multifamily Mortgage Securities Trust 2020-MF1                             | CUSIP: 03881BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4900000 | PA      | $4180923.04   | 0.17%             | 2053-05-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31413FLF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      189418 | PA      | $194830.21    | 0.01%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                              | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     6400000 | PA      | $6112682.05   | 0.25%             | 2033-07-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132A5JQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     6286374 | PA      | $5821099.89   | 0.24%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211PX32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1600 | PA      | $1599.25      | 0.00%             | 2030-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KL29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6357 | PA      | $6332.94      | 0.00%             | 2024-06-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412YBH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10598 | PA      | $11050.10     | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-7910.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36213DCU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         545 | PA      | $544.29       | 0.00%             | 2031-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416VD68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         659 | PA      | $655.42       | 0.00%             | 2033-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | IRS EUR 1.00000 05/18/22-5Y LCH                                                  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |    29000000 | OU      | $-2777311.72  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212UGZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3113 | PA      | $3123.11      | 0.00%             | 2031-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371MTJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       67303 | PA      | $66953.01     | 0.00%             | 2026-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                              | Enel Finance International NV                                                    | CUSIP: 29278GAP3<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     7500000 | PA      | $5473953.68   | 0.22%             | 2031-07-12      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust                      | METLIFE SECURITIZATION TRUST 2018-1                                              | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4680003 | PA      | $4415957.10   | 0.18%             | 2057-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                                | Vodafone Group PLC                                                               | CUSIP: 92857MN57<br>LEI: 213800TB53ELEUKM7Q61 | Long             | STIV             | CORP              | US        |     5000000 | PA      | $4996153.35   | 0.20%             | 2023-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132AECH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       41041 | PA      | $39510.20     | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416RT94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1204 | PA      | $1187.60      | 0.00%             | 2024-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412SYY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3696 | PA      | $3809.49      | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust               | Mastr Asset Backed Securities Trust 2006-WMC2                                    | CUSIP: 57644TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7374935 | PA      | $1980653.82   | 0.08%             | 2036-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31403MZX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2755 | PA      | $2658.15      | 0.00%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE COLORADO                           | Public Service Co of Colorado                                                    | CUSIP: 744448CT6<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |     6300000 | PA      | $5070390.19   | 0.21%             | 2031-01-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| TESCO PROPERTY FIN 5 PLC                          | Tesco Property Finance 5 PLC                                                     | CUSIP: 000000000<br>LEI: 213800BN1HYPUZMXAF92 | Long             | DBT              | CORP              | GB        |       95836 | PA      | $107263.52    | 0.00%             | 2041-10-13      | Fixed         | 5.66%                 | Yes           |                  2 | On Loan: No      |
| GATX CORP                                         | GATX Corp                                                                        | CUSIP: 361448BF9<br>LEI: 549300IHYHCQP2PIR591 | Long             | DBT              | CORP              | US        |     9700000 | PA      | $8621772.64   | 0.35%             | 2030-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140X5C50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9823 | PA      | $9784.07      | 0.00%             | 2025-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BTP FUTURE MAR23                                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -53 | NC      | $460378.73    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211YSS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9764 | PA      | $9761.73      | 0.00%             | 2030-02-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416CLT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       73686 | PA      | $77008.10     | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211QKQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4369 | PA      | $4407.73      | 0.00%             | 2029-09-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| American Tower Corp                               | American Tower Corp                                                              | CUSIP: 03027XAQ3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |      900000 | PA      | $890587.28    | 0.04%             | 2023-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138ELUG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8152 | PA      | $8144.21      | 0.00%             | 2026-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F030611<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -18040195 | PA      | $-15836368.88 | -0.64%            | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | RFR USD SOFR/4.35000 09/14/23-1Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    18900000 | OU      | $9714.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CV86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10990 | PA      | $10673.25     | 0.00%             | 2032-09-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31414NGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         187 | PA      | $186.84       | 0.00%             | 2024-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2005-AR5                          | CUSIP: 86359LPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       35707 | PA      | $33162.65     | 0.00%             | 2035-07-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Kilroy Realty LP                                  | Kilroy Realty LP                                                                 | CUSIP: 49427RAL6<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              |  | US        |     2600000 | PA      | $2522772.82   | 0.10%             | 2025-10-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| MIDWEST CONNECTOR CAPIT                           | Midwest Connector Capital Co LLC                                                 | CUSIP: 59833CAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4100000 | PA      | $3971765.49   | 0.16%             | 2024-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31413RJ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       72318 | PA      | $74270.21     | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138A8SR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13348 | PA      | $13040.08     | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KBP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         224 | PA      | $223.31       | 0.00%             | 2023-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                          | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |           1 | NC      | $114.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust   | CUSIP: 93934NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1206691 | PA      | $880593.55    | 0.04%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                   | CVS Health Corp                                                                  | CUSIP: 126650DR8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     3500000 | PA      | $2783962.83   | 0.11%             | 2031-09-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust               | Citigroup Commercial Mortgage Trust 2015-GC33                                    | CUSIP: 29425AAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5900000 | PA      | $5619931.13   | 0.23%             | 2058-09-10      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38376RGB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     2914006 | PA      | $2868495.72   | 0.12%             | 2065-08-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38375UZZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4683009 | PA      | $4637109.50   | 0.19%             | 2067-04-20      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31411VQT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20182 | PA      | $20361.33     | 0.00%             | 2037-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FLEX LTD                                          | Flex Ltd                                                                         | CUSIP: 33938XAB1<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | SG        |     9500000 | PA      | $8945993.06   | 0.36%             | 2030-05-12      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                   | Impac CMB Trust Series 2005-4                                                    | CUSIP: 45254NPA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       25742 | PA      | $23731.49     | 0.00%             | 2035-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | Reperforming Loan REMIC Trust 2005-R2                                            | CUSIP: 12669GN64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      948408 | PA      | $896634.04    | 0.04%             | 2035-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                | JP Morgan Alternative Loan Trust                                                 | CUSIP: 466309AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      911418 | PA      | $487324.12    | 0.02%             | 2036-12-27      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley Capital I Inc Trust 2006-HE2                                      | CUSIP: 617451EU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1541599 | PA      | $1244903.77   | 0.05%             | 2036-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                              | PURCHASED JPY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | JP        |           1 | NC      | $63638.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA INC                                           | HCA Inc                                                                          | CUSIP: 404119CE7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     7300000 | PA      | $6427852.65   | 0.26%             | 2029-03-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138XS4W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      252340 | PA      | $242905.42    | 0.01%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                | JP Morgan Alternative Loan Trust                                                 | CUSIP: 46628GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1928275 | PA      | $1606011.80   | 0.07%             | 2036-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |           1 | NC      | $-97105.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410QN80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       36901 | PA      | $38110.69     | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | RFR GBP SONIO/2.00000 03/15/23-30Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |     8500000 | OU      | $-2526501.02  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KUY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2520 | PA      | $2483.57      | 0.00%             | 2025-09-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31419DHF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10082 | PA      | $10129.42     | 0.00%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CCY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2094 | PA      | $2078.82      | 0.00%             | 2027-06-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2007-HE6                                  | CUSIP: 61755CAA0<br>LEI: 5493005XH7EPFP4PGZ13 | Long             | ABS-MBS          | CORP              | US        |      146829 | PA      | $128444.56    | 0.01%             | 2037-05-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED PEN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | PE        |           1 | NC      | $6271.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EVERGY INC                                        | Evergy Inc                                                                       | CUSIP: 30034WAA4<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |     8800000 | PA      | $8360088.44   | 0.34%             | 2024-09-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                                             | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |     2536842 | PA      | $282102.65    | 0.01%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Regency Centers LP                                | Regency Centers LP                                                               | CUSIP: 75884RAX1<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              |  | US        |     3500000 | PA      | $3255591.15   | 0.13%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust               | GS Mortgage-Backed Securities Corp Trust 2022-PJ2                                | CUSIP: 36267EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6462059 | PA      | $5218227.62   | 0.21%             | 2052-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                          | Intercontinental Exchange Inc                                                    | CUSIP: 45866FAK0<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     4400000 | PA      | $3592463.60   | 0.15%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| BECTON DICKINSON AND CO                           | Becton Dickinson and Co                                                          | CUSIP: 075887CL1<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |     7900000 | PA      | $6266249.66   | 0.25%             | 2031-02-11      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| CBL & Associates Properties Inc                   | CBL & Associates Properties Inc                                                  | CUSIP: 124830878<br>LEI: 529900EIVFBRS4PUBZ13 | Long             | EC               |  | US        |        9021 | NS      | $208204.68    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BofA Securities, Inc.                             | 317557H41 OTC ECAL FN 5.5 FEB23 101.8125 CALL                                    | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |    -3400000 | NC      | $-7300.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | JP Morgan Chase Commercial Mortgage Securities Trust 2019-FL12                   | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5461346 | PA      | $5202250.99   | 0.21%             | 2031-12-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212EBL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2068 | PA      | $2083.36      | 0.00%             | 2030-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KJC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1140 | PA      | $1132.94      | 0.00%             | 2024-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F040636<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   316000000 | PA      | $296547419.20 | 12.06%            | 2053-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3926 | PA      | $3843.79      | 0.00%             | 2027-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CN85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3290 | PA      | $3248.80      | 0.00%             | 2030-06-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KRL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         279 | PA      | $273.30       | 0.00%             | 2025-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDIN                          | MassMutual Global Funding II                                                     | CUSIP: 57629WDL1<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |     4000000 | PA      | $4026671.72   | 0.16%             | 2027-12-07      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36225BJB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         242 | PA      | $253.11       | 0.00%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                  | Peruvian Government International Bond                                           | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    11200000 | PA      | $2705059.69   | 0.11%             | 2029-02-12      | Fixed         | 5.94%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KTU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1575 | PA      | $1550.90      | 0.00%             | 2025-07-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                    | CUSIP: 097023DE2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     3500000 | PA      | $3355546.43   | 0.14%             | 2024-02-04      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | OIS JPY MUT+5.89/0.7850 11/12/18-20Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | JP        |   310000000 | OU      | $141969.92    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certificates                 | ABFC 2005-OPT1 Trust                                                             | CUSIP: 04542BQB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4722824 | PA      | $4284188.69   | 0.17%             | 2035-07-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2005-AR19 Trust                   | CUSIP: 92925CBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18993 | PA      | $17619.40     | 0.00%             | 2045-12-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31415L6M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2409 | PA      | $2447.50      | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38376REZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3090250 | PA      | $3046895.74   | 0.12%             | 2065-07-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31381DQD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          70 | PA      | $71.93        | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212J5X0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12001 | PA      | $11998.40     | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410RJM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1134 | PA      | $1151.91      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416B6T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      194150 | PA      | $197450.82    | 0.01%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FED CAISSES DESJARDINS                            | Federation des Caisses Desjardins du Quebec                                      | CUSIP: 31429KAG8<br>LEI: 549300B2Q47IR0CR5B54 | Long             | DBT              | CORP              | CA        |     7000000 | PA      | $6836160.31   | 0.28%             | 2025-08-23      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31339D4L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        4295 | PA      | $4251.89      | 0.00%             | 2029-12-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                            | Standard Chartered PLC                                                           | CUSIP: 853254CF5<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     7000000 | PA      | $6803702.50   | 0.28%             | 2025-11-23      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KLQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12701 | PA      | $12687.04     | 0.00%             | 2024-06-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138A95X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       63492 | PA      | $62586.15     | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402QVH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       47192 | PA      | $48856.64     | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407UEZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1175 | PA      | $1198.75      | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                   | CUSIP: 05565ASK0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     1500000 | PA      | $1162650.71   | 0.05%             | 2031-02-25      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371NDS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2397 | PA      | $2388.14      | 0.00%             | 2027-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416BZZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          20 | PA      | $19.53        | 0.00%             | 2023-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211PF81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3841 | PA      | $3853.60      | 0.00%             | 2029-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F040610<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -34000000 | PA      | $-31891062.96 | -1.30%            | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133BH4E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      397408 | PA      | $349319.35    | 0.01%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136A9YS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1243055 | PA      | $1224164.74   | 0.05%             | 2042-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                               | LCM XXV Ltd                                                                      | CUSIP: 50189PAY8<br>LEI: 549300FY8UGGJMQNCO13 | Long             | ABS-CBDO         | CORP              | KY        |     6925029 | PA      | $6821601.11   | 0.28%             | 2030-07-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                          | Bear Stearns ALT-A Trust 2005-10                                                 | CUSIP: 07386HZJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1037510 | PA      | $959510.68    | 0.04%             | 2036-01-25      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| LFT CRE 2021-FL1, LLC                             | LFT CRE 2021-FL1 Ltd                                                             | CUSIP: 50203JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7000000 | PA      | $6811854.00   | 0.28%             | 2039-06-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                 | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     3800000 | PA      | $3113506.90   | 0.13%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36213UDP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       19079 | PA      | $19071.30     | 0.00%             | 2031-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418UW59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5737 | PA      | $5731.41      | 0.00%             | 2025-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   106800000 | PA      | $97102683.89  | 3.95%             | 2053-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | OIS JPY MUT+5.89/0.7050 10/31/18-20Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | JP        |   170000000 | OU      | $76058.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KP25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         677 | PA      | $663.03       | 0.00%             | 2024-11-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                    | CUSIP: 842400HD8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $5785809.05   | 0.24%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404JSD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      143335 | PA      | $147409.90    | 0.01%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                  | Societe Generale SA                                                              | CUSIP: 83368RBJ0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     8000000 | PA      | $6319410.40   | 0.26%             | 2033-01-21      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7ZR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       19082 | PA      | $19828.05     | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2007-AMC1                                          | CUSIP: 17311BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1868769 | PA      | $1053606.56   | 0.04%             | 2036-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412RG92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       48783 | PA      | $47656.23     | 0.00%             | 2025-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | IMM EUR FUT OPT DEC23P 96.5 EXP 12/18/2023                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |        -507 | NC      | $-1787175.00  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138ELK93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       31061 | PA      | $30889.62     | 0.00%             | 2025-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STARBUCKS CORP                                    | Starbucks Corp                                                                   | CUSIP: 855244AZ2<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |     9700000 | PA      | $8179153.88   | 0.33%             | 2030-11-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XGQ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    19753449 | PA      | $17354895.16  | 0.71%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2004-HYB1                                        | CUSIP: 12669FNP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      342052 | PA      | $312617.06    | 0.01%             | 2034-05-20      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Finsbury Square                                   | Finsbury Square 2020-2 PLC                                                       | CUSIP: 000000000<br>LEI: 635400O5ID5O4HXMUA47 | Long             | ABS-MBS          | CORP              | GB        |     2404344 | PA      | $2909688.22   | 0.12%             | 2070-06-16      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3131WUAH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5031 | PA      | $5112.57      | 0.00%             | 2029-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Humana Inc                                        | Humana Inc                                                                       | CUSIP: 44486JNA3<br>LEI: 529900YLDW34GJAO4J06 | Long             | STIV             | CORP              | US        |     7300000 | PA      | $7289589.98   | 0.30%             | 2023-01-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417VX57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       57833 | PA      | $58010.08     | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31408B5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5389 | PA      | $5274.62      | 0.00%             | 2036-01-01      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36207KF96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         470 | PA      | $475.19       | 0.00%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank                             | TORONTO DOMINION BANK                                                            | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | Long             | RA               | CORP              | CA        |    50000000 | PA      | $36927621.86  | 1.50%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                     | MASTR Alternative Loan Trust 2006-2                                              | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      690416 | PA      | $78843.41     | 0.00%             | 2036-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36176ARS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       43546 | PA      | $43978.22     | 0.00%             | 2041-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KGL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1498 | PA      | $1483.69      | 0.00%             | 2023-10-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CFQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1206 | PA      | $1180.46      | 0.00%             | 2028-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412QCA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2321 | PA      | $2318.67      | 0.00%             | 2024-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Republic of Peru                                  | Peruvian Government International Bond                                           | CUSIP: 715638AY8<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    14800000 | PA      | $4079784.98   | 0.17%             | 2026-08-12      | Fixed         | 8.20%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402E2N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1105 | PA      | $1129.84      | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | BARCLAYS BANK PLC SNR SE ICE                                                     | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | XX        |     2400000 | OU      | $919.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MP Clo VII, LTD                                   | ACAS CLO 2015-1 Ltd                                                              | CUSIP: 55320RAQ0<br>LEI: 5493005EOEZ6JX072G15 | Long             | ABS-CBDO         | CORP              | KY        |     6467123 | PA      | $6386284.24   | 0.26%             | 2028-10-18      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31409T6M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7675 | PA      | $7799.62      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                          | Cooperatieve Rabobank UA                                                         | CUSIP: 74977RDR2<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     6700000 | PA      | $6441544.08   | 0.26%             | 2028-08-22      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31415P3Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1292 | PA      | $1329.85      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                          | Ford Motor Credit Co LLC                                                         | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     6200000 | PA      | $5615853.61   | 0.23%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP                              | JetBlue 2020-1 Class A Pass Through Trust                                        | CUSIP: 477164AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     7648309 | PA      | $6820583.92   | 0.28%             | 2032-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Kilroy Realty LP                                  | Kilroy Realty LP                                                                 | CUSIP: 49427RAM4<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              |  | US        |     2200000 | PA      | $2107419.23   | 0.09%             | 2024-12-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Delta Funding Home Equity Loan Trust              | Delta Funding Home Equity Loan Trust 1999-2                                      | CUSIP: 24763LFN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          19 | PA      | $18.17        | 0.00%             | 2030-08-15      | Fixed         | 7.03%                 | No            |                  2 | On Loan: No      |
| Ladder Capital Commercial Mortgage Securities LLC | LCCM 2021-FL2 Trust                                                              | CUSIP: 50202KAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     8000000 | PA      | $7766664.00   | 0.32%             | 2038-12-13      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | CDX IG39 5Y ICE                                                                  | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    88900000 | OU      | $-708539.29   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                                | THL Credit Wind River 2019-3 Clo Ltd                                             | CUSIP: 97314JAA3<br>LEI: 549300QKM4OHZM4I5C40 | Long             | ABS-CBDO         | CORP              | KY        |     7000000 | PA      | $6812222.06   | 0.28%             | 2031-04-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-OAT FUTURE MAR23                                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -58 | NC      | $551795.43    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412QQ51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11609 | PA      | $11597.73     | 0.00%             | 2024-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) MAR23                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        2489 | NC      | $-516390.59   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38382YJ20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3100000 | PA      | $3108709.45   | 0.13%             | 2072-12-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36295YXW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       26616 | PA      | $26849.22     | 0.00%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410FSJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14190 | PA      | $14829.98     | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402QYY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17794 | PA      | $18394.77     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31377CRB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      285230 | PA      | $280255.79    | 0.01%             | 2036-05-01      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                 | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    78300000 | PA      | $68683781.25  | 2.79%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Dryden Euro CLO                                   | Dryden 52 Euro CLO 2017 DAC                                                      | CUSIP: 000000000<br>LEI: 635400V5VX7XDQVRNU55 | Long             | ABS-CBDO         | CORP              | IE        |     5600000 | PA      | $5825982.32   | 0.24%             | 2034-05-15      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                           | Imperial Brands Finance PLC                                                      | CUSIP: 45262BAA1<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |     9000000 | PA      | $8609217.66   | 0.35%             | 2024-07-26      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                   | CUSIP: 09659W2M5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     9000000 | PA      | $7507962.99   | 0.31%             | 2028-09-30      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36205MNK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5427 | PA      | $5450.50      | 0.00%             | 2030-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371NV77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9660 | PA      | $9718.65      | 0.00%             | 2028-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412T6Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6109 | PA      | $6208.96      | 0.00%             | 2039-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KTG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3028 | PA      | $2987.04      | 0.00%             | 2025-07-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416CJP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14941 | PA      | $14905.19     | 0.00%             | 2024-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                                    | Open Text Corp                                                                   | CUSIP: 683715AF3<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |     8100000 | PA      | $8110530.00   | 0.33%             | 2027-12-01      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                       | Southern Co/The                                                                  | CUSIP: 842587CV7<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     5700000 | PA      | $5366968.89   | 0.22%             | 2026-07-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                            | Federal Home Loan Banks                                                          | CUSIP: 3130ATJ99<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    24700000 | PA      | $24700007.90  | 1.00%             | 2023-01-06      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                      | Barclays PLC                                                                     | CUSIP: 06738EBA2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     3000000 | PA      | $2936400.00   | 0.12%             | 2023-09-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RH77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      134056 | PA      | $127324.21    | 0.01%             | 2044-10-01      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36209RGG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4701 | PA      | $4699.86      | 0.00%             | 2030-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2005-44                                                   | CUSIP: 12667G3S0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5611 | PA      | $5548.08      | 0.00%             | 2035-10-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31408FAF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       12416 | PA      | $12671.85     | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2005-2                                           | CUSIP: 12669GPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      394423 | PA      | $351023.03    | 0.01%             | 2035-03-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE AMERICA LLC                          | Enel Finance America LLC                                                         | CUSIP: 29280HAA0<br>LEI: 549300EGNLVUJX1DEC60 | Long             | DBT              | CORP              | US        |     6800000 | PA      | $7043250.48   | 0.29%             | 2027-10-14      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| Discover Card Execution Note Trust                | Discover Card Execution Note Trust                                               | CUSIP: 254683CA1<br>LEI: 549300CKCX1QE4RUW216 | Long             | ABS-O            | CORP              | US        |     6600000 | PA      | $6603204.96   | 0.27%             | 2026-12-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                             | 317581LR5 OTC ECAL FN 5.5 FEB23 102 CALL                                         | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |    -2300000 | NC      | $-4080.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KJB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2380 | PA      | $2363.68      | 0.00%             | 2024-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202K6G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2554 | PA      | $2502.28      | 0.00%             | 2026-09-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |           1 | NC      | $-1639472.79  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U0BJA6 PIMCO SWAPTION 2.91 CALL USD 2023111                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -9300000 | NC      | $-12399.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36206MNE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7500 | PA      | $7530.62      | 0.00%             | 2029-09-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | OIS JPY MUT+5.89/0.7500 6/20/19-20Y* LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | JP        |    42800000 | OU      | $58940.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 12.6 06/08/22-01/02/25 CME                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   308100000 | OU      | $-224320.84   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2005-SA4 Trust                                                      | CUSIP: 76111XYD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      368573 | PA      | $230020.63    | 0.01%             | 2035-09-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR9 Trust | CUSIP: 939346AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      903345 | PA      | $719671.94    | 0.03%             | 2046-11-25      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407ME76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       15033 | PA      | $14887.21     | 0.00%             | 2035-09-01      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31415BAR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         538 | PA      | $536.17       | 0.00%             | 2023-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Public Storage                                    | Public Storage                                                                   | CUSIP: 74460DAC3<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              |  | US        |     1900000 | PA      | $1770350.06   | 0.07%             | 2027-09-15      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RHU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      112997 | PA      | $107560.90    | 0.00%             | 2042-08-01      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-161318.89   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31411WTX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4334 | PA      | $4403.90      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | RFR USD SOFR/1.75000 06/15/22-10Y CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    34800000 | OU      | $-5142523.26  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KB87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         236 | PA      | $235.38       | 0.00%             | 2023-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36296RZS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3585 | PA      | $3694.18      | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                          | Ford Motor Credit Co LLC                                                         | CUSIP: 000000000<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     3400000 | PA      | $3895228.76   | 0.16%             | 2024-06-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138ETJ23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      169534 | PA      | $169050.51    | 0.01%             | 2025-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                       | Oracle Corp                                                                      | CUSIP: 6840C3NS8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | STIV             | CORP              | US        |     5000000 | PA      | $4982731.25   | 0.20%             | 2023-01-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                          | AT&T Inc                                                                         | CUSIP: 0020A3N30<br>LEI: 549300Z40J86GGSTL398 | Long             | STIV             | CORP              | US        |     4800000 | PA      | $4797579.22   | 0.20%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13.024 12/13/22-01/04/27 CME                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    17600000 | OU      | $39846.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                      | Voya CLO 2017-1 Ltd                                                              | CUSIP: 92916MAF8<br>LEI: 54930054YW6PM1FPVU95 | Long             | ABS-CBDO         | CORP              | KY        |     6616330 | PA      | $6534415.04   | 0.27%             | 2030-04-17      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138XLXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       58075 | PA      | $58189.92     | 0.00%             | 2044-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                              | PURCHASED PEN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | PE        |           1 | NC      | $7049.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                          | Lloyds Banking Group PLC                                                         | CUSIP: 53944YAF0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     4500000 | PA      | $4417903.71   | 0.18%             | 2025-05-08      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36225BMS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12889 | PA      | $13715.62     | 0.00%             | 2030-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                 | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    20900000 | PA      | $19608445.21  | 0.80%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31415TFV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9447 | PA      | $9762.07      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Securities               | Banc of America Mortgage 2007-2 Trust                                            | CUSIP: 05952FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1846090 | PA      | $1418627.83   | 0.06%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31376KPN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2165 | PA      | $2205.93      | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36292FC39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2468 | PA      | $2491.68      | 0.00%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6NJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        9541 | PA      | $9909.35      | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KRQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         634 | PA      | $625.82       | 0.00%             | 2025-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7JL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       31272 | PA      | $32407.18     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SEAGATE HDD CAYMAN                                | Seagate HDD Cayman                                                               | CUSIP: 81180WBC4<br>LEI: 529900BD50TRWEG1SF63 | Long             | DBT              | CORP              | KY        |     1000000 | PA      | $830487.72    | 0.03%             | 2029-06-01      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31419BWX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6496 | PA      | $6346.01      | 0.00%             | 2025-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412NBF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         817 | PA      | $854.04       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                   | CUSIP: 61747YEU5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     6500000 | PA      | $6125945.35   | 0.25%             | 2033-07-20      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31409WV81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4532 | PA      | $4607.41      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BSPDF 2021-FL1 Issuer Ltd                         | BSPDF 2021-FL1 Issuer Ltd                                                        | CUSIP: 055731AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7000000 | PA      | $6691188.00   | 0.27%             | 2036-10-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED PEN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | PE        |           1 | NC      | $215538.61    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| City of Chicago IL                                | CHICAGO IL                                                                       | CUSIP: 167486D22<br>LEI: T5UYO5SYLC8K73MJQX30 | Long             | DBT              | MUN               | US        |      952000 | PA      | $967950.28    | 0.04%             | 2042-01-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                              | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-1665108.42  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31384VT44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         178 | PA      | $188.19       | 0.00%             | 2030-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                   | Israel Government International Bond                                             | CUSIP: 46513JB42<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     5400000 | PA      | $4563750.60   | 0.19%             | 2050-07-03      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-1NYP                | One New York Plaza Trust 2020-1NYP                                               | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3780000 | PA      | $3573240.05   | 0.15%             | 2036-01-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U1O7A0 PIMCO SWAPTION 3.62 PUT USD 20221230                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |     -700000 | NC      | $-0.07        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371NG58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       57167 | PA      | $56956.54     | 0.00%             | 2027-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416VGC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      207698 | PA      | $215895.34    | 0.01%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                      | CUSIP: 694308HK6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     5300000 | PA      | $5089116.98   | 0.21%             | 2024-08-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132AEKD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        5141 | PA      | $4961.87      | 0.00%             | 2034-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404RTU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1230 | PA      | $1242.13      | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211UFY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4533 | PA      | $4546.58      | 0.00%             | 2030-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation           | Structured Asset Securities Corp Trust 2005-5                                    | CUSIP: 863576AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2357346 | PA      | $1403456.37   | 0.06%             | 2035-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138EQAP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       81175 | PA      | $80776.61     | 0.00%             | 2023-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PRICOA GLOBAL FUNDING 1                           | Pricoa Global Funding I                                                          | CUSIP: 74153WCR8<br>LEI: 635400IBXEBMD9ADYA79 | Long             | DBT              | CORP              | US        |     4500000 | PA      | $4414370.76   | 0.18%             | 2025-08-28      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KQ99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         866 | PA      | $857.30       | 0.00%             | 2025-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KUH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1305 | PA      | $1287.14      | 0.00%             | 2025-08-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CN        |           1 | NC      | $48404.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                               | SOUND POINT CLO XVII                                                             | CUSIP: 83611GAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5060000 | PA      | $4952183.14   | 0.20%             | 2030-10-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO II, Ltd.                          | Halseypoint CLO II Ltd                                                           | CUSIP: 40638TAA0<br>LEI: 549300PIQILNPH8UJT31 | Long             | ABS-CBDO         | CORP              | KY        |     6771138 | PA      | $6666849.55   | 0.27%             | 2031-07-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                            | Standard Chartered PLC                                                           | CUSIP: 853254BZ2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     4000000 | PA      | $3473200.00   | 0.14%             | 2027-01-14      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412STL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7938 | PA      | $8111.75      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                  | Crown Castle Inc                                                                 | CUSIP: 22822VAT8<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |     7900000 | PA      | $6356471.93   | 0.26%             | 2031-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Citibank Credit Card Issuance Trust               | Citibank Credit Card Issuance Trust                                              | CUSIP: 17305EGD1<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-O            | CORP              | US        |     3300000 | PA      | $3302291.52   | 0.13%             | 2026-04-22      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416HWP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       59098 | PA      | $60089.16     | 0.00%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412MHP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         108 | PA      | $108.08       | 0.00%             | 2023-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARG                          | Banco Bilbao Vizcaya Argentaria SA                                               | CUSIP: 05946KAH4<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |     2100000 | PA      | $2034242.97   | 0.08%             | 2023-09-18      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates | First Franklin Mortgage Loan Trust 2006-FF14                                     | CUSIP: 32027LAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    13900000 | PA      | $11006361.94  | 0.45%             | 2036-10-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36209Y6W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3267 | PA      | $3277.30      | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                              | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     6000000 | PA      | $5858551.02   | 0.24%             | 2028-07-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CWZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       26845 | PA      | $26355.64     | 0.00%             | 2033-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Host Hotels & Resorts LP                          | Host Hotels & Resorts LP                                                         | CUSIP: 44107TAX4<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              |  | US        |      700000 | PA      | $681637.98    | 0.03%             | 2024-04-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418MV58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6132 | PA      | $6348.74      | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212UBN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2942 | PA      | $2941.04      | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5KG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1339 | PA      | $1391.69      | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418XEC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         613 | PA      | $598.94       | 0.00%             | 2025-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | GENERAL ELECTRIC COMPANY SNR S* ICE                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     3950000 | OU      | $74055.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18040195 | PA      | $15836368.88  | 0.64%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 3617JWBC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1587323 | PA      | $1610220.66   | 0.07%             | 2049-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CXK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       31348 | PA      | $30802.04     | 0.00%             | 2033-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31394FU78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1577 | PA      | $146.38       | 0.00%             | 2035-10-25      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416BMS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      103997 | PA      | $108180.53    | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405U6A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2342 | PA      | $2288.60      | 0.00%             | 2034-12-01      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                           | Nissan Motor Acceptance Co LLC                                                   | CUSIP: 654740BT5<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |     5900000 | PA      | $4788065.11   | 0.19%             | 2028-03-09      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3131X4KJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        1528 | PA      | $1522.68      | 0.00%             | 2023-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                    | Option One Mortgage Loan Trust 2006-3                                            | CUSIP: 68389BAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11886083 | PA      | $6154700.59   | 0.25%             | 2037-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5R93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       65116 | PA      | $67661.56     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2005-J3                                                   | CUSIP: 12667GDJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      652462 | PA      | $27017.22     | 0.00%             | 2035-05-25      | Floating      | 0.61%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                           | Bayer US Finance II LLC                                                          | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |     7400000 | PA      | $6961403.48   | 0.28%             | 2028-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                 | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     7200000 | PA      | $6355400.40   | 0.26%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                      | Ares XL CLO Ltd                                                                  | CUSIP: 04016GBB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5655252 | PA      | $5592711.61   | 0.23%             | 2029-01-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARG                          | Banco Bilbao Vizcaya Argentaria SA                                               | CUSIP: 05946KAJ0<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |     3400000 | PA      | $3040205.37   | 0.12%             | 2025-09-18      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| National Grid North America Inc                   | National Grid North America Inc                                                  | CUSIP: 63627BNP7<br>LEI: 5Q3U0WRKWZZGRMPYFT08 | Long             | STIV             | CORP              | US        |     7500000 | PA      | $7476660.00   | 0.30%             | 2023-01-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410KNH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      537149 | PA      | $557525.64    | 0.02%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128LAP87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       55593 | PA      | $57231.51     | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407BY29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      128024 | PA      | $128416.85    | 0.01%             | 2035-07-01      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31391KGG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4383 | PA      | $4399.92      | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | CDX HY35 5Y ICE                                                                  | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     2475000 | OU      | $-68256.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CGN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6669 | PA      | $6554.10      | 0.00%             | 2028-06-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140MFY56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      990988 | PA      | $871193.50    | 0.04%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M8A87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      112584 | PA      | $116975.01    | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138ENT82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3583 | PA      | $3662.31      | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ashford Hospitality Trust                         | Ashford Hospitality Trust 2018-KEYS                                              | CUSIP: 04410CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7400000 | PA      | $7134733.68   | 0.29%             | 2035-06-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138MDJ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      238198 | PA      | $234753.93    | 0.01%             | 2042-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                          | Sabine Pass Liquefaction LLC                                                     | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     6800000 | PA      | $6319182.13   | 0.26%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CUH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        9022 | PA      | $8849.95      | 0.00%             | 2032-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U0BIA7 PIMCO SWAPTION 2.91 PUT USD 20231110                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -9300000 | NC      | $-122314.53   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2005-AR18 Trust                   | CUSIP: 92922F8M3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      340680 | PA      | $320223.78    | 0.01%             | 2036-01-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| VW Credit Inc                                     | VW Credit Inc                                                                    | CUSIP: 91842KNT9<br>LEI: 549300UUPJ2NXDB68M19 | Long             | STIV             | CORP              | US        |     5100000 | PA      | $5081384.44   | 0.21%             | 2023-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $2415.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Banco Espirito Santo SA                           | Banco Espirito Santo SA                                                          | CUSIP: 000000000<br>LEI: 635400JV7IJL16OWIT96 | Long             | DBT              | CORP              | PT        |     5600000 | PA      | $869204.99    | 0.04%             | 2022-01-15      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2015-P2                                    | CUSIP: 95000AAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4837000 | PA      | $4603625.39   | 0.19%             | 2048-12-15      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Manhattan West                                    | Manhattan West 2020-1MW Mortgage Trust                                           | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8600000 | PA      | $7356291.22   | 0.30%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | COLOMBIA LA SP MYC                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |     1600000 | OU      | $-95786.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STORE Capital Corp                                | STORE Capital Corp                                                               | CUSIP: 862121AA8<br>LEI: 5493004EA6C9IHDZ7N66 | Long             | DBT              |  | US        |     7600000 | PA      | $6867985.02   | 0.28%             | 2028-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust       | Bear Stearns ARM Trust 2003-5                                                    | CUSIP: 07384MWN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      463095 | PA      | $430670.89    | 0.02%             | 2033-08-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KGU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1661 | PA      | $1640.74      | 0.00%             | 2023-10-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36292LE83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      116283 | PA      | $118730.54    | 0.00%             | 2036-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38376RNM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     3996389 | PA      | $3929999.73   | 0.16%             | 2066-01-20      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36225BSS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       17994 | PA      | $19046.86     | 0.00%             | 2032-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) MAR23                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -1057 | NC      | $-232477.55   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| SPRINT LLC                                        | Sprint LLC                                                                       | CUSIP: 85207UAF2<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1219423.20   | 0.05%             | 2023-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212EGP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1557 | PA      | $1575.82      | 0.00%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                 | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4900000 | PA      | $5050732.43   | 0.21%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6SU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      458252 | PA      | $476124.40    | 0.02%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 3617JHDN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      784291 | PA      | $807647.66    | 0.03%             | 2049-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TPG Real Estate Finance                           | TRTX 2019-FL3 Issuer Ltd                                                         | CUSIP: 87276VAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1345172 | PA      | $1328273.40   | 0.05%             | 2034-10-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| SYNGENTA FINANCE NV                               | Syngenta Finance NV                                                              | CUSIP: 87164KAH7<br>LEI: 54930042S3BYCEGOCN86 | Long             | DBT              | CORP              | NL        |     4400000 | PA      | $4380843.24   | 0.18%             | 2023-04-24      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417YGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       22928 | PA      | $23068.48     | 0.00%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2021-1                                | CUSIP: 35563PWX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2991996 | PA      | $2173783.92   | 0.09%             | 2060-09-25      | Variable      | 11.76%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410LB27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          25 | PA      | $25.00        | 0.00%             | 2024-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co LLC                          | Ford Motor Credit Co LLC                                                         | CUSIP: 34540UAC3<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      500000 | PA      | $525858.31    | 0.02%             | 2024-03-06      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417YHL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8000 | PA      | $7992.34      | 0.00%             | 2024-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2016-GS3                                            | CUSIP: 36251PBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7000000 | PA      | $5852374.50   | 0.24%             | 2049-10-10      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                               | Elevance Health Inc                                                              | CUSIP: 036752AJ2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     3400000 | PA      | $3230112.98   | 0.13%             | 2025-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212UBT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       11117 | PA      | $11139.37     | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418WGP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         886 | PA      | $884.23       | 0.00%             | 2025-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132CWJA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      685478 | PA      | $669645.12    | 0.03%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Mercedes-Benz Finance North America LLC           | Mercedes-Benz Finance North America LLC                                          | CUSIP: 58768KNW1<br>LEI: 549300423Z16BB673J12 | Long             | STIV             | CORP              | US        |     5100000 | PA      | $5079315.27   | 0.21%             | 2023-01-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DUKE UNIVERSITY                                   | Duke University                                                                  | CUSIP: 26442TAF4<br>LEI: FY5ICUIRRDCHN4HHL592 | Long             | DBT              | CORP              | US        |     9600000 | PA      | $6979765.54   | 0.28%             | 2044-10-01      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31380AMP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1515 | PA      | $1554.19      | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31400RV81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13005 | PA      | $13384.55     | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405VH75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20501 | PA      | $20856.73     | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KM44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1127 | PA      | $1111.27      | 0.00%             | 2024-08-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212MH69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4418 | PA      | $4416.40      | 0.00%             | 2030-10-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KPP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2314 | PA      | $2269.02      | 0.00%             | 2024-10-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| OMEGA HLTHCARE INVESTORS                          | Omega Healthcare Investors Inc                                                   | CUSIP: 681936BJ8<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              |  | US        |      453000 | PA      | $450529.22    | 0.02%             | 2023-08-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                   | CUSIP: 09659W2U7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     7800000 | PA      | $6178025.72   | 0.25%             | 2033-01-20      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KGK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1466 | PA      | $1452.01      | 0.00%             | 2023-10-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410FYT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       48141 | PA      | $50311.18     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36210TVM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12403 | PA      | $12398.92     | 0.00%             | 2029-10-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED PEN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | PE        |           1 | NC      | $3101.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31385PH56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         555 | PA      | $569.54       | 0.00%             | 2028-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RMAC Securities PLC                               | RMAC Securities No 1 PLC                                                         | CUSIP: 000000000<br>LEI: 213800C48M2JTBGZT736 | Long             | ABS-MBS          | CORP              | GB        |     3757130 | PA      | $4147631.09   | 0.17%             | 2044-06-12      | Floating      | 3.98%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402DLJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1734 | PA      | $1701.22      | 0.00%             | 2034-06-01      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2022-INV1                                    | CUSIP: 64831DAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6593500 | PA      | $5526540.90   | 0.22%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36225BQ92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       13025 | PA      | $13805.20     | 0.00%             | 2031-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust Series 2008-R1                                          | CUSIP: 46632GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3197893 | PA      | $2724510.99   | 0.11%             | 2037-12-26      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Products Inc.             | Bear Stearns Structured Products Inc Trust 2007-R6                               | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      422925 | PA      | $292396.66    | 0.01%             | 2046-12-26      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| UniCredit SpA                                     | UniCredit SpA                                                                    | CUSIP: 904678AG4<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    11800000 | PA      | $11924888.60  | 0.49%             | 2023-12-04      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                 | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       20000 | PA      | $18505.47     | 0.00%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Ripon Mortgages PLC                               | Ripon Mortgages PLC                                                              | CUSIP: 000000000<br>LEI: 213800MQYZ3GZ4HK1I88 | Long             | ABS-MBS          | CORP              | GB        |     8697569 | PA      | $10354753.52  | 0.42%             | 2056-08-28      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Enbridge US Inc                                   | Enbridge US Inc                                                                  | CUSIP: 29251VN93<br>LEI: 5493003FRODSVHJWFS32 | Long             | STIV             | CORP              | US        |     4800000 | PA      | $4793655.98   | 0.19%             | 2023-01-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BOBL FUTURE MAR23                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         147 | NC      | $-670921.80   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Quanta Services Inc                               | Quanta Services Inc                                                              | CUSIP: 74767HNK2<br>LEI: SHVRXXEACT60MMH07S24 | Long             | STIV             | CORP              | US        |     2000000 | PA      | $1994501.12   | 0.08%             | 2023-01-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416H4G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          90 | PA      | $89.94        | 0.00%             | 2023-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 2003-4                                                    | CUSIP: 81743PBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      254510 | PA      | $231889.58    | 0.01%             | 2033-07-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U0FJA7 PIMCO SWAPTION 3.65 PUT USD 20231120                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -9600000 | NC      | $-74384.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                 | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    13500000 | PA      | $12395214.81  | 0.50%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31419CAU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       24669 | PA      | $24325.41     | 0.00%             | 2025-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                             | Level 3 Financing Inc                                                            | CUSIP: 527298BP7<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1693470.88   | 0.07%             | 2027-03-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| 10 RENEW POWER SUBSIDIAR                          | ReNew Wind Energy AP2 / ReNew Power Pvt Ltd other 9 Subsidiaries                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | IN        |     5900000 | PA      | $4966848.68   | 0.20%             | 2028-07-14      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132A74F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        3902 | PA      | $3813.33      | 0.00%             | 2027-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                            | NXP BV / NXP Funding LLC / NXP USA Inc                                           | CUSIP: 62954HAZ1<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     4000000 | PA      | $3804925.92   | 0.15%             | 2026-06-18      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31409EHA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       20584 | PA      | $21125.58     | 0.00%             | 2036-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED GBP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | GB        |           1 | NC      | $-13636.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404JS55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2053 | PA      | $2002.79      | 0.00%             | 2034-03-01      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KLY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       14043 | PA      | $13987.83     | 0.00%             | 2024-06-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                     | CUSIP: 251526CB3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    13500000 | PA      | $12909757.86  | 0.53%             | 2025-11-26      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410KCW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6202 | PA      | $6481.77      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211YSM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         283 | PA      | $288.33       | 0.00%             | 2030-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416WML3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         114 | PA      | $114.03       | 0.00%             | 2023-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36295NNJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1035 | PA      | $1080.47      | 0.00%             | 2038-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211UYC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2029 | PA      | $2027.99      | 0.00%             | 2029-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                      | CUSIP: 68389XCH6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     2700000 | PA      | $2808898.05   | 0.11%             | 2029-11-09      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                           | Nissan Motor Acceptance Co LLC                                                   | CUSIP: 654740BL2<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |     3400000 | PA      | $3338068.63   | 0.14%             | 2023-09-21      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-93703.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-149289.00   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                            | Aviation Capital Group LLC                                                       | CUSIP: 05369AAD3<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     6620000 | PA      | $6182839.83   | 0.25%             | 2025-08-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KLC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5495 | PA      | $5488.40      | 0.00%             | 2024-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                              | Fannie Mae REMIC Trust 2003-W4                                                   | CUSIP: 31393AP68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      347037 | PA      | $349408.39    | 0.01%             | 2042-10-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KP33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1938 | PA      | $1907.26      | 0.00%             | 2024-11-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                 | CUSIP: 912810QD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    20700000 | PA      | $21601177.81  | 0.88%             | 2039-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                              | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-7243.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371MA80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7386 | PA      | $7359.30      | 0.00%             | 2025-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138EQPY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      139032 | PA      | $138323.24    | 0.01%             | 2024-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WB2L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       83089 | PA      | $79981.63     | 0.00%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities          | Freddie Mac Structured Pass-Through Certificates                                 | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      516298 | PA      | $514454.85    | 0.02%             | 2044-10-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KNL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         300 | PA      | $295.54       | 0.00%             | 2024-09-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         810 | PA      | $789.50       | 0.00%             | 2027-09-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                              | PURCHASED JPY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | JP        |           1 | NC      | $5480.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DIGITAL REALTY TRUST LP                           | Digital Realty Trust LP                                                          | CUSIP: 25389JAU0<br>LEI: CD4SPTZ3YBTHY0C1AH38 | Long             | DBT              |  | US        |     4500000 | PA      | $4028814.99   | 0.16%             | 2029-07-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132A9U62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       10561 | PA      | $10166.26     | 0.00%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co                                   | DTE Electric Co                                                                  | CUSIP: 23338VAH9<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |      100000 | PA      | $83616.55     | 0.00%             | 2048-05-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates             | CWABS Asset-Backed Certificates Trust 2007-7                                     | CUSIP: 12669VAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      297887 | PA      | $292847.31    | 0.01%             | 2047-10-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36209YPK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         348 | PA      | $347.67       | 0.00%             | 2031-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities     | First Horizon Alternative Mortgage Securities Trust 2004-AA1                     | CUSIP: 32051D3G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1279929 | PA      | $1191945.44   | 0.05%             | 2034-06-25      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                    | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     4200000 | PA      | $3792429.94   | 0.15%             | 2028-02-24      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2005-3                                             | CUSIP: 17307GTK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       71077 | PA      | $57177.19     | 0.00%             | 2035-08-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31389FJ45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19979 | PA      | $19916.92     | 0.00%             | 2031-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31403GWC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10033 | PA      | $10200.90     | 0.00%             | 2033-09-01      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128L15L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       93165 | PA      | $96494.50     | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410XYJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2078 | PA      | $2114.62      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410PUC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4150 | PA      | $4286.60      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31408AFG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6943 | PA      | $7146.45      | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16-3 AA PTT                          | American Airlines 2016-3 Class AA Pass Through Trust                             | CUSIP: 023771R91<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     3321899 | PA      | $2885562.40   | 0.12%             | 2028-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KS48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         527 | PA      | $522.45       | 0.00%             | 2025-06-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36207K6S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15259 | PA      | $15438.52     | 0.00%             | 2030-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                            | Credit Suisse Group AG                                                           | CUSIP: 225401AH1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     6200000 | PA      | $5872730.02   | 0.24%             | 2024-06-12      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M75R3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       37395 | PA      | $38853.46     | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                            | Mitsubishi UFJ Financial Group Inc                                               | CUSIP: 606822CK8<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     6500000 | PA      | $6225557.59   | 0.25%             | 2033-07-20      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                              | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-5968.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CS72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       42324 | PA      | $41078.30     | 0.00%             | 2031-09-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417JPK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28686 | PA      | $28557.00     | 0.00%             | 2024-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31413MHU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         745 | PA      | $742.13       | 0.00%             | 2023-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212SLE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       10775 | PA      | $11087.43     | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38376RBB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      940376 | PA      | $925824.44    | 0.04%             | 2065-05-20      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust             | MASTR Adjustable Rate Mortgages Trust 2004-13                                    | CUSIP: 576433WE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7615 | PA      | $7284.61      | 0.00%             | 2034-04-21      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KLA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7094 | PA      | $7086.85      | 0.00%             | 2024-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128NHK36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       72647 | PA      | $72796.05     | 0.00%             | 2035-09-01      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KQE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8955 | PA      | $8756.91      | 0.00%             | 2024-11-20      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DWEG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8440162 | PA      | $7416624.07   | 0.30%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6NE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        2227 | PA      | $2313.45      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36241KT57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       23216 | PA      | $23784.80     | 0.00%             | 2038-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                      | CUSIP: 694308HM2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     2400000 | PA      | $2266570.82   | 0.09%             | 2025-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36209RNK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1566 | PA      | $1580.80      | 0.00%             | 2030-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DWD67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     8826246 | PA      | $7755125.82   | 0.32%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Republic of Peru                                  | Peruvian Government International Bond                                           | CUSIP: 715638BX9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     7400000 | PA      | $1787271.58   | 0.07%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402EMX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1928 | PA      | $1880.43      | 0.00%             | 2033-02-01      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410UK68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       17312 | PA      | $17239.90     | 0.00%             | 2036-08-01      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                     | CUSIP: 06738ECD5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     4000000 | PA      | $4176349.00   | 0.17%             | 2028-11-02      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410KGP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1520 | PA      | $1583.81      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| McCormick & Co Inc/MD                             | McCormick & Co Inc/MD                                                            | CUSIP: 57978DNT2<br>LEI: 549300JQQA6MQ4OJP259 | Long             | STIV             | CORP              | US        |     5100000 | PA      | $5081384.44   | 0.21%             | 2023-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                 | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    35400000 | PA      | $29946187.50  | 1.22%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                               | LCM XXIV Ltd                                                                     | CUSIP: 50188YAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      729597 | PA      | $719747.56    | 0.03%             | 2030-03-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                   | CUSIP: 912828B25<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5746680 | PA      | $5625163.58   | 0.23%             | 2024-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding                       | Towd Point Mortgage Funding                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    19747392 | PA      | $23542842.63  | 0.96%             | 2045-07-20      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                           | Imperial Brands Finance PLC                                                      | CUSIP: 45262BAC7<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |     3300000 | PA      | $2829197.28   | 0.12%             | 2029-07-26      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                            | Federal Home Loan Banks                                                          | CUSIP: 3130ATJT5<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    14300000 | PA      | $14300004.58  | 0.58%             | 2023-01-06      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                             | 317541068 OTC EPUT FN 5.5 FEB23 100 PUT                                          | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |    -2300000 | NC      | $-16080.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK                            | Federal Home Loan Banks                                                          | CUSIP: 3130ATJX6<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    14300000 | PA      | $14300076.08  | 0.58%             | 2023-01-10      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418EHG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    53814491 | PA      | $47293590.74  | 1.92%             | 2052-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Walgreens Boots Alliance Inc                      | Walgreens Boots Alliance Inc                                                     | CUSIP: 93142XNB3<br>LEI: 549300RPTUOIXG4LIH86 | Long             | STIV             | CORP              | US        |     5100000 | PA      | $5092093.32   | 0.21%             | 2023-01-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-9 Trust   | CUSIP: 93934FFH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2014192 | PA      | $107679.29    | 0.00%             | 2035-11-25      | Floating      | 0.56%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust            | Residential Asset Securitization Trust 2005-A12                                  | CUSIP: 45660LL23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1788545 | PA      | $100622.62    | 0.00%             | 2035-11-25      | Floating      | 0.56%                 | No            |                  2 | On Loan: No      |
| AMER AIRLN 13-1 A PASS T                          | American Airlines 2013-1 Class A Pass Through Trust                              | CUSIP: 023772AB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2134411 | PA      | $1854079.82   | 0.08%             | 2025-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                           | Carmax Auto Owner Trust 2022-3                                                   | CUSIP: 14318MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5000000 | PA      | $4956543.00   | 0.20%             | 2025-09-15      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CJL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1129 | PA      | $1092.76      | 0.00%             | 2029-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138A8WX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       64490 | PA      | $63000.89     | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                         | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21                      | CUSIP: 61764XBG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2604469 | PA      | $2530958.62   | 0.10%             | 2048-03-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 Trust  | CUSIP: 93934FGC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6792131 | PA      | $294461.97    | 0.01%             | 2035-11-25      | Floating      | 0.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31385BF34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1368 | PA      | $1365.47      | 0.00%             | 2030-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                        | CUSIP: 31295NT32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6369 | PA      | $6246.10      | 0.00%             | 2032-07-01      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405BFG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6517 | PA      | $6542.64      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                 | CUSIP: 912810QU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8000000 | PA      | $6900937.52   | 0.28%             | 2042-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FUNDING LLC                            | NXP BV / NXP Funding LLC                                                         | CUSIP: 62947QBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     5900000 | PA      | $5857559.59   | 0.24%             | 2024-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities    | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 22540VK43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       81619 | PA      | $74411.03     | 0.00%             | 2032-03-25      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| TPG Real Estate Finance                           | TRTX 2022-FL5 Issuer Ltd                                                         | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6600000 | PA      | $6435000.00   | 0.26%             | 2039-02-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust                          | DSLA Mortgage Loan Trust 2004-AR3                                                | CUSIP: 23332UBF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      281579 | PA      | $251954.53    | 0.01%             | 2044-07-19      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KKG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8426 | PA      | $8374.70      | 0.00%             | 2024-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5NM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        6097 | PA      | $6334.95      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                   | CFCRE Commercial Mortgage Trust 2016-C6                                          | CUSIP: 12532AAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4259982 | PA      | $4079563.41   | 0.17%             | 2049-11-10      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38382YA52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     5593690 | PA      | $5582906.23   | 0.23%             | 2072-10-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KAY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          19 | PA      | $18.89        | 0.00%             | 2023-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp                              | Targa Resources Corp                                                             | CUSIP: 87613LND7<br>LEI: 5493003QENHHS261UR94 | Long             | STIV             | CORP              | US        |     5000000 | PA      | $4991623.35   | 0.20%             | 2023-01-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                             | Bank of Ireland Group PLC                                                        | CUSIP: 06279JAC3<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |     6400000 | PA      | $6353012.99   | 0.26%             | 2026-09-16      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31414HQH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         324 | PA      | $322.90       | 0.00%             | 2023-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31415VZ32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          97 | PA      | $96.26        | 0.00%             | 2023-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                  | Deutsche Bank AG                                                                 | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     5000000 | PA      | $5620821.93   | 0.23%             | 2024-12-16      | Fixed         | 2.62%                 | Yes           |                  2 | On Loan: No      |
| KANSAS CITY SOUTHERN                              | Kansas City Southern/Old                                                         | CUSIP: 485170BA1<br>LEI: 5493008C12PZMWP3WY03 | Long             | DBT              | CORP              | US        |     9800000 | PA      | $9215711.16   | 0.37%             | 2026-06-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31401YS48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7422 | PA      | $7237.66      | 0.00%             | 2033-07-01      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2006-OC7                                                  | CUSIP: 23243VAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |           6 | PA      | $13046.17     | 0.00%             | 2046-07-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138AH5R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         447 | PA      | $440.58       | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                    | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     8100000 | PA      | $6569071.73   | 0.27%             | 2031-06-03      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CJK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       18894 | PA      | $18700.34     | 0.00%             | 2029-03-20      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CUK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       12346 | PA      | $12109.40     | 0.00%             | 2032-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Crown Castle Inc                                  | Crown Castle Inc                                                                 | CUSIP: 22823QN56<br>LEI: 54930012H97VSM0I2R19 | Long             | STIV             | CORP              | US        |     4800000 | PA      | $4796115.22   | 0.20%             | 2023-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RHT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      106774 | PA      | $102019.99    | 0.00%             | 2042-08-01      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31414L3U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          46 | PA      | $45.95        | 0.00%             | 2023-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418DGH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9138 | PA      | $8796.35      | 0.00%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citibank Credit Card Issuance Trust               | Citibank Credit Card Issuance Trust                                              | CUSIP: 17305EGP4<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-O            | CORP              | US        |     3300000 | PA      | $3299971.62   | 0.13%             | 2027-08-07      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418C5V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      209558 | PA      | $201717.19    | 0.01%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402QTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       29370 | PA      | $30405.72     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36201U2Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8191 | PA      | $8308.52      | 0.00%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36225BL97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         389 | PA      | $413.93       | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT OIL & FINANCE                           | Odebrecht Oil & Gas Finance Ltd                                                  | CUSIP: 67576JAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     1012000 | PA      | $2479.40      | 0.00%             | 2023-01-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                               | Nomura Holdings Inc                                                              | CUSIP: 65535HAS8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     6700000 | PA      | $5372508.57   | 0.22%             | 2030-07-16      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Enbridge US Inc                                   | Enbridge US Inc                                                                  | CUSIP: 29251VNL6<br>LEI: 5493003FRODSVHJWFS32 | Long             | STIV             | CORP              | US        |     4800000 | PA      | $4786548.82   | 0.19%             | 2023-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation               | Banc of America Funding 2007-R1 Trust                                            | CUSIP: 05953BAB7<br>LEI: 549300478KN17QUC9E29 | Long             | ABS-MBS          | CORP              | US        |     3423853 | PA      | $2407778.72   | 0.10%             | 2047-08-25      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 31292HM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       20110 | PA      | $20558.43     | 0.00%             | 2031-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6RH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       17756 | PA      | $18448.36     | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      900000 | PA      | $912788.26    | 0.04%             | 2053-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2004-12                                          | CUSIP: 12669FN58<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7503 | PA      | $7443.81      | 0.00%             | 2034-08-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36207LCZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         156 | PA      | $156.36       | 0.00%             | 2030-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corporation Trust        | HSI Asset Securitization Corp Trust 2006-OPT3                                    | CUSIP: 40430HFN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      462188 | PA      | $433779.07    | 0.02%             | 2036-02-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31415YER6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        7693 | PA      | $7723.88      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Rio Oil Finance Trust                             | Rio Oil Finance Trust Series 2014-1                                              | CUSIP: 76716XAA0<br>LEI: 549300V5D1W52HY8NO65 | Long             | DBT              | CORP              | US        |      205943 | PA      | $209045.12    | 0.01%             | 2024-07-06      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| CTP NV                                            | CTP NV                                                                           | CUSIP: 000000000<br>LEI: 3157000YTVO4TN65UM14 | Long             | DBT              | CORP              | NL        |     2100000 | PA      | $1832245.15   | 0.07%             | 2026-01-20      | Fixed         | 0.88%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31374GQW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6746 | PA      | $6686.49      | 0.00%             | 2036-05-01      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| SMBC AVIATION CAPITAL FI                          | SMBC Aviation Capital Finance DAC                                                | CUSIP: 78448TAD4<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |     1800000 | PA      | $1781391.24   | 0.07%             | 2023-07-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                 | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    87600000 | PA      | $80756250.00  | 3.28%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36201SJF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2666 | PA      | $2664.48      | 0.00%             | 2032-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-23954.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KUK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         660 | PA      | $645.97       | 0.00%             | 2025-08-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2005-ALT1                                               | CUSIP: 466247XE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1110702 | PA      | $806513.46    | 0.03%             | 2035-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                    | COLOMBIA LA SP GST                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |     2100000 | OU      | $-153014.17   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Banco Espirito Santo SA                           | Banco Espirito Santo SA                                                          | CUSIP: 000000000<br>LEI: 635400JV7IJL16OWIT96 | Long             | DBT              | CORP              | PT        |     1000000 | PA      | $155215.18    | 0.01%             | 2022-05-05      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                   | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    19588005 | PA      | $17957469.10  | 0.73%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| 1211 Avenue of the Americas Trust                 | 1211 Avenue of the Americas Trust 2015-1211                                      | CUSIP: 90117PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9600000 | PA      | $8926675.20   | 0.36%             | 2035-08-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KG90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5987 | PA      | $5928.04      | 0.00%             | 2023-11-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Federal Reserve Bank of Boston                    | COLOMBIA LA SP GST                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |     4600000 | OU      | $-275385.17   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31377H5E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         794 | PA      | $779.61       | 0.00%             | 2027-04-01      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F022626<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -25800000 | PA      | $-21875342.70 | -0.89%            | 2053-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-16                                          | CUSIP: 12544MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      764510 | PA      | $384791.30    | 0.02%             | 2037-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137FUKP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2475320 | PA      | $2406343.78   | 0.10%             | 2040-08-15      | Floating      | 3.11%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                   | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1657810 | PA      | $1387377.94   | 0.06%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CPA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       27864 | PA      | $27346.33     | 0.00%             | 2030-06-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211SVW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         961 | PA      | $963.60       | 0.00%             | 2030-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CQF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1421 | PA      | $1382.16      | 0.00%             | 2030-09-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31414FKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       19983 | PA      | $20498.08     | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSBC Securities USA, Inc.                         | HSBC REPO                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | Long             | RA               | CORP              | US        |    55000000 | PA      | $55000000.00  | 2.24%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410TZG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         369 | PA      | $374.68       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                               | DBGS 2019-1735 Mortgage Trust                                                    | CUSIP: 23307EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8700000 | PA      | $7444312.47   | 0.30%             | 2037-04-10      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418EGG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    28585260 | PA      | $25121501.98  | 1.02%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138EJPF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2556 | PA      | $2461.33      | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418MWY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       69804 | PA      | $69569.40     | 0.00%             | 2025-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY RES                            | CenterPoint Energy Resources Corp                                                | CUSIP: 15189WAN0<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |     4198000 | PA      | $4196023.58   | 0.17%             | 2023-03-02      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7AX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       32559 | PA      | $33828.97     | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                               | Intesa Sanpaolo SpA                                                              | CUSIP: 46115HBJ5<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     7300000 | PA      | $6928565.12   | 0.28%             | 2024-09-23      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    42200000 | PA      | $40625348.36  | 1.65%             | 2053-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138AA6S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       13503 | PA      | $13191.31     | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES INC                            | Lumen Technologies Inc                                                           | CUSIP: 156700BC9<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | DBT              | CORP              | US        |     2600000 | PA      | $2209174.53   | 0.09%             | 2027-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38375UFM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1800651 | PA      | $1791900.68   | 0.07%             | 2064-04-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                 | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5500000 | PA      | $4494316.42   | 0.18%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJ3B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      227801 | PA      | $217772.37    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Enbridge US Inc                                   | Enbridge US Inc                                                                  | CUSIP: 29251VN44<br>LEI: 5493003FRODSVHJWFS32 | Long             | STIV             | CORP              | US        |     6800000 | PA      | $6795522.40   | 0.28%             | 2023-01-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DOLP Trust                                        | DOLP Trust 2021-NYC                                                              | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7000000 | PA      | $5581715.30   | 0.23%             | 2041-05-10      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6NT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      785159 | PA      | $815836.45    | 0.03%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                              | Targa Resources Corp                                                             | CUSIP: 87612KAA0<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     6600000 | PA      | $6479536.60   | 0.26%             | 2027-07-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit AS                                                           | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |    24786088 | PA      | $2604778.80   | 0.11%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211YSB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        8630 | PA      | $8627.17      | 0.00%             | 2030-02-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QPXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      983259 | PA      | $864424.97    | 0.04%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418UC69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16833 | PA      | $16808.91     | 0.00%             | 2025-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | CDX ITRAXX MAIN38 5Y ICE                                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | XX        |    24300000 | OU      | $-111632.98   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416BSE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          28 | PA      | $27.55        | 0.00%             | 2023-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FORTUNE BRANDS INNOVATIO                          | Fortune Brands Innovations Inc                                                   | CUSIP: 34964CAE6<br>LEI: 54930032LHW54PQUJD44 | Long             | DBT              | CORP              | US        |     8200000 | PA      | $7114469.65   | 0.29%             | 2029-09-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUXL 30Y BND MAR23                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -28 | NC      | $766070.52    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| AIR CANADA 2015-2AA PTT                           | Air Canada 2015-2 Class AA Pass Through Trust                                    | CUSIP: 009088AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     1510435 | PA      | $1318892.77   | 0.05%             | 2027-12-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Stratus CLO                                       | Stratus CLO 2021-2 Ltd                                                           | CUSIP: 86315TAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6229536 | PA      | $6159165.39   | 0.25%             | 2029-12-28      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates             | CWABS Asset-Backed Certificates Trust 2006-23                                    | CUSIP: 23243HAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4716589 | PA      | $4179999.71   | 0.17%             | 2047-06-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2007-HE5                                  | CUSIP: 61753KAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2348238 | PA      | $1061354.44   | 0.04%             | 2037-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Republic of Peru                                  | Peruvian Government International Bond                                           | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     7500000 | PA      | $1878331.29   | 0.08%             | 2028-08-12      | Fixed         | 6.35%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust            | Structured Asset Investment Loan Trust 2006-1                                    | CUSIP: 86358EA97<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4630734 | PA      | $4153977.27   | 0.17%             | 2036-01-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2007-NC1                                  | CUSIP: 617505AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5564039 | PA      | $2779252.99   | 0.11%             | 2036-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Republic Services Inc                             | Republic Services Inc                                                            | CUSIP: 76076GNC3<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | STIV             | CORP              | US        |     5100000 | PA      | $5091544.91   | 0.21%             | 2023-01-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2005-AR8                          | CUSIP: 86359LRW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      366732 | PA      | $283771.98    | 0.01%             | 2036-02-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412PTK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         174 | PA      | $173.66       | 0.00%             | 2024-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust                             | Terwin Mortgage Trust 2006-3                                                     | CUSIP: 881561V92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      188890 | PA      | $180847.73    | 0.01%             | 2037-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212VCD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2262 | PA      | $2261.58      | 0.00%             | 2030-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36296B6Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       31156 | PA      | $31495.92     | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417YJN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3919 | PA      | $3943.18      | 0.00%             | 2029-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418DDA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      115912 | PA      | $111573.55    | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31414NDH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4907 | PA      | $4887.26      | 0.00%             | 2023-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Products Inc.             | Bear Stearns Structured Products Inc Trust 2007-R6                               | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      471994 | PA      | $281362.43    | 0.01%             | 2036-01-26      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31370Q6L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       82640 | PA      | $79669.07     | 0.00%             | 2033-03-01      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418A2M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14143 | PA      | $13939.58     | 0.00%             | 2028-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404KQF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       42443 | PA      | $41829.28     | 0.00%             | 2034-04-01      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                     | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      900000 | PA      | $954452.37    | 0.04%             | 2025-04-02      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                   | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4729692 | PA      | $4146301.23   | 0.17%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31374CPF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3869 | PA      | $3892.16      | 0.00%             | 2028-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NATIONAL RETAIL PROP INC                          | National Retail Properties Inc                                                   | CUSIP: 637417AK2<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              |  | US        |     5600000 | PA      | $5088120.46   | 0.21%             | 2027-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2018-1 Trust                                                                 | CUSIP: 67112FAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4117518 | PA      | $3891089.83   | 0.16%             | 2057-06-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                  | Societe Generale SA                                                              | CUSIP: 83368RAL6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     7700000 | PA      | $7634292.97   | 0.31%             | 2023-09-14      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418MWK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       43017 | PA      | $44550.43     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                       | OIS JPY MUTKCALM/0.00000 03/17/21-3Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 21440000000 | OU      | $-263981.23   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       52607 | PA      | $50117.69     | 0.00%             | 2044-10-01      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                 | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7700000 | PA      | $8171173.86   | 0.33%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust    | Securitized Asset Backed Receivables LLC Trust 2005-FR5                          | CUSIP: 81375WFU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3644167 | PA      | $2768588.86   | 0.11%             | 2035-08-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Saranac CLO LTD                                   | Saranac Clo VI Ltd                                                               | CUSIP: 80317LAJ2<br>LEI: 5493002U06KAOJIMH261 | Long             | ABS-CBDO         | CORP              | JE        |     6800000 | PA      | $6589443.17   | 0.27%             | 2031-08-13      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31411YXB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4884 | PA      | $4962.65      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36241K4U9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      322367 | PA      | $330273.08    | 0.01%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KB79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         629 | PA      | $626.78       | 0.00%             | 2023-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140X4YR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2005840 | PA      | $1916648.42   | 0.08%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418DHF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5893 | PA      | $5672.57      | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                          | 317U1QDA8 PIMCO SWAPTION 3.75 PUT USD 20230911                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   142500000 | NC      | $1157698.50   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | ROLLS-ROYCE PLC SNR SE ICE                                                       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | XX        |     7700000 | OU      | $909215.78    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |           1 | NC      | $-186935.57   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                 | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    25850000 | PA      | $16819665.95  | 0.68%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates             | CWABS Asset-Backed Certificates Trust 2006-18                                    | CUSIP: 23243WAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2206749 | PA      | $2115428.19   | 0.09%             | 2037-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KHR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5520 | PA      | $5461.24      | 0.00%             | 2023-12-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416YDH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       11677 | PA      | $11407.15     | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Constellation Brands Inc                          | Constellation Brands Inc                                                         | CUSIP: 21036PAQ1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     4400000 | PA      | $4191122.41   | 0.17%             | 2026-12-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2006-AR1                          | CUSIP: 86359LTG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      605452 | PA      | $499461.11    | 0.02%             | 2036-02-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Osaka Exchange                                    | JPN 10Y BOND(OSE) MAR23                                                          | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |         -96 | NC      | $1952568.73   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36181CEE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        5754 | PA      | $5592.50      | 0.00%             | 2044-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317U0FKA5 PIMCO SWAPTION 2.15 CALL USD 2023112                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -9600000 | NC      | $-6032.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |           1 | NC      | $-198.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KRE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         535 | PA      | $529.46       | 0.00%             | 2025-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31411CYP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         262 | PA      | $266.73       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                    | BCAP LLC 2011-RR5-I Trust                                                        | CUSIP: 05534AAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      144458 | PA      | $140454.34    | 0.01%             | 2037-03-26      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| Washington Mutual MSC Mortgage Pass-Through CTFS  | Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-AR1 Trust   | CUSIP: 939336PL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1818 | PA      | $1710.72      | 0.00%             | 2033-02-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31396V4Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       51397 | PA      | $50391.20     | 0.00%             | 2037-07-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140JVPM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1379227 | PA      | $1222058.25   | 0.05%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                 | CUSIP: 95000U3C5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     6600000 | PA      | $6474300.10   | 0.26%             | 2026-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2006-AR5                          | CUSIP: 86360JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      386082 | PA      | $291944.54    | 0.01%             | 2036-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust            | Merrill Lynch Mortgage Investors Trust Series 2005-WMC1                          | CUSIP: 59020UQV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      906803 | PA      | $847283.42    | 0.03%             | 2035-09-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133B9Z56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     4897649 | PA      | $4303286.24   | 0.18%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KPM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         213 | PA      | $209.68       | 0.00%             | 2024-10-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138ETUF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        3213 | PA      | $3200.16      | 0.00%             | 2025-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                        | Zoetis Inc                                                                       | CUSIP: 98978VAS2<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |     7000000 | PA      | $5696528.25   | 0.23%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MKS CLO Ltd                                       | MKS CLO 2017-1 Ltd                                                               | CUSIP: 55317AAA7<br>LEI: 5493003VGNSG059H2J98 | Long             | ABS-CBDO         | CORP              | KY        |     4984329 | PA      | $4897101.21   | 0.20%             | 2030-07-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Hydro-Quebec                                      | Hydro-Quebec                                                                     | CUSIP: 448814DB6<br>LEI: 6THEVG93PYJH84S4D167 | Long             | DBT              | NUSS              | CA        |     1000000 | PA      | $1211192.88   | 0.05%             | 2029-06-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2018-RPL1                                    | CUSIP: 64829VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3976315 | PA      | $3765456.72   | 0.15%             | 2057-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371MNB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54383 | PA      | $54184.05     | 0.00%             | 2025-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IXIS Real Estate Capital Trust                    | IXIS Real Estate Capital Trust 2006-HE3                                          | CUSIP: 46602UAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10269626 | PA      | $4062786.21   | 0.17%             | 2037-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                   | Venture XXVIII CLO Ltd                                                           | CUSIP: 92331AAW4<br>LEI: 54930010DKR017G3JK24 | Long             | ABS-CBDO         | CORP              | KY        |     6600000 | PA      | $6462269.02   | 0.26%             | 2030-07-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M74G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       98202 | PA      | $102032.40    | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2007-2                                                     | CUSIP: 52521DAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5035416 | PA      | $3483601.82   | 0.14%             | 2037-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-14475.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QNGC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    18507687 | PA      | $16312066.61  | 0.66%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KHC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         702 | PA      | $693.78       | 0.00%             | 2023-11-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31415XER8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4172 | PA      | $4276.09      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                           | BDS 2022-FL12 LLC                                                                | CUSIP: 07336CAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     6500000 | PA      | $6423072.50   | 0.26%             | 2038-08-19      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| IndyMac Residential Asset Backed Trust            | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2007-A                 | CUSIP: 43710BAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3689061 | PA      | $3125773.64   | 0.13%             | 2037-04-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD DKK                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |           1 | NC      | $-94210.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                          | Volkswagen Group of America Finance LLC                                          | CUSIP: 928668AT9<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $984696.42    | 0.04%             | 2025-11-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-2 AA PTT                          | United Airlines 2019-2 Class AA Pass Through Trust                               | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4317364 | PA      | $3495559.91   | 0.14%             | 2032-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202DFZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1500 | PA      | $1585.89      | 0.00%             | 2030-02-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| TESCO PROPERTY FIN 4 PLC                          | Tesco Property Finance 4 PLC                                                     | CUSIP: 000000000<br>LEI: 213800UCE6O94DGHWT77 | Long             | DBT              | CORP              | GB        |      186889 | PA      | $213075.46    | 0.01%             | 2040-10-13      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Inflation Indexed Bonds                                   | CUSIP: 9128286N5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      708876 | PA      | $689421.51    | 0.03%             | 2024-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                     | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-284195.86   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC                     | UWM Mortgage Trust 2021-INV3                                                     | CUSIP: 90355RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6394527 | PA      | $5163694.23   | 0.21%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2007-2                                            | CUSIP: 41164LAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      668895 | PA      | $526894.17    | 0.02%             | 2038-05-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                        | FIXED INC CLEARING CORP.REPO                                                     | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |    10387630 | PA      | $10387630.39  | 0.42%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                      | CUSIP: 694308KF3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     6800000 | PA      | $6716448.88   | 0.27%             | 2027-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211J5K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4350 | PA      | $4349.76      | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212MJU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3638 | PA      | $3674.13      | 0.00%             | 2030-11-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KJU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1962 | PA      | $1951.96      | 0.00%             | 2024-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202KRM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         164 | PA      | $160.30       | 0.00%             | 2025-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407JDQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1334 | PA      | $1389.89      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                 | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    26300000 | PA      | $23215914.19  | 0.94%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Rio Oil Finance Trust                             | Rio Oil Finance Trust Series 2014-1                                              | CUSIP: 000000000<br>LEI: 549300V5D1W52HY8NO65 | Long             | DBT              | CORP              | US        |      437628 | PA      | $444220.87    | 0.02%             | 2024-07-06      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |
| Pennsylvania Electric Co                          | Pennsylvania Electric Co                                                         | CUSIP: 708696BZ1<br>LEI: O1PLQWO3TX952VMBJ146 | Long             | DBT              | CORP              | US        |     4300000 | PA      | $3868938.29   | 0.16%             | 2029-06-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUND FUTURE MAR23                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -580 | NC      | $5229871.11   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371MSW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      167733 | PA      | $175155.90    | 0.01%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cordatus CLO PLC                                  | CVC Cordatus Loan Fund XI DAC                                                    | CUSIP: 000000000<br>LEI: 6354003WWBLW5OLHF232 | Long             | ABS-CBDO         | CORP              | IE        |     6100000 | PA      | $6341245.89   | 0.26%             | 2031-10-15      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 21-1A EETC                           | American Airlines 2021-1 Class A Pass Through Trust                              | CUSIP: 02379KAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     4755000 | PA      | $3840662.48   | 0.16%             | 2034-07-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36225BJG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2072 | PA      | $2166.01      | 0.00%             | 2030-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405EFS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        4108 | PA      | $4122.44      | 0.00%             | 2034-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212HD56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7197 | PA      | $7194.27      | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | United States Treasury Note/Bond                                                 | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    22100000 | PA      | $13157701.09  | 0.54%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                      | Atrium Hotel Portfolio Trust 2018-ATRM                                           | CUSIP: 04965KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6500000 | PA      | $6280501.50   | 0.26%             | 2035-06-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| MID-AMERICA APARTMENTS                            | Mid-America Apartments LP                                                        | CUSIP: 59523UAP2<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              |  | US        |     3000000 | PA      | $2850558.69   | 0.12%             | 2028-06-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31400HFH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        2223 | PA      | $2174.75      | 0.00%             | 2033-03-01      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit AS                                                           | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |    18012554 | PA      | $1999687.82   | 0.08%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| CUBESMART LP                                      | CubeSmart LP                                                                     | CUSIP: 22966RAJ5<br>LEI: 549300MPHKO3I3FJRA97 | Long             | DBT              |  | US        |     3200000 | PA      | $2454380.74   | 0.10%             | 2032-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WAXY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      113050 | PA      | $114142.44    | 0.00%             | 2044-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-23

**Name of Applicant:** PACIFIC SELECT FUND

**Signature:** Trevor Smith

**Name of Signer:** Trevor Smith

**Title:** Assistant Vice President