# EDGAR Filing Document

**Accession Number:** 0001028621
**File Stem:** 0001410368-25-022019
**Filing Date:** 2025-11
**Character Count:** 713147
**Document Hash:** 38376d11caa76341b2039e8739651b0f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-022019.hdr.sgml**: 20251113

**ACCESSION NUMBER**: 0001410368-25-022019

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251113

**DATE AS OF CHANGE**: 20251113

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** TCW Metropolitan West Funds
- **CENTRAL INDEX KEY:** 0001028621

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07989
- **FILM NUMBER:** 251475889

**BUSINESS ADDRESS:**
- **STREET 1:** 515 SOUTH FLOWER ST
- **CITY:** LOS ANGELES
- **STATE:** CA
- **ZIP:** 90071
- **BUSINESS PHONE:** 213-244-0000

**MAIL ADDRESS:**
- **STREET 1:** 515 SOUTH FLOWER ST
- **CITY:** LOS ANGELES
- **STATE:** CA
- **ZIP:** 90071

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** METROPOLITAN WEST FUNDS
- **DATE OF NAME CHANGE:** 19961209

## Series and Classes Contracts Data

### TCW METWEST TOTAL RETURN BOND FUND (Series ID: S000001147)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000003065 | CLASS I              | MWTIX           |
| C000003066 | CLASS M              | MWTRX           |
| C000058170 | Administrative Class | MWTNX           |
| C000102908 | Plan Class           | MWTSX           |
| C000218401 | Class I-2            | MWTTX           |
| C000263829 | Class I-3            |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** TCW Metropolitan West Funds

- **b. Investment Company Act file number:** 811-07989

- **c. CIK number of Registrant:** 0001028621

- **d. LEI of Registrant:** 549300KGDNJW6FXNDC82

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

  - **Street Address 1:** METROPOLITAN WEST ASSET MANAGEMENT

  - **City:** LOS ANGELES

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 90017

  - **Telephone number:** 800-241-4671

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

- **a. Name of Series:** TCW METWEST TOTAL RETURN BOND FUND

- **b. EDGAR series identifier (if any):** S000001147

- **c. LEI of Series:** 549300APUP7QV16M4J34

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

- **a. Date of fiscal year-end:** 2026-03-31

- **b. Date as of which information is reported:** 2025-09-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $36065102341.06

**Total Liabilities:** $3771320750.04

**Net Assets:** $32293781591.02

**Amount of Assets Invested in Other Investment Companies:** $181224780.33

**Delayed Delivery Securities:** $87290656.26

**Cash Not Reported:** $131000353.45

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -25997.30000000 | **1-Year:** -449305.73000000 | **5-Year:** -1255927.63000000 | **10-Year:** -1324312.44000000 | **30-Year:** -377758.69000000

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

- **3-Month:** -14012.32000000 | **1-Year:** -291264.53000000 | **5-Year:** -631731.60000000 | **10-Year:** -318777.64000000 | **30-Year:** -31757.46000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000218401 | -0.38%               | 1.34%                | 1.15%                |
| Class ID C000263829 |  | 0.34%                | 1.07%                |
| Class ID C000102908 | -0.30%               | 1.31%                | 1.10%                |
| Class ID C000003066 | -0.39%               | 1.33%                | 1.14%                |
| Class ID C000058170 | -0.40%               | 1.31%                | 1.13%                |
| Class ID C000003065 | -0.38%               | 1.34%                | 1.15%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-15047751.93            | $-178878297.87                             |
| Month 2  | $82849249.31             | $207102648.45                              |
| Month 3  | $100187447.11            | $139903232.61                              |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Aggregate Bond Index

- **Index Identifier:** LBUSSTAT

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Progress Residential Trust                                              | Progress Residential 2021-SFR3                                                  | CUSIP: 74333VAQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3190000 | PA      | $3171483.96    | 0.01%             | 2026-05-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Sabre GLBL Inc                                                          | Sabre GLBL Inc 2022 Term Loan B                                                 | CUSIP: 78571YBH2<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | LON              | CORP              | US        |      40317 | PA      | $37780.72      | 0.00%             | 2028-06-30      | Floating      | 8.51%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP                                                               | Sunoco LP                                                                       | CUSIP: 86765KAE9<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |   22470000 | PA      | $22892211.30   | 0.07%             | 2030-09-18      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| NCFA LLC LOAN PARTICIPATION 1                                           | NCFA LLC LOAN PARTICIPATION 1                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13864591 | PA      | $13864591.32   | 0.04%             | 2028-06-12      | Fixed         | 2.75%                 | No            |                  3 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 5901886X1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   50000000 | PA      | $50117500.00   | 0.16%             | 2026-12-01      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                  | BDL2CYFH3 FWDP 5Y RTP SWAPTION                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |  655513000 | NC      | $468101.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                                                | Volkswagen Group of America Finance LLC                                         | CUSIP: 928668CR1<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $4957344.00    | 0.02%             | 2032-03-25      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                               | Structured Asset Mortgage Investments II Trust 2007-AR6                         | CUSIP: 86364RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   69308918 | PA      | $59184479.25   | 0.18%             | 2047-08-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133N3VW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3196179 | PA      | $2822027.42    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJXK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10951494 | PA      | $10259584.78   | 0.03%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust                       | Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR6                   | CUSIP: 25150RAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     274382 | PA      | $239087.51     | 0.00%             | 2037-02-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Trust                                       | GreenPoint Mortgage Funding Trust 2006-OH1                                      | CUSIP: 39539GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7659258 | PA      | $7075516.01    | 0.02%             | 2037-01-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-18359.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-21000.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COTIVITI CORPORATION                                                    | Cotiviti Corporation 2025 2nd Amendment Term Loan                               | CUSIP: 22164MAF4<br>LEI: 254900YAQHVRTG4IFI64 | Long             | LON              | CORP              | US        |    2446812 | PA      | $2407050.82    | 0.01%             | 2032-03-26      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| GC Ferry Acquisition I Inc                                              | GC Ferry Acquisition I Inc Delayed Draw Term Loan                               | CUSIP: 32009UAE7<br>LEI: 549300ZKYR56QRODD510 | Long             | LON              | CORP              | US        |     350997 | PA      | $348051.85     | 0.00%             | 2032-08-16      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2007-1                                                   | CUSIP: 78443VAJ1<br>LEI: 5493006Z6MTP02OKOJ80 | Long             | ABS-O            | CORP              | US        |    1967321 | PA      | $1809704.72    | 0.01%             | 2042-01-27      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                      | Alternative Loan Trust 2004-30CB                                                | CUSIP: 12667FG41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17982982 | PA      | $17914055.12   | 0.06%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PCB0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   19179000 | PA      | $18900520.92   | 0.06%             | 2027-04-22      | Fixed         | 1.58%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                                                 | Jersey Central Power & Light Co                                                 | CUSIP: 476556DC6<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    8645000 | PA      | $8645864.50    | 0.03%             | 2026-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                                        | Symphony CLO XX Ltd                                                             | CUSIP: 87166VAW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   28214876 | PA      | $28224807.25   | 0.09%             | 2032-01-16      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2006-A4                                                | CUSIP: 46628LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     204076 | PA      | $137092.44     | 0.00%             | 2036-06-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |          1 | NC      | $48235.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2006-A3                                                | CUSIP: 46628KAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     380060 | PA      | $320742.25     | 0.00%             | 2036-05-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                                                 | Bayer US Finance II LLC                                                         | CUSIP: 07274NBG7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   17489000 | PA      | $13048717.79   | 0.04%             | 2045-04-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                        | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-3                  | CUSIP: 59024VAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5497007 | PA      | $5517884.99    | 0.02%             | 2037-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                              | Progress Residential 2021-SFR3                                                  | CUSIP: 74333VAJ3<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    3055000 | PA      | $3025769.45    | 0.01%             | 2026-05-17      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| Farmers Exchange Capital                                                | Farmers Exchange Capital                                                        | CUSIP: 309588AC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   13283000 | PA      | $14017284.24   | 0.04%             | 2028-07-15      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets                                           | American Home Mortgage Assets Trust 2007-2                                      | CUSIP: 026930AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19583303 | PA      | $17631529.19   | 0.05%             | 2047-03-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                       | EURO-BOBL FUTURE DEC25                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -329 | NC      | $-63005.32     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Impac CMB Trust                                                         | Impac CMB Trust Series 2004-8                                                   | CUSIP: 45254NKR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5886 | PA      | $5882.71       | 0.00%             | 2034-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2006-AR16 Trust                  | CUSIP: 92925GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     299087 | PA      | $268463.46     | 0.00%             | 2036-12-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| SPECTRUM BRANDS INC                                                     | Spectrum Brands Inc                                                             | CUSIP: 84762LAX3<br>LEI: 549300VU3EH2E73C1Q04 | Long             | DBT              | CORP              | US        |    4976000 | PA      | $3990851.52    | 0.01%             | 2031-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CCRR PARENT INC                                                         | CCRR Parent Inc US Acquisition Facility                                         | CUSIP: 12510MAD1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3703147 | PA      | $1268327.89    | 0.00%             | 2028-03-06      | Floating      | 8.55%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.                                              | Impac Secured Assets Trust 2007-2                                               | CUSIP: 452570AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24706526 | PA      | $21074793.07   | 0.07%             | 2037-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                       | First Franklin Mortgage Loan Trust Series 2007-FF2                              | CUSIP: 32029GAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18752116 | PA      | $8942323.56    | 0.03%             | 2037-03-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DGV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4857003 | PA      | $4288432.03    | 0.01%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36202FAV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8923 | PA      | $9122.24       | 0.00%             | 2039-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SMITHFIELD FOODS INC                                                    | Smithfield Foods Inc                                                            | CUSIP: 832248BD9<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |   14435000 | PA      | $12729216.05   | 0.04%             | 2031-09-13      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31335AAY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7015851 | PA      | $6659207.21    | 0.02%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ5E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4683546 | PA      | $4736289.11    | 0.01%             | 2048-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-60853.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                                 | Dryden 40 Senior Loan Fund                                                      | CUSIP: 26244GAS4<br>LEI: 549300BH0PFEW6WVTN52 | Long             | ABS-CBDO         | CORP              | KY        |    9877136 | PA      | $9884355.71    | 0.03%             | 2031-08-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PEB8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   10505000 | PA      | $10764788.65   | 0.03%             | 2030-01-23      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TE43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9989423 | PA      | $10164021.51   | 0.03%             | 2047-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BROOKLYN UNION GAS CO                                                   | Brooklyn Union Gas Co/The                                                       | CUSIP: 114259AW4<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1681266.00    | 0.01%             | 2032-08-05      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418AJX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18407570 | PA      | $17347059.89   | 0.05%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                  | Extra Space Storage LP                                                          | CUSIP: 30225VAP2<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |    1090000 | PA      | $977828.10     | 0.00%             | 2030-10-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS CORP                                            | Frontier Communications Corp 2025 Term Loan B                                   | CUSIP: 35906EAU4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1985215 | PA      | $1989761.00    | 0.01%             | 2031-07-01      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                          | Adjustable Rate Mortgage Trust 2007-3                                           | CUSIP: 00703RAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24298090 | PA      | $15756451.17   | 0.05%             | 2037-11-25      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| Romania Government International Bonds                                  | Romania Government International Bonds                                          | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   16916000 | PA      | $16315143.68   | 0.05%             | 2035-03-24      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2020-R6                                                               | CUSIP: 12560YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   36367086 | PA      | $33574912.29   | 0.10%             | 2060-12-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                                                     | AUST 10Y BOND FUT DEC25                                                         | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |      -2770 | NC      | $560322.37     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY PVT BANK                                                 | Morgan Stanley Private Bank NA                                                  | CUSIP: 61776NVG5<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |    3076000 | PA      | $3123339.64    | 0.01%             | 2031-07-18      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2007-A1                                                | CUSIP: 46630GAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     295914 | PA      | $295144.49     | 0.00%             | 2035-07-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                              | Intel Corp                                                                      | CUSIP: 458140CJ7<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     850000 | PA      | $823157.00     | 0.00%             | 2053-02-10      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ5A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     528380 | PA      | $534330.72     | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                   | Mexico Government International Bonds                                           | CUSIP: 91087BAT7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    6734000 | PA      | $6532384.04    | 0.02%             | 2033-05-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| New York City Transitional Finance Authority Future Tax Secured Revenue | NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE                                  | CUSIP: 64971X7M4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     820000 | PA      | $835511.94     | 0.00%             | 2031-05-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCR49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   65085911 | PA      | $61175553.02   | 0.19%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132H7DB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21502214 | PA      | $20386686.21   | 0.06%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Mid-State Trust                                                         | Mid-State Capital Corp 2005-1 Trust                                             | CUSIP: 595481AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1603091 | PA      | $1602920.08    | 0.00%             | 2040-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CSAB Mortgage Backed Trust                                              | CSAB Mortgage-Backed Trust 2006-4                                               | CUSIP: 12628LAK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5268016 | PA      | $223988.13     | 0.00%             | 2036-12-25      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                  | Venture Global LNG Inc                                                          | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |   12080000 | PA      | $13163334.40   | 0.04%             | 2032-02-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| New York State Dormitory Authority                                      | NEW YORK ST DORM AUTH ST PERSONAL INCOME TAX REVENUE                            | CUSIP: 64990FLF9<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |    2330000 | PA      | $2123645.88    | 0.01%             | 2048-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIE                                                | Hudson Pacific Properties LP                                                    | CUSIP: 44409MAA4<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              |  | US        |   16737000 | PA      | $16127103.72   | 0.05%             | 2027-11-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128M8RU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3580609 | PA      | $3496295.48    | 0.01%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                                | Warnermedia Holdings Inc                                                        | CUSIP: 55903VBU6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   10440000 | PA      | $7787613.60    | 0.02%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418AYE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11617582 | PA      | $11358463.67   | 0.04%             | 2033-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                | BX Commercial Mortgage Trust 2020-VIV4                                          | CUSIP: 05608MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  130165000 | PA      | $120355921.80  | 0.37%             | 2044-03-09      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Berry Global Inc                                                        | Berry Global Inc                                                                | CUSIP: 085770AA3<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |   38211000 | PA      | $38215203.21   | 0.12%             | 2026-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  149262287 | PA      | $121692811.30  | 0.38%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FMLW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     543434 | PA      | $500940.41     | 0.00%             | 2049-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                  | CHL Mortgage Pass-Through Trust 2001-HYB1                                       | CUSIP: 12669B2W1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3839 | PA      | $3811.73       | 0.00%             | 2031-06-19      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140Q9XX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3184122 | PA      | $3139962.48    | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVKY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12329056 | PA      | $11476899.04   | 0.04%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418ED80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  368284516 | PA      | $348789106.34  | 1.08%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                             | Oracle Corp                                                                     | CUSIP: 68389XCY9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   27750000 | PA      | $28223415.00   | 0.09%             | 2028-08-03      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6R34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59377 | PA      | $61798.94      | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Renaissance Holding Corp.                                               | Renaissance Holding Corp 2024 1st Lien Term Loan                                | CUSIP: 75972JAK0<br>LEI: 549300UKKEC0Y6TXNF09 | Long             | LON              | CORP              | US        |    6981670 | PA      | $6068956.05    | 0.02%             | 2030-04-05      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DLY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9552738 | PA      | $8434474.37    | 0.03%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ4L1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5925875 | PA      | $5992609.13    | 0.02%             | 2048-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                     | American Express Co                                                             | CUSIP: 025816EK1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   15935000 | PA      | $16214977.95   | 0.05%             | 2033-07-20      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DHY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26594 | PA      | $23480.58      | 0.00%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                                | BDL2CY9J6 FWDP 2Y RTP SWAPTION                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        | 1568682000 | NC      | $351698.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LoanCore 2021-CRE5 Issuer, Ltd                                          | LoanCore 2021-CRE5 Issuer Ltd                                                   | CUSIP: 53947XAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2488645 | PA      | $2488669.51    | 0.01%             | 2036-07-15      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                                                 | HCA Inc                                                                         | CUSIP: 404119BS7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    3915000 | PA      | $3920246.10    | 0.01%             | 2026-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                      | Realty Income Corp                                                              | CUSIP: 000000000<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              |  | US        |    9330000 | PA      | $11004625.50   | 0.03%             | 2031-06-20      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SARTORIUS FINANCE BV                                                    | Sartorius Finance BV                                                            | CUSIP: 000000000<br>LEI: 529900JCAKTMRXK9EA58 | Long             | DBT              | CORP              | NL        |    2000000 | PA      | $2474338.01    | 0.01%             | 2032-09-14      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                                     | Bear Stearns Mortgage Funding Trust 2006-AR5                                    | CUSIP: 07401NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11221005 | PA      | $10148774.00   | 0.03%             | 2046-12-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                  | Extra Space Storage LP                                                          | CUSIP: 30225VAH0<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |    1430000 | PA      | $1410437.60    | 0.00%             | 2029-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| New York City Transitional Finance Authority                            | NEW YORK CITY NY TRANSITIONAL FIN AUTH REV                                      | CUSIP: 64972JMK1<br>LEI: 5493003476LG35QAKM08 | Long             | DBT              | MUN               | US        |    2980000 | PA      | $3105952.68    | 0.01%             | 2050-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEW S WALES TREASURY CRP                                                | New South Wales Treasury Corp                                                   | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |   44360000 | PA      | $28527002.22   | 0.09%             | 2037-02-20      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137BVBM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     210271 | PA      | $201118.75     | 0.00%             | 2047-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COGENT COMMS GRP / FIN                                                  | Cogent Communications Group LLC / Cogent Finance Inc                            | CUSIP: 19240CAE3<br>LEI: 549300KFWFYF8Q1U0Y26 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3000120.00    | 0.01%             | 2027-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES 2020-AA                                                 | Delta Air Lines 2020-1 Class AA Pass Through Trust                              | CUSIP: 247361ZV3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   63195081 | PA      | $60687500.65   | 0.19%             | 2028-06-10      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CPT MORTGAGE TRUST                                                      | Century Plaza Towers 2019-CPT                                                   | CUSIP: 12654YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   27645000 | PA      | $25474372.65   | 0.08%             | 2039-11-13      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYG3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   75070000 | PA      | $73220275.20   | 0.23%             | 2027-09-10      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                | BX Commercial Mortgage Trust 2022-CSMO                                          | CUSIP: 05610MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   90170000 | PA      | $91278207.33   | 0.28%             | 2027-06-15      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418AWX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10990648 | PA      | $10604352.61   | 0.03%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140N27K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   76825310 | PA      | $74840033.37   | 0.23%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust                       | Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR3                   | CUSIP: 25151AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1581582 | PA      | $1446554.94    | 0.00%             | 2036-08-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 31394VED8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3214 | PA      | $28.93         | 0.00%             | 2035-11-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                  | Residential Asset Securitization Trust 2006-A7CB                                | CUSIP: 76113NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1404038 | PA      | $1051945.48    | 0.00%             | 2036-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137AEXB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10253328 | PA      | $10222923.35   | 0.03%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3133TGYT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27572 | PA      | $27693.24      | 0.00%             | 2028-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5B25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     263389 | PA      | $274237.63     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AURIZON NETWORK PTY LTD                                                 | Aurizon Network Pty Ltd                                                         | CUSIP: 000000000<br>LEI: 549300FNL9A7DVZKZ444 | Long             | DBT              | CORP              | AU        |   17130000 | PA      | $10248039.69   | 0.03%             | 2030-09-02      | Fixed         | 2.90%                 | Yes           |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GHZ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     201000 | PA      | $186128.01     | 0.00%             | 2031-02-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                      | Morgan Stanley Mortgage Loan Trust 2004-11AR                                    | CUSIP: 61748HGR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38081 | PA      | $36260.78      | 0.00%             | 2035-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp                                     | JP Morgan Mortgage Acquisition Trust 2007-HE1                                   | CUSIP: 46630KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      90903 | PA      | $61658.48      | 0.00%             | 2047-03-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers Jersey Borrower SPV Limited                        | Vantage Data Centers Jersey Borrower Spv Ltd                                    | CUSIP: 000000000<br>LEI: 213800S5S638C9IBQ379 | Long             | ABS-O            | CORP              | JE        |   12435000 | PA      | $17167138.21   | 0.05%             | 2039-05-28      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                     | Dominion Energy Inc                                                             | CUSIP: 25746UDZ9<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    1960000 | PA      | $1976268.00    | 0.01%             | 2056-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PFQ0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    7765000 | PA      | $8032659.55    | 0.02%             | 2035-06-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2006-A4                                                | CUSIP: 46628LAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     657876 | PA      | $441941.57     | 0.00%             | 2036-06-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31417AWY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1647645 | PA      | $1621675.72    | 0.01%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138EJYT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58991 | PA      | $55770.58      | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2019-R3                                                               | CUSIP: 12559PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   60020003 | PA      | $56689540.48   | 0.18%             | 2058-06-25      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                                                 | Bayer US Finance II LLC                                                         | CUSIP: 07274NBF9<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   71213000 | PA      | $57166947.88   | 0.18%             | 2044-07-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| 1011778 BC Unlimited Liability Company                                  | 1011778 BC Unlimited Liability Company 2024 Term Loan B6                        | CUSIP: 000000000<br>LEI: 549300RHSHNRWI5LLA86 | Long             | LON              | CORP              | CA        |    3070067 | PA      | $3063666.38    | 0.01%             | 2030-09-20      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QMTX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  140396252 | PA      | $113904951.68  | 0.35%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                  | CHL Mortgage Pass-Through Trust 2004-HYB4                                       | CUSIP: 12669FV75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     305067 | PA      | $295966.00     | 0.00%             | 2034-09-20      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                                | Neuberger Berman Loan Advisers Clo 43 Ltd                                       | CUSIP: 64134AAJ1<br>LEI: 549300N83MM16HCONB28 | Long             | ABS-CBDO         | CORP              | KY        |   35000000 | PA      | $35055650.00   | 0.11%             | 2036-07-17      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15887609 | PA      | $15202359.20   | 0.05%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                             | Oracle Corp                                                                     | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   11616000 | PA      | $8650202.88    | 0.03%             | 2051-03-25      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Popular ABS Mortgage Pass-Through Trust                                 | Popular ABS Mortgage Pass-Through Trust                                         | CUSIP: 73316PJF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14991354 | PA      | $14327923.15   | 0.04%             | 2036-01-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2021-R1                                                               | CUSIP: 12563RAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   50704679 | PA      | $46277374.33   | 0.14%             | 2056-08-25      | Variable      | 2.40%                 | No            |                  2 | On Loan: No      |
| BOOST NEWCO BORROWER LLC                                                | Boost Newco Borrower LLC 2025 USD Term Loan B2                                  | CUSIP: 92943EAG1<br>LEI: 254900S8RE1OL7TTCU64 | Long             | LON              | CORP              | US        |    4205775 | PA      | $4216731.16    | 0.01%             | 2031-01-31      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| FARMERS EXCHANGE CAP II                                                 | Farmers Exchange Capital II                                                     | CUSIP: 30958PAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   57061000 | PA      | $56144600.34   | 0.17%             | 2053-11-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES/FIN                                                   | Icahn Enterprises LP / Icahn Enterprises Finance Corp                           | CUSIP: 451102CF2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11566000 | PA      | $11649043.88   | 0.04%             | 2029-01-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                          | HarborView Mortgage Loan Trust 2006-7                                           | CUSIP: 41161VAA8<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |   45021936 | PA      | $38489572.59   | 0.12%             | 2046-09-19      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                                | Madison Park Funding XLVI Ltd                                                   | CUSIP: 55822AAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   33270000 | PA      | $33306696.81   | 0.10%             | 2034-10-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa Government International Bonds                 | Republic of South Africa Government International Bonds                         | CUSIP: 836205AY0<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    4438000 | PA      | $4544068.20    | 0.01%             | 2030-06-22      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FARMERS EXCHANGE CAP III                                                | Farmers Exchange Capital III                                                    | CUSIP: 30958QAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   49425000 | PA      | $46367569.50   | 0.14%             | 2054-10-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                         | C-BASS Mortgage Loan Trust 2007-CB2                                             | CUSIP: 1248MBAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2731180 | PA      | $1597616.91    | 0.00%             | 2037-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                          | HarborView Mortgage Loan Trust 2007-7                                           | CUSIP: 411640AB1<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |    9736701 | PA      | $9132889.06    | 0.03%             | 2037-10-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| VOYAGER PARENT LLC                                                      | Voyager Parent LLC                                                              | CUSIP: 92921EAA0<br>LEI: 2549002DYVI4ACSV4V71 | Long             | DBT              | CORP              | US        |    7438000 | PA      | $7870965.98    | 0.02%             | 2032-07-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| HELIOS SOFT/ION CORP SOL                                                | Helios Software Holdings Inc / ION Corporate Solutions Finance Sarl             | CUSIP: 42329HAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5724000 | PA      | $5934986.64    | 0.02%             | 2029-05-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |          1 | NC      | $8076.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Arches Buyer Inc                                                        | Arches Buyer Inc 2021 Term Loan B                                               | CUSIP: 03952HAD6<br>LEI: 2549009ADY4208OH2Y47 | Long             | LON              | CORP              | US        |     660030 | PA      | $661834.76     | 0.00%             | 2027-12-06      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                                     | Banc of America Funding 2006-H Trust                                            | CUSIP: 05950PAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     381061 | PA      | $313501.35     | 0.00%             | 2046-09-20      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-5                                                   | CUSIP: 78444YAE5<br>LEI: 549300SRMXHPGI3BJ386 | Long             | ABS-O            | CORP              | US        |   37199000 | PA      | $38397261.63   | 0.12%             | 2073-07-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                                   | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CAN4<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    1239000 | PA      | $1052493.33    | 0.00%             | 2042-09-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       4000 | PA      | $3570.24       | 0.00%             | 2032-07-21      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TJ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2457433 | PA      | $2500385.22    | 0.01%             | 2047-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ILLUMINA INC                                                            | Illumina Inc                                                                    | CUSIP: 452327AM1<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |     200000 | PA      | $178786.00     | 0.00%             | 2031-03-23      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Octagon Credit Partners 46, LTD                                         | Octagon Investment Partners 46 Ltd                                              | CUSIP: 67577VAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7250000 | PA      | $7257873.50    | 0.02%             | 2036-07-15      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12165034 | PA      | $11018366.26   | 0.03%             | 2046-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31388SEP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3144 | PA      | $3294.93       | 0.00%             | 2031-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Mid-State Trust                                                         | Mid-State Trust XI                                                              | CUSIP: 59549WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      34629 | PA      | $34593.52      | 0.00%             | 2038-07-15      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                     | Mastr Asset Backed Securities Trust 2006-HE4                                    | CUSIP: 576449AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3207222 | PA      | $944255.24     | 0.00%             | 2036-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| AMPRION GMBH                                                            | Amprion GmbH                                                                    | CUSIP: 000000000<br>LEI: 529900ZIV0ETYHYZM863 | Long             | DBT              | CORP              | DE        |    3800000 | PA      | $4337389.43    | 0.01%             | 2044-05-21      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5MZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     890872 | PA      | $927581.33     | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| McAfee, LLC                                                             | McAfee LLC 2024 USD 1st Lien Term Loan B                                        | CUSIP: 57906HAF4<br>LEI: 2549009UKR8UEZYVCR93 | Long             | LON              | CORP              | US        |     885415 | PA      | $848338.43     | 0.00%             | 2029-03-01      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31417VFV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5263 | PA      | $5281.60       | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     525000 | PA      | $548745.75     | 0.00%             | 2035-01-23      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                  | Extra Space Storage LP                                                          | CUSIP: 30225VAQ0<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |   14348000 | PA      | $12652353.36   | 0.04%             | 2031-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| PEER HOLDING III BV                                                     | Peer Holding III BV 2025 USD Term Loan B5B                                      | CUSIP: 000000000<br>LEI: 7245002S0K5Q59JCVQ03 | Long             | LON              | CORP              | NL        |    3883840 | PA      | $3892753.53    | 0.01%             | 2031-07-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Equity One ABS Inc                                                      | Equity One Mortgage Pass-Through Trust 2002-5                                   | CUSIP: 294751BP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      18395 | PA      | $19272.46      | 0.00%             | 2032-11-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137AYKS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3655685 | PA      | $3599501.42    | 0.01%             | 2041-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                          | Structured Adjustable Rate Mortgage Loan Trust                                  | CUSIP: 863579DE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     901724 | PA      | $874728.95     | 0.00%             | 2034-10-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| Potomac Energy Center, LLC                                              | Potomac Energy Center LLC 2025 Term Loan                                        | CUSIP: 73767TAB2<br>LEI: 549300BHYFK6M9HVNA29 | Long             | LON              | CORP              | US        |    2222283 | PA      | $2234794.81    | 0.01%             | 2032-08-05      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $526808.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Taurus CMBS                                                             | Taurus 2021-1 UK DAC                                                            | CUSIP: 000000000<br>LEI: 635400SG2ZVJCYHITE32 | Long             | ABS-MBS          | CORP              | IE        |    5761682 | PA      | $7792710.34    | 0.02%             | 2031-05-17      | Floating      | 7.64%                 | Yes           |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                      | Chase Mortgage Finance Trust Series 2006-S3                                     | CUSIP: 16162XAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1301032 | PA      | $108234.68     | 0.00%             | 2049-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28648137 | PA      | $26624034.05   | 0.08%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137A2XC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20177250 | PA      | $20225942.47   | 0.06%             | 2040-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138EQ4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52752 | PA      | $53013.22      | 0.00%             | 2034-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                      | Chase Mortgage Finance Trust Series 2007-A2                                     | CUSIP: 16163LAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     488161 | PA      | $486960.04     | 0.00%             | 2035-06-25      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SEL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1361433 | PA      | $1391922.51    | 0.00%             | 2046-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31410G2R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1138072 | PA      | $1172611.92    | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                          | Carvana Auto Receivables Trust 2021-P4                                          | CUSIP: 14687KAK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      43250 | PA      | $5392642.86    | 0.02%             | 2028-09-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| New York City Transitional Finance Authority Future Tax Secured Revenue | NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE                                  | CUSIP: 64971XEQ7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    3135000 | PA      | $3082510.70    | 0.01%             | 2031-08-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                                                     | General Electric Co                                                             | CUSIP: 36962GX74<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |   11550000 | PA      | $11003107.50   | 0.03%             | 2036-08-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                                    | LXP Industrial Trust                                                            | CUSIP: 529043AF8<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              |  | US        |    4015000 | PA      | $4275533.35    | 0.01%             | 2028-11-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                    | Las Vegas Sands Corp                                                            | CUSIP: 517834AN7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    1130000 | PA      | $1177154.90    | 0.00%             | 2030-06-14      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets                                           | American Home Mortgage Assets Trust 2007-1                                      | CUSIP: 02660BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   43372751 | PA      | $14990338.55   | 0.05%             | 2047-02-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36225DUX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6293 | PA      | $6383.98       | 0.00%             | 2035-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36202FV94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19886 | PA      | $19862.39      | 0.00%             | 2041-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 17-2 AA PTT                                                | American Airlines 2017-2 Class AA Pass Through Trust                            | CUSIP: 02376AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   12388723 | PA      | $11934676.42   | 0.04%             | 2029-10-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| SCRIPPS ESCROW II INC                                                   | Scripps Escrow II Inc                                                           | CUSIP: 81105DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3565000 | PA      | $3155951.90    | 0.01%             | 2029-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2012-2                                                   | CUSIP: 78446YAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6640452 | PA      | $6461596.71    | 0.02%             | 2029-01-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust                                                | DSLA Mortgage Loan Trust 2007-AR1                                               | CUSIP: 23333YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4581789 | PA      | $3816440.18    | 0.01%             | 2037-03-19      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132A5JM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     806495 | PA      | $750077.58     | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                  | Merrill Lynch Mortgage Investors Trust MLMI Series 2005-A10                     | CUSIP: 59020UZ65<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |       2677 | PA      | $2634.30       | 0.00%             | 2036-02-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJZM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13777868 | PA      | $12487202.29   | 0.04%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                  | CHL Mortgage Pass-Through Trust 2007-HYB1                                       | CUSIP: 22239EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     769804 | PA      | $645603.18     | 0.00%             | 2037-03-25      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| SFAVE Commercial Mortgage Securities Trust                              | SFAVE Commercial Mortgage Securities Trust 2015-5AVE                            | CUSIP: 78413MAA6<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |   56465000 | PA      | $49173618.09   | 0.15%             | 2043-01-05      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QBBB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13490536 | PA      | $12579615.91   | 0.04%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 27, LTD.                                    | Octagon Investment Partners 27 Ltd                                              | CUSIP: 67590XAL6<br>LEI: 6354001JUH8Y4IJVGL43 | Long             | ABS-CBDO         | CORP              | KY        |   10000000 | PA      | $10006050.00   | 0.03%             | 2030-07-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                                           | RFMSI Series 2005-SA5 Trust                                                     | CUSIP: 76111XZA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1690949 | PA      | $884537.71     | 0.00%             | 2035-11-25      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   10464000 | PA      | $9535006.08    | 0.03%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Nyack Park CLO, Ltd.                                                    | NYACK Park CLO Ltd                                                              | CUSIP: 67080PAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   20000000 | PA      | $20001000.00   | 0.06%             | 2034-10-20      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                   | Time Warner Cable LLC                                                           | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   27580000 | PA      | $22187282.60   | 0.07%             | 2042-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities                           | First Horizon Alternative Mortgage Securities Trust 2005-AA9                    | CUSIP: 32051GXE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5457069 | PA      | $4737692.84    | 0.01%             | 2035-11-25      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| MH Sub I LLC                                                            | MH Sub I LLC 2023 Term Loan                                                     | CUSIP: 45567YAN5<br>LEI: 2549005VFKP807SR8N49 | Long             | LON              | CORP              | US        |    2924417 | PA      | $2820234.49    | 0.01%             | 2028-05-03      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                       | HSBC Holdings PLC                                                               | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |       2000 | PA      | $1888.28       | 0.00%             | 2029-08-17      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ5J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     715711 | PA      | $706620.46     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-6                                                   | CUSIP: 78445CAD4<br>LEI: 549300JQFJDGC1WO7674 | Long             | ABS-O            | CORP              | US        |    3126407 | PA      | $3093167.14    | 0.01%             | 2083-07-26      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Sabre GLBL Inc                                                          | Sabre GLBL Inc 2022 1st Lien Term Loan B                                        | CUSIP: 78571YBJ8<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | LON              | CORP              | US        |     966729 | PA      | $910740.88     | 0.00%             | 2028-06-30      | Floating      | 9.26%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN FIN SERV AUST                                                | Volkswagen Financial Services Australia Pty Ltd                                 | CUSIP: 000000000<br>LEI: 529900VBZRQG6COX9X61 | Long             | DBT              | CORP              | AU        |    6200000 | PA      | $4121910.18    | 0.01%             | 2029-06-13      | Fixed         | 5.11%                 | Yes           |                  2 | On Loan: No      |
| ALTICE FINANCING SA                                                     | Altice Financing SA                                                             | CUSIP: 02154CAF0<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |    1449000 | PA      | $1134103.32    | 0.00%             | 2028-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                  | Merrill Lynch Mortgage Investors Trust Series 2006-WMC2                         | CUSIP: 59020U6K6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-O            | CORP              | US        |   26145951 | PA      | $5140150.15    | 0.02%             | 2037-03-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities                           | First Horizon Alternative Mortgage Securities Trust 2004-AA4                    | CUSIP: 32051GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     283531 | PA      | $279567.12     | 0.00%             | 2034-10-25      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust                          | Securitized Asset Backed Receivables LLC Trust 2007-BR2                         | CUSIP: 81378PAB4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | ABS-O            | CORP              | US        |   31166658 | PA      | $13967540.29   | 0.04%             | 2037-02-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179MX62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25202 | PA      | $25172.61      | 0.00%             | 2043-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                        | IndyMac INDX Mortgage Loan Trust 2006-AR27                                      | CUSIP: 45661LAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9713295 | PA      | $8833660.91    | 0.03%             | 2036-10-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                    | Bank of America Corp                                                            | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     336000 | PA      | $334491.36     | 0.00%             | 2029-03-05      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $12512.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United Natural Foods Inc                                                | United Natural Foods Inc 2024 Term Loan                                         | CUSIP: 91116KAD7<br>LEI: 549300GKGW6WPZ282D40 | Long             | LON              | CORP              | US        |    6443016 | PA      | $6488664.57    | 0.02%             | 2031-05-01      | Floating      | 8.91%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-93350.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE OKLAHOMA                                                 | Public Service Co of Oklahoma                                                   | CUSIP: 744533BS8<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |   12140000 | PA      | $12410964.80   | 0.04%             | 2036-01-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO                                                        | Alabama Power Co                                                                | CUSIP: 010392GC6<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |   27535000 | PA      | $28155088.20   | 0.09%             | 2035-04-02      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179RVA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4371 | PA      | $3970.48       | 0.00%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Palmer Square CLO Ltd                                                   | Palmer Square CLO 2018-1 Ltd                                                    | CUSIP: 69703PAL3<br>LEI: 549300A8L0VCZ9626397 | Long             | ABS-CBDO         | CORP              | KY        |   22000000 | PA      | $22113058.00   | 0.07%             | 2037-04-18      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| MODIVCARE INC                                                           | Modivcare Inc 2024 Term Loan B                                                  | CUSIP: 60783LAC4<br>LEI: 549300EFZIFW7F7I0Q28 | Long             | LON              | CORP              | US        |   20267950 | PA      | $9737027.15    | 0.03%             | 2031-07-01      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE INDUSTRIAL PORTFOLI                                          | BLACKSTONE INDUSTRIAL PORTFOLI                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   61751028 | PA      | $61201443.46   | 0.19%             | 2027-04-09      | Fixed         | 2.23%                 | No            |                  3 | On Loan: No      |
| AMERICAN HOMES 4 RENT                                                   | American Homes 4 Rent LP                                                        | CUSIP: 02666TAC1<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              |  | US        |    2845000 | PA      | $2522348.55    | 0.01%             | 2031-07-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                       | First Franklin Mortgage Loan Trust Series 2007-FF2                              | CUSIP: 32029GAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   42049337 | PA      | $21996311.06   | 0.07%             | 2037-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities                           | First Horizon Alternative Mortgage Securities Trust 2005-AA12                   | CUSIP: 32051GQ81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5303476 | PA      | $3210490.49    | 0.01%             | 2036-02-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36225DCE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4019 | PA      | $4085.10       | 0.00%             | 2034-07-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                                      | BX Trust 2019-OC11                                                              | CUSIP: 05606FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   42270000 | PA      | $39982520.91   | 0.12%             | 2041-12-09      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| PT PERTAMINA (PERSERO)                                                  | Pertamina Persero PT                                                            | CUSIP: 69370PAH4<br>LEI: 254900NDAKGNZ2IBBL45 | Long             | DBT              | CORP              | ID        |   11282000 | PA      | $10553408.44   | 0.03%             | 2030-08-27      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SCB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2150470 | PA      | $2198629.97    | 0.01%             | 2046-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DCP RIGHTS, LLC                                                         | SHOW Trust 2022-BIZ                                                             | CUSIP: 82539LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   68000000 | PA      | $61385377.52   | 0.19%             | 2027-01-15      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Trust                                       | GreenPoint Mortgage Funding Trust 2005-AR4                                      | CUSIP: 39538WBZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5904279 | PA      | $5572108.63    | 0.02%             | 2045-10-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                                  | GSAA Home Equity Trust 2005-11                                                  | CUSIP: 362341NY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20436 | PA      | $22427.14      | 0.00%             | 2035-10-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-25108.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                            | Ecopetrol SA                                                                    | CUSIP: 279158AS8<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    5000000 | PA      | $5422150.00    | 0.02%             | 2033-01-13      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| JAZZ FINANCING LUX SARL                                                 | Jazz Financing Lux Sarl 2024 1st Lien Term Loan B2                              | CUSIP: 000000000<br>LEI: 635400WUEO2NSG5OIU34 | Long             | LON              | CORP              | LU        |    3859712 | PA      | $3868493.00    | 0.01%             | 2028-05-05      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                      | Morgan Stanley Mortgage Loan Trust 2004-7AR                                     | CUSIP: 61748HCH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     169698 | PA      | $166368.96     | 0.00%             | 2034-09-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ADM4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   51125000 | PA      | $50283993.75   | 0.16%             | 2035-01-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                                        | Soundview Home Loan Trust 2005-OPT1                                             | CUSIP: 83611MDH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     616527 | PA      | $613962.33     | 0.00%             | 2035-06-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC                                   | Charter Communications Operating LLC 2024 Term Loan B5                          | CUSIP: 16117LCE7<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |    7248050 | PA      | $7253269.06    | 0.02%             | 2031-12-15      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| Mativ Holdings Inc                                                      | Mativ Holdings Inc Delayed Draw Term Loan A                                     | CUSIP: 80854EAJ7<br>LEI: 549300Z1FU4IDULG1R21 | Long             | LON              | CORP              | US        |    3121848 | PA      | $3106238.50    | 0.01%             | 2027-05-06      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                              | Bear Stearns Asset Backed Securities I Trust 2007-AC1                           | CUSIP: 07389XAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24212948 | PA      | $22900056.48   | 0.07%             | 2037-02-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                                 | Duke Energy Florida LLC                                                         | CUSIP: 26444HAR2<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |   25000000 | PA      | $27376250.00   | 0.08%             | 2053-11-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Taurus CMBS                                                             | Taurus 2021-1 UK DAC                                                            | CUSIP: 000000000<br>LEI: 635400SG2ZVJCYHITE32 | Long             | ABS-MBS          | CORP              | IE        |     975833 | PA      | $1317403.90    | 0.00%             | 2031-05-17      | Floating      | 5.64%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38380RKR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  535538821 | PA      | $28697972.38   | 0.09%             | 2062-09-16      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QMSB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  127409966 | PA      | $109042990.17  | 0.34%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2023-1 A PTT                                                 | United Airlines 2023-1 Class A Pass Through Trust                               | CUSIP: 90932LAJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   21339846 | PA      | $22035311.61   | 0.07%             | 2036-01-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38376FLM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6813 | PA      | $284.60        | 0.00%             | 2039-07-16      | Floating      | 2.54%                 | No            |                  2 | On Loan: No      |
| HPS Loan Management Ltd                                                 | HPS Loan Management 2021-16 Ltd                                                 | CUSIP: 40440XAQ4<br>LEI: 529900WV2JMUABMCHN18 | Long             | ABS-CBDO         | CORP              | KY        |   17750000 | PA      | $17765868.50   | 0.06%             | 2035-01-23      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                      | Alternative Loan Trust 2006-HY13                                                | CUSIP: 02149DAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     563433 | PA      | $499335.37     | 0.00%             | 2037-02-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137ADUY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2217340 | PA      | $203975.46     | 0.00%             | 2041-07-15      | Floating      | 1.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418CV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42405761 | PA      | $39439339.18   | 0.12%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   11203000 | PA      | $11010868.55   | 0.03%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132L5MD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15609145 | PA      | $14867648.70   | 0.05%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| New York City Transitional Finance Authority Future Tax Secured Revenue | NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE                                  | CUSIP: 64971XGJ1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    6450000 | PA      | $6255171.30    | 0.02%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                     | Citigroup Commercial Mortgage Trust 2020-555                                    | CUSIP: 17328EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4542521.50    | 0.01%             | 2041-12-10      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128M7Z74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5704405 | PA      | $5719084.09    | 0.02%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| One Bryant Park Trust                                                   | One Bryant Park Trust 2019-OBP                                                  | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  147667000 | PA      | $136130486.09  | 0.42%             | 2054-09-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| COSTA RICA GOVERNMENT                                                   | Costa Rica Government International Bond                                        | CUSIP: 000000000<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |    4009000 | PA      | $4318174.08    | 0.01%             | 2034-04-03      | Fixed         | 6.55%                 | Yes           |                  2 | On Loan: No      |
| UNITED AIR 2018-1 AA PTT                                                | United Airlines 2018-1 Class AA Pass Through Trust                              | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   22722062 | PA      | $21847717.24   | 0.07%             | 2030-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                        | Crown Castle Inc                                                                | CUSIP: 22822VAW1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |   23220000 | PA      | $20334450.60   | 0.06%             | 2031-04-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2005-AR8                         | CUSIP: 92922FR67<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      48971 | PA      | $47358.86      | 0.00%             | 2045-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                       | EURO-BUND FUTURE DEC25                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |      -2114 | NC      | $-1390751.89   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Residential Asset Securitization Trust                                  | Residential Asset Securitization Trust 2004-IP2                                 | CUSIP: 45660LAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9120 | PA      | $8313.41       | 0.00%             | 2034-12-25      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                                                | International Flavors & Fragrances Inc                                          | CUSIP: 459506AP6<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |    1615000 | PA      | $1537011.65    | 0.00%             | 2027-10-15      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                                            | Saxon Asset Securities Trust 2007-2                                             | CUSIP: 80556YAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     137969 | PA      | $102059.99     | 0.00%             | 2047-05-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                      | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $430888.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Peraton Corp                                                            | Peraton Corp Term Loan B                                                        | CUSIP: 71360HAB3<br>LEI: 549300EQPCK07ZW63836 | Long             | LON              | CORP              | US        |    6037432 | PA      | $5107305.52    | 0.02%             | 2028-02-01      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2019-R4                                                               | CUSIP: 12556FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   66775873 | PA      | $62765093.73   | 0.19%             | 2059-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                                     | Bear Stearns Mortgage Funding Trust 2006-AR3                                    | CUSIP: 07400HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     789073 | PA      | $692873.12     | 0.00%             | 2036-10-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                         | CVS Health Corp                                                                 | CUSIP: 126650DZ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   13496000 | PA      | $13281008.72   | 0.04%             | 2053-06-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FIN NV                                                  | Volkswagen International Finance NV                                             | CUSIP: 000000000<br>LEI: 5299004PWNHKYTR23649 | Long             | DBT              | CORP              | NL        |   12500000 | PA      | $16983593.48   | 0.05%             | 2032-09-06      | Fixed         | 7.88%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 31329NU48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95750 | PA      | $89200.91      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                                            | Hudson Yards 2019-55HY Mortgage Trust                                           | CUSIP: 44421MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   81025000 | PA      | $75952932.23   | 0.24%             | 2041-12-10      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES PWR-MINN                                                | Northern States Power Co/MN                                                     | CUSIP: 665772CZ0<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |    7445000 | PA      | $7597994.75    | 0.02%             | 2035-05-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                        | IndyMac INDX Mortgage Loan Trust 2006-AR7                                       | CUSIP: 45661ECY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15993533 | PA      | $10672022.15   | 0.03%             | 2036-05-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                 | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AQ2<br>LEI: N/A                  | Long             | DBT              |  | US        |    7310000 | PA      | $6994281.10    | 0.02%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  109117920 | PA      | $96265716.49   | 0.30%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP/THE                                                         | Cigna Group/The                                                                 | CUSIP: 125523CZ1<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   55025000 | PA      | $55755181.75   | 0.17%             | 2036-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SNX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1291150 | PA      | $1283312.56    | 0.00%             | 2046-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XHZA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3293806 | PA      | $2790577.10    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                       | First Franklin Mortgage Loan Trust Series 2007-FF1                              | CUSIP: 32028TAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   46094014 | PA      | $25335616.55   | 0.08%             | 2038-01-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-128680.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                  | Residential Asset Securitization Trust 2004-IP2                                 | CUSIP: 45660LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     109929 | PA      | $110318.45     | 0.00%             | 2034-12-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| 1261229 BC LTD                                                          | 1261229 BC Ltd                                                                  | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    9365000 | PA      | $9623942.25    | 0.03%             | 2032-04-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| XEROX CORPORATION                                                       | Xerox Corp                                                                      | CUSIP: 984121CS0<br>LEI: 4KF48RN45X1OO8UBLY20 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4576950.00    | 0.01%             | 2030-10-15      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CPB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  192570000 | PA      | $192171320.40  | 0.60%             | 2027-09-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust                       | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-6                 | CUSIP: 251510KC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     192567 | PA      | $156264.68     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                                            | Voya CLO 2019-4 Ltd                                                             | CUSIP: 92918BAS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   17500000 | PA      | $17521052.50   | 0.05%             | 2035-01-15      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-45208.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Indymac Manufactured Housing Contract                                   | Indymac Manufactured Housing Contract Pass-Through Certificates Series 1997-1   | CUSIP: 22540ABC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      13566 | PA      | $13611.46      | 0.00%             | 2028-02-25      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| MICHAELS COS INC/THE                                                    | Michaels Cos Inc/The                                                            | CUSIP: 55916AAB0<br>LEI: 549300H9LWMBP7HYLR98 | Long             | DBT              | CORP              | US        |    8511000 | PA      | $7137409.71    | 0.02%             | 2029-05-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| BROOKLYN UNION GAS CO                                                   | Brooklyn Union Gas Co/The                                                       | CUSIP: 114259AX2<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |    1120000 | PA      | $1207640.00    | 0.00%             | 2033-09-15      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XGYU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  173582769 | PA      | $140768980.65  | 0.44%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31406N4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12181 | PA      | $12226.23      | 0.00%             | 2035-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                              | Progress Residential 2021-SFR8 Trust                                            | CUSIP: 74333TAQ2<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   19482000 | PA      | $19117571.66   | 0.06%             | 2038-10-17      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                                                  | Galaxy Pipeline Assets Bidco Ltd                                                | CUSIP: 36321PAD2<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |    5490040 | PA      | $4997912.71    | 0.02%             | 2034-03-31      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| Pediatric Associates Holding Company LLC                                | Pediatric Associates Holding Company LLC 2021 Term Loan B                       | CUSIP: 70533DAF7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    4582514 | PA      | $4392958.21    | 0.01%             | 2028-12-29      | Floating      | 7.82%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                     | American Tower Corp                                                             | CUSIP: 03027XCN8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |   26040000 | PA      | $26559758.40   | 0.08%             | 2030-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan Trust                                      | Wells Fargo Alternative Loan 2007-PA5 Trust                                     | CUSIP: 949922AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      59048 | PA      | $53313.20      | 0.00%             | 2037-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418ASW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24879 | PA      | $24022.50      | 0.00%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FLUTTER TREASURY DAC                                                    | Flutter Treasury DAC                                                            | CUSIP: 000000000<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |    2320000 | PA      | $2819637.54    | 0.01%             | 2029-04-29      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                                     | Banc of America Funding 2006-E Trust                                            | CUSIP: 05950DAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19763 | PA      | $17842.29      | 0.00%             | 2036-06-20      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc                            | BAMLL Commercial Mortgage Securities Trust 2018-PARK                            | CUSIP: 05491YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  122930000 | PA      | $119949783.42  | 0.37%             | 2038-08-10      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136A1ZR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5688811 | PA      | $5643872.48    | 0.02%             | 2041-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138WJTV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10114707 | PA      | $10028880.11   | 0.03%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities, Inc.                                      | Citicorp Mortgage Securities Inc                                                | CUSIP: 172973N96<br>LEI: 549300ISEJNGWSXAKR30 | Long             | ABS-MBS          | CORP              | US        |      60669 | PA      | $59746.55      | 0.00%             | 2035-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                   | Mexico Government International Bonds                                           | CUSIP: 91087BAK6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1884000 | PA      | $1846696.80    | 0.01%             | 2032-04-27      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                     | Elevance Health Inc                                                             | CUSIP: 036752AZ6<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    9507000 | PA      | $9807611.34    | 0.03%             | 2034-06-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                     | Mastr Asset Backed Securities Trust 2007-HE1                                    | CUSIP: 576457AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8093793 | PA      | $7869769.40    | 0.02%             | 2037-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $139271.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  995104000 | PA      | $1017416102.48 | 3.15%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2006-AR10 Trust                  | CUSIP: 93363EAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5379364 | PA      | $4720682.81    | 0.01%             | 2036-09-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $40661.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                       | First Franklin Mortgage Loan Trust Series 2006-FF18                             | CUSIP: 32029AAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8119984 | PA      | $7479847.83    | 0.02%             | 2037-12-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities Corporation                                | RASC Series 2006-KS3 Trust                                                      | CUSIP: 76113ABL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      74927 | PA      | $74477.05      | 0.00%             | 2036-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES                                                   | TransCanada PipeLines Ltd                                                       | CUSIP: 89352HAB5<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |    2878000 | PA      | $3029382.80    | 0.01%             | 2036-03-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                          | Adjustable Rate Mortgage Trust 2005-10                                          | CUSIP: 007036TP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     114311 | PA      | $108115.75     | 0.00%             | 2036-01-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust                             | Bear Stearns ARM Trust 2004-10                                                  | CUSIP: 07384M4F6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1473931 | PA      | $1439460.82    | 0.00%             | 2035-01-25      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| EQUINIX EU 2 FINANCING C                                                | Equinix Europe 2 Financing Corp LLC                                             | CUSIP: 000000000<br>LEI: 254900FSZR46BPMCKI50 | Long             | DBT              |  | US        |   20680000 | PA      | $23856267.45   | 0.07%             | 2034-11-22      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK PROPERTIES INC                                               | Healthpeak Properties Inc 2024 Term Loan A3                                     | CUSIP: 42250UAF9<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | LON              |  | US        |   27796272 | PA      | $27240346.62   | 0.08%             | 2029-03-01      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Oman Government International Bonds                                     | Oman Government International Bonds                                             | CUSIP: 000000000<br>LEI: 549300SZ20F0QTKNQC75 | Long             | DBT              | NUSS              | OM        |    7500000 | PA      | $7686825.00    | 0.02%             | 2028-01-17      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities                          | CSFB Mortgage-Backed Pass-Through Certificates Series 2004-1                    | CUSIP: 22541SAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2158 | PA      | $2163.64       | 0.00%             | 2034-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128M4TL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1195983 | PA      | $1245060.32    | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ERQ29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2646115 | PA      | $2583024.48    | 0.01%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                  | US 2YR NOTE (CBT) DEC25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      31784 | NC      | $1341908.20    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ALPHA GENERATION LLC                                                    | Alpha Generation LLC Term Loan B                                                | CUSIP: 02072UAC6<br>LEI: 254900K5V62L4YGVKF49 | Long             | LON              | CORP              | US        |    7140061 | PA      | $7139168.06    | 0.02%             | 2031-09-30      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                                             | Rad CLO 18 Ltd                                                                  | CUSIP: 75009AAU4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   22150000 | PA      | $22205264.25   | 0.07%             | 2037-07-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418CUA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11654276 | PA      | $10857865.10   | 0.03%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                     | Dominion Energy Inc                                                             | CUSIP: 25746UEA3<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   35570000 | PA      | $35853492.90   | 0.11%             | 2056-02-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KK3F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   65446563 | PA      | $53346810.67   | 0.17%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-26389.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 31395DXX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     353216 | PA      | $384348.66     | 0.00%             | 2036-04-25      | Floating      | 11.12%                | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                                          | Carrington Mortgage Loan Trust Series 2006-NC3                                  | CUSIP: 144528AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   46429000 | PA      | $39180634.52   | 0.12%             | 2036-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Fort Bend Independent School District                                   | FORT BEND TX INDEP SCH DIST                                                     | CUSIP: 346843VR3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    2860000 | PA      | $2942107.74    | 0.01%             | 2053-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TransDigm Inc                                                           | TransDigm Inc 2025 Term Loan M                                                  | CUSIP: 89364MCE2<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |    5610846 | PA      | $5611126.74    | 0.02%             | 2032-08-19      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                                      | JP Morgan Alternative Loan Trust                                                | CUSIP: 46628GAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3564869 | PA      | $1985000.67    | 0.01%             | 2036-05-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                        | CSC Holdings LLC                                                                | CUSIP: 126307BN6<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |   29167000 | PA      | $24637073.23   | 0.08%             | 2029-01-31      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| Astrion Group, LLC                                                      | Astrion Group LLC 2024 Term Loan                                                | CUSIP: 29288KAE7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2992462 | PA      | $2910169.13    | 0.01%             | 2031-08-29      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| X Corp.                                                                 | X Corp Term Loan                                                                | CUSIP: 90184NAG3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    4326359 | PA      | $4250041.77    | 0.01%             | 2029-10-26      | Floating      | 10.96%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UXJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2785575 | PA      | $2532697.06    | 0.01%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Navarro Independent School District                                     | NAVARRO TX INDEP SCH DIST                                                       | CUSIP: 639285SV8<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    2250000 | PA      | $2337851.25    | 0.01%             | 2055-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                  | US ULTRA BOND CBT DEC25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       8100 | NC      | $26761096.66   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KKU23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7374862 | PA      | $6011398.30    | 0.02%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                        | CIFC Funding 2017-IV Ltd                                                        | CUSIP: 12551JAN6<br>LEI: 254900JEH56UBUEZJW15 | Long             | ABS-CBDO         | CORP              | KY        |    3475000 | PA      | $3478391.60    | 0.01%             | 2030-10-24      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| MICHAELS COS INC/THE                                                    | Michaels Cos Inc/The                                                            | CUSIP: 55916AAA2<br>LEI: 549300H9LWMBP7HYLR98 | Long             | DBT              | CORP              | US        |   25524000 | PA      | $23533893.72   | 0.07%             | 2028-05-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QKVC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   50782523 | PA      | $43556219.27   | 0.13%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SJW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     437696 | PA      | $447498.74     | 0.00%             | 2046-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |          1 | NC      | $-136108.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140KSVF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  390452108 | PA      | $316505538.72  | 0.98%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2020-R6                                                               | CUSIP: 12560YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   60554272 | PA      | $55031060.79   | 0.17%             | 2060-12-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                              | Progress Residential 2021-SFR7 Trust                                            | CUSIP: 74333PAN7<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   23777000 | PA      | $22434812.13   | 0.07%             | 2040-08-17      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                                                 | Imperial Brands Finance PLC                                                     | CUSIP: 45262BAB9<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    4997000 | PA      | $4962620.64    | 0.02%             | 2026-07-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SB71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1571575 | PA      | $1423439.84    | 0.00%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CPA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 2135650000 | PA      | $2124888331.51 | 6.58%             | 2030-09-30      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Cleanova US Holdings LLC                                                | Cleanova US Holdings LLC 2025 Term Loan B                                       | CUSIP: 000000000<br>LEI: 254900Q8HEK85N92G859 | Long             | LON              | CORP              | US        |    2121094 | PA      | $2121094.03    | 0.01%             | 2032-06-14      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                              | Progress Residential Trust                                                      | CUSIP: 74333HAL9<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    3973000 | PA      | $3890130.37    | 0.01%             | 2038-07-17      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                         | Securitized Asset Backed Receivables LLC Trust 2006-CB5                         | CUSIP: 81376WAC9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | ABS-O            | CORP              | US        |     167665 | PA      | $114282.68     | 0.00%             | 2036-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Northwest Independent School District                                   | NORTHWEST TX INDEP SCH DIST                                                     | CUSIP: 667826HF1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   11395000 | PA      | $11855904.96   | 0.04%             | 2055-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UH47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5807 | PA      | $5551.71       | 0.00%             | 2048-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |          1 | NC      | $22921.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 31394VYX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18463 | PA      | $18588.68      | 0.00%             | 2036-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Romania Government International Bonds                                  | Romania Government International Bonds                                          | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    9384000 | PA      | $8360111.76    | 0.03%             | 2032-03-27      | Fixed         | 3.63%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38384ELE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34770433 | PA      | $34761805.16   | 0.11%             | 2053-08-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| HEARTLAND DENTAL LLC                                                    | Heartland Dental LLC 2025 Term Loan                                             | CUSIP: 42236WAX5<br>LEI: 5493008FRC0GRKBN1075 | Long             | LON              | CORP              | US        |    5678407 | PA      | $5675596.34    | 0.02%             | 2032-08-25      | Floating      | 7.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UVX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6789703 | PA      | $6173325.80    | 0.02%             | 2049-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-2                                                   | CUSIP: 784442AD7<br>LEI: 549300MHMWVKFEDI8G73 | Long             | ABS-O            | CORP              | US        |   38874000 | PA      | $40096252.98   | 0.12%             | 2083-01-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                  | Extra Space Storage LP                                                          | CUSIP: 30225VAM9<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |     928000 | PA      | $921875.20     | 0.00%             | 2027-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2021-R3                                                               | CUSIP: 12566LAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  138237606 | PA      | $128773085.60  | 0.40%             | 2057-06-25      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| Elanco Animal Health Incorporated                                       | Elanco Animal Health Inc Term Loan B                                            | CUSIP: 28414BAF3<br>LEI: 549300SHPNDCE059M934 | Long             | LON              | CORP              | US        |    1314784 | PA      | $1314816.80    | 0.00%             | 2027-08-01      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS                            | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust  | CUSIP: 9393366H1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2021565 | PA      | $1759709.26    | 0.01%             | 2035-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                      | Realty Income Corp                                                              | CUSIP: 000000000<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              |  | US        |   23965000 | PA      | $30220943.37   | 0.09%             | 2030-07-06      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                     | American Tower Corp                                                             | CUSIP: 03027XBA7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    2025000 | PA      | $1909129.50    | 0.01%             | 2030-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UCB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3473331 | PA      | $3320894.41    | 0.01%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2006-2                                                   | CUSIP: 78442GRX6<br>LEI: 5493007758ACJK074H95 | Long             | ABS-O            | CORP              | US        |   15739475 | PA      | $15460544.68   | 0.05%             | 2041-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |          1 | NC      | $-5962.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                                | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAJ0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    5900000 | PA      | $5806249.00    | 0.02%             | 2027-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2003-12                                                  | CUSIP: 78442GKD7<br>LEI: GX18J72G8XB30P3MQA62 | Long             | ABS-O            | CORP              | US        |      23711 | PA      | $22898.61      | 0.00%             | 2068-12-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| X Corp.                                                                 | X Corp 2025 Fixed Term Loan                                                     | CUSIP: 90184NAK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3208792 | PA      | $3223279.28    | 0.01%             | 2029-10-26      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| NAKED JUICE LLC                                                         | Naked Juice LLC 2025 FLTO Term Loan                                             | CUSIP: 62984CAN3<br>LEI: 549300Y5TU1XQ1KVLJ64 | Long             | LON              | CORP              | US        |    2008073 | PA      | $840047.08     | 0.00%             | 2030-01-24      | Floating      | 10.10%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140M2TJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   64417801 | PA      | $52150504.47   | 0.16%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   37037726 | PA      | $29997425.80   | 0.09%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Dave & Buster's, Inc.                                                   | Dave & Buster's Inc 2024 1st Lien Term Loan B                                   | CUSIP: 23833EAY0<br>LEI: 549300JAVWTAY1FT5Z45 | Long             | LON              | CORP              | US        |    4755680 | PA      | $4407921.09    | 0.01%             | 2031-11-01      | Floating      | 7.56%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2007-QS4 Trust                                                      | CUSIP: 74923HBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18389354 | PA      | $226411.56     | 0.00%             | 2037-03-25      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                         | Lehman XS Trust Series 2005-5N                                                  | CUSIP: 86359DUR6<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | ABS-MBS          | CORP              | US        |     254789 | PA      | $254521.16     | 0.00%             | 2035-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| SMBC AVIATION CAPITAL FI                                                | SMBC Aviation Capital Finance DAC                                               | CUSIP: 78448TAN2<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |    4410000 | PA      | $4513679.10    | 0.01%             | 2030-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2020-R7                                                               | CUSIP: 12563GAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  147628466 | PA      | $137073355.78  | 0.42%             | 2061-12-27      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| STARBUCKS CORP                                                          | Starbucks Corp                                                                  | CUSIP: 855244BL2<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |   27035000 | PA      | $27608142.00   | 0.09%             | 2030-05-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MAD55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6559755 | PA      | $6218439.32    | 0.02%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                                                 | Jersey Central Power & Light Co                                                 | CUSIP: 476556DD4<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |     820000 | PA      | $734679.00     | 0.00%             | 2032-03-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0206A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  162200000 | PA      | $130834412.80  | 0.41%             | 2055-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-280.65       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-42314.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20753WAE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9820161 | PA      | $10000111.40   | 0.03%             | 2039-10-25      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                         | CVS Health Corp                                                                 | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   12700000 | PA      | $11536934.00   | 0.04%             | 2045-07-20      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust                             | MF1 2022-FL8 Ltd                                                                | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   17969218 | PA      | $17974566.90   | 0.06%             | 2037-02-19      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                        | IndyMac INDX Mortgage Loan Trust 2004-AR7                                       | CUSIP: 45660NT96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29599 | PA      | $25845.32      | 0.00%             | 2034-09-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                  | Residential Asset Securitization Trust 2004-IP2                                 | CUSIP: 45660LAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     176508 | PA      | $172658.41     | 0.00%             | 2034-12-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| GLOBAL SWITCH FINANCE                                                   | Global Switch Finance BV                                                        | CUSIP: 000000000<br>LEI: 635400GVJAKOJNEUMF33 | Long             | DBT              | CORP              | NL        |   63777000 | PA      | $70945265.50   | 0.22%             | 2030-10-07      | Fixed         | 1.38%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DNJX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14370037 | PA      | $11633502.94   | 0.04%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140Q9N25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13058513 | PA      | $12878326.49   | 0.04%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                         | Lehman XS Trust Series 2006-12N                                                 | CUSIP: 525226AG1<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | ABS-MBS          | CORP              | US        |    5409531 | PA      | $5665598.92    | 0.02%             | 2046-08-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                        | CSC Holdings LLC                                                                | CUSIP: 126307BA4<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    3758000 | PA      | $1435819.06    | 0.00%             | 2030-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31368HMY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     243723 | PA      | $253516.11     | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-3                                                   | CUSIP: 78444GAC8<br>LEI: 549300OORAXMFXOHG132 | Long             | ABS-O            | CORP              | US        |       5393 | PA      | $5368.59       | 0.00%             | 2021-10-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| CIT EDUCATION LOAN TRUST                                                | CIT Education Loan Trust 2007-1                                                 | CUSIP: 17284LAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4591541 | PA      | $4289541.83    | 0.01%             | 2042-06-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179RZV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     139881 | PA      | $138945.91     | 0.00%             | 2046-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MS2X7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1990 | PA      | $2071.94       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2007-QS8 Trust                                                      | CUSIP: 74922UAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   43522433 | PA      | $754265.52     | 0.00%             | 2037-06-25      | Variable      | 0.45%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                 | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              |  | US        |   13180000 | PA      | $13440568.60   | 0.04%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                                                 | Jersey Central Power & Light Co                                                 | CUSIP: 476556CP8<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    1404000 | PA      | $1541128.68    | 0.00%             | 2036-05-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2007-A3                                                | CUSIP: 46630UAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     955131 | PA      | $807363.73     | 0.00%             | 2037-05-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                              | Intel Corp                                                                      | CUSIP: 458140CB4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    6685000 | PA      | $5759060.65    | 0.02%             | 2052-08-05      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   74169672 | PA      | $60315560.21   | 0.19%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GUGGENHEIM PARTNERS LLC                                                 | Guggenheim Partners LLC 2024 Term Loan B                                        | CUSIP: 36173YAB6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2258778 | PA      | $2268942.94    | 0.01%             | 2031-11-26      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust                                                | DSLA Mortgage Loan Trust 2004-AR4                                               | CUSIP: 23332UBV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     898179 | PA      | $682802.76     | 0.00%             | 2045-01-19      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31417ACR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4702884 | PA      | $4486011.00    | 0.01%             | 2041-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                          | Structured Adjustable Rate Mortgage Loan Trust Series 2006-12                   | CUSIP: 86362RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11937281 | PA      | $11545253.44   | 0.04%             | 2037-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418CJE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15625470 | PA      | $14993673.35   | 0.05%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER CO                                                    | Appalachian Power Co                                                            | CUSIP: 037735DB0<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |   18900000 | PA      | $19755981.00   | 0.06%             | 2034-04-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                         | CVS Health Corp                                                                 | CUSIP: 126650EH9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   19060000 | PA      | $20070370.60   | 0.06%             | 2055-03-10      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                     | Elevance Health Inc                                                             | CUSIP: 036752BK8<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   16090000 | PA      | $15982357.90   | 0.05%             | 2036-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Securities                                     | Banc of America Mortgage 2004-F Trust                                           | CUSIP: 05949AHR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11337 | PA      | $10961.49      | 0.00%             | 2034-07-25      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| NATL GAS TRANSMISSION                                                   | National Gas Transmission PLC                                                   | CUSIP: 000000000<br>LEI: FPCHGTHKVH9ZWXS7S453 | Long             | DBT              | CORP              | GB        |   19220000 | PA      | $23674955.82   | 0.07%             | 2030-04-05      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Republic of South Africa Government International Bonds                 | Republic of South Africa Government International Bonds                         | CUSIP: 836205AU8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    1248000 | PA      | $1229866.56    | 0.00%             | 2028-10-12      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                                      | Chase Mortgage Finance Trust Series 2006-A1                                     | CUSIP: 16163CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     269235 | PA      | $241954.64     | 0.00%             | 2036-09-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                                | BDL2CXRV1 FWDP 2Y RTP SWAPTION                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        | 1568682000 | NC      | $584647.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Xerox Holdings Corp                                                     | Xerox Holdings Corp 2023 Term Loan B                                            | CUSIP: 98415LAY2<br>LEI: 4KF48RN45X1OO8UBLY20 | Long             | LON              | CORP              | US        |    9688588 | PA      | $9016442.04    | 0.03%             | 2029-11-19      | Floating      | 8.16%                 | 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        |    1507846 | PA      | $1492849.20    | 0.00%             | 2045-10-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                                        | Altria Group Inc                                                                | CUSIP: 02209SBN2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     995000 | PA      | $718658.65     | 0.00%             | 2051-02-04      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ER5G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   58271002 | PA      | $57763153.18   | 0.18%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LONDON POWER NETWORKS                                                   | London Power Networks PLC                                                       | CUSIP: 000000000<br>LEI: 213800JDI3GTKPG4XI38 | Long             | DBT              | CORP              | GB        |     800000 | PA      | $939417.01     | 0.00%             | 2037-06-11      | Fixed         | 3.84%                 | Yes           |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2023-R3                                                               | CUSIP: 12570GAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  180744541 | PA      | $175130145.52  | 0.54%             | 2063-01-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| AI AQUA MERGER SUB INC                                                  | AI Aqua Merger Sub Inc 2024 1st Lien Term Loan B                                | CUSIP: 00132UAP9<br>LEI: 5493005QMH1D47U26R45 | Long             | LON              | CORP              | US        |    2814847 | PA      | $2823587.24    | 0.01%             | 2028-07-31      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                                        | Freddie Mac Strips                                                              | CUSIP: 3132HTWM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1591592 | PA      | $1584368.62    | 0.00%             | 2043-11-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| EUROGRID GMBH                                                           | Eurogrid GmbH                                                                   | CUSIP: 000000000<br>LEI: 967600Q53854Z2NBCC81 | Long             | DBT              | CORP              | DE        |    7300000 | PA      | $7009788.92    | 0.02%             | 2033-04-21      | Fixed         | 0.74%                 | Yes           |                  2 | On Loan: No      |
| ChaseFlex Trust                                                         | ChaseFlex Trust Series 2006-2                                                   | CUSIP: 16165MAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3331119 | PA      | $2807865.31    | 0.01%             | 2036-09-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TCZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32630 | PA      | $32335.13      | 0.00%             | 2047-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Barracuda Networks Inc                                                  | Barracuda Networks Inc 2022 Term Loan                                           | CUSIP: 06832FAB3<br>LEI: 549300CXGRZWNMPU8080 | Long             | LON              | CORP              | US        |    4811981 | PA      | $4056812.61    | 0.01%             | 2029-08-15      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Company LLC                                           | Vistra Operations Company LLC 1st Lien Term Loan B3                             | CUSIP: 88233FAK6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | LON              | CORP              | US        |    7785157 | PA      | $7804892.24    | 0.02%             | 2030-12-20      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138A5FW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5140696 | PA      | $5013752.11    | 0.02%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |          1 | NC      | $-5284.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Equity One ABS Inc                                                      | Equity One Mortgage Pass-Through Trust 2002-4                                   | CUSIP: 294751BE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       1944 | PA      | $1909.11       | 0.00%             | 2033-02-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136B64Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21578801 | PA      | $21217234.27   | 0.07%             | 2049-11-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                                           | RFMSI Series 2006-SA4 Trust                                                     | CUSIP: 74958CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24165 | PA      | $20416.86      | 0.00%             | 2036-11-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED AUD / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | AU        |          1 | NC      | $128645.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Farmers Exchange Capital                                                | Farmers Exchange Capital                                                        | CUSIP: 309588AE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   18415000 | PA      | $19038163.60   | 0.06%             | 2048-07-15      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| New York City Transitional Finance Authority                            | NEW YORK CITY NY TRANSITIONAL FIN AUTH REV                                      | CUSIP: 64972JWN4<br>LEI: 5493003476LG35QAKM08 | Long             | DBT              | MUN               | US        |    5065000 | PA      | $5305673.61    | 0.02%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   40761610 | PA      | $37857380.31   | 0.12%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp                                     | JP Morgan Mortgage Acquisition Trust 2007-HE1                                   | CUSIP: 46630KAU0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     222869 | PA      | $211541.04     | 0.00%             | 2047-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                                | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAG0<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    2200000 | PA      | $2178418.00    | 0.01%             | 2028-11-03      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   66470403 | PA      | $60243674.24   | 0.19%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140Q8DA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24689 | PA      | $23074.73      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                              | Intel Corp                                                                      | CUSIP: 458140BJ8<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   40022000 | PA      | $26645046.72   | 0.08%             | 2049-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                             | Asurion LLC 2021 Second Lien Term Loan B4                                       | CUSIP: 04649VBA7<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |    2763706 | PA      | $2651817.74    | 0.01%             | 2029-01-20      | Floating      | 9.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31417AP78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4433735 | PA      | $4232598.94    | 0.01%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Medina Valley Independent School District                               | MEDINA VLY TX INDEP SCH DIST                                                    | CUSIP: 584887WW9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    1570000 | PA      | $1594614.46    | 0.00%             | 2050-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418ATR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11817 | PA      | $11406.47      | 0.00%             | 2033-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9320090 | PA      | $8656041.44    | 0.03%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY PENN ELECTRI                                                | FirstEnergy Pennsylvania Electric Co                                            | CUSIP: 708696CA5<br>LEI: O1PLQWO3TX952VMBJ146 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3012210.00    | 0.01%             | 2026-03-30      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                 | GSR Mortgage Loan Trust 2004-9                                                  | CUSIP: 36242DBU6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | ABS-MBS          | CORP              | US        |       3216 | PA      | $3207.47       | 0.00%             | 2034-08-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179RLR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20664 | PA      | $20526.31      | 0.00%             | 2045-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJZ45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8319976 | PA      | $7993003.31    | 0.02%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179MVU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25593 | PA      | $25563.15      | 0.00%             | 2042-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MABR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   43937639 | PA      | $41849878.00   | 0.13%             | 2044-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Grifols Worldwide Operations USA Inc                                    | Grifols Worldwide Operations USA Inc 2019 USD Term Loan B                       | CUSIP: 39843PAG8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3113883 | PA      | $3108137.57    | 0.01%             | 2027-11-15      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                              | Progress Residential 2021-SFR8 Trust                                            | CUSIP: 74333TAJ8<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   17400000 | PA      | $17008559.16   | 0.05%             | 2038-10-17      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                               | Structured Asset Mortgage Investments II Trust 2006-AR8                         | CUSIP: 86361XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6969858 | PA      | $6245483.55    | 0.02%             | 2036-10-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                                 | GLP Capital LP / GLP Financing II Inc                                           | CUSIP: 361841AK5<br>LEI: N/A                  | Long             | DBT              |  | US        |   24498000 | PA      | $25194723.12   | 0.08%             | 2028-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31385HUQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        895 | PA      | $938.13        | 0.00%             | 2031-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 31398NQJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1312807 | PA      | $116586.39     | 0.00%             | 2040-10-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                              | Bear Stearns Asset Backed Securities I Trust 2006-HE9                           | CUSIP: 07389MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1588574 | PA      | $1578501.89    | 0.00%             | 2036-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJZF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   39012067 | PA      | $35357545.17   | 0.11%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38380RQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   58406305 | PA      | $4337001.04    | 0.01%             | 2063-05-16      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3131XU6Q5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10024894 | PA      | $9074917.94    | 0.03%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ3A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31449 | PA      | $29335.53      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29781580 | PA      | $27746414.46   | 0.09%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INTELSAT EMERGENCE SA                                                   | INTELSAT EMERGENCE SA                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | LU        |    1305664 | NS      | $731171.84     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Zayo Group Holdings Inc                                                 | Zayo Group Holdings Inc USD Term Loan                                           | CUSIP: 98919XAB7<br>LEI: 529900Z6OTS7RT0V0I47 | Long             | LON              | CORP              | US        |    6475487 | PA      | $6401148.37    | 0.02%             | 2027-03-09      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38376T2W1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21291 | PA      | $2199.62       | 0.00%             | 2040-01-16      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2325000 | PA      | $2399376.75    | 0.01%             | 2035-07-19      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                          | Structured Adjustable Rate Mortgage Loan Trust Series 2005-12                   | CUSIP: 863579SU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     184246 | PA      | $156327.90     | 0.00%             | 2035-06-25      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179S2R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1082670 | PA      | $1072897.75    | 0.00%             | 2047-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                      | Alternative Loan Trust 2007-J1                                                  | CUSIP: 02149MAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     517031 | PA      | $138615.07     | 0.00%             | 2037-03-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31419AEL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19790 | PA      | $19816.98      | 0.00%             | 2040-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LA FRANCAISE DES JEUX SA                                                | La Francaise des Jeux SACA                                                      | CUSIP: 000000000<br>LEI: 969500R4CLSQFTYYI535 | Long             | DBT              | CORP              | FR        |   17900000 | PA      | $20701654.63   | 0.06%             | 2033-11-21      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140Q9SR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19514506 | PA      | $18850328.43   | 0.06%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                                                    | Pilgrim's Pride Corp                                                            | CUSIP: 72147KAH1<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |   56833000 | PA      | $52080056.21   | 0.16%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ARDAGH PKG FIN/HLDGS USA                                                | Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc                          | CUSIP: 03969AAR1<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   20340000 | PA      | $8141288.40    | 0.03%             | 2027-08-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                                                 | American Electric Power Co Inc                                                  | CUSIP: 02557TAE9<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   58030000 | PA      | $57859972.10   | 0.18%             | 2056-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| GREAT CAN GAMING/RAPTOR                                                 | Great Canadian Gaming Corp/Raptor LLC                                           | CUSIP: 389925AA6<br>LEI: 549300FU60SSFLTE0M84 | Long             | DBT              | CORP              | XX        |    4430000 | PA      | $4383263.50    | 0.01%             | 2029-11-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TC29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8645543 | PA      | $8796652.64    | 0.03%             | 2047-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  206275562 | PA      | $174708464.03  | 0.54%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                   | MASTR Adjustable Rate Mortgages Trust 2004-8                                    | CUSIP: 576433QR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     930433 | PA      | $896761.32     | 0.00%             | 2034-09-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Virgin Media Bristol LLC                                                | Virgin Media Bristol LLC USD Term Loan N                                        | CUSIP: 000000000<br>LEI: 213800IQ982XX69LE276 | Long             | LON              | CORP              | US        |     746815 | PA      | $746930.90     | 0.00%             | 2028-01-31      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     100876 | PA      | $82137.81      | 0.00%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24064 | PA      | $22605.19      | 0.00%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                          | HarborView Mortgage Loan Trust 2006-5                                           | CUSIP: 41161MAA8<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |   32967531 | PA      | $10311122.66   | 0.03%             | 2047-07-19      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                                     | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | XX        |          1 | NC      | $94884.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2006-AR7 Trust                   | CUSIP: 93363CAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3852868 | PA      | $3643830.21    | 0.01%             | 2046-07-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| SOUTH FIELD LLC                                                         | South Field LLC 2025 Term Loan C                                                | CUSIP: 83783XAE6<br>LEI: 549300M3RBW5ZIH20760 | Long             | LON              | CORP              | US        |     147323 | PA      | $147875.13     | 0.00%             | 2031-08-29      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |          1 | NC      | $4277.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                          | Air Lease Corp                                                                  | CUSIP: 00914AAE2<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    2090000 | PA      | $1986189.70    | 0.01%             | 2029-10-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| MASTR Seasoned Securitization Trust                                     | MASTR Seasoned Securitization Trust 2004-1                                      | CUSIP: 55265WBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5753 | PA      | $5664.43       | 0.00%             | 2032-10-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2006-QS8 Trust                                                      | CUSIP: 75115AAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   41041209 | PA      | $1170437.83    | 0.00%             | 2036-08-25      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Equity One ABS Inc                                                      | Popular ABS Inc                                                                 | CUSIP: 294751AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43668 | PA      | $42469.45      | 0.00%             | 2029-11-25      | Variable      | 7.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140Q83U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60852 | PA      | $60012.42      | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140Q8KD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2105674 | PA      | $1961780.04    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418CU77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15421865 | PA      | $14343055.44   | 0.04%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                         | Lehman XS Trust Series 2005-7N                                                  | CUSIP: 525221EM5<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | ABS-MBS          | CORP              | US        |     200037 | PA      | $187687.46     | 0.00%             | 2035-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SWZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27093376 | PA      | $26913137.87   | 0.08%             | 2047-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   59601316 | PA      | $52059901.11   | 0.16%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bausch & Lomb Corporation                                               | Bausch & Lomb Corporation 2025 Term Loan B                                      | CUSIP: 000000000<br>LEI: 549300NY6OZM39SO6475 | Long             | LON              | CORP              | CA        |    3838479 | PA      | $3845676.18    | 0.01%             | 2031-01-15      | Floating      | 8.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVKQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11809226 | PA      | $10992998.92   | 0.03%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GRIFOLS SA                                                              | Grifols SA                                                                      | CUSIP: 000000000<br>LEI: 959800HSSNXWRKBK4N60 | Long             | DBT              | CORP              | ES        |   25995000 | PA      | $29913382.84   | 0.09%             | 2028-10-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| WORLDLINE SA/FRANCE                                                     | Worldline SA/France                                                             | CUSIP: 000000000<br>LEI: 549300CJMQNCA0U4TS33 | Long             | DBT              | CORP              | FR        |   27407200 | PA      | $30696331.93   | 0.10%             | 2026-07-30      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| CASTLE US HOLDING CORPORATION                                           | Castle US Holding Corporation 2025 New Money FLFO Term Loan                     | CUSIP: 14852DAG6<br>LEI: 254900VXLMLPIE9ID612 | Long             | LON              | CORP              | US        |     322893 | PA      | $327274.90     | 0.00%             | 2030-04-29      | Floating      | 9.20%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust                                                | DSLA Mortgage Loan Trust 2005-AR3                                               | CUSIP: 23332UDU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      53454 | PA      | $52165.06      | 0.00%             | 2045-07-19      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| WERFEN SA/SPAIN                                                         | Werfen SA/Spain                                                                 | CUSIP: 000000000<br>LEI: 9598003BHZ02SG7LKD16 | Long             | DBT              | CORP              | ES        |    2800000 | PA      | $3308390.44    | 0.01%             | 2032-02-12      | Fixed         | 3.63%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EHK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  277589256 | PA      | $270653765.97  | 0.84%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Jersey City Municipal Utilities Authority                               | JERSEY CITY NJ MUNI UTILITIES AUTH                                              | CUSIP: 476624BH3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     125000 | PA      | $127349.25     | 0.00%             | 2027-05-15      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0526A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  277000000 | PA      | $279354500.00  | 0.87%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $1213.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-30954.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US BANCORP                                                              | US Bancorp                                                                      | CUSIP: 91159HJR2<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    2715000 | PA      | $2862153.00    | 0.01%             | 2035-01-23      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                   | Mexico Government International Bonds                                           | CUSIP: 91087BAV2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    7168000 | PA      | $7583887.36    | 0.02%             | 2035-02-09      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                  | CHL Mortgage Pass-Through Trust 2004-14                                         | CUSIP: 12669FT52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     492056 | PA      | $467610.95     | 0.00%             | 2034-08-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                              | Progress Residential 2021-SFR8 Trust                                            | CUSIP: 74333TAL3<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   13425000 | PA      | $13111757.16   | 0.04%             | 2038-10-17      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Securities                                     | Banc of America Mortgage 2007-1 Trust                                           | CUSIP: 05952HAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     306249 | PA      | $263701.83     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2006-QA1 Trust                                                      | CUSIP: 761118TB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7178439 | PA      | $4810809.86    | 0.01%             | 2036-01-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                       | First Franklin Mortgage Loan Trust 2006-FF5                                     | CUSIP: 32027EAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     771867 | PA      | $770343.56     | 0.00%             | 2036-04-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                                | Madison Park Funding XXIV Ltd                                                   | CUSIP: 55820NAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9422618 | PA      | $9425143.12    | 0.03%             | 2029-10-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SGP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      99356 | PA      | $101580.92     | 0.00%             | 2046-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                   | Mexico Government International Bonds                                           | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   11840000 | PA      | $10305062.40   | 0.03%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWFF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  213180438 | PA      | $207788264.94  | 0.64%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136B72K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63592 | PA      | $62624.63      | 0.00%             | 2050-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| SHOWTIME ACQUISITION LLC                                                | Showtime Acquisition LLC 2024 1st Lien Term Loan                                | CUSIP: 82540EAC8<br>LEI: 54930002EOYTEFEJFW69 | Long             | LON              | CORP              | US        |    7353991 | PA      | $7390760.87    | 0.02%             | 2031-08-16      | Floating      | 8.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 31395XW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     420428 | PA      | $48584.76      | 0.00%             | 2035-08-15      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae                                                                      | CUSIP: 21H0226A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  428675000 | PA      | $369068384.26  | 1.14%             | 2055-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 61748UAF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   16250000 | PA      | $17030812.50   | 0.05%             | 2036-01-18      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                                    | Enel Finance International NV                                                   | CUSIP: 000000000<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    9445000 | PA      | $11274883.85   | 0.03%             | 2043-02-20      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   66030000 | PA      | $64191724.80   | 0.20%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2019-R1                                                               | CUSIP: 12555VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   32155167 | PA      | $30043911.42   | 0.09%             | 2058-10-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| WESTERN AUST TREAS CORP                                                 | Western Australian Treasury Corp                                                | CUSIP: 000000000<br>LEI: 213800FKHP5ME5Y3CF47 | Long             | DBT              | NUSS              | AU        |   55745000 | PA      | $36840434.13   | 0.11%             | 2037-10-21      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FEDERAL REALTY OP LP                                                    | Federal Realty OP LP                                                            | CUSIP: 313747AF4<br>LEI: 549300LI6XZ51GOCJ427 | Long             | DBT              |  | US        |   18825000 | PA      | $19209783.00   | 0.06%             | 2026-08-15      | Fixed         | 7.48%                 | No            |                  2 | On Loan: No      |
| OREGON TOOL INC                                                         | Oregon Tool Inc 2025 2nd Lien Term Loan                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |   12087161 | PA      | $9431007.50    | 0.03%             | 2029-10-15      | Floating      | 8.45%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                         | Impac CMB Trust Series 2005-1                                                   | CUSIP: 45254NML8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1062254 | PA      | $1029922.59    | 0.00%             | 2035-04-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                                     | Banc of America Funding 2006-D Trust                                            | CUSIP: 058933AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1994684 | PA      | $1783110.98    | 0.01%             | 2036-05-20      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| WAMU Asset-Backed Certificates                                          | WaMu Asset-Backed Certificates WaMu Series 2007-HE1 Trust                       | CUSIP: 933631AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2659419 | PA      | $1212163.61    | 0.00%             | 2037-01-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| BCPE FLAVOR DEBT/ISSUER                                                 | BCPE Flavor Debt Merger Sub LLC and BCPE Flavor Issuer Inc                      | CUSIP: 072933AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5120000 | PA      | $5362636.80    | 0.02%             | 2032-07-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QNCD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   62961629 | PA      | $51311654.02   | 0.16%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corporation Trust                              | HSI Asset Securitization Corp Trust 2006-HE1                                    | CUSIP: 44328AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   48868738 | PA      | $13130037.94   | 0.04%             | 2036-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                              | Intel Corp                                                                      | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    8117000 | PA      | $5153564.47    | 0.02%             | 2051-08-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2007-QS7 Trust                                                      | CUSIP: 74923WAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18489508 | PA      | $175694.70     | 0.00%             | 2037-06-25      | Variable      | 0.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179U3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2666114 | PA      | $2355137.45    | 0.01%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2007-HY7 Trust                   | CUSIP: 93364FAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     120000 | PA      | $109533.62     | 0.00%             | 2037-07-25      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| MODIVCARE INC                                                           | MODIVCARE INC 2025 DIP TERM LOAN                                                | CUSIP: 000000000<br>LEI: 549300EFZIFW7F7I0Q28 | Long             | LON              | CORP              | US        |    2860582 | PA      | $2831976.46    | 0.01%             | 2026-02-22      | Floating      | 11.14%                | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    5605000 | PA      | $5858850.45    | 0.02%             | 2036-01-28      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-7                                                   | CUSIP: 78445FAE5<br>LEI: 54930067BGNOZYMNWK87 | Long             | ABS-O            | CORP              | US        |   17206000 | PA      | $17119734.28   | 0.05%             | 2083-07-26      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38383LPG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7251684 | PA      | $7302417.96    | 0.02%             | 2052-11-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                                  | Rockford Tower CLO 2017-3 Ltd                                                   | CUSIP: 77341DAA5<br>LEI: 549300V5ZF7112UGSH89 | Long             | ABS-CBDO         | CORP              | KY        |     921948 | PA      | $922746.22     | 0.00%             | 2030-10-20      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136A7N65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4650952 | PA      | $4462928.88    | 0.01%             | 2042-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Taurus CMBS                                                             | Taurus 2021-4 UK DAC                                                            | CUSIP: 000000000<br>LEI: 6354001CXJE7XMMVG324 | Long             | ABS-MBS          | CORP              | IE        |    2795554 | PA      | $3768923.54    | 0.01%             | 2031-08-17      | Floating      | 6.09%                 | Yes           |                  2 | On Loan: No      |
| MVM ENERGETIKA ZRT                                                      | MVM Energetika Zrt                                                              | CUSIP: 000000000<br>LEI: 529900ELI5AQ9F74PF85 | Long             | DBT              | CORP              | HU        |    2988000 | PA      | $3171015.00    | 0.01%             | 2031-03-13      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Chicago Board of Trade                                                  | US 10YR ULTRA FUT DEC25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         69 | NC      | $81822.27      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWJF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  154105482 | PA      | $155849085.61  | 0.48%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Cordatus CLO PLC                                                        | CVC Cordatus Loan Fund VIII DAC                                                 | CUSIP: 000000000<br>LEI: 6354005PH9S8HT3WW464 | Long             | ABS-CBDO         | CORP              | IE        |    8200000 | PA      | $9617472.01    | 0.03%             | 2034-07-15      | Floating      | 3.43%                 | Yes           |                  2 | On Loan: No      |
| Alta Wind Holdings LLC                                                  | Alta Wind Holdings LLC                                                          | CUSIP: 021345AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2923028 | PA      | $2860387.47    | 0.01%             | 2035-06-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FKVT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1680315 | PA      | $1574105.89    | 0.00%             | 2049-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140F9WL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34338 | PA      | $32108.43      | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MXT25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56132 | PA      | $58455.23      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                                                        | CSC Holdings LLC                                                                | CUSIP: 126307BD8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |    4879000 | PA      | $1719408.39    | 0.01%             | 2030-12-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                            | Csmc 2021-Nqm6 Trust                                                            | CUSIP: 12662KAA7<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    5265275 | PA      | $4525676.97    | 0.01%             | 2066-07-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| CCRR Parent Inc                                                         | CCRR Parent Inc Term Loan B                                                     | CUSIP: 12510MAB5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    4619775 | PA      | $1570723.42    | 0.00%             | 2028-03-06      | Floating      | 8.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18159678 | PA      | $17000451.58   | 0.05%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138WK4Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18782997 | PA      | $18022582.56   | 0.06%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                         | C-BASS Mortgage Loan Trust 2007-CB2                                             | CUSIP: 1248MBAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15018988 | PA      | $8785430.60    | 0.03%             | 2037-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                       | Citigroup Mortgage Loan Trust 2006-WF2                                          | CUSIP: 17309BAL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   25772660 | PA      | $12780927.71   | 0.04%             | 2036-05-25      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                  | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-52671.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38381DD56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31255999 | PA      | $2374236.98    | 0.01%             | 2063-11-16      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132ACJW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1155167 | PA      | $1081205.45    | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELEC POWER                                                 | Southwestern Electric Power Co                                                  | CUSIP: 845437BQ4<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |   17395000 | PA      | $13125919.10   | 0.04%             | 2048-02-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| VONOVIA SE                                                              | Vonovia SE                                                                      | CUSIP: 000000000<br>LEI: 5299005A2ZEP6AP7KM81 | Long             | DBT              | CORP              | DE        |    1900000 | PA      | $1501958.72    | 0.00%             | 2041-06-14      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| BLACKROCK INC                                                           | Blackrock Inc                                                                   | CUSIP: 000000000<br>LEI: 529900VBK42Y5HHRMD23 | Long             | DBT              | CORP              | US        |   19895000 | PA      | $23979970.90   | 0.07%             | 2035-07-18      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Intel Corp                                                              | Intel Corp                                                                      | CUSIP: 458140BG4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    7561000 | PA      | $5568147.23    | 0.02%             | 2047-12-08      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust                          | Securitized Asset Backed Receivables LLC Trust 2007-BR1                         | CUSIP: 81378KAC3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | ABS-O            | CORP              | US        |   23849016 | PA      | $10120196.56   | 0.03%             | 2037-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| VONOVIA SE                                                              | Vonovia SE                                                                      | CUSIP: 000000000<br>LEI: 5299005A2ZEP6AP7KM81 | Long             | DBT              | CORP              | DE        |   13800000 | PA      | $9088419.44    | 0.03%             | 2035-09-03      | Fixed         | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ERG38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12131365 | PA      | $11382701.99   | 0.04%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20652575 | PA      | $19334213.83   | 0.06%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALLIANT ENERGY FINANCE                                                  | Alliant Energy Finance LLC                                                      | CUSIP: 01882YAD8<br>LEI: 54930033ER6EOI5DL570 | Long             | DBT              | CORP              | US        |    4515000 | PA      | $4178406.75    | 0.01%             | 2032-03-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                        | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-3                  | CUSIP: 59024VAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3688410 | PA      | $3693330.22    | 0.01%             | 2037-06-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2006-QS2 Trust                                                      | CUSIP: 761118VE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   37714648 | PA      | $615714.26     | 0.00%             | 2036-02-25      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                                                   | Foundry JV Holdco LLC                                                           | CUSIP: 350930AF0<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    2710000 | PA      | $2816394.60    | 0.01%             | 2031-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FKV52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1846819 | PA      | $1807857.27    | 0.01%             | 2048-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                                       | Magnetite XXV Ltd                                                               | CUSIP: 55955GAA1<br>LEI: 549300WFCL37N4TDUR08 | Long             | ABS-CBDO         | CORP              | KY        |   15932268 | PA      | $15940122.90   | 0.05%             | 2032-01-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| BLACK HILLS CORP                                                        | Black Hills Corp                                                                | CUSIP: 092113AW9<br>LEI: 3MGELCRSTNSAMJ962671 | Long             | DBT              | CORP              | US        |    8020000 | PA      | $8576106.80    | 0.03%             | 2034-05-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| ELIA GROUP SA/NV                                                        | Elia Group SA/NV                                                                | CUSIP: 000000000<br>LEI: 549300S1MP1NFDIKT460 | Long             | DBT              | CORP              | BE        |   10200000 | PA      | $12275394.09   | 0.04%             | 2031-06-11      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| MKT 2020-525M Mortgage Trust                                            | MKT 2020-525M Mortgage Trust                                                    | CUSIP: 55316PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8500000 | PA      | $7557604.15    | 0.02%             | 2040-02-12      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| DTI HOLDCO INC                                                          | DTI Holdco Inc 2025 Term Loan B                                                 | CUSIP: 23358EAK5<br>LEI: 549300QQVMUL3P8XVJ27 | Long             | LON              | CORP              | US        |    5630333 | PA      | $5032138.24    | 0.02%             | 2029-04-26      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                        | CIFC Funding 2022-I Ltd                                                         | CUSIP: 12570LAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   25000000 | PA      | $25031050.00   | 0.08%             | 2035-04-17      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| ALTICE FINANCING SA                                                     | Altice Financing SA                                                             | CUSIP: 02154CAH6<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |    2451000 | PA      | $1843887.30    | 0.01%             | 2029-08-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Ln Trst                        | Asset Backed Securities Corp Home Equity Loan Trust Series MO 2006-HE6          | CUSIP: 04544NAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8211902 | PA      | $8049937.59    | 0.02%             | 2036-11-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TAK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25440 | PA      | $23642.98      | 0.00%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140JADM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4598354 | PA      | $4162606.01    | 0.01%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                         | Lehman XS Trust Series 2006-14N                                                 | CUSIP: 52522CAG8<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | ABS-MBS          | CORP              | US        |      17491 | PA      | $19777.81      | 0.00%             | 2036-08-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                            | Centene Corp                                                                    | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   23000000 | PA      | $19777470.00   | 0.06%             | 2031-08-01      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| BGME Trust                                                              | BGME Trust 2021-VR                                                              | CUSIP: 05551XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20000000 | PA      | $17621032.00   | 0.05%             | 2043-01-10      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QRJV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45421470 | PA      | $44290566.82   | 0.14%             | 2053-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCRV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17408964 | PA      | $16354362.25   | 0.05%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust                          | Securitized Asset Backed Receivables LLC Trust 2007-BR1                         | CUSIP: 81378KAB5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | ABS-O            | CORP              | US        |    4817679 | PA      | $2045465.44    | 0.01%             | 2037-02-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Element Materials Technology Group US Holdings Inc                      | Element Materials Technology Group US Holdings Inc 2022 USD Term Loan           | CUSIP: 000000000<br>LEI: 213800EGOJGGUKUGEZ30 | Long             | LON              | CORP              | US        |    2233954 | PA      | $2251758.63    | 0.01%             | 2029-07-06      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31390TVV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34187 | PA      | $36153.53      | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      18000 | PA      | $12197.52      | 0.00%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                       | First Franklin Mortgage Loan Trust Series 2007-FF2                              | CUSIP: 32029GAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   31800588 | PA      | $15210106.63   | 0.05%             | 2037-03-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| BXHPP TRUST                                                             | BXHPP Trust 2021-FILM                                                           | CUSIP: 05609JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15057000 | PA      | $13787854.50   | 0.04%             | 2036-08-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                          | Long Beach Mortgage Loan Trust 2004-4                                           | CUSIP: 542514HT4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      39490 | PA      | $38390.12      | 0.00%             | 2034-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                                                | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                      | CUSIP: 46590XAY2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   19111000 | PA      | $19970612.78   | 0.06%             | 2033-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GRIFOLS SA                                                              | Grifols SA                                                                      | CUSIP: 000000000<br>LEI: 959800HSSNXWRKBK4N60 | Long             | DBT              | CORP              | ES        |    5820000 | PA      | $7219403.01    | 0.02%             | 2030-05-01      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2004-A4                                                | CUSIP: 466247EF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70220 | PA      | $68331.72      | 0.00%             | 2034-09-25      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                                  | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BM6<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |       3000 | PA      | $3064.32       | 0.00%             | 2034-01-24      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                   | Time Warner Cable LLC                                                           | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    6812000 | PA      | $6249465.04    | 0.02%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2006-AR4 Trust                   | CUSIP: 93934FPN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2384594 | PA      | $2253202.50    | 0.01%             | 2046-05-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179QT76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     132436 | PA      | $135401.68     | 0.00%             | 2044-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XJT94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17324268 | PA      | $15275557.02   | 0.05%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                                        | MortgageIT Trust 2005-1                                                         | CUSIP: 61913PAP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     848181 | PA      | $862872.27     | 0.00%             | 2035-02-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust                       | Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR4                   | CUSIP: 25150PAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23876923 | PA      | $7553772.53    | 0.02%             | 2036-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| OWNIT Mortgage Loan Asset-Backed Certificates                           | Ownit Mortgage Loan Trust Series 2006-4                                         | CUSIP: 69121QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1377306 | PA      | $1365965.49    | 0.00%             | 2037-05-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                          | Air Lease Corp                                                                  | CUSIP: 00914AAR3<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   18695000 | PA      | $18194347.90   | 0.06%             | 2027-01-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |          1 | NC      | $15556.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust                   | CUSIP: 92922FD62<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     841872 | PA      | $841874.90     | 0.00%             | 2045-01-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                               | Structured Asset Mortgage Investments II Trust 2006-AR7                         | CUSIP: 86361HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8252953 | PA      | $6865245.33    | 0.02%             | 2036-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust                          | Securitized Asset Backed Receivables LLC Trust 2007-NC2                         | CUSIP: 81378GAC2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | ABS-O            | CORP              | US        |   11618212 | PA      | $10053297.32   | 0.03%             | 2037-01-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $74274.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                            | CSMC 2022-RPL1 Trust                                                            | CUSIP: 12661QAJ6<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |     303643 | PA      | $298410.02     | 0.00%             | 2061-04-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                        | T-Mobile USA Inc                                                                | CUSIP: 87264ADS1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   25430000 | PA      | $26170521.60   | 0.08%             | 2032-05-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36225DSW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6060 | PA      | $6153.42       | 0.00%             | 2035-08-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                        | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-2                  | CUSIP: 59024QAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13349035 | PA      | $9761915.55    | 0.03%             | 2037-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SNY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2331159 | PA      | $2382999.72    | 0.01%             | 2046-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   72371267 | PA      | $70551902.01   | 0.22%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138X3EM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16160259 | PA      | $15382735.21   | 0.05%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |       2000 | PA      | $1774.34       | 0.00%             | 2032-07-21      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                     | GS Mortgage-Backed Securities Trust 2018-RPL1                                   | CUSIP: 36256BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11732327 | PA      | $11521068.52   | 0.04%             | 2057-10-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5RC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     615116 | PA      | $640461.01     | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128M4FU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     264874 | PA      | $269925.76     | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                                | Madison Park Funding XLVIII Ltd                                                 | CUSIP: 55821UAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   27526298 | PA      | $27573670.34   | 0.09%             | 2033-04-19      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |          1 | NC      | $-3990.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                       | First Franklin Mortgage Loan Trust Series 2006-FF18                             | CUSIP: 32029AAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4073893 | PA      | $3754682.01    | 0.01%             | 2037-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                        | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-1                  | CUSIP: 59023LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  115209260 | PA      | $49930932.99   | 0.15%             | 2037-04-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust                                                 | Luminent Mortgage Trust 2006-5                                                  | CUSIP: 55027XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24337424 | PA      | $14797856.97   | 0.05%             | 2036-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                          | Carvana Auto Receivables Trust 2023-N1                                          | CUSIP: 14688FAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      30000 | PA      | $6293170.32    | 0.02%             | 2030-04-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140J9W23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19895576 | PA      | $19218428.42   | 0.06%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31283HC52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        111 | PA      | $113.99        | 0.00%             | 2028-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   29325000 | PA      | $29622648.75   | 0.09%             | 2035-12-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust                       | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-3                     | CUSIP: 25151KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16168241 | PA      | $12658969.68   | 0.04%             | 2047-10-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                                                    | Las Vegas Sands Corp                                                            | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |   29515000 | PA      | $30187942.00   | 0.09%             | 2028-06-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| AMSPEC PARENT LLC                                                       | Amspec Parent LLC 2024 Delayed Draw Term Loan                                   | CUSIP: 03218AAC3<br>LEI: 254900LUGRP5Z7OOV477 | Long             | LON              | CORP              | US        |     230475 | PA      | $232023.70     | 0.00%             | 2031-12-22      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2007-7                                                   | CUSIP: 78444EAD1<br>LEI: 549300IZGFDRVV7YTH38 | Long             | ABS-O            | CORP              | US        |      84395 | PA      | $83172.10      | 0.00%             | 2049-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 31396WVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1568 | PA      | $1561.51       | 0.00%             | 2037-07-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31385JH92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        159 | PA      | $167.61        | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Panama Government International Bonds                                   | Panama Government International Bonds                                           | CUSIP: 698299BT0<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    3388000 | PA      | $3515897.00    | 0.01%             | 2035-02-14      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Lockheed Martin Corp                                                    | Lockheed Martin Corp                                                            | CUSIP: 539830BK4<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    2578000 | PA      | $2525511.92    | 0.01%             | 2036-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                                     | Banc of America Funding 2003-2 Trust                                            | CUSIP: 05946XCR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9411 | PA      | $9584.26       | 0.00%             | 2032-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SW29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     473084 | PA      | $483712.78     | 0.00%             | 2047-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36241L7C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7689 | PA      | $7679.79       | 0.00%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-4                                                   | CUSIP: 78445AAD8<br>LEI: 549300EQOYJZL2D96G46 | Long             | ABS-O            | CORP              | US        |     616959 | PA      | $618710.67     | 0.00%             | 2049-07-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136B3A34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1106354 | PA      | $1022295.75    | 0.00%             | 2049-02-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2007-1                                                   | CUSIP: 78443VAG7<br>LEI: 5493006Z6MTP02OKOJ80 | Long             | ABS-O            | CORP              | US        |   16830502 | PA      | $16178265.80   | 0.05%             | 2042-01-27      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| E.ON SE                                                                 | E.ON SE                                                                         | CUSIP: 000000000<br>LEI: Q9MAIUP40P25UFBFG033 | Long             | DBT              | CORP              | DE        |    7035000 | PA      | $8362093.04    | 0.03%             | 2033-04-16      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| AA BOND CO LTD                                                          | AA Bond Co Ltd                                                                  | CUSIP: 000000000<br>LEI: 2138002EPF6QVRZBMC58 | Long             | DBT              | CORP              | JE        |   12555000 | PA      | $17986444.94   | 0.06%             | 2028-01-31      | Fixed         | 8.45%                 | Yes           |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GJQ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   77013000 | PA      | $76121959.59   | 0.24%             | 2027-03-11      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  225210884 | PA      | $220031893.72  | 0.68%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Securities                                     | Banc of America Mortgage 2007-3 Trust                                           | CUSIP: 05954CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     112606 | PA      | $93092.77      | 0.00%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| State Street Global Advisors                                            | State Street Institutional U.S. Government Money Market Fund                    | CUSIP: 857492706<br>LEI: 549300BZ5TGIFZUZDZ37 | Long             | STIV             | RF                | US        |   66046378 | NS      | $66046377.61   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| CSC HOLDINGS LLC                                                        | CSC Holdings LLC                                                                | CUSIP: 126307BH9<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |     775000 | PA      | $505927.75     | 0.00%             | 2031-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418CGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33037 | PA      | $29906.22      | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                               | CUSIP: 36178DBV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58103 | PA      | $54422.06      | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EB90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  187155891 | PA      | $158529239.31  | 0.49%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CSMCM Trust Certificates                                                | CSMCM 2021-RPL11 Trust                                                          | CUSIP: 12658QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8181541 | PA      | $6429478.78    | 0.02%             | 2061-10-27      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| ROLLINS INC                                                             | Rollins Inc                                                                     | CUSIP: 775711AC8<br>LEI: 549300F2A0BXT4SGWD84 | Long             | DBT              | CORP              | US        |    8000000 | PA      | $8141520.00    | 0.03%             | 2035-02-24      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                                | Madison Park Funding XXXVIII Ltd                                                | CUSIP: 55821KAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10500000 | PA      | $10500525.00   | 0.03%             | 2034-07-17      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                            | CSMC 2021-RPL11 Trust                                                           | CUSIP: 12659AAJ5<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |     143525 | PA      | $139300.92     | 0.00%             | 2061-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                                                    | FirstKey Homes 2021-SFR2 Trust                                                  | CUSIP: 33767TAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12677000 | PA      | $12293656.39   | 0.04%             | 2038-09-17      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                       | First Franklin Mortgage Loan Trust 2006-FF13                                    | CUSIP: 30247DAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     531152 | PA      | $350325.84     | 0.00%             | 2036-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                            | WP Carey Inc                                                                    | CUSIP: 000000000<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              |  | US        |    3655000 | PA      | $4450776.67    | 0.01%             | 2032-07-23      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-5                                                   | CUSIP: 78444YAD7<br>LEI: 549300SRMXHPGI3BJ386 | Long             | ABS-O            | CORP              | US        |    7795312 | PA      | $7829946.62    | 0.02%             | 2023-07-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                                          | BCAP LLC Trust 2007-AA2                                                         | CUSIP: 05530NAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     201933 | PA      | $88423.68      | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0426A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  169650000 | PA      | $164584675.13  | 0.51%             | 2055-10-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31416WYK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11705072 | PA      | $11416026.32   | 0.04%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJXE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16411518 | PA      | $15374647.15   | 0.05%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Calpine Corporation                                                     | Calpine Corporation 2024 Term Loan B10                                          | CUSIP: 13134MBW2<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | LON              | CORP              | US        |    8934879 | PA      | $8935862.31    | 0.03%             | 2031-01-31      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38376JDD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9714527 | PA      | $1068572.77    | 0.00%             | 2037-05-20      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3398862 | PA      | $3378231.07    | 0.01%             | 2046-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128M8MJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8241 | PA      | $8047.61       | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MABS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5904080 | PA      | $5617145.30    | 0.02%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2007-QS6 Trust                                                      | CUSIP: 75116CEX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   49367525 | PA      | $616896.59     | 0.00%             | 2037-04-25      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUE                                                   | Venture Global Plaquemines LNG LLC                                              | CUSIP: 922966AD8<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    8185000 | PA      | $8714978.75    | 0.03%             | 2036-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| APPALACHIAN POWER CO                                                    | Appalachian Power Co                                                            | CUSIP: 037735CY1<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |    9450000 | PA      | $6898500.00    | 0.02%             | 2050-05-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140Q83V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6002731 | PA      | $5919903.21    | 0.02%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LEG IMMOBILIEN SE                                                       | LEG Immobilien SE                                                               | CUSIP: 000000000<br>LEI: 391200SO40AKONBO0Z96 | Long             | DBT              | CORP              | DE        |    2800000 | PA      | $2740569.45    | 0.01%             | 2034-01-17      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                                                | Electricite de France SA                                                        | CUSIP: 000000000<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |    9200000 | PA      | $10728058.05   | 0.03%             | 2031-01-06      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| LCM Ltd Partnership                                                     | LCM XIV LP                                                                      | CUSIP: 50184VAS3<br>LEI: 549300NGJ6CPPJRPGL08 | Long             | ABS-CBDO         | CORP              | KY        |    3385000 | PA      | $3390229.83    | 0.01%             | 2031-07-20      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418C4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7826420 | PA      | $7717876.77    | 0.02%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SQZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     709762 | PA      | $725545.19     | 0.00%             | 2046-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ABG Intermediate Holdings 2 LLC                                         | ABG Intermediate Holdings 2 LLC 2024 1st Lien Term Loan B                       | CUSIP: 00076VBL3<br>LEI: 54930020NXD0RJB64985 | Long             | LON              | CORP              | US        |    3304569 | PA      | $3302239.27    | 0.01%             | 2028-12-21      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   17235000 | PA      | $15686607.60   | 0.05%             | 2033-01-21      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities                          | CSFB Mortgage-Backed Pass-Through Certificates Series 2004-AR5                  | CUSIP: 22541SJE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28872 | PA      | $28545.14      | 0.00%             | 2034-06-25      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     505000 | PA      | $476593.75     | 0.00%             | 2038-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae                                                                      | CUSIP: 21H0406A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  299800000 | PA      | $281980187.80  | 0.87%             | 2055-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                         | CVS Health Corp                                                                 | CUSIP: 126650ED8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   17465000 | PA      | $18234333.25   | 0.06%             | 2034-06-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF GUATEMALA                                                   | Guatemala Government Bond                                                       | CUSIP: 000000000<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |    5853000 | PA      | $6213076.56    | 0.02%             | 2036-06-13      | Fixed         | 6.60%                 | Yes           |                  2 | On Loan: No      |
| Panama Government International Bonds                                   | Panama Government International Bonds                                           | CUSIP: 698299BN3<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |   13412000 | PA      | $10902346.56   | 0.03%             | 2032-09-29      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DQU38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   52744704 | PA      | $42810726.78   | 0.13%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                                             | GSAMP Trust 2007-HE2                                                            | CUSIP: 362440AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   58559383 | PA      | $44862677.12   | 0.14%             | 2047-03-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Virgin Media Bristol LLC                                                | Virgin Media Bristol LLC 2023 USD Term Loan Y                                   | CUSIP: 000000000<br>LEI: 213800IQ982XX69LE276 | Long             | LON              | CORP              | US        |     802250 | PA      | $792221.88     | 0.00%             | 2031-03-31      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| CODELCO INC                                                             | Corp Nacional del Cobre de Chile                                                | CUSIP: 000000000<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | CORP              | CL        |    8908000 | PA      | $8930359.08    | 0.03%             | 2033-02-02      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan Trust                                    | GMACM Mortgage Loan Trust 2005-AR6                                              | CUSIP: 36185MBL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     107021 | PA      | $93860.63      | 0.00%             | 2035-11-19      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136ATJ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11167573 | PA      | $11102286.35   | 0.03%             | 2046-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |          1 | NC      | $-169167.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                                    | ACE Securities Corp Home Equity Loan Trust Series 2006-HE3                      | CUSIP: 00441TAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2113605 | PA      | $1559870.35    | 0.00%             | 2036-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities                           | First Horizon Alternative Mortgage Securities Trust 2004-AA2                    | CUSIP: 32051D4P4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1896653 | PA      | $1855890.57    | 0.01%             | 2034-08-25      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418AXN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16591715 | PA      | $16221804.17   | 0.05%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                  | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |          1 | NC      | $2712.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| QUIDELORTHO CORP                                                        | QUIDELORTHO CORP TERM LOAN                                                      | CUSIP: 74840YAH7<br>LEI: 549300YU8CMO9HF53113 | Long             | LON              | CORP              | US        |    6000000 | PA      | $5976270.00    | 0.02%             | 2032-08-20      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| QAZAQGAZ NC JSC                                                         | QazaqGaz NC JSC                                                                 | CUSIP: 000000000<br>LEI: 635400YGLXBBSVHONW39 | Long             | DBT              | CORP              | KZ        |    5091000 | PA      | $5057857.59    | 0.02%             | 2027-09-26      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KL2S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   96995200 | PA      | $82713772.24   | 0.26%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                                        | Freddie Mac Strips                                                              | CUSIP: 3132HTQF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8988377 | PA      | $6963441.30    | 0.02%             | 2043-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-13871.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                                     | Bear Stearns Mortgage Funding Trust 2007-AR5                                    | CUSIP: 07400NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1752370 | PA      | $1567071.98    | 0.00%             | 2047-06-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UEB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2859180 | PA      | $2885026.22    | 0.01%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| New York State Dormitory Authority                                      | NEW YORK ST DORM AUTH ST PERSONAL INCOME TAX REVENUE                            | CUSIP: 6499022E2<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |   39746921 | PA      | $40603586.78   | 0.13%             | 2033-03-15      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| New York City Transitional Finance Authority Future Tax Secured Revenue | NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE                                  | CUSIP: 64971XXC7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    3090000 | PA      | $2618138.46    | 0.01%             | 2033-02-01      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ5K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1660199 | PA      | $1678895.01    | 0.01%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179T7L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1880943 | PA      | $1856353.53    | 0.01%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                        | IndyMac INDX Mortgage Loan Trust 2006-AR35                                      | CUSIP: 45667SAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22513291 | PA      | $20306526.58   | 0.06%             | 2037-01-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      71320 | PA      | $68243.78      | 0.00%             | 2047-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust                          | Securitized Asset Backed Receivables LLC Trust 2007-BR5                         | CUSIP: 81379EAA0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | ABS-O            | CORP              | US        |    9699494 | PA      | $7525981.23    | 0.02%             | 2037-05-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| VEOLIA ENVIRONNEMENT SA                                                 | Veolia Environnement SA                                                         | CUSIP: 000000000<br>LEI: 969500LENY69X51OOT31 | Long             | DBT              | CORP              | FR        |   17000000 | PA      | $20034721.24   | 0.06%             | 2032-10-24      | Fixed         | 4.32%                 | Yes           |                  2 | On Loan: No      |
| SOUTH WEST WATER FIN PLC                                                | South West Water Finance PLC                                                    | CUSIP: 000000000<br>LEI: 213800OV68U446W4NV89 | Long             | DBT              | CORP              | GB        |   17935000 | PA      | $24013164.85   | 0.07%             | 2031-09-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                          | Structured Adjustable Rate Mortgage Loan Trust                                  | CUSIP: 86359BGD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2668 | PA      | $2621.58       | 0.00%             | 2034-02-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 31359VHQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4682 | PA      | $4692.70       | 0.00%             | 2029-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJZG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29513040 | PA      | $27629069.66   | 0.09%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31402WNN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        699 | PA      | $720.29        | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31407SGS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2816 | PA      | $2849.09       | 0.00%             | 2035-11-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   14844000 | PA      | $15386251.32   | 0.05%             | 2029-07-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| SES S A                                                                 | SES S A                                                                         | CUSIP: 000000000<br>LEI: 5493008JPA4HYMH1HX51 | Long             | EC               | CORP              | LU        |      38764 | NS      | $538335.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                    | Bank of America Corp                                                            | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1587000 | PA      | $1562258.67    | 0.00%             | 2028-12-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Avolon TLB Borrower 1 (US) LLC                                          | Avolon TLB Borrower 1 (US) LLC 2023 Term Loan B6                                | CUSIP: 05400KAJ9<br>LEI: 635400O84AGITYFZQB55 | Long             | LON              | CORP              | US        |   19321984 | PA      | $19348841.19   | 0.06%             | 2030-06-24      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179RGB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     213725 | PA      | $212427.79     | 0.00%             | 2045-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMERIGAS PART/FIN CORP                                                  | AmeriGas Partners LP / AmeriGas Finance Corp                                    | CUSIP: 030981AP9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7831000 | PA      | $8204303.77    | 0.03%             | 2030-06-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| TransDigm Inc                                                           | TransDigm Inc 2023 Term Loan J                                                  | CUSIP: 89364MCA0<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |    2330675 | PA      | $2332155.45    | 0.01%             | 2031-02-28      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                         | Lehman XS Trust Series 2007-4N                                                  | CUSIP: 52524HAD2<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | ABS-MBS          | CORP              | US        |   11669273 | PA      | $10097116.26   | 0.03%             | 2047-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| New York State Dormitory Authority                                      | NEW YORK ST DORM AUTH ST PERSONAL INCOME TAX REVENUE                            | CUSIP: 64990KHB2<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |    5360000 | PA      | $5539983.44    | 0.02%             | 2054-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HUNGARY                                                                 | Hungary Government International Bond                                           | CUSIP: 445545AM8<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |   11043000 | PA      | $9496759.14    | 0.03%             | 2031-09-22      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UD90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15971918 | PA      | $15270948.95   | 0.05%             | 2048-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                        | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-4                  | CUSIP: 59025CAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8721612 | PA      | $8701067.60    | 0.03%             | 2037-07-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                                                | American Assets Trust LP                                                        | CUSIP: 02401LAB0<br>LEI: 549300V1TI0SMG9Z6U69 | Long             | DBT              |  | US        |    6925000 | PA      | $7060037.50    | 0.02%             | 2034-10-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                         | CVS Health Corp                                                                 | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   21046000 | PA      | $18754721.98   | 0.06%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |          1 | NC      | $-699.74       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BGME Trust                                                              | BGME Trust 2021-VR                                                              | CUSIP: 05551XAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   32137000 | PA      | $27215829.05   | 0.08%             | 2043-01-10      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179S5N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   59311094 | PA      | $58775771.94   | 0.18%             | 2047-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                                              | Intel Corp                                                                      | CUSIP: 458140BU3<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   10522000 | PA      | $9203488.18    | 0.03%             | 2031-08-12      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140Q8J97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28241883 | PA      | $26310086.98   | 0.08%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $144577.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31368HNM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3466 | PA      | $3471.11       | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23552750 | PA      | $22536894.11   | 0.07%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EDGEWATER GENERATION LLC                                                | Edgewater Generation LLC 2025 Repriced Term Loan                                | CUSIP: 28031FAM2<br>LEI: 5493004PLDT1L28SWG83 | Long             | LON              | CORP              | US        |    2192041 | PA      | $2200085.80    | 0.01%             | 2030-08-01      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| KEDRION SPA                                                             | Kedrion SpA                                                                     | CUSIP: 49272YAB9<br>LEI: 81560047FA58E1BEDF67 | Long             | DBT              | CORP              | IT        |     867000 | PA      | $857844.48     | 0.00%             | 2029-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |          1 | NC      | $-82686.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3133TAG22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4970 | PA      | $5037.17       | 0.00%             | 2027-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                         | C-BASS 2006-CB7 TRUST                                                           | CUSIP: 12479DAA6<br>LEI: 969500V3L9W19NIA5E82 | Long             | ABS-O            | CORP              | US        |   29265879 | PA      | $21236583.24   | 0.07%             | 2036-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                  | US LONG BOND(CBT) DEC25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       1164 | NC      | $3098658.79    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2020-R3                                                               | CUSIP: 12559NAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   73380028 | PA      | $71098070.33   | 0.22%             | 2060-01-26      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                                 | Dryden 92 CLO Ltd                                                               | CUSIP: 262488AC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   22500000 | PA      | $22531185.00   | 0.07%             | 2034-11-20      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                        | Berry Global Inc                                                                | CUSIP: 08576PAQ4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |    1570000 | PA      | $1636191.20    | 0.01%             | 2034-01-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X5SG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  120049728 | PA      | $111752157.02  | 0.35%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PBR6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2490000 | PA      | $2414328.90    | 0.01%             | 2028-06-01      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| AMERIGAS PART/FIN CORP                                                  | AmeriGas Partners LP / AmeriGas Finance Corp                                    | CUSIP: 030981AM6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4375000 | PA      | $4501743.75    | 0.01%             | 2028-06-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| GRAND CANYON UNIVERSITY                                                 | Grand Canyon University                                                         | CUSIP: 38528UAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5308000 | PA      | $5223018.92    | 0.02%             | 2028-10-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| PREMIER HEALTH PARTNERS                                                 | Premier Health Partners                                                         | CUSIP: 74052BAA5<br>LEI: 549300KETC002I82TF46 | Long             | DBT              | CORP              | US        |    2229000 | PA      | $2194762.56    | 0.01%             | 2026-11-15      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136B1S96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11050499 | PA      | $9952725.35    | 0.03%             | 2048-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   81867691 | PA      | $66416633.05   | 0.21%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                          | Structured Adjustable Rate Mortgage Loan Trust                                  | CUSIP: 863579CB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14247 | PA      | $13638.02      | 0.00%             | 2034-10-25      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |          1 | NC      | $-37256.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TG74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     190659 | PA      | $193825.88     | 0.00%             | 2047-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                      | Morgan Stanley Mortgage Loan Trust 2005-2AR                                     | CUSIP: 61745M4E0<br>LEI: 549300M91PFQR7JLJ570 | Long             | ABS-MBS          | CORP              | US        |     453677 | PA      | $453327.80     | 0.00%             | 2035-04-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 31397LDB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79718 | PA      | $83921.18      | 0.00%             | 2037-06-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                          | Structured Adjustable Rate Mortgage Loan Trust Series 2005-18                   | CUSIP: 863579XP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8593076 | PA      | $4622290.29    | 0.01%             | 2035-09-25      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| DC Office Trust                                                         | DC Office Trust 2019-MTC                                                        | CUSIP: 23312BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   31135000 | PA      | $28409289.54   | 0.09%             | 2045-09-15      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2021-R5                                                               | CUSIP: 12592SAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   32134706 | PA      | $28404977.01   | 0.09%             | 2061-08-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   91269161 | PA      | $82719366.35   | 0.26%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER                                                    | Niagara Mohawk Power Corp                                                       | CUSIP: 65364UAP1<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    3543000 | PA      | $2287148.22    | 0.01%             | 2050-06-27      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPSK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   67331460 | PA      | $65648988.02   | 0.20%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TNR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4589463 | PA      | $4265199.64    | 0.01%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Through Trust                               | First Horizon Mortgage Pass-Through Trust 2004-AR6                              | CUSIP: 32051GBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      54198 | PA      | $53332.68      | 0.00%             | 2034-12-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Michaels Companies Inc                                                  | Michaels Companies Inc 2021 Term Loan B                                         | CUSIP: 59408UAB3<br>LEI: 549300H9LWMBP7HYLR98 | Long             | LON              | CORP              | US        |   27110400 | PA      | $25673142.14   | 0.08%             | 2028-04-17      | Floating      | 8.51%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                       | First Franklin Mortgage Loan Trust Series 2006-FF18                             | CUSIP: 32029AAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11203572 | PA      | $10323089.12   | 0.03%             | 2037-12-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140MNMH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   93735904 | PA      | $82640110.43   | 0.26%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   14837000 | PA      | $12297053.97   | 0.04%             | 2049-07-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Red Ventures LLC                                                        | Red Ventures LLC 2024 Term Loan B                                               | CUSIP: 75703UAL9<br>LEI: 9845004G68FBD7FP1585 | Long             | LON              | CORP              | US        |    3940300 | PA      | $3723583.41    | 0.01%             | 2030-03-04      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER                                                    | Niagara Mohawk Power Corp                                                       | CUSIP: 65364UAH9<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    4375000 | PA      | $4163162.50    | 0.01%             | 2034-10-01      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                                                     | General Electric Co                                                             | CUSIP: 36962GW75<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |    1785000 | PA      | $1788605.70    | 0.01%             | 2026-05-05      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJX47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        566 | PA      | $529.59        | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp                                     | JP Morgan Mortgage Acquisition Trust 2007-HE1                                   | CUSIP: 46630KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5946721 | PA      | $3918234.05    | 0.01%             | 2047-03-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities                           | First Horizon Alternative Mortgage Securities Trust 2005-AA8                    | CUSIP: 32051GWF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6319490 | PA      | $3506819.61    | 0.01%             | 2035-10-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp                                                          | Air Lease Corp                                                                  | CUSIP: 00912XBF0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2009840.00    | 0.01%             | 2028-10-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                          | HarborView Mortgage Loan Trust 2005-3                                           | CUSIP: 41161PMG5<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |      99239 | PA      | $97212.40      | 0.00%             | 2035-06-19      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                                          | BCAP LLC Trust 2007-AA5                                                         | CUSIP: 05531AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10535711 | PA      | $9390157.08    | 0.03%             | 2047-09-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FGVJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     931021 | PA      | $832870.35     | 0.00%             | 2048-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                                                | Duke Energy Progress LLC                                                        | CUSIP: 26442UAU8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |   22295000 | PA      | $22702552.60   | 0.07%             | 2035-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                       | Citigroup Mortgage Loan Trust Inc                                               | CUSIP: 17307GZG6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     262814 | PA      | $232695.26     | 0.00%             | 2035-10-25      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                              | Humana Inc                                                                      | CUSIP: 444859CD2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   49285000 | PA      | $50238664.75   | 0.16%             | 2035-05-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| SMBC AVIATION CAPITAL FI                                                | SMBC Aviation Capital Finance DAC                                               | CUSIP: 78448TAL6<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |     500000 | PA      | $513535.00     | 0.00%             | 2029-04-03      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31297VAM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13422 | PA      | $13963.50      | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 31397GRJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     185881 | PA      | $21480.76      | 0.00%             | 2035-08-15      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                              | Bear Stearns Asset Backed Securities Trust 2003-AC7                             | CUSIP: 07384YPJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     319934 | PA      | $266969.43     | 0.00%             | 2034-01-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-33382.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                              | Bear Stearns Asset Backed Securities I Trust 2005-AC5                           | CUSIP: 073879B31<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     835138 | PA      | $485349.18     | 0.00%             | 2049-08-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0406A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  357225000 | PA      | $336747255.49  | 1.04%             | 2055-10-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GC Ferry Acquisition I Inc                                              | GC Ferry Acquisition I Inc Term Loan                                            | CUSIP: 32009UAD9<br>LEI: 549300ZKYR56QRODD510 | Long             | LON              | CORP              | US        |    2055838 | PA      | $2038589.44    | 0.01%             | 2032-08-16      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| DK CROWN HOLDINGS INC                                                   | DK Crown Holdings Inc 2025 Term Loan B                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3252059 | PA      | $3251051.07    | 0.01%             | 2032-03-04      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities                           | First Horizon Alternative Mortgage Securities Trust 2005-AA10                   | CUSIP: 32051GA54<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5279433 | PA      | $4333645.96    | 0.01%             | 2035-12-25      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2006-QA1 Trust                                                      | CUSIP: 761118SZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      73127 | PA      | $52901.82      | 0.00%             | 2036-01-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                       | Citigroup Mortgage Loan Trust 2006-AR2                                          | CUSIP: 17307G6K9<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    5480835 | PA      | $4099042.57    | 0.01%             | 2036-03-25      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| HDI Aerospace Intermediate Holding III Corporation                      | HDI Aerospace Intermediate Holding III Corporation Term Loan B                  | CUSIP: 40415WAB0<br>LEI: 254900LKRYAGKIYOHW04 | Long             | LON              | CORP              | US        |    3491250 | PA      | $3506541.68    | 0.01%             | 2032-02-11      | Floating      | 8.83%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2007-QS10 Trust                                                     | CUSIP: 74924DAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   32236047 | PA      | $625521.15     | 0.00%             | 2037-09-25      | Variable      | 0.49%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                  | Merrill Lynch Mortgage Investors Trust Series 2006-WMC2                         | CUSIP: 59020U6M2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-O            | CORP              | US        |   20463536 | PA      | $4018293.63    | 0.01%             | 2037-03-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                                     | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | XX        |          1 | NC      | $533.42        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP Trust                                                             | GSAMP Trust 2005-AHL2                                                           | CUSIP: 362341C56<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13623323 | PA      | $13207427.60   | 0.04%             | 2035-12-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINAN                                                        | Vmed O2 UK Financing I PLC                                                      | CUSIP: 92858RAB6<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |    4240000 | PA      | $3989670.40    | 0.01%             | 2031-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3133TVPR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2239 | PA      | $2480.11       | 0.00%             | 2032-02-15      | Floating      | 9.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SUY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2038275 | PA      | $2083602.47    | 0.01%             | 2047-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                                          | Carrington Mortgage Loan Trust Series 2007-RFC1                                 | CUSIP: 144526AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   22415000 | PA      | $20379444.54   | 0.06%             | 2036-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    4798000 | PA      | $4186302.98    | 0.01%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| UNIVERSAL HEALTH SVCS                                                   | Universal Health Services Inc                                                   | CUSIP: 913903AZ3<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |   45000000 | PA      | $43949250.00   | 0.14%             | 2026-09-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                        | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5660000 | PA      | $5769759.85    | 0.02%             | 2041-10-25      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QSTL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31772971 | PA      | $31009624.88   | 0.10%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                        | CIFC Funding 2014 Ltd                                                           | CUSIP: 12549JBC4<br>LEI: 54930034H2IEPBE5Q044 | Long             | ABS-CBDO         | CORP              | KY        |    8000000 | PA      | $8017024.00    | 0.02%             | 2031-01-18      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                                  | BDL2CYFJ9 FWDP 5Y RTP SWAPTION                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |  655513000 | NC      | $713001.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF GUATEMALA                                                   | Guatemala Government Bond                                                       | CUSIP: 000000000<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |   10314000 | PA      | $10687263.66   | 0.03%             | 2036-08-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2005-AR19 Trust                  | CUSIP: 92925CBB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4398101 | PA      | $4431631.19    | 0.01%             | 2045-12-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 313921MN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36418 | PA      | $37816.43      | 0.00%             | 2031-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bacardi Ltd                                                             | Bacardi Ltd                                                                     | CUSIP: 067316AG4<br>LEI: 549300R32WTQNHNN5055 | Long             | DBT              | CORP              | BM        |    2881000 | PA      | $2728479.86    | 0.01%             | 2038-05-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                                                               | IQVIA Inc 2025 Incremental Term Loan B5                                         | CUSIP: 44969CBP4<br>LEI: 549300PLWY28YB00C717 | Long             | LON              | CORP              | US        |    6219589 | PA      | $6257684.32    | 0.02%             | 2031-01-02      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QDKB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47674929 | PA      | $42800290.13   | 0.13%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2023-R1                                                               | CUSIP: 12569RAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  228314979 | PA      | $227794671.60  | 0.71%             | 2062-04-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-47432.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2007-QS5 Trust                                                      | CUSIP: 74923JAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22060159 | PA      | $253932.28     | 0.00%             | 2037-03-25      | Variable      | 0.28%                 | No            |                  2 | On Loan: No      |
| EXTRA SPACE STORAGE LP                                                  | Extra Space Storage LP                                                          | CUSIP: 30225VAF4<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |    1500000 | PA      | $1351410.00    | 0.00%             | 2031-06-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0306A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  131700000 | PA      | $115711949.25  | 0.36%             | 2055-10-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31402QPF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     462681 | PA      | $464507.23     | 0.00%             | 2033-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38380RVK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   71028191 | PA      | $51806130.31   | 0.16%             | 2061-01-16      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Octagon 64 Ltd                                                          | Octagon 64 Ltd                                                                  | CUSIP: 67579ABA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   18250000 | PA      | $18290533.25   | 0.06%             | 2037-07-21      | Floating      | 6.03%                 | 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        |    7513933 | PA      | $7087592.26    | 0.02%             | 2032-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38380RNX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  126537456 | PA      | $10096777.92   | 0.03%             | 2061-01-16      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128KHMD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1064218 | PA      | $1082709.77    | 0.00%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AGZR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7417358 | PA      | $5253889.91    | 0.02%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                             | Oracle Corp                                                                     | CUSIP: 68389XDR3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   21450000 | PA      | $21399592.50   | 0.07%             | 2055-09-26      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust                                 | United Auto Credit Securitization Trust 2022-2                                  | CUSIP: 90944KAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      33600 | PA      | $2.12          | 0.00%             | 2029-04-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ALLIANT ENERGY CORP                                                     | Alliant Energy Corp                                                             | CUSIP: 018802AF5<br>LEI: 5493009ML300G373MZ12 | Long             | DBT              | CORP              | US        |   26430000 | PA      | $26481538.50   | 0.08%             | 2056-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PBX3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   47405000 | PA      | $41931144.65   | 0.13%             | 2032-02-04      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORP                                                | Queensland Treasury Corp                                                        | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |   66320000 | PA      | $43642376.49   | 0.14%             | 2038-08-13      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| ALLIANT ENERGY FINANCE                                                  | Alliant Energy Finance LLC                                                      | CUSIP: 01882YAE6<br>LEI: 54930033ER6EOI5DL570 | Long             | DBT              | CORP              | US        |    4120000 | PA      | $4312692.40    | 0.01%             | 2029-03-30      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Backed Securities Trust                          | Merrill Lynch Mortgage Backed Securities Trust Series 2007-2                    | CUSIP: 59025GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1243467 | PA      | $1069859.75    | 0.00%             | 2036-08-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSUR & ANNUITY                                                | Teachers Insurance & Annuity Association of America                             | CUSIP: 878091BF3<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |    3496000 | PA      | $2908637.04    | 0.01%             | 2047-05-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                              | Progress Residential 2021-SFR8 Trust                                            | CUSIP: 74333TAN9<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   61665000 | PA      | $60390908.60   | 0.19%             | 2038-10-17      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| Altice Financing SA                                                     | Altice Financing SA 2022 USD Term Loan                                          | CUSIP: 000000000<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | LON              | CORP              | LU        |    3098484 | PA      | $2614346.23    | 0.01%             | 2027-10-31      | Floating      | 9.32%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                              | AMSR 2021-SFR1 Trust                                                            | CUSIP: 00179DAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15250000 | PA      | $14573031.15   | 0.05%             | 2038-06-17      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                   | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   13213000 | PA      | $11737636.42   | 0.04%             | 2032-11-03      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust                                                 | Luminent Mortgage Trust 2006-6                                                  | CUSIP: 55027YAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7683818 | PA      | $7055568.10    | 0.02%             | 2046-10-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust                          | Securitized Asset Backed Receivables LLC Trust 2007-NC1                         | CUSIP: 81378AAC5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | ABS-O            | CORP              | US        |   23208073 | PA      | $11442229.58   | 0.04%             | 2036-12-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31292MCJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9753510 | PA      | $9006064.50    | 0.03%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                        | IndyMac INDX Mortgage Loan Trust 2005-AR6                                       | CUSIP: 45660LGD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     302394 | PA      | $248899.65     | 0.00%             | 2035-04-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XPBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   42073154 | PA      | $41904444.16   | 0.13%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets                                           | American Home Mortgage Assets Trust 2006-3                                      | CUSIP: 02660UAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   28561660 | PA      | $18646076.78   | 0.06%             | 2046-10-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                                   | Time Warner Cable LLC                                                           | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    2016000 | PA      | $1932456.96    | 0.01%             | 2040-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-6                                                   | CUSIP: 78445CAE2<br>LEI: 549300JQFJDGC1WO7674 | Long             | ABS-O            | CORP              | US        |   31424000 | PA      | $31839054.48   | 0.10%             | 2083-07-26      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| NAKED JUICE LLC                                                         | Naked Juice LLC 2025 FLFO Term Loan                                             | CUSIP: 62984CAK9<br>LEI: 549300Y5TU1XQ1KVLJ64 | Long             | LON              | CORP              | US        |   23140971 | PA      | $23362776.79   | 0.07%             | 2029-01-24      | Floating      | 9.50%                 | No            |                  2 | On Loan: No      |
| KELSO INDUSTRIES LLC                                                    | Kelso Industries LLC Term Loan                                                  | CUSIP: 48825CAB1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    5443936 | PA      | $5471155.27    | 0.02%             | 2029-12-30      | Floating      | 9.91%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                                                          | Open Text Corp                                                                  | CUSIP: 683715AF3<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |    3061000 | PA      | $3187235.64    | 0.01%             | 2027-12-01      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWC68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   69777256 | PA      | $56489340.42   | 0.17%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TQN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     225748 | PA      | $204310.55     | 0.00%             | 2048-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ERDL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16592860 | PA      | $16448248.08   | 0.05%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                         | C-BASS 2007-CB1 TRUST                                                           | CUSIP: 1248MGAN4<br>LEI: 969500V3L9W19NIA5E82 | Long             | ABS-O            | CORP              | US        |   10735423 | PA      | $2993149.79    | 0.01%             | 2037-01-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2005-AR6 Trust                   | CUSIP: 92922FJ25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39861 | PA      | $40792.24      | 0.00%             | 2045-04-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FLUD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     574906 | PA      | $523396.04     | 0.00%             | 2049-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                          | HarborView Mortgage Loan Trust 2004-1                                           | CUSIP: 41161PCY7<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |       2658 | PA      | $2472.79       | 0.00%             | 2034-04-19      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| City of Los Angeles Department of Airports                              | LOS ANGELES CA DEPT OF ARPTS ARPT REVENUE                                       | CUSIP: 544445NU9<br>LEI: 549300E7TO710PTXPJ65 | Long             | DBT              | MUN               | US        |     185000 | PA      | $187756.50     | 0.00%             | 2044-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32971681 | PA      | $26824418.53   | 0.08%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FERRELLGAS LP/FERRELLGAS                                                | Ferrellgas LP / Ferrellgas Finance Corp                                         | CUSIP: 315289AC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   28652000 | PA      | $26680455.88   | 0.08%             | 2029-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT                                                   | American Homes 4 Rent LP                                                        | CUSIP: 02666TAH0<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              |  | US        |    5000000 | PA      | $5154500.00    | 0.02%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                          | Structured Adjustable Rate Mortgage Loan Trust                                  | CUSIP: 863579CC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1712291 | PA      | $1687439.75    | 0.01%             | 2034-10-25      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0326A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   90350000 | PA      | $82596750.28   | 0.26%             | 2055-10-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Advantage Sales & Marketing Inc                                         | Advantage Sales & Marketing Inc 2024 Term Loan                                  | CUSIP: 00769EBA7<br>LEI: 549300T4O24KQDED1182 | Long             | LON              | CORP              | US        |    4430622 | PA      | $3984103.53    | 0.01%             | 2027-10-28      | Floating      | 8.80%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2005-S2                                                | CUSIP: 466247VQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1497157 | PA      | $760780.61     | 0.00%             | 2049-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM / SPEC I                                                | Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC | CUSIP: 85208NAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  150547500 | PA      | $151657035.58  | 0.47%             | 2028-03-20      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Regents of the University of California Medical Center Pooled Revenue   | UNIV OF CALIFORNIA CA RGTS MED CENTER POOLED REVENUE                            | CUSIP: 913366KB5<br>LEI: RRR42I7GG51DB5HDQR14 | Long             | DBT              | MUN               | US        |   17955000 | PA      | $11961315.77   | 0.04%             | 2050-05-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                                | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   53870000 | PA      | $51831020.50   | 0.16%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Bausch & Lomb Corporation                                               | Bausch & Lomb Corporation 2023 Incremental Term Loan                            | CUSIP: 000000000<br>LEI: 549300NY6OZM39SO6475 | Long             | LON              | CORP              | CA        |    1813489 | PA      | $1815756.20    | 0.01%             | 2028-09-29      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                         | Credit-Based Asset Servicing and Securitization LLC                             | CUSIP: 1248P1AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7150909 | PA      | $6585188.68    | 0.02%             | 2036-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  689724000 | PA      | $695381895.64  | 2.15%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34122667 | PA      | $31790846.92   | 0.10%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PIEDMONT NATURAL GAS CO                                                 | Piedmont Natural Gas Co Inc                                                     | CUSIP: 720186AQ8<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |    3070000 | PA      | $3196729.60    | 0.01%             | 2033-06-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.                                              | Impac Secured Assets Trust 2006-5                                               | CUSIP: 45257EAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5362055 | PA      | $4948362.37    | 0.02%             | 2037-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| GLOBAL PART/GLP FINANCE                                                 | Global Partners LP / GLP Finance Corp                                           | CUSIP: 37954FAK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1150000 | PA      | $1214319.50    | 0.00%             | 2032-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| NEW S WALES TREASURY CRP                                                | New South Wales Treasury Corp                                                   | CUSIP: 000000000<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |   47195000 | PA      | $31406093.72   | 0.10%             | 2038-02-24      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| CELSIUS HOLDINGS INC                                                    | Celsius Holdings Inc Term Loan                                                  | CUSIP: 15118XAB0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3560812 | PA      | $3574165.16    | 0.01%             | 2032-04-01      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA SECURED FIN                                                | Virgin Media Secured Finance PLC                                                | CUSIP: 92769XAP0<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |     740000 | PA      | $731527.00     | 0.00%             | 2029-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9R53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8994878 | PA      | $8572879.64    | 0.03%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DSS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  101740372 | PA      | $89416895.47   | 0.28%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                   | MASTR Adjustable Rate Mortgages Trust 2003-6                                    | CUSIP: 576433GH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9648 | PA      | $9452.74       | 0.00%             | 2034-01-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179RD97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     554371 | PA      | $550666.39     | 0.00%             | 2045-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Chemours Company (The)                                                  | Chemours Company (The) 2023 USD Term Loan B                                     | CUSIP: 16384YAJ6<br>LEI: 549300M1BOLNXL8DOV14 | Long             | LON              | CORP              | US        |    4299279 | PA      | $4303320.01    | 0.01%             | 2028-08-18      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                          | Carvana Auto Receivables Trust 2023-N3                                          | CUSIP: 14686RAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      30900 | PA      | $6110583.89    | 0.02%             | 2030-09-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                     | American Tower Corp                                                             | CUSIP: 03027XCD0<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     975000 | PA      | $1021195.50    | 0.00%             | 2033-07-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Taurus CMBS                                                             | Taurus 2021-1 UK DAC                                                            | CUSIP: 000000000<br>LEI: 635400SG2ZVJCYHITE32 | Long             | ABS-MBS          | CORP              | IE        |    5618732 | PA      | $7603053.25    | 0.02%             | 2031-05-17      | Floating      | 6.59%                 | Yes           |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities                           | First Horizon Alternative Mortgage Securities Trust 2005-AA7                    | CUSIP: 32051GSQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3822036 | PA      | $3393335.39    | 0.01%             | 2035-09-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31298EX91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1469 | PA      | $1497.50       | 0.00%             | 2029-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                                              | US Bancorp                                                                      | CUSIP: 91159HJK7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |      70000 | PA      | $70788.20      | 0.00%             | 2029-02-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                       | HSBC Holdings PLC                                                               | CUSIP: 404280CL1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   26605000 | PA      | $25501424.60   | 0.08%             | 2028-09-22      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| AMWINS GROUP INC                                                        | AmWINS Group Inc 2025 Term Loan B                                               | CUSIP: 03234TBA5<br>LEI: 549300SJE7MUB8NMRG61 | Long             | LON              | CORP              | US        |    4100388 | PA      | $4103033.21    | 0.01%             | 2032-01-30      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                            | Centene Corp                                                                    | CUSIP: 15135BAX9<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    3387000 | PA      | $2920000.44    | 0.01%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan Trust                                    | GMACM Home Equity Loan Trust 2000-HE2                                           | CUSIP: 361856AN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       6771 | PA      | $6081.65       | 0.00%             | 2030-06-25      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                                                | Volkswagen Group of America Finance LLC                                         | CUSIP: 928668CS9<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    6475000 | PA      | $6644191.75    | 0.02%             | 2035-03-27      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418ES43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  217247900 | PA      | $216334116.47  | 0.67%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                   | Uber Technologies Inc                                                           | CUSIP: 90353TAN0<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |   21759000 | PA      | $21834286.14   | 0.07%             | 2030-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-182060.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Washington Mutual MSC Mortgage Pass-Through CTFS                        | Washington Mutual MSC Mortgage Pass-Through Certificates Series 2002-AR1 Trust  | CUSIP: 939335N68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17840 | PA      | $17959.60      | 0.00%             | 2030-11-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                        | Berry Global Inc                                                                | CUSIP: 08576PAH4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |   37992000 | PA      | $37676286.48   | 0.12%             | 2026-01-15      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136B1Q80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12045 | PA      | $11787.89      | 0.00%             | 2047-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust                                                | DSLA Mortgage Loan Trust 2006-AR2                                               | CUSIP: 23332QAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11767116 | PA      | $7905333.22    | 0.02%             | 2036-10-19      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                                                     | AUST 3YR BOND FUT DEC25                                                         | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |       -399 | NC      | $100398.86     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ2M1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41455 | PA      | $38669.17      | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   58242000 | PA      | $56147617.68   | 0.17%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31402QYV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1076842 | PA      | $1117341.05    | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       2000 | PA      | $1862.14       | 0.00%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Regents of the University of California Medical Center Pooled Revenue   | UNIV OF CALIFORNIA CA RGTS MED CENTER POOLED REVENUE                            | CUSIP: 913366KC3<br>LEI: RRR42I7GG51DB5HDQR14 | Long             | DBT              | MUN               | US        |    8325000 | PA      | $5329590.08    | 0.02%             | 2060-05-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| City of New York NY                                                     | NEW YORK NY                                                                     | CUSIP: 64966HTX8<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |    2000000 | PA      | $2088098.00    | 0.01%             | 2036-12-01      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2003-AR6 Trust                   | CUSIP: 9292274D5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     682776 | PA      | $674305.04     | 0.00%             | 2033-06-25      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                       | Citigroup Mortgage Loan Trust 2007-AR5                                          | CUSIP: 17311LAA9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | ABS-MBS          | CORP              | US        |      39259 | PA      | $35469.27      | 0.00%             | 2037-04-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Securities Trust                            | Wells Fargo Mortgage Backed Securities 2006-AR1 Trust                           | CUSIP: 94983JAA0<br>LEI: 549300EZH20KSD9JD814 | Long             | ABS-MBS          | CORP              | US        |     955893 | PA      | $965499.01     | 0.00%             | 2036-03-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                       | Citigroup Mortgage Loan Trust 2007-6                                            | CUSIP: 17312VAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      99870 | PA      | $97160.50      | 0.00%             | 2037-03-25      | Variable      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31419ARC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2579032 | PA      | $2657304.83    | 0.01%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31389R7K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12029 | PA      | $12740.46      | 0.00%             | 2031-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                         | Securitized Asset Backed Receivables LLC Trust 2006-CB1                         | CUSIP: 81375WHH2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | ABS-O            | CORP              | US        |    4995745 | PA      | $4302981.71    | 0.01%             | 2036-01-25      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES/FIN                                                   | Icahn Enterprises LP / Icahn Enterprises Finance Corp                           | CUSIP: 451102CK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     437000 | PA      | $439761.84     | 0.00%             | 2029-11-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| ALTICE FINANCING SA                                                     | Altice Financing SA                                                             | CUSIP: 02154CAJ2<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |    5203000 | PA      | $4697944.79    | 0.01%             | 2027-07-15      | Fixed         | 9.63%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK PROPERTIES INC                                               | Healthpeak Properties Inc Term Loan A1                                          | CUSIP: 42250UAD4<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | LON              |  | US        |   13772696 | PA      | $13669401.19   | 0.04%             | 2027-08-20      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                        | Berry Global Inc                                                                | CUSIP: 08576PAF8<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |   16949000 | PA      | $16420869.16   | 0.05%             | 2027-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| HPS Loan Management                                                     | HPS Loan Management 15-2019 Ltd                                                 | CUSIP: 40439DAN8<br>LEI: 254900T9FXVALKHZXT96 | Long             | ABS-CBDO         | CORP              | JE        |   34710000 | PA      | $34782543.90   | 0.11%             | 2035-01-22      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                                                 | Imperial Brands Finance PLC                                                     | CUSIP: 45262BAJ2<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |    3310000 | PA      | $3333865.10    | 0.01%             | 2028-06-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132GMDH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13856467 | PA      | $13622499.99   | 0.04%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp                                     | JP Morgan Mortgage Acquisition Trust 2007-HE1                                   | CUSIP: 46630KAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2274951 | PA      | $1498145.64    | 0.00%             | 2047-03-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38381XHZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5143825 | PA      | $4690841.15    | 0.01%             | 2049-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                   | MASTR Adjustable Rate Mortgages Trust 2007-1                                    | CUSIP: 576431AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   76046023 | PA      | $30374576.35   | 0.09%             | 2047-01-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38376JFY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3881874 | PA      | $352472.97     | 0.00%             | 2036-03-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| MODIVCARE INC                                                           | Modivcare Inc 2025 Incremental Term Loan                                        | CUSIP: 60783LAD2<br>LEI: 549300EFZIFW7F7I0Q28 | Long             | LON              | CORP              | US        |    3166082 | PA      | $1424736.95    | 0.00%             | 2026-01-12      | Floating      | 13.78%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AT2W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8873928 | PA      | $8823705.91    | 0.03%             | 2046-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2005-A5                                                | CUSIP: 466247SQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27067 | PA      | $26005.69      | 0.00%             | 2035-08-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                  | US 5YR NOTE (CBT) DEC25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      22355 | NC      | $686934.01     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418AXL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6370612 | PA      | $6032883.92    | 0.02%             | 2043-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS                            | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-3 Trust  | CUSIP: 9393365G4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     922834 | PA      | $737536.33     | 0.00%             | 2035-05-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                         | CVS Health Corp                                                                 | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   11472000 | PA      | $10762456.80   | 0.03%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                                        | MortgageIT Trust 2005-5                                                         | CUSIP: 61915RAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     230642 | PA      | $228927.32     | 0.00%             | 2035-12-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                             | Citibank NA                                                                     | CUSIP: 17325FBP2<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    9015000 | PA      | $9262912.50    | 0.03%             | 2030-05-29      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X5UN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12060566 | PA      | $11306790.31   | 0.04%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                                                    | Fannie Mae Trust 2003-W2                                                        | CUSIP: 31392JAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12181 | PA      | $12503.35      | 0.00%             | 2042-07-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31402QLK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3289 | PA      | $3301.73       | 0.00%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                   | CWABS Asset-Backed Certificates Trust 2007-13                                   | CUSIP: 126698AD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5570282 | PA      | $5245903.43    | 0.02%             | 2047-10-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132A5GA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11943522 | PA      | $10811732.66   | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SLC Student Loan Trust                                                  | SLC Student Loan Trust 2004-1                                                   | CUSIP: 784423AH8<br>LEI: 25490083RPF52FIUZ551 | Long             | ABS-O            | CORP              | US        |     160966 | PA      | $142159.26     | 0.00%             | 2031-08-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                                     | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | XX        |          1 | NC      | $35090.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179QGE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6332 | PA      | $6293.83       | 0.00%             | 2044-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                        | IndyMac INDX Mortgage Loan Trust 2007-AR11                                      | CUSIP: 45669FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1999897 | PA      | $1805125.25    | 0.01%             | 2037-06-25      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31402QYC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6418 | PA      | $6728.15       | 0.00%             | 2034-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| TripAdvisor Inc                                                         | TripAdvisor Inc Term Loan                                                       | CUSIP: 89677NAE4<br>LEI: 549300XVG45PT5BART17 | Long             | LON              | CORP              | US        |    3382234 | PA      | $3323044.95    | 0.01%             | 2031-07-08      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| META PLATFORMS INC                                                      | Meta Platforms Inc                                                              | CUSIP: 30303M8W5<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4974700.00    | 0.02%             | 2064-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                       | Citigroup Mortgage Loan Trust 2005-9                                            | CUSIP: 17307GK31<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      84034 | PA      | $72993.51      | 0.00%             | 2035-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                          | HarborView Mortgage Loan Trust 2004-11                                          | CUSIP: 41161PKF9<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |     131471 | PA      | $132445.13     | 0.00%             | 2035-01-19      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Chase Funding Mortgage Loan Asset-Backed CTFS                           | Chase Funding Trust Series 2004-2                                               | CUSIP: 161546JS6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       2397 | PA      | $2371.12       | 0.00%             | 2035-02-26      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| CSMCM Trust Certificates                                                | CSMCM 2022-RPL1 Trust                                                           | CUSIP: 12662JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8112565 | PA      | $6861323.88    | 0.02%             | 2061-04-25      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137AE6P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4500219 | PA      | $4504076.78    | 0.01%             | 2041-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                                | BDL2CXX51 FWDP 2Y RTP SWAPTION                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        | 1568682000 | NC      | $195300.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UCC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17656 | PA      | $17425.59      | 0.00%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31389HCB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1161 | PA      | $1224.68       | 0.00%             | 2032-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Mortgage Loan Trust                                          | Lehman ABS Mortgage Loan Trust 2007-1                                           | CUSIP: 52521MAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     158266 | PA      | $105569.52     | 0.00%             | 2037-06-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc                               | Structured Asset Mortgage Investments II Trust 2005-AR8                         | CUSIP: 86359LRZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6173918 | PA      | $5296955.80    | 0.02%             | 2036-02-25      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWC27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  305086580 | PA      | $258380814.32  | 0.80%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SNU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4880928 | PA      | $4420855.19    | 0.01%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                 | GSR Mortgage Loan Trust 2004-9                                                  | CUSIP: 36242DBK8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | ABS-MBS          | CORP              | US        |        834 | PA      | $796.74        | 0.00%             | 2034-08-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SJV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2118285 | PA      | $2105427.04    | 0.01%             | 2046-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SUX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      92164 | PA      | $91551.23      | 0.00%             | 2047-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31407YQ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1280 | PA      | $1282.91       | 0.00%             | 2035-12-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                                                  | PNC Financial Services Group Inc/The                                            | CUSIP: 693475BW4<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    6290000 | PA      | $6638088.60    | 0.02%             | 2035-01-22      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36202EQK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        342 | PA      | $349.97        | 0.00%             | 2037-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 31398MGB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2784539 | PA      | $291563.91     | 0.00%             | 2040-03-25      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                                                  | Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2005-W3     | CUSIP: 040104PC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6493145 | PA      | $6352876.43    | 0.02%             | 2035-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                   | CUSIP: 172967ML2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    3838000 | PA      | $3570453.02    | 0.01%             | 2031-01-29      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PEW2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    5120000 | PA      | $5360281.60    | 0.02%             | 2036-01-24      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $45326.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PAX4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    8325000 | PA      | $8393348.25    | 0.03%             | 2029-12-05      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Citicorp Residential Mortgage Securities, Inc.                          | Citicorp Residential Mortgage Trust Series 2007-1                               | CUSIP: 173109AE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      17203 | PA      | $17133.78      | 0.00%             | 2037-03-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Bonds                                                             | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 1126421000 | PA      | $1130557082.74 | 3.50%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                                  | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAE5<br>LEI: N/A                  | Long             | DBT              |  | US        |    3627000 | PA      | $3508542.18    | 0.01%             | 2030-08-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                       | First Franklin Mortgage Loan Trust 2006-FF13                                    | CUSIP: 30247DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8423281 | PA      | $5559373.70    | 0.02%             | 2036-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   20371000 | PA      | $18284805.89   | 0.06%             | 2032-11-08      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38384JJZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   64704814 | PA      | $64947039.03   | 0.20%             | 2054-02-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3580330 | PA      | $3425906.49    | 0.01%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36202C4Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        337 | PA      | $346.66        | 0.00%             | 2028-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138EGGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7925381 | PA      | $7913199.84    | 0.02%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418AR26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38424 | PA      | $36386.82      | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ARIZONA PUBLIC SERVICE                                                  | Arizona Public Service Co                                                       | CUSIP: 040555DE1<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |    2444000 | PA      | $2675055.76    | 0.01%             | 2032-12-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| New York City Transitional Finance Authority                            | NEW YORK CITY NY TRANSITIONAL FIN AUTH REV                                      | CUSIP: 64972JPT9<br>LEI: 5493003476LG35QAKM08 | Long             | DBT              | MUN               | US        |   19445000 | PA      | $20268067.96   | 0.06%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                  | Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A4                      | CUSIP: 59020ULQ6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |     371758 | PA      | $353562.95     | 0.00%             | 2034-08-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY PENN ELECTRI                                                | FirstEnergy Pennsylvania Electric Co                                            | CUSIP: 591894CC2<br>LEI: O1PLQWO3TX952VMBJ146 | Long             | DBT              | CORP              | US        |   13381000 | PA      | $13390366.70   | 0.04%             | 2029-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| SMITHFIELD FOODS INC                                                    | Smithfield Foods Inc                                                            | CUSIP: 832248BC1<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |    8890000 | PA      | $8147151.60    | 0.03%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ4T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3324865 | PA      | $3365280.18    | 0.01%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                 | GSR Mortgage Loan Trust 2005-AR5                                                | CUSIP: 362341MC0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | ABS-MBS          | CORP              | US        |    1662291 | PA      | $830753.53     | 0.00%             | 2035-10-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| AMPRION GMBH                                                            | Amprion GmbH                                                                    | CUSIP: 000000000<br>LEI: 529900ZIV0ETYHYZM863 | Long             | DBT              | CORP              | DE        |    3000000 | PA      | $3661804.52    | 0.01%             | 2034-09-07      | Fixed         | 4.13%                 | Yes           |                  2 | On Loan: No      |
| SOUTHERN CO                                                             | Southern Co/The                                                                 | CUSIP: 842587DJ3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   17260000 | PA      | $17052534.80   | 0.05%             | 2051-09-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TAN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     176045 | PA      | $179676.01     | 0.00%             | 2047-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2003-A2                                                | CUSIP: 466247AW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34150 | PA      | $32590.11      | 0.00%             | 2033-11-25      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3133TTK67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1050 | PA      | $1065.87       | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                                | Madison Park Funding XXVII Ltd                                                  | CUSIP: 55820YAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   32300000 | PA      | $32336014.50   | 0.10%             | 2038-04-20      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38376PW71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1682103 | PA      | $191297.03     | 0.00%             | 2039-12-20      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ4Y3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1739068 | PA      | $1758652.36    | 0.01%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179U3T7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1387333 | PA      | $1261389.20    | 0.00%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FLORIDA POWER & LIGHT CO                                                | Florida Power & Light Co                                                        | CUSIP: 341081GY7<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    9780000 | PA      | $10155258.60   | 0.03%             | 2055-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                          | HarborView Mortgage Loan Trust 2006-1                                           | CUSIP: 41161PA86<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |    8357358 | PA      | $7741437.98    | 0.02%             | 2036-03-19      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| LEG IMMOBILIEN SE                                                       | LEG Immobilien SE                                                               | CUSIP: 000000000<br>LEI: 391200SO40AKONBO0Z96 | Long             | DBT              | CORP              | DE        |   18600000 | PA      | $17967866.11   | 0.06%             | 2034-11-28      | Fixed         | 1.63%                 | Yes           |                  2 | On Loan: No      |
| Bayer US Finance II LLC                                                 | Bayer US Finance II LLC                                                         | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   14212000 | PA      | $14164674.04   | 0.04%             | 2028-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                                                | Electricite de France SA                                                        | CUSIP: 28504DAG8<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |    1885000 | PA      | $1979363.10    | 0.01%             | 2055-01-13      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                     | Thornburg Mortgage Securities Trust 2004-4                                      | CUSIP: 885220GD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50534 | PA      | $48384.29      | 0.00%             | 2044-12-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 312945ZB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4086291 | PA      | $4015450.90    | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128KRJH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3003 | PA      | $3060.07       | 0.00%             | 2036-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Pelican Products Inc                                                    | Pelican Products Inc 2021 Term Loan                                             | CUSIP: 70468BAC7<br>LEI: 5493008CRWH2WFODTF44 | Long             | LON              | CORP              | US        |    4684437 | PA      | $4019246.78    | 0.01%             | 2028-12-29      | Floating      | 8.51%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIE                                                | Hudson Pacific Properties LP                                                    | CUSIP: 44409MAC0<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              |  | US        |   24871000 | PA      | $21387567.74   | 0.07%             | 2030-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ERYU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   54863482 | PA      | $54385330.94   | 0.17%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DSEH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   94647196 | PA      | $83454528.02   | 0.26%             | 2053-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2005-AR14 Trust                  | CUSIP: 92922F4F2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     937457 | PA      | $877163.22     | 0.00%             | 2035-12-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| CSC Holdings LLC                                                        | CSC Holdings LLC                                                                | CUSIP: 126307AZ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |   42826000 | PA      | $31679248.72   | 0.10%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36202DXR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1023 | PA      | $1027.08       | 0.00%             | 2033-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY TRANSMISSION                                                | FirstEnergy Transmission LLC                                                    | CUSIP: 33767BAD1<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |   40514000 | PA      | $38958667.54   | 0.12%             | 2028-09-15      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QN6U1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13984383 | PA      | $12370149.13   | 0.04%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hudson Yards                                                            | Hudson Yards 2019-30HY Mortgage Trust                                           | CUSIP: 44421GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   84915000 | PA      | $80797904.72   | 0.25%             | 2039-07-10      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2005-AR17 Trust                  | CUSIP: 92922F7P7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5049424 | PA      | $4654868.76    | 0.01%             | 2045-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                          | HarborView Mortgage Loan Trust 2006-10                                          | CUSIP: 41162CAA9<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |   44238378 | PA      | $35267971.61   | 0.11%             | 2036-11-19      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| LEG IMMOBILIEN SE                                                       | LEG Immobilien SE                                                               | CUSIP: 000000000<br>LEI: 391200SO40AKONBO0Z96 | Long             | DBT              | CORP              | DE        |    8100000 | PA      | $7706318.21    | 0.02%             | 2033-03-30      | Fixed         | 0.88%                 | Yes           |                  2 | On Loan: No      |
| American Home Mortgage Investment Trust                                 | American Home Mortgage Investment Trust 2004-3                                  | CUSIP: 02660TBL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1299660 | PA      | $1289445.70    | 0.00%             | 2034-10-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Cast and Crew Payroll LLC                                               | Cast and Crew Payroll LLC 2021 Incremental Term Loan                            | CUSIP: 14835JAQ3<br>LEI: 549300XE7OZGFGN5F466 | Long             | LON              | CORP              | US        |    1894578 | PA      | $1720958.85    | 0.01%             | 2028-12-29      | Floating      | 7.91%                 | No            |                  2 | On Loan: No      |
| New York City Transitional Finance Authority Future Tax Secured Revenue | NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE                                  | CUSIP: 64971X6S2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    1250000 | PA      | $1283683.75    | 0.00%             | 2036-02-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BOSTON GAS COMPANY                                                      | Boston Gas Co                                                                   | CUSIP: 100743AN3<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |    5050000 | PA      | $5194531.00    | 0.02%             | 2053-07-20      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                              | Bear Stearns Asset Backed Securities Trust 2003-AC7                             | CUSIP: 07384YPH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     354865 | PA      | $296179.27     | 0.00%             | 2034-01-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN ASSETS TRUST LP                                                | American Assets Trust LP                                                        | CUSIP: 02401LAA2<br>LEI: 549300V1TI0SMG9Z6U69 | Long             | DBT              |  | US        |    1704000 | PA      | $1548305.52    | 0.00%             | 2031-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                   | MASTR Adjustable Rate Mortgages Trust 2006-2                                    | CUSIP: 576438AH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4287258 | PA      | $1341715.35    | 0.00%             | 2036-05-25      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2006-QA7 Trust                                                      | CUSIP: 751152AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11285098 | PA      | $10290144.84   | 0.03%             | 2036-08-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136B4WS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2826731 | PA      | $2543676.19    | 0.01%             | 2049-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae                                                                      | CUSIP: 21H0326A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  297700000 | PA      | $271500018.40  | 0.84%             | 2055-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6RY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1471819 | PA      | $1532040.59    | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31335AEK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   58572678 | PA      | $55372302.73   | 0.17%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140MGKG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2333621 | PA      | $1976498.20    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJY61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   61153875 | PA      | $55425181.13   | 0.17%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-264032.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138WXWK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93617 | PA      | $91473.65      | 0.00%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                                                | Electricite de France SA                                                        | CUSIP: 000000000<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |    9200000 | PA      | $6113456.14    | 0.02%             | 2035-08-28      | Fixed         | 5.64%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136ATE26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8674955 | PA      | $8624974.56    | 0.03%             | 2046-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                          | HarborView Mortgage Loan Trust 2004-3                                           | CUSIP: 41161PEC3<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |      22761 | PA      | $21787.23      | 0.00%             | 2034-05-19      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                                 | Dryden XXVI Senior Loan Fund                                                    | CUSIP: 26250UAQ8<br>LEI: 549300ENU7ZZLTPT3E22 | Long             | ABS-CBDO         | CORP              | KY        |    5266773 | PA      | $5271307.42    | 0.02%             | 2029-04-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2006-AR3 Trust                   | CUSIP: 92925CDA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6903086 | PA      | $6351708.66    | 0.02%             | 2046-02-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| ICAHN ENTERPRISES/FIN                                                   | Icahn Enterprises LP / Icahn Enterprises Finance Corp                           | CUSIP: 451102CJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   16598000 | PA      | $16033833.98   | 0.05%             | 2030-06-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140X5R88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7318616 | PA      | $6592075.95    | 0.02%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                         | C-BASS 2007-CB1 TRUST                                                           | CUSIP: 1248MGAM6<br>LEI: 969500V3L9W19NIA5E82 | Long             | ABS-O            | CORP              | US        |    5712647 | PA      | $1593245.15    | 0.00%             | 2037-01-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                      | Alternative Loan Trust 2005-84                                                  | CUSIP: 12668BAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21336 | PA      | $18473.84      | 0.00%             | 2036-02-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TCX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30390876 | PA      | $28243641.67   | 0.09%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 31329NVV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     332757 | PA      | $309996.18     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WEC US Holdings Ltd                                                     | WEC US Holdings Ltd 2024 Term Loan                                              | CUSIP: 92943LAC4<br>LEI: 5493002M6GRSU1IWMG57 | Long             | LON              | CORP              | US        |    3213511 | PA      | $3218186.50    | 0.01%             | 2031-01-27      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418AVV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17387387 | PA      | $16773239.77   | 0.05%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| 321 Henderson Receivables LLC                                           | JGWPT XXXII LLC                                                                 | CUSIP: 46618AAA2<br>LEI: 549300LO0ZO1XMWP1R84 | Long             | ABS-O            | CORP              | US        |   25963266 | PA      | $23654804.35   | 0.07%             | 2073-01-17      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| BCPE EMPIRE HOLDINGS INC                                                | BCPE Empire Holdings Inc 2025 Term Loan B                                       | CUSIP: 05550HAQ8<br>LEI: 549300O2G0VI2955B626 | Long             | LON              | CORP              | US        |    3266644 | PA      | $3264471.55    | 0.01%             | 2030-12-11      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                  | Merrill Lynch Mortgage Investors Trust Series 2003-A6                           | CUSIP: 5899294H8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |     106715 | PA      | $105162.42     | 0.00%             | 2033-10-25      | Variable      | 7.10%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |       3000 | PA      | $3048.90       | 0.00%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ROBERT BOSCH FINANCE                                                    | Robert Bosch Finance LLC                                                        | CUSIP: 000000000<br>LEI: 549300VQST07EL5DYC58 | Long             | DBT              | CORP              | US        |     100000 | PA      | $117716.18     | 0.00%             | 2031-05-28      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| PIEDMONT NATURAL GAS CO                                                 | Piedmont Natural Gas Co Inc                                                     | CUSIP: 720186AN5<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |    7272000 | PA      | $6574251.60    | 0.02%             | 2031-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| INTERSTATE POWER & LIGHT                                                | Interstate Power and Light Co                                                   | CUSIP: 461070AU8<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |   15980000 | PA      | $16811599.20   | 0.05%             | 2033-10-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| LCM Loan Income Fund Ltd                                                | LCM Loan Income Fund I Ltd                                                      | CUSIP: 50189XAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    7500000 | PA      | $7507545.00    | 0.02%             | 2031-04-20      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIE                                                | Hudson Pacific Properties LP                                                    | CUSIP: 44409MAD8<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              |  | US        |      14000 | PA      | $13822.20      | 0.00%             | 2028-02-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWDQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10438241 | PA      | $8456507.86    | 0.03%             | 2052-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SEK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     239407 | PA      | $237953.55     | 0.00%             | 2046-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                                                | Bear Stearns ALT-A Trust 2005-4                                                 | CUSIP: 07386HSW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4810 | PA      | $4724.25       | 0.00%             | 2035-05-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                   | Wells Fargo & Co                                                                | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   83717000 | PA      | $79282510.51   | 0.25%             | 2030-10-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38380RTP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   65361357 | PA      | $50737021.31   | 0.16%             | 2063-06-16      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36202EZF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        473 | PA      | $483.72        | 0.00%             | 2039-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                                  | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAL9<br>LEI: N/A                  | Long             | DBT              |  | US        |    6903000 | PA      | $6744852.27    | 0.02%             | 2029-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY RES                                                  | CenterPoint Energy Resources Corp                                               | CUSIP: 15189WAS9<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2583250.00    | 0.01%             | 2034-07-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                      | Alternative Loan Trust 2005-76                                                  | CUSIP: 12668BDE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   25189710 | PA      | $23129498.61   | 0.07%             | 2036-02-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                                                    | Heathrow Funding Ltd                                                            | CUSIP: 000000000<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |   18800000 | PA      | $20022372.00   | 0.06%             | 2030-10-08      | Fixed         | 1.13%                 | Yes           |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2006-QS10 Trust                                                     | CUSIP: 751155AS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10072425 | PA      | $188049.16     | 0.00%             | 2036-08-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| TruGreen Limited Partnership                                            | TruGreen Limited Partnership 2020 Term Loan                                     | CUSIP: 89787RAH5<br>LEI: 549300QNRP2MNHR3QM19 | Long             | LON              | CORP              | US        |    5421389 | PA      | $5333291.09    | 0.02%             | 2027-11-02      | Floating      | 8.26%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2006-QS12 Trust                                                     | CUSIP: 751151AN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     103535 | PA      | $75720.20      | 0.00%             | 2036-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Aames Mortgage Trust                                                    | Aames Mortgage Trust 2002-1                                                     | CUSIP: 00253CHQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13741 | PA      | $13581.44      | 0.00%             | 2032-06-25      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31292HUR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     124229 | PA      | $126292.89     | 0.00%             | 2033-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GJZ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  128197000 | PA      | $121443582.04  | 0.38%             | 2029-06-14      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 31392TS40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1426 | PA      | $1436.41       | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Securities                                     | Banc of America Mortgage 2005-C Trust                                           | CUSIP: 05949AY87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      61457 | PA      | $60922.66      | 0.00%             | 2035-04-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Trust                                        | IndyMac INDA Mortgage Loan Trust 2007-AR7                                       | CUSIP: 45670NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1145116 | PA      | $944956.30     | 0.00%             | 2037-11-25      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ2S8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36811 | PA      | $34336.99      | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-4                                                   | CUSIP: 78445AAE6<br>LEI: 549300EQOYJZL2D96G46 | Long             | ABS-O            | CORP              | US        |    8849000 | PA      | $9088369.87    | 0.03%             | 2073-04-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                                           | RFMSI Series 2007-SA2 Trust                                                     | CUSIP: 74958XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     671917 | PA      | $586703.29     | 0.00%             | 2037-04-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                  | Sequoia Mortgage Trust 2004-4                                                   | CUSIP: 81744FBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34924 | PA      | $33034.22      | 0.00%             | 2034-05-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-40104.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Trestles CLO LTD                                                        | Trestles CLO VIII Ltd                                                           | CUSIP: 89533DAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   20000000 | PA      | $20038360.00   | 0.06%             | 2035-06-11      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PFJ6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   19538000 | PA      | $20061423.02   | 0.06%             | 2034-07-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                                                    | FirstKey Homes 2021-SFR1 Trust                                                  | CUSIP: 33767WAN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12416000 | PA      | $12190674.43   | 0.04%             | 2038-08-17      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities                          | Credit Suisse First Boston Mortgage Securities Corp                             | CUSIP: 22541QNF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3398 | PA      | $3319.81       | 0.00%             | 2033-08-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| City & County of Denver CO Airport System Revenue                       | DENVER CITY & CNTY CO ARPT REVENUE                                              | CUSIP: 249182PT7<br>LEI: MMTY7HA2MSCBUO4F7J71 | Long             | DBT              | MUN               | US        |    6010000 | PA      | $5420364.91    | 0.02%             | 2031-11-15      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| New York City Transitional Finance Authority Future Tax Secured Revenue | NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE                                  | CUSIP: 64971XUX4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    3175000 | PA      | $2792907.80    | 0.01%             | 2032-11-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-74745.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CALI Mortgage Trust 2019-101C                                           | CALI Mortgage Trust 2019-101C                                                   | CUSIP: 129890AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  272551000 | PA      | $2639056.82    | 0.01%             | 2039-03-10      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust                             | Bear Stearns ARM Trust 2006-4                                                   | CUSIP: 073882AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     138713 | PA      | $122458.18     | 0.00%             | 2036-10-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| EOC BORROWER LLC                                                        | EOC Borrower LLC Term Loan A                                                    | CUSIP: 26875YAC6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    6921469 | PA      | $6943098.34    | 0.02%             | 2028-03-24      | Floating      | 7.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36225DMR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5773 | PA      | $5813.66       | 0.00%             | 2035-03-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| BXHPP TRUST                                                             | BXHPP Trust 2021-FILM                                                           | CUSIP: 05609JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17800000 | PA      | $17280932.42   | 0.05%             | 2036-08-15      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| New York State Dormitory Authority                                      | NEW YORK ST DORM AUTH ST PERSONAL INCOME TAX REVENUE                            | CUSIP: 64990FYQ1<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |     155000 | PA      | $146277.69     | 0.00%             | 2047-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 6174468V4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   15176000 | PA      | $15077659.52   | 0.05%             | 2026-12-10      | Fixed         | 0.99%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                 | GSR Mortgage Loan Trust 2005-AR6                                                | CUSIP: 362341SF7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | ABS-MBS          | CORP              | US        |      25645 | PA      | $23415.36      | 0.00%             | 2035-09-25      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136ASXS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5485843 | PA      | $5454951.05    | 0.02%             | 2046-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWCT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23398827 | PA      | $18959231.61   | 0.06%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38376TY63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3871140 | PA      | $353841.01     | 0.00%             | 2040-01-16      | Floating      | 1.54%                 | No            |                  2 | On Loan: No      |
| Oregon Tool, Inc.                                                       | Oregon Tool Inc 2025 1st Lien Term Loan                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |     369195 | PA      | $376578.48     | 0.00%             | 2029-10-15      | Floating      | 9.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31335ALZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54723 | PA      | $53099.16      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DPL55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   44010145 | PA      | $42931392.00   | 0.13%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2005-AR1 Trust                   | CUSIP: 939336X40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     242849 | PA      | $242152.22     | 0.00%             | 2045-01-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                                            | Centene Corp                                                                    | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   48742000 | PA      | $43573398.32   | 0.13%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BALCAN INNOVATIONS INC                                                  | Balcan Innovations Inc Term Loan B                                              | CUSIP: 000000000<br>LEI: 549300C2CLNRVCUDIH93 | Long             | LON              | CORP              | CA        |    3560225 | PA      | $3373312.78    | 0.01%             | 2031-10-18      | Floating      | 9.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae                                                                      | CUSIP: 21H0526A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  242275000 | PA      | $244101753.50  | 0.76%             | 2054-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                              | Progress Residential Trust                                                      | CUSIP: 74333HAQ8<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    8896000 | PA      | $8780816.37    | 0.03%             | 2038-07-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138WLCJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17020220 | PA      | $16331170.71   | 0.05%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KazMunayGas National Co. JSC                                            | KazMunayGas National Co. JSC                                                    | CUSIP: 000000000<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |    2290000 | PA      | $2355814.60    | 0.01%             | 2030-04-24      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                        | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-2                  | CUSIP: 59024QAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6592333 | PA      | $4851543.73    | 0.02%             | 2037-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3133TLMU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3404 | PA      | $3480.89       | 0.00%             | 2029-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TCW Central Cash Fund                                                   | TCW Central Cash Fund                                                           | CUSIP: 872365671<br>LEI: 2549003KPNUIFJCJM366 | Long             | EC               | RF                | US        | 4493041839 | NS      | $4493041839.29 | 13.91%            |  |  |  | No            |                  1 | On Loan: No      |
| Paraguay Government International Bonds                                 | Paraguay Government International Bonds                                         | CUSIP: 000000000<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |    9742000 | PA      | $9865431.14    | 0.03%             | 2031-04-28      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJ5D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4175528 | PA      | $4122490.33    | 0.01%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38381YZE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3400296 | PA      | $3058667.64    | 0.01%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCSE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   45156333 | PA      | $43618208.95   | 0.14%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                        | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-1                  | CUSIP: 59023LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   23617359 | PA      | $8898265.21    | 0.03%             | 2037-04-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELEC POWER                                                 | Southwestern Electric Power Co                                                  | CUSIP: 845437BP6<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |   26488000 | PA      | $26141801.84   | 0.08%             | 2026-10-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED UTILITIES WAT FIN                                                | United Utilities Water Finance PLC                                              | CUSIP: 000000000<br>LEI: 213800313INX42GDLR44 | Long             | DBT              | CORP              | GB        |   16681000 | PA      | $19667791.67   | 0.06%             | 2034-05-23      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136B3SX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     294883 | PA      | $294077.95     | 0.00%             | 2047-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418CLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11929780 | PA      | $11447413.91   | 0.04%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   23236000 | PA      | $22873286.04   | 0.07%             | 2028-02-24      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-7536.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                                                | OBX 2021-NQM4 Trust                                                             | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4108501 | PA      | $3530628.68    | 0.01%             | 2061-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38381WC71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7897386 | PA      | $6722991.52    | 0.02%             | 2049-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PILGRIM'S PRIDE CORP                                                    | Pilgrim's Pride Corp                                                            | CUSIP: 72147KAL2<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4973175.00    | 0.02%             | 2034-05-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PCP9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $9747600.00    | 0.03%             | 2027-09-22      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust                   | CUSIP: 92922FD21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     237081 | PA      | $236901.81     | 0.00%             | 2045-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Primo Brands Corporation                                                | Primo Brands Corporation 2025 Term Loan B                                       | CUSIP: 89678QAD8<br>LEI: 254900J0WS4AXV2LAX55 | Long             | LON              | CORP              | US        |     920107 | PA      | $920990.54     | 0.00%             | 2028-03-31      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| PACIFIC NATIONAL FINANCE                                                | Pacific National Finance Pty Ltd                                                | CUSIP: 000000000<br>LEI: 213800SSTRDXLWWVF948 | Long             | DBT              | CORP              | AU        |   26170000 | PA      | $16133193.23   | 0.05%             | 2029-09-24      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38375KPF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4773446 | PA      | $563478.75     | 0.00%             | 2037-06-16      | Floating      | 2.49%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2007-6                                                   | CUSIP: 78444CAF0<br>LEI: 549300DP3T6QDZHB8271 | Long             | ABS-O            | CORP              | US        |    2444079 | PA      | $2303954.13    | 0.01%             | 2043-04-27      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| BROOKLYN UNION GAS CO                                                   | Brooklyn Union Gas Co/The                                                       | CUSIP: 114259AY0<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $10568800.00   | 0.03%             | 2054-07-18      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                                       | Citigroup Mortgage Loan Trust 2014-5                                            | CUSIP: 17322TAE1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    4481972 | PA      | $4190176.56    | 0.01%             | 2036-02-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8393852 | PA      | $8025465.51    | 0.02%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OREGON TOOL LUX LP                                                      | Oregon Tool Lux LP                                                              | CUSIP: 68610BAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   12270896 | PA      | $4328313.15    | 0.01%             | 2029-10-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| RESEARCH NOW GROUP INC                                                  | Research Now Group Inc 2024 First Lien First Out Term Loan                      | CUSIP: 76100MAB6<br>LEI: 549300XTHJNIVC5Q8K50 | Long             | LON              | CORP              | US        |    1604557 | PA      | $1603890.94    | 0.00%             | 2028-07-15      | Floating      | 9.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31378CTK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         52 | PA      | $52.25         | 0.00%             | 2027-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Wachovia Mortgage Loan Trust, LLC                                       | Wachovia Mortgage Loan Trust Series 2006-ALT1                                   | CUSIP: 92978GAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8785481 | PA      | $3013432.33    | 0.01%             | 2037-01-25      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-36526.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PLANO HOLDCO INC                                                        | Plano HoldCo Inc Term Loan B                                                    | CUSIP: 72712EAB3<br>LEI: 254900C53JLEP3CCOQ10 | Long             | LON              | CORP              | US        |     995000 | PA      | $975100.00     | 0.00%             | 2031-10-02      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   30582000 | PA      | $27024701.76   | 0.08%             | 2032-07-21      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FQA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4171126 | PA      | $4103315.32    | 0.01%             | 2049-12-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31403CZL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7525 | PA      | $7552.63       | 0.00%             | 2035-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138EG5M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4659047 | PA      | $4918637.82    | 0.02%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31402RH44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1311286 | PA      | $1316114.09    | 0.00%             | 2035-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN INC                                                          | Transocean International Ltd                                                    | CUSIP: 893830BX6<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | BM        |    2617500 | PA      | $2755232.85    | 0.01%             | 2030-02-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38381RME6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5568671 | PA      | $5156223.82    | 0.02%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179S5P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10126316 | PA      | $10303307.00   | 0.03%             | 2047-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FLUTTER FINANCING BV                                                    | Flutter Financing BV 2025 Term Loan B                                           | CUSIP: 000000000<br>LEI: 635400VFWPBIKJK6GN11 | Long             | LON              | CORP              | NL        |    4641259 | PA      | $4643532.93    | 0.01%             | 2032-06-04      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38381WDY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     671136 | PA      | $600582.66     | 0.00%             | 2049-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                                     | American Tower Corp                                                             | CUSIP: 03027XBG4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    3336000 | PA      | $2952093.12    | 0.01%             | 2030-10-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                 | HCA Inc                                                                         | CUSIP: 404119CC1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     563000 | PA      | $499831.40     | 0.00%             | 2031-07-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2006-A2                                                | CUSIP: 466247K93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        661 | PA      | $654.33        | 0.00%             | 2033-11-25      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140KSYC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   93555021 | PA      | $75804284.25   | 0.23%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2006-A5                                                | CUSIP: 46629CAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     181030 | PA      | $143183.10     | 0.00%             | 2036-08-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| New York State Dormitory Authority                                      | NEW YORK ST DORM AUTH ST PERSONAL INCOME TAX REVENUE                            | CUSIP: 64990FMV3<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |   20195000 | PA      | $20620488.46   | 0.06%             | 2039-03-15      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| Vonovia SE                                                              | Vonovia SE                                                                      | CUSIP: 000000000<br>LEI: 5299005A2ZEP6AP7KM81 | Long             | DBT              | CORP              | DE        |     700000 | PA      | $893366.42     | 0.00%             | 2030-11-23      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| AIR LEASE CORP                                                          | Air Lease Corp                                                                  | CUSIP: 00914AAJ1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   10055000 | PA      | $10010255.25   | 0.03%             | 2026-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PBW5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   15825000 | PA      | $15650450.25   | 0.05%             | 2027-02-04      | Fixed         | 1.04%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                         | Credit-Based Asset Servicing and Securitization LLC                             | CUSIP: 79549ARU5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       2458 | PA      | $2388.14       | 0.00%             | 2033-01-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                                                | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                      | CUSIP: 46590XAQ9<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   33256000 | PA      | $26232997.92   | 0.08%             | 2052-02-02      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128M5XN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4760 | PA      | $5031.15       | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31417AJJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3661649 | PA      | $3493951.51    | 0.01%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136B3D80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1063474 | PA      | $988031.19     | 0.00%             | 2049-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9205946 | PA      | $8343563.09    | 0.03%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137AUNJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2581486 | PA      | $2536182.14    | 0.01%             | 2041-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140XMC87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   80545275 | PA      | $71001535.27   | 0.22%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCSA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     330444 | PA      | $319014.18     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2005-AR15 Trust                  | CUSIP: 92922F5T1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11283872 | PA      | $10923745.76   | 0.03%             | 2045-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| DIAGEO INVESTMENT CORP                                                  | Diageo Investment Corp                                                          | CUSIP: 25245BAE7<br>LEI: S4G8DPIPDVCF6CB81Z61 | Long             | DBT              | CORP              | US        |    3595000 | PA      | $3817818.10    | 0.01%             | 2035-04-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137AFGJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9215000 | PA      | $9163278.79    | 0.03%             | 2041-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| KFC Holding Co                                                          | KFC Holding Co 2021 Term Loan B                                                 | CUSIP: 72584DAF1<br>LEI: 549300G2LG4YUB3MM115 | Long             | LON              | CORP              | US        |    8452051 | PA      | $8494311.53    | 0.03%             | 2028-03-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY PENN ELECTRI                                                | FirstEnergy Pennsylvania Electric Co                                            | CUSIP: 708696BY4<br>LEI: O1PLQWO3TX952VMBJ146 | Long             | DBT              | CORP              | US        |     125000 | PA      | $122251.25     | 0.00%             | 2028-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11495582 | PA      | $10676531.21   | 0.03%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OPAL BIDCO SAS                                                          | Opal Bidco SAS USD Term Loan B                                                  | CUSIP: 000000000<br>LEI: 969500R96XT7XY2UJ564 | Long             | LON              | CORP              | US        |    2323898 | PA      | $2332903.26    | 0.01%             | 2032-04-28      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                   | MASTR Adjustable Rate Mortgages Trust 2003-7                                    | CUSIP: 576433HK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     218714 | PA      | $217803.45     | 0.00%             | 2033-11-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certificates                                       | ABFC 2006-OPT3 Trust                                                            | CUSIP: 00075VAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   37358331 | PA      | $15214225.01   | 0.05%             | 2036-11-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                  | Venture Global LNG Inc                                                          | CUSIP: 92332YAF8<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |   10176000 | PA      | $10086044.16   | 0.03%             | 2029-09-30      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                                    | Deephaven Residential Mortgage Trust 2021-4                                     | CUSIP: 24381JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18726955 | PA      | $16666716.37   | 0.05%             | 2066-11-25      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| Blackhawk Network Holdings, Inc                                         | Blackhawk Network Holdings Inc 2025 Term Loan B                                 | CUSIP: 09238FAM3<br>LEI: 549300LFU3K8UIR03132 | Long             | LON              | CORP              | US        |    3886104 | PA      | $3905845.76    | 0.01%             | 2029-03-12      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.                                            | GSMSC Resecuritization Trust 2015-3R                                            | CUSIP: 36250FAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10112054 | PA      | $9179946.49    | 0.03%             | 2037-01-26      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                        | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-4                  | CUSIP: 59025CAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6393158 | PA      | $6404061.31    | 0.02%             | 2037-07-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   99270023 | PA      | $89970733.73   | 0.28%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fillmore Park CLO, Ltd.                                                 | Fillmore Park CLO Ltd                                                           | CUSIP: 31722PAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    8000000 | PA      | $8020464.00    | 0.02%             | 2030-07-15      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJZY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8289 | PA      | $7962.86       | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DYNO NOBEL LTD                                                          | Dyno Nobel Ltd                                                                  | CUSIP: 000000000<br>LEI: 254900UW2F3BKV6Z9V18 | Long             | DBT              | CORP              | AU        |   13480000 | PA      | $9044200.77    | 0.03%             | 2035-08-08      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2006-QS7 Trust                                                      | CUSIP: 748940AG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16111231 | PA      | $403412.33     | 0.00%             | 2036-06-25      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                                         | Israel Government International Bond                                            | CUSIP: 46514Y8A8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |   22400000 | PA      | $23105152.00   | 0.07%             | 2030-02-19      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140Q75Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1765275 | PA      | $1644642.30    | 0.01%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                          | Carvana Auto Receivables Trust 2023-N1                                          | CUSIP: 14688FAH9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  206673059 | PA      | $2420554.87    | 0.01%             | 2030-04-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179RBZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12949 | PA      | $12870.81      | 0.00%             | 2045-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust                       | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2006-AR1               | CUSIP: 251510LF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     477196 | PA      | $312720.85     | 0.00%             | 2036-02-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |          1 | NC      | $105579.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWDS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  122412909 | PA      | $107922534.27  | 0.33%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust                              | Bear Stearns Asset Backed Securities I Trust 2006-AC2                           | CUSIP: 07387UGR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      55663 | PA      | $55552.45      | 0.00%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| New York City Transitional Finance Authority Future Tax Secured Revenue | NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE                                  | CUSIP: 64971MT44<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   13135000 | PA      | $13415694.95   | 0.04%             | 2027-05-01      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                                 | Dryden 30 Senior Loan Fund                                                      | CUSIP: 26249BAS0<br>LEI: 549300AS2O1RYPD2ED41 | Long             | ABS-CBDO         | CORP              | KY        |     813402 | PA      | $814010.78     | 0.00%             | 2028-11-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp                                     | JP Morgan Mortgage Acquisition Trust 2006-WF1                                   | CUSIP: 46628SAJ2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | ABS-MBS          | CORP              | US        |    3687848 | PA      | $975869.91     | 0.00%             | 2036-07-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ETE69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     276373 | PA      | $254216.13     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation                                 | Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003 26A        | CUSIP: 86359AS95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      48544 | PA      | $47161.20      | 0.00%             | 2033-09-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Artera Services LLC                                                     | Artera Services LLC 2024 Term Loan                                              | CUSIP: 73937UAL2<br>LEI: 549300J2G34D0WX8Z443 | Long             | LON              | CORP              | US        |    4049146 | PA      | $3635363.52    | 0.01%             | 2031-02-15      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| SG Mortgage Securities Trust                                            | SG Mortgage Securities Trust 2007-NC1                                           | CUSIP: 78420RAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10901588 | PA      | $6484838.18    | 0.02%             | 2036-12-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TQQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   26203728 | PA      | $25073531.88   | 0.08%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                  | CHL Mortgage Pass-Through Trust 2004-7                                          | CUSIP: 12669FXJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35589 | PA      | $32965.54      | 0.00%             | 2034-06-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31283HVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     164850 | PA      | $167582.58     | 0.00%             | 2033-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCRY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  125376155 | PA      | $117782674.20  | 0.36%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                            | CSMC 2021-RPL11 Trust                                                           | CUSIP: 12659AAH9<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |  194765967 | PA      | $162553584.41  | 0.50%             | 2061-10-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| NAKED JUICE LLC                                                         | Naked Juice LLC 2025 FLSO Term Loan                                             | CUSIP: 62984CAM5<br>LEI: 549300Y5TU1XQ1KVLJ64 | Long             | LON              | CORP              | US        |   18392361 | PA      | $13932213.15   | 0.04%             | 2029-01-24      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                        | CIFC Funding 2023-II Ltd                                                        | CUSIP: 125488AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   14000000 | PA      | $14046214.00   | 0.04%             | 2037-01-21      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                                                | Comision Federal de Electricidad                                                | CUSIP: 000000000<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |    3368000 | PA      | $3040293.60    | 0.01%             | 2031-02-09      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                          | HarborView Mortgage Loan Trust 2007-7                                           | CUSIP: 411640AA3<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |   13524255 | PA      | $10951586.19   | 0.03%             | 2037-10-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA VENDOR FIN                                                 | Virgin Media Vendor Financing Notes III DAC                                     | CUSIP: 000000000<br>LEI: 635400SSKC2QCGEPIQ43 | Long             | DBT              | CORP              | IE        |    4715000 | PA      | $6195862.57    | 0.02%             | 2028-07-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| TCP Sunbelt Acquisition Co                                              | TCP Sunbelt Acquisition Co 2024 Term Loan B                                     | CUSIP: 87233DAB3<br>LEI: 549300P5GYKSLPTV1Y23 | Long             | LON              | CORP              | US        |    4952575 | PA      | $4973202.47    | 0.02%             | 2031-10-24      | Floating      | 8.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36202DYY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        534 | PA      | $536.00        | 0.00%             | 2033-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust                   | CUSIP: 92922FD47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20162 | PA      | $20141.90      | 0.00%             | 2045-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                          | Structured Adjustable Rate Mortgage Loan Trust Series 2004-20                   | CUSIP: 863579GZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     186634 | PA      | $180070.97     | 0.00%             | 2035-01-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| Popular ABS Mortgage Pass-Through Trust                                 | Popular ABS Mortgage Pass-Through Trust 2007-A                                  | CUSIP: 73316NAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15892806 | PA      | $14882948.88   | 0.05%             | 2047-06-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                      | BDL2CYPL3 FWDP 5Y RTP SWAPTION                                                  | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |  655513000 | NC      | $284951.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2006-8                                                   | CUSIP: 78443HAF0<br>LEI: 5493008U32QWNGB0TW72 | Long             | ABS-O            | CORP              | US        |   17041851 | PA      | $16448389.16   | 0.05%             | 2041-01-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FLUTTER TREASURY DAC                                                    | Flutter Treasury DAC                                                            | CUSIP: 344045AB5<br>LEI: 635400JE8VLL9UFVIC38 | Long             | DBT              | CORP              | IE        |   17745000 | PA      | $18036195.45   | 0.06%             | 2031-06-04      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                  | CHL Mortgage Pass-Through Trust 2005-11                                         | CUSIP: 12669GUJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     187915 | PA      | $165098.87     | 0.00%             | 2035-04-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certificates                                       | ABFC 2007-WMC1 Trust                                                            | CUSIP: 04545EAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13400064 | PA      | $11316394.48   | 0.04%             | 2037-06-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                        | IndyMac INDX Mortgage Loan Trust 2006-AR7                                       | CUSIP: 45661ECW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2070077 | PA      | $1637391.68    | 0.01%             | 2036-05-25      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133KNGQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  110689427 | PA      | $89765367.41   | 0.28%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GVC Holdings (Gibraltar) Limited                                        | GVC Holdings (Gibraltar) Limited 2024 USD Term Loan B3                          | CUSIP: 36270BAC6<br>LEI: 213800ATWJIEYQ8NF838 | Long             | LON              | CORP              | GI        |    2402401 | PA      | $2404803.81    | 0.01%             | 2029-10-31      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                         | Lehman XS Trust 2006-8                                                          | CUSIP: 52522HAA0<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | ABS-O            | CORP              | US        |   20580944 | PA      | $18756447.79   | 0.06%             | 2036-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179S2S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4481862 | PA      | $4574307.13    | 0.01%             | 2047-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38380RNG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   95139122 | PA      | $70853728.78   | 0.22%             | 2063-06-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31335AHP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22593293 | PA      | $21330066.63   | 0.07%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38380Y2X2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     527976 | PA      | $486555.07     | 0.00%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 61747YEC5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $978640.00     | 0.00%             | 2027-07-20      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| AMCOR FLEXIBLES NORTH AM                                                | Amcor Flexibles North America Inc                                               | CUSIP: 02344AAG3<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |   23322000 | PA      | $23876830.38   | 0.07%             | 2030-03-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Station Casinos LLC                                                     | Station Casinos LLC 2024 Term Loan B                                            | CUSIP: 85769EBB6<br>LEI: 5493004E7Q60TX54WL62 | Long             | LON              | CORP              | US        |    1840144 | PA      | $1842150.01    | 0.01%             | 2031-03-14      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                                                 | Duke Energy Florida LLC                                                         | CUSIP: 26444HAQ4<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |    2409000 | PA      | $2603285.85    | 0.01%             | 2033-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 61747YFR1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    9485000 | PA      | $10113950.35   | 0.03%             | 2035-04-19      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PER3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     680000 | PA      | $686181.20     | 0.00%             | 2035-10-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certificates                                       | ABFC 2007-WMC1 Trust                                                            | CUSIP: 04545EAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18342809 | PA      | $15490832.21   | 0.05%             | 2037-06-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                                                | Neuberger Berman Loan Advisers CLO 47 Ltd                                       | CUSIP: 64135DAA3<br>LEI: 549300JRWXK6DFJD7D06 | Long             | ABS-CBDO         | CORP              | KY        |   32050000 | PA      | $32051602.50   | 0.10%             | 2035-04-14      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Suntrust Adjustable Rate Mortgage Loan Trust                            | STARM Mortgage Loan Trust 2007-3                                                | CUSIP: 85554NAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     962531 | PA      | $447889.27     | 0.00%             | 2037-06-25      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp                                     | JP Morgan Mortgage Acquisition Trust 2007-HE1                                   | CUSIP: 46630KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5004892 | PA      | $3297119.06    | 0.01%             | 2035-05-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                   | MASTR Adjustable Rate Mortgages Trust 2004-13                                   | CUSIP: 576433UF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1097440 | PA      | $1055050.47    | 0.00%             | 2034-11-21      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SGN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1936510 | PA      | $1923570.38    | 0.01%             | 2046-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Brazil Government International Bonds                                   | Brazil Government International Bonds                                           | CUSIP: 105756CL2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    6094000 | PA      | $6347997.92    | 0.02%             | 2035-03-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Smithfield Foods Inc                                                    | Smithfield Foods Inc                                                            | CUSIP: 832248AZ1<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |   24855000 | PA      | $24705372.90   | 0.08%             | 2027-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BX1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10000000 | PA      | $8558200.00    | 0.03%             | 2032-02-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ETJA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     116803 | PA      | $117343.92     | 0.00%             | 2034-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities                          | Credit Suisse First Boston Mortgage Securities Corp                             | CUSIP: 225458YA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2565 | PA      | $2335.49       | 0.00%             | 2049-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136AGZD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4373915 | PA      | $3111681.01    | 0.01%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                                    | ACE Securities Corp Home Equity Loan Trust Series 2004-IN1                      | CUSIP: 004421FD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     102997 | PA      | $97110.62      | 0.00%             | 2034-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                   | CWABS Asset-Backed Certificates Trust 2005-13                                   | CUSIP: 126670GR3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      80635 | PA      | $75556.27      | 0.00%             | 2036-04-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31374F2P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         59 | PA      | $59.18         | 0.00%             | 2026-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                                           | RFMSI Series 2006-SA3 Trust                                                     | CUSIP: 749575AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40734 | PA      | $35136.72      | 0.00%             | 2036-09-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| BCRED MML CLO 2021-1 LLC                                                | BCRED MML CLO 2022-1 LLC                                                        | CUSIP: 072917AA5<br>LEI: 2549008X01GXURMQIW78 | Long             | ABS-CBDO         | CORP              | US        |   48400000 | PA      | $48470615.60   | 0.15%             | 2035-04-20      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                        | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-1                  | CUSIP: 59023LAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   49474634 | PA      | $18749263.37   | 0.06%             | 2037-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                                  | Rockford Tower CLO 2017-2 Ltd                                                   | CUSIP: 77340GAJ0<br>LEI: 549300G18KVCW7VUKI86 | Long             | ABS-CBDO         | CORP              | KY        |    1147286 | PA      | $1147618.67    | 0.00%             | 2029-10-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2023-R3                                                               | CUSIP: 12570GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   32268527 | PA      | $30891458.01   | 0.10%             | 2063-01-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Mid-State Trust                                                         | Mid-State Capital Corp 2006-1 Trust                                             | CUSIP: 59548PAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3625500 | PA      | $3646722.66    | 0.01%             | 2040-10-15      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC                                     | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | XX        |          1 | NC      | $66133.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2007-QS1 Trust                                                      | CUSIP: 74922KAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7978432 | PA      | $5481772.87    | 0.02%             | 2037-01-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae                                                                      | CUSIP: 21H0506A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  391825000 | PA      | $389789665.04  | 1.21%             | 2054-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2012-1                                                   | CUSIP: 78446WAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     290595 | PA      | $284691.27     | 0.00%             | 2028-09-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38381BZB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4794528 | PA      | $4499271.66    | 0.01%             | 2049-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-80685.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                                                | International Flavors & Fragrances Inc                                          | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |   48565000 | PA      | $43479273.20   | 0.13%             | 2030-11-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36202F2N5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6127 | PA      | $6120.33       | 0.00%             | 2042-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FKHV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30711 | PA      | $30591.09      | 0.00%             | 2047-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE RLTY HLDGS LP                                                | Healthcare Realty Holdings LP                                                   | CUSIP: 42225UAL8<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              |  | US        |       2000 | PA      | $1808.66       | 0.00%             | 2030-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| EagleView Technology Corporation                                        | EagleView Technology Corporation 2025 Term Loan                                 | CUSIP: 000000000<br>LEI: 549300HLIL8HO4PPLG50 | Long             | LON              | CORP              | US        |   12418848 | PA      | $12228715.59   | 0.04%             | 2028-08-14      | Floating      | 9.50%                 | No            |                  2 | On Loan: No      |
| MAGNITE INC                                                             | Magnite Inc 2025 Repriced Term Loan B                                           | CUSIP: 55955NAG3<br>LEI: 54930018FR2YX1HHSB02 | Long             | LON              | CORP              | US        |    5026149 | PA      | $5043966.74    | 0.02%             | 2031-02-06      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 44, Ltd.                                    | Octagon Investment Partners 44 Ltd                                              | CUSIP: 67577LAU9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   18750000 | PA      | $18791062.50   | 0.06%             | 2034-10-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| DAVIDE CAMPARI-MILANO SP                                                | Davide Campari-Milano NV                                                        | CUSIP: 000000000<br>LEI: 213800ED5AN2J56N6Z02 | Long             | DBT              | CORP              | NL        |   14300000 | PA      | $16219113.96   | 0.05%             | 2029-01-17      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 3137FKBE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3996068 | PA      | $3985779.32    | 0.01%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| YORKSHIRE WATER FINANCE                                                 | Yorkshire Water Finance PLC                                                     | CUSIP: 000000000<br>LEI: 213800O8BDOGHJMTCP32 | Long             | DBT              | CORP              | GB        |   10000000 | PA      | $13419556.17   | 0.04%             | 2033-07-22      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Ziggo Financing Partnership                                             | Ziggo Financing Partnership USD Term Loan I                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    4010664 | PA      | $4004949.20    | 0.01%             | 2028-04-30      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2007-A4                                                | CUSIP: 46631JAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     194501 | PA      | $152072.96     | 0.00%             | 2037-06-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| CBRE OPEN-ENDED FUNDS                                                   | CBRE Open-Ended Funds SCA SICAV-SIF                                             | CUSIP: 000000000<br>LEI: 529900J5H3JGJ83AUZ88 | Long             | DBT              | CORP              | LU        |    2765000 | PA      | $3429511.76    | 0.01%             | 2034-03-27      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1337000 | PA      | $1305954.86    | 0.00%             | 2027-10-21      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| SFAVE Commercial Mortgage Securities Trust                              | SFAVE Commercial Mortgage Securities Trust 2015-5AVE                            | CUSIP: 78413MAE8<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |    8710000 | PA      | $7627132.73    | 0.02%             | 2043-01-05      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT                                                   | American Homes 4 Rent LP                                                        | CUSIP: 02666TAD9<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              |  | US        |   11823000 | PA      | $8045196.81    | 0.02%             | 2051-07-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                  | U.S. Treasury Notes                                                             | CUSIP: 91282CNZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 1079695000 | PA      | $1076236607.35 | 3.33%             | 2032-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2021-R5                                                               | CUSIP: 12592SAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  126601499 | PA      | $112729141.01  | 0.35%             | 2061-08-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| OWNIT Mortgage Loan Asset-Backed Certificates                           | Ownit Mortgage Loan Trust Series 2006-4                                         | CUSIP: 69121QAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13661487 | PA      | $11367936.14   | 0.04%             | 2037-05-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TEZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2312268 | PA      | $2148897.30    | 0.01%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                                | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAR6<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   15466000 | PA      | $15111055.30   | 0.05%             | 2028-01-11      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2004-AR3 Trust                   | CUSIP: 92922FNJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10152 | PA      | $9641.20       | 0.00%             | 2034-06-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138EPBS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19491 | PA      | $18457.25      | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DVKP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5375801 | PA      | $4995244.42    | 0.02%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138EP3A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30345 | PA      | $27604.43      | 0.00%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4680548 | PA      | $4381764.47    | 0.01%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMCOR UK FINANCE PLC                                                    | Amcor UK Finance PLC                                                            | CUSIP: 000000000<br>LEI: 549300DEUV6BE727FP17 | Long             | DBT              | CORP              | GB        |    4570000 | PA      | $5468069.03    | 0.02%             | 2032-05-29      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                                      | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $1660371.63    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                     | Petroleos Mexicanos                                                             | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    4181000 | PA      | $3474661.86    | 0.01%             | 2047-09-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Products, INC.                               | RAMP Series 2004-SL3 Trust                                                      | CUSIP: 76112BBS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8295 | PA      | $3768.12       | 0.00%             | 2031-12-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TAM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     208272 | PA      | $206392.23     | 0.00%             | 2047-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Calpine Corporation                                                     | Calpine Corporation 2024 Term Loan B5                                           | CUSIP: 13134MBX0<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | LON              | CORP              | US        |    6531351 | PA      | $6531841.15    | 0.02%             | 2032-02-15      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Chase Funding Mortgage Loan Asset-Backed CTFS                           | Chase Funding Trust Series 2003-5                                               | CUSIP: 161546GR1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       1941 | PA      | $1958.93       | 0.00%             | 2033-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31298SNE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        102 | PA      | $102.37        | 0.00%             | 2027-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136B5RG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11551853 | PA      | $10407888.56   | 0.03%             | 2049-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                      | Alternative Loan Trust 2004-J6                                                  | CUSIP: 12667FRG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1205 | PA      | $1236.20       | 0.00%             | 2031-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                        | IndyMac INDX Mortgage Loan Trust 2004-AR4                                       | CUSIP: 45660NQ24<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     427250 | PA      | $408403.12     | 0.00%             | 2034-08-25      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                        | LONG GILT FUTURE DEC25                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |       -156 | NC      | $-20391.48     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GSR Mortgage Loan Trust                                                 | GSR Mortgage Loan Trust 2007-AR2                                                | CUSIP: 3622N6AC3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | ABS-MBS          | CORP              | US        |    1158652 | PA      | $599355.20     | 0.00%             | 2037-05-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                                                | International Flavors & Fragrances Inc                                          | CUSIP: 459506AR2<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |   10351000 | PA      | $7905058.70    | 0.02%             | 2040-11-15      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2022-I1                                                               | CUSIP: 12568TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26751816 | PA      | $26916553.81   | 0.08%             | 2067-02-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SLU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1134980 | PA      | $1130366.24    | 0.00%             | 2046-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds                                   | Mexico Government International Bonds                                           | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1756000 | PA      | $1568371.40    | 0.00%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Goal Capital Funding Trust                                              | Goal Capital Funding Trust 2006-1                                               | CUSIP: 38021BAG5<br>LEI: 5493009VZI2B6V83UU74 | Long             | ABS-O            | CORP              | US        |     830419 | PA      | $808299.77     | 0.00%             | 2042-08-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19580164 | PA      | $18242125.97   | 0.06%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $35629.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| 321 Henderson Receivables LLC                                           | JGWPT XXX LLC                                                                   | CUSIP: 46617LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     401927 | PA      | $382616.86     | 0.00%             | 2073-01-17      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |          1 | NC      | $86993.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128M6HP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1806620 | PA      | $1880395.53    | 0.01%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Wachovia Mortgage Loan Trust, LLC                                       | Wachovia Mortgage Loan Trust Series 2006-AMN1                                   | CUSIP: 92978EAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14030934 | PA      | $4616822.62    | 0.01%             | 2036-08-25      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                  | CHL Mortgage Pass-Through Trust 2004-25                                         | CUSIP: 12669GJY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52023 | PA      | $49368.93      | 0.00%             | 2035-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136A2HP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5619786 | PA      | $5529274.94    | 0.02%             | 2041-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |          1 | NC      | $-18344.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SARTORIUS FINANCE BV                                                    | Sartorius Finance BV                                                            | CUSIP: 000000000<br>LEI: 529900JCAKTMRXK9EA58 | Long             | DBT              | CORP              | NL        |    1400000 | PA      | $1759508.10    | 0.01%             | 2035-09-14      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| New York City Transitional Finance Authority Future Tax Secured Revenue | NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE                                  | CUSIP: 64971XYT9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    3000000 | PA      | $2524146.00    | 0.01%             | 2034-11-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DNP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11746981 | PA      | $10249783.74   | 0.03%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31403MW54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2707 | PA      | $2718.31       | 0.00%             | 2033-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                   | CUSIP: 172967MS7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     868000 | PA      | $798924.56     | 0.00%             | 2031-06-03      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| EUROGRID GMBH                                                           | Eurogrid GmbH                                                                   | CUSIP: 000000000<br>LEI: 967600Q53854Z2NBCC81 | Long             | DBT              | CORP              | DE        |    1200000 | PA      | $1225106.45    | 0.00%             | 2032-05-15      | Fixed         | 1.11%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3131XVRE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11925179 | PA      | $10795128.17   | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| New York City Transitional Finance Authority Future Tax Secured Revenue | NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE                                  | CUSIP: 64971X6R4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    1250000 | PA      | $1288363.75    | 0.00%             | 2035-02-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| FABBRICA ITA SINTETICI                                                  | FIS Fabbrica Italiana Sintetici SpA                                             | CUSIP: 000000000<br>LEI: 8156004D7056C63EC525 | Long             | DBT              | CORP              | IT        |    5100000 | PA      | $6056978.09    | 0.02%             | 2027-08-01      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Republic of South Africa Government International Bonds                 | Republic of South Africa Government International Bonds                         | CUSIP: 836205BA1<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    7869000 | PA      | $7783936.11    | 0.02%             | 2029-09-30      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                                                | Bear Stearns ALT-A Trust 2006-4                                                 | CUSIP: 073871BN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1186238 | PA      | $492152.02     | 0.00%             | 2036-07-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| ANTYLIA SCIENTIFIC                                                      | Antylia Scientific Term Loan                                                    | CUSIP: 12592HAG6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    3148291 | PA      | $3116808.24    | 0.01%             | 2032-05-27      | Floating      | 8.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QPAV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  138556890 | PA      | $131221454.51  | 0.41%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae                                                                      | CUSIP: 21H0426A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  155025000 | PA      | $150372389.70  | 0.47%             | 2055-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TREASURY CORP VICTORIA                                                  | Treasury Corp of Victoria                                                       | CUSIP: 000000000<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | NUSS              | AU        |   41635000 | PA      | $19507563.37   | 0.06%             | 2037-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TLV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     745899 | PA      | $758935.92     | 0.00%             | 2047-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT                                                   | American Homes 4 Rent LP                                                        | CUSIP: 02666TAG2<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              |  | US        |    1086000 | PA      | $1122978.30    | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |          1 | NC      | $22683.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128M8RT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8208462 | PA      | $8015331.06    | 0.02%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |          1 | NC      | $21283.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2020-R1                                                               | CUSIP: 12558VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  101673261 | PA      | $93812095.02   | 0.29%             | 2059-10-27      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| MortgageIT Trust                                                        | MortgageIT Trust 2005-4                                                         | CUSIP: 61913PAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     891758 | PA      | $892151.01     | 0.00%             | 2035-10-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| SKYLINE CL A TR 2020 1                                                  | SKYLINE CL A TR 2020 1                                                          | CUSIP: 83084RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   23589149 | PA      | $22114826.96   | 0.07%             | 2038-07-03      | Fixed         | 3.23%                 | No            |                  3 | On Loan: No      |
| Impac Secured Assets Corp.                                              | Impac Secured Assets Trust 2006-3                                               | CUSIP: 45255RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2998336 | PA      | $2745576.10    | 0.01%             | 2036-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                   | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   15189000 | PA      | $13843254.60   | 0.04%             | 2033-01-25      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                          | Carvana Auto Receivables Trust 2021-N1                                          | CUSIP: 14687D102<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      53821 | PA      | $5358001.86    | 0.02%             | 2028-01-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE RLTY HLDGS LP                                                | Healthcare Realty Holdings LP                                                   | CUSIP: 42225UAK0<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              |  | US        |   25359000 | PA      | $24946409.07   | 0.08%             | 2028-01-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                         | C-BASS 2007-CB5 Trust                                                           | CUSIP: 12464YAB5<br>LEI: 969500V3L9W19NIA5E82 | Long             | ABS-O            | CORP              | US        |   17762164 | PA      | $10596226.70   | 0.03%             | 2037-04-25      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                                         | Lehman XS Trust 2006-5                                                          | CUSIP: 525221JT5<br>LEI: 549300FDK6ZP3YIHRJ47 | Long             | ABS-O            | CORP              | US        |   15933347 | PA      | $13915007.37   | 0.04%             | 2036-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SQW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29267497 | PA      | $27182212.85   | 0.08%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RTE RESEAU DE TRANSPORT                                                 | RTE Reseau de Transport d'Electricite SADIR                                     | CUSIP: 000000000<br>LEI: 969500JRJW0K2ET1UP76 | Long             | DBT              | CORP              | FR        |    4800000 | PA      | $5317052.54    | 0.02%             | 2044-04-30      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418CPE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     922800 | PA      | $859739.49     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank of New York Mellon                                                 | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              |  | XX        |          1 | NC      | $62396.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust                       | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-OA3                   | CUSIP: 25150WAA2<br>LEI: 5299003GGM6YEXXXJ012 | Long             | ABS-MBS          | CORP              | US        |   23422293 | PA      | $21974505.05   | 0.07%             | 2047-07-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418FDB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   54039399 | PA      | $54543849.90   | 0.17%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| KELSO INDUSTRIES LLC                                                    | Kelso Industries LLC Delayed Draw Term Loan                                     | CUSIP: 48825CAC9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     962033 | PA      | $966843.50     | 0.00%             | 2029-12-30      | Floating      | 10.07%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418D7F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  129590833 | PA      | $109791883.07  | 0.34%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133B0QP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  121768673 | PA      | $98707264.78   | 0.31%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179TUB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39559 | PA      | $37852.67      | 0.00%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                  | UnitedHealth Group Inc                                                          | CUSIP: 91324PFL1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   33090000 | PA      | $32946389.40   | 0.10%             | 2054-07-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                              | Progress Residential Trust                                                      | CUSIP: 74333HAN5<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   10437000 | PA      | $10272728.93   | 0.03%             | 2038-07-17      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                          | Structured Adjustable Rate Mortgage Loan Trust                                  | CUSIP: 863579AN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     982535 | PA      | $959920.31     | 0.00%             | 2034-09-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Through Trust                               | First Horizon Mortgage Pass-Through Trust 2007-AR3                              | CUSIP: 32056JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      65066 | PA      | $25255.23      | 0.00%             | 2037-11-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  244662785 | PA      | $207221151.20  | 0.64%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                         | C-BASS Mortgage Loan Trust 2007-CB2                                             | CUSIP: 1248MBAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20513571 | PA      | $11999513.76   | 0.04%             | 2037-02-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GALDERMA FINANCE EUROPE                                                 | Galderma Finance Europe BV                                                      | CUSIP: 000000000<br>LEI: 7245004RN4I1ORSTHY93 | Long             | DBT              | CORP              | NL        |    6035000 | PA      | $7191817.54    | 0.02%             | 2030-03-20      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ET5W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13400071 | PA      | $13283285.07   | 0.04%             | 2046-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140JLYN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13999 | PA      | $13540.34      | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136B1ZL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10809267 | PA      | $10732393.01   | 0.03%             | 2046-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                                                 | KazMunayGas National Co JSC                                                     | CUSIP: 48126PAA0<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |    1443000 | PA      | $1301355.12    | 0.00%             | 2033-04-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                      | Morgan Stanley Mortgage Loan Trust 2006-7                                       | CUSIP: 61749JAS5<br>LEI: 549300E4V6DCTUJSC749 | Long             | ABS-MBS          | CORP              | US        |     613809 | PA      | $156077.21     | 0.00%             | 2036-06-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3140QBN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13430346 | PA      | $12186935.91   | 0.04%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133B9SJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2563033 | PA      | $2170802.54    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                          | HarborView Mortgage Loan Trust 2006-4                                           | CUSIP: 41161PL27<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |   28249064 | PA      | $13905717.67   | 0.04%             | 2046-05-19      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                             | Oracle Corp                                                                     | CUSIP: 68389XDM4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   18000000 | PA      | $18101160.00   | 0.06%             | 2035-09-26      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136B53X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3225378 | PA      | $2883397.39    | 0.01%             | 2049-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hilton Domestic Operating Company Inc                                   | Hilton Domestic Operating Company Inc 2023 Term Loan B4                         | CUSIP: 43289DAK9<br>LEI: 5493003EG7H0N1E4XV50 | Long             | LON              | CORP              | US        |   16429504 | PA      | $16464416.24   | 0.05%             | 2030-11-08      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133B5AN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   86050299 | PA      | $69713378.78   | 0.22%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| American Money Management Corporation                                   | AMMC CLO 30 Ltd                                                                 | CUSIP: 03165UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   24070000 | PA      | $24125240.65   | 0.07%             | 2037-01-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| AMCOR FLEXIBLES NORTH AM                                                | Amcor Flexibles North America Inc                                               | CUSIP: 02344AAH1<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |   19285000 | PA      | $19880713.65   | 0.06%             | 2035-03-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136B3WS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2681803 | PA      | $2481157.87    | 0.01%             | 2048-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities                           | First Horizon Alternative Mortgage Securities Trust 2005-AA4                    | CUSIP: 32051GNK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5164451 | PA      | $4807151.54    | 0.01%             | 2035-06-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    7747000 | PA      | $7088427.53    | 0.02%             | 2033-01-25      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Brazil Government International Bonds                                   | Brazil Government International Bonds                                           | CUSIP: 105756CF5<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   10519000 | PA      | $10767879.54   | 0.03%             | 2033-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORP                                                | Queensland Treasury Corp                                                        | CUSIP: 000000000<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |   44360000 | PA      | $28863921.42   | 0.09%             | 2037-07-21      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| SOUTHERN CO GAS CAPITAL                                                 | Southern Co Gas Capital Corp                                                    | CUSIP: 8426EPAC2<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |      50000 | PA      | $42056.50      | 0.00%             | 2047-05-30      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                                     | LCM XIV LP                                                                      | CUSIP: 50184VAR5<br>LEI: 549300NGJ6CPPJRPGL08 | Long             | ABS-CBDO         | CORP              | KY        |     114562 | PA      | $114595.75     | 0.00%             | 2031-07-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp                                     | JP Morgan Mortgage Acquisition Trust 2006-WF1                                   | CUSIP: 46628SAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26446124 | PA      | $7001688.13    | 0.02%             | 2036-07-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2026350 | PA      | $1649953.42    | 0.01%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust                       | Deutsche Alt-A Securities Mortgage Loan Trust Series 2006-AR4                   | CUSIP: 25150PAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1300851 | PA      | $446694.87     | 0.00%             | 2036-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC Mortgage Loan Trust                       | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-AR3                   | CUSIP: 25150VAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13186592 | PA      | $11402124.60   | 0.04%             | 2037-06-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| YORKSHIRE WATER FINANCE                                                 | Yorkshire Water Finance PLC                                                     | CUSIP: 000000000<br>LEI: 213800O8BDOGHJMTCP32 | Long             | DBT              | CORP              | GB        |   11442000 | PA      | $15722960.89   | 0.05%             | 2034-11-18      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| City of New York NY                                                     | NEW YORK NY                                                                     | CUSIP: 64966MYR4<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |    3145000 | PA      | $3064516.31    | 0.01%             | 2031-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38380RVN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  108619638 | PA      | $7561556.08    | 0.02%             | 2061-01-16      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179R7M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3696802 | PA      | $3779591.84    | 0.01%             | 2046-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Delivery Hero SE                                                        | Delivery Hero SE 2024 USD Term Loan B                                           | CUSIP: 000000000<br>LEI: 529900KR9IO53KSCSQ67 | Long             | LON              | CORP              | US        |    5814578 | PA      | $5886359.35    | 0.02%             | 2029-12-12      | Floating      | 9.23%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PBD7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2876000 | PA      | $2827395.60    | 0.01%             | 2030-05-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 31398RAW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4947043 | PA      | $529265.90     | 0.00%             | 2040-05-25      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Star Parent Inc                                                         | Star Parent Inc Term Loan B                                                     | CUSIP: 87169DAB1<br>LEI: 254900GRGCJYRMDRWT73 | Long             | LON              | CORP              | US        |    1105206 | PA      | $1106587.69    | 0.00%             | 2030-09-27      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PAR7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2671000 | PA      | $2664269.08    | 0.01%             | 2029-04-23      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |          1 | NC      | $45374.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 3136B2EW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12394747 | PA      | $11163657.88   | 0.03%             | 2048-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                                                | Ajax Mortgage Loan Trust 2019-F                                                 | CUSIP: 00969PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      62908 | PA      | $61441.84      | 0.00%             | 2059-07-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| VOYAGER PARENT LLC                                                      | Voyager Parent LLC Term Loan B                                                  | CUSIP: 92921HAC9<br>LEI: 2549002DYVI4ACSV4V71 | Long             | LON              | CORP              | US        |    6373533 | PA      | $6394278.82    | 0.02%             | 2032-07-01      | Floating      | 8.75%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2021-R2                                                               | CUSIP: 12564MAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   43688150 | PA      | $41771026.23   | 0.13%             | 2057-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa Government International Bonds                 | Republic of South Africa Government International Bonds                         | CUSIP: 836205BC7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    8499000 | PA      | $8606002.41    | 0.03%             | 2032-04-20      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates                       | First Franklin Mortgage Loan Trust Series 2007-FF2                              | CUSIP: 32029GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10750288 | PA      | $5139402.15    | 0.02%             | 2037-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FRESENIUS MED CARE III                                                  | Fresenius Medical Care US Finance III Inc                                       | CUSIP: 35805BAC2<br>LEI: 5299006ZHLMXOOUVTU44 | Long             | DBT              | CORP              | US        |   67592000 | PA      | $65516925.60   | 0.20%             | 2026-12-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31402CWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     329677 | PA      | $339664.80     | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2008-3                                                   | CUSIP: 78444GAD6<br>LEI: 549300OORAXMFXOHG132 | Long             | ABS-O            | CORP              | US        |    2260000 | PA      | $2284024.70    | 0.01%             | 2083-04-26      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   97484000 | PA      | $96231330.60   | 0.30%             | 2027-03-09      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELEC POWER                                                 | Southwestern Electric Power Co                                                  | CUSIP: 845437BU5<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |   29341000 | PA      | $30020537.56   | 0.09%             | 2033-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| KESTREL ACQUISITION LLC                                                 | Kestrel Acquisition LLC 2024 Term Loan B                                        | CUSIP: 44579UAB8<br>LEI: 549300ER0JUHJLPPMH08 | Long             | LON              | CORP              | US        |    2415128 | PA      | $2426201.34    | 0.01%             | 2031-11-06      | Floating      | 9.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                  | CHL Mortgage Pass-Through Trust 2007-HY5                                        | CUSIP: 12544BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     452520 | PA      | $354110.82     | 0.00%             | 2047-09-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| FARMERS INS EXCH                                                        | Farmers Insurance Exchange                                                      | CUSIP: 309601AE2<br>LEI: 549300UWG2TLX1GZVT44 | Long             | DBT              | CORP              | US        |   23060000 | PA      | $19503456.20   | 0.06%             | 2057-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                        | CIFC Funding 2013-II Ltd                                                        | CUSIP: 12549BBA5<br>LEI: 2549009RG3XZEWMXDF59 | Long             | ABS-CBDO         | CORP              | KY        |   10500000 | PA      | $10516905.00   | 0.03%             | 2030-10-18      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Ryan LLC                                                                | Ryan LLC Term Loan                                                              | CUSIP: 78350LAZ8<br>LEI: 549300TG86D8HZC6TE67 | Long             | LON              | CORP              | US        |    2766061 | PA      | $2774967.36    | 0.01%             | 2030-11-14      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2007-A3                                                | CUSIP: 46630UAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     161497 | PA      | $140122.62     | 0.00%             | 2037-05-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                 | Bayer US Finance II LLC                                                         | CUSIP: 07274NBA0<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    3820000 | PA      | $3876727.00    | 0.01%             | 2035-07-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Modena Buyer LLC                                                        | Modena Buyer LLC Term Loan                                                      | CUSIP: 60753DAC8<br>LEI: 254900B0G2IU0VBDOY26 | Long             | LON              | CORP              | US        |    1286290 | PA      | $1272050.94    | 0.00%             | 2031-07-01      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31416XAD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13193574 | PA      | $12867773.47   | 0.04%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCSB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54149 | PA      | $52304.32      | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                     | Elevance Health Inc                                                             | CUSIP: 036752BD4<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |   36644000 | PA      | $37357092.24   | 0.12%             | 2035-02-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                                             | SREIT Trust 2021-PALM                                                           | CUSIP: 85237AAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   40000000 | PA      | $39980404.00   | 0.12%             | 2034-10-15      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | XX        |          1 | NC      | $18342.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-218866.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation                                 | Structured Asset Securities Corp Trust 2005-5                                   | CUSIP: 863576AH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     674306 | PA      | $650709.53     | 0.00%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                                             | PURCHASED USD / SOLD GBP                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $85735.36      | 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        |     191391 | PA      | $160940.34     | 0.00%             | 2036-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SUV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7676 | PA      | $7129.15       | 0.00%             | 2047-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                     | Mastr Asset Backed Securities Trust 2006-HE4                                    | CUSIP: 576449AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11545999 | PA      | $3401315.16    | 0.01%             | 2036-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MAD63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4677099 | PA      | $4562067.48    | 0.01%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                                                  | Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2005-W2     | CUSIP: 040104ND9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18005 | PA      | $17883.48      | 0.00%             | 2035-10-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| AMPRION GMBH                                                            | Amprion GmbH                                                                    | CUSIP: 000000000<br>LEI: 529900ZIV0ETYHYZM863 | Long             | DBT              | CORP              | DE        |    3400000 | PA      | $3217053.01    | 0.01%             | 2033-09-23      | Fixed         | 0.63%                 | Yes           |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                                 | Dryden 65 CLO Ltd                                                               | CUSIP: 26251YAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3500000 | PA      | $3504889.50    | 0.01%             | 2030-07-18      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                                                    | ACE Securities Corp Home Equity Loan Trust Series 2007-ASAP2                    | CUSIP: 00442UAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22423723 | PA      | $16307513.40   | 0.05%             | 2037-06-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| MH SUB I LLC                                                            | MH Sub I LLC 2024 Term Loan B4                                                  | CUSIP: 000000000<br>LEI: 2549005VFKP807SR8N49 | Long             | LON              | CORP              | US        |    6633088 | PA      | $6119023.28    | 0.02%             | 2031-12-31      | Floating      | 8.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SSP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   84116324 | PA      | $76187576.69   | 0.24%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SSQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   33055499 | PA      | $30700323.50   | 0.10%             | 2046-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31417GX92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8469958 | PA      | $8020936.14    | 0.02%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Trust                                        | IndyMac INDA Mortgage Loan Trust 2007-AR1                                       | CUSIP: 45669AAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     274276 | PA      | $216377.55     | 0.00%             | 2037-03-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| Recette CLO LLC                                                         | Recette Clo Ltd                                                                 | CUSIP: 75620TAW8<br>LEI: 549300392I5L5XOJ0016 | Long             | ABS-CBDO         | CORP              | KY        |   32680000 | PA      | $32729020.00   | 0.10%             | 2034-04-20      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                                | JP Morgan Mortgage Trust 2006-A3                                                | CUSIP: 46628KAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     245928 | PA      | $200918.23     | 0.00%             | 2036-05-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae I Pool                                                               | CUSIP: 36241LDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6661599 | PA      | $6660910.26    | 0.02%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38381EWQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  262721762 | PA      | $9851803.35    | 0.03%             | 2062-02-01      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138ASR20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7022230 | PA      | $6892268.46    | 0.02%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GJL4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   18688000 | PA      | $16601297.92   | 0.05%             | 2031-10-24      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                                                              | NLT 2021-INV3 Trust                                                             | CUSIP: 62916BAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  132342877 | PA      | $127224212.07  | 0.39%             | 2056-11-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128M4RD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     882921 | PA      | $930643.97     | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Empire State Development Corp                                           | NEW YORK ST URBAN DEV CORP REVENUE                                              | CUSIP: 650035TD0<br>LEI: 54930039Y2EMGXN6LM88 | Long             | DBT              | MUN               | US        |     120000 | PA      | $124504.80     | 0.00%             | 2039-03-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21721 | PA      | $21696.14      | 0.00%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CORNERSTONE GENERATION LLC                                              | Cornerstone Generation LLC Term Loan B                                          | CUSIP: 21924NAB4<br>LEI: 254900JBGAU2N55LVN75 | Long             | LON              | CORP              | US        |    2106833 | PA      | $2124213.99    | 0.01%             | 2032-08-11      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| LONSDALE FINANCE PTY LTD                                                | Lonsdale Finance Pty Ltd                                                        | CUSIP: 000000000<br>LEI: 549300VX4WC30OTQ1E62 | Long             | DBT              | CORP              | AU        |   14720000 | PA      | $9768457.22    | 0.03%             | 2032-10-07      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38378AMF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      49705 | PA      | $9408.15       | 0.00%             | 2041-11-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BCPE North Star US Holdco 2 Inc                                         | BCPE North Star US HoldCo 2 Inc Term Loan                                       | CUSIP: 05552DAD4<br>LEI: 254900AGB0JDUDNIJC95 | Long             | LON              | CORP              | US        |    4818813 | PA      | $4824885.15    | 0.01%             | 2028-06-09      | Floating      | 8.28%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                               | CIM Trust 2021-R4                                                               | CUSIP: 12598HAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  130746408 | PA      | $122923782.15  | 0.38%             | 2061-05-01      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan Trust                                    | GMACM Mortgage Loan Trust 2006-AR2                                              | CUSIP: 36185MET5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1454196 | PA      | $880224.81     | 0.00%             | 2036-05-19      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-9563.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                                | Madison Park Funding XLIX Ltd                                                   | CUSIP: 55820VAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   40000000 | PA      | $40044120.00   | 0.12%             | 2034-10-19      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                  | SLM Student Loan Trust 2012-7                                                   | CUSIP: 78447KAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11401281 | PA      | $11083532.58   | 0.03%             | 2026-05-26      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 31396PZH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     549819 | PA      | $37599.05      | 0.00%             | 2037-03-25      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     455000 | PA      | $406046.55     | 0.00%             | 2032-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                                 | WaMu Mortgage Pass-Through Certificates Series 2007-OA1 Trust                   | CUSIP: 92926WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6351981 | PA      | $5882821.35    | 0.02%             | 2047-02-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                                  | CHL Mortgage Pass-Through Trust 2004-HYB3                                       | CUSIP: 12669FYX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3777 | PA      | $3725.10       | 0.00%             | 2034-06-20      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                 | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   21726000 | PA      | $21881992.68   | 0.07%             | 2035-10-23      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 3138EMDB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22032947 | PA      | $21528486.67   | 0.07%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN FINANCIAL SER                                                | Volkswagen Financial Services AG                                                | CUSIP: 000000000<br>LEI: 529900SSGT49ZZSWYE62 | Long             | DBT              | CORP              | DE        |   40900000 | PA      | $48712994.56   | 0.15%             | 2031-11-19      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Through Trust                               | First Horizon Mortgage Pass-Through Trust 2006-AR4                              | CUSIP: 32053AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37017 | PA      | $17735.01      | 0.00%             | 2037-01-25      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                        | CIFC Funding 2020-II Ltd                                                        | CUSIP: 12547LAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    9000000 | PA      | $9019665.00    | 0.03%             | 2034-10-20      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                                                | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1673000 | PA      | $1326103.45    | 0.00%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0226A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  154650000 | PA      | $130362681.45  | 0.40%             | 2055-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                                                    | Heathrow Funding Ltd                                                            | CUSIP: 000000000<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |    9465000 | PA      | $11042633.46   | 0.03%             | 2036-01-16      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132E0KB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   83825697 | PA      | $74180162.40   | 0.23%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization                         | C-BASS 2006-CB9 TRUST                                                           | CUSIP: 12465MAC8<br>LEI: 969500V3L9W19NIA5E82 | Long             | ABS-O            | CORP              | US        |   21110161 | PA      | $9613660.01    | 0.03%             | 2036-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| TEACHERS INSUR & ANNUITY                                                | Teachers Insurance & Annuity Association of America                             | CUSIP: 878091BG1<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |    1135000 | PA      | $783944.50     | 0.00%             | 2050-05-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PCJ3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    3013000 | PA      | $2858915.18    | 0.01%             | 2029-06-01      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| TEVA PHARMACEUTICALS NE                                                 | Teva Pharmaceutical Finance Netherlands III BV                                  | CUSIP: 88167AAT8<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    7865000 | PA      | $8198318.70    | 0.03%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ARDAGH PKG FIN/HLDGS USA                                                | Ardagh Packaging Finance PLC / Ardagh Holdings USA Inc                          | CUSIP: 03969AAP5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |   25370000 | PA      | $9659373.80    | 0.03%             | 2027-08-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | Morgan Stanley                                                                  | CUSIP: 6174468X0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2890000 | PA      | $2522912.20    | 0.01%             | 2032-04-28      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                                                 | Bayer US Finance II LLC                                                         | CUSIP: 07274NAN3<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   46534000 | PA      | $42170972.16   | 0.13%             | 2038-06-25      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                                       | Cedar Funding V CLO Ltd                                                         | CUSIP: 15032AAS6<br>LEI: 635400NWFWJ92O7QGD64 | Long             | ABS-CBDO         | CORP              | KY        |    7000000 | PA      | $7005425.00    | 0.02%             | 2031-07-17      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| NRTH PARK Mortgage Trust                                                | NRTH 2024-PARK Mortgage Trust                                                   | CUSIP: 67021HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21267000 | PA      | $21248912.42   | 0.07%             | 2039-03-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| PAPA JOHN'S INTERNATIONA                                                | Papa John's International Inc                                                   | CUSIP: 698813AA0<br>LEI: HZYLD3DK5XOX0WBVNB56 | Long             | DBT              | CORP              | US        |    9150000 | PA      | $8792143.50    | 0.03%             | 2029-09-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| BXHPP Trust                                                             | BXHPP Trust 2021-FILM                                                           | CUSIP: 05609JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11500000 | PA      | $10370277.95   | 0.03%             | 2036-08-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                          | Structured Adjustable Rate Mortgage Loan Trust                                  | CUSIP: 863579DQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18733 | PA      | $16695.26      | 0.00%             | 2034-11-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                                        | RALI Series 2005-QO5 Trust                                                      | CUSIP: 761118QM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3025690 | PA      | $2361838.91    | 0.01%             | 2046-01-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCR80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   37131805 | PA      | $35889402.02   | 0.11%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16111521 | PA      | $14981026.71   | 0.05%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PBT2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   13390000 | PA      | $13330280.60   | 0.04%             | 2026-11-19      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                   | CUSIP: 17327CBA0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   21580000 | PA      | $22081735.00   | 0.07%             | 2036-03-27      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| TransDigm Inc                                                           | TransDigm Inc 2024 Term Loan I                                                  | CUSIP: 89364MCC6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |    2286451 | PA      | $2286782.12    | 0.01%             | 2028-08-24      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC                                                | Thermo Fisher Scientific Inc                                                    | CUSIP: 883556CE0<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |   16145000 | PA      | $12182392.98   | 0.04%             | 2049-10-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| WAMU Asset-Backed Certificates                                          | WaMu Asset-Backed Certificates WaMu Series 2007-HE1 Trust                       | CUSIP: 933631AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8240830 | PA      | $3759735.08    | 0.01%             | 2037-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418EBR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16367751 | PA      | $13276236.71   | 0.04%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| KAZMUNAYGAS NATIONAL CO                                                 | KazMunayGas National Co JSC                                                     | CUSIP: 000000000<br>LEI: 2138001H1M69RFJCSH88 | Long             | DBT              | CORP              | KZ        |   12735000 | PA      | $11484932.40   | 0.04%             | 2033-04-14      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Brazil Government International Bonds                                   | Brazil Government International Bonds                                           | CUSIP: 105756CH1<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    7531000 | PA      | $7702706.80    | 0.02%             | 2034-03-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| JANE STREET GROUP LLC                                                   | Jane Street Group LLC 2024 Term Loan B1                                         | CUSIP: 47077DAM2<br>LEI: 5493002N1IVX6KHGYO08 | Long             | LON              | CORP              | US        |    5177989 | PA      | $5147257.68    | 0.02%             | 2031-12-15      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SSS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11654198 | PA      | $11583457.59   | 0.04%             | 2046-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                                | Madison Park Funding XXXVI Ltd                                                  | CUSIP: 55819PBG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   13350000 | PA      | $13299924.15   | 0.04%             | 2035-04-15      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| MODIVCARE INC                                                           | ModivCare Inc                                                                   | CUSIP: 60783XAC8<br>LEI: 549300EFZIFW7F7I0Q28 | Long             | DBT              | CORP              | US        |   44324700 | PA      | $1108117.50    | 0.00%             | 2029-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   19039000 | PA      | $17315208.94   | 0.05%             | 2032-04-22      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31297CWX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     545248 | PA      | $562427.73     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38379DHE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3136116 | PA      | $3026082.78    | 0.01%             | 2039-12-20      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                               | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F0506A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   96125000 | PA      | $95343167.31   | 0.30%             | 2055-10-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae REMICS                                                               | CUSIP: 31396P6P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1155545 | PA      | $105499.06     | 0.00%             | 2037-04-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| SCOTTISH HYDRO ELECTRIC                                                 | Scottish Hydro Electric Transmission PLC                                        | CUSIP: 000000000<br>LEI: 549300ECJZDA7203MK64 | Long             | DBT              | CORP              | GB        |    6010000 | PA      | $7074883.44    | 0.02%             | 2032-09-04      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                                                  | Rockford Tower CLO 2020-1 Ltd                                                   | CUSIP: 77341EBA2<br>LEI: 5493009YDNBJVFWX7747 | Long             | ABS-CBDO         | CORP              | KY        |   22730000 | PA      | $22741296.81   | 0.07%             | 2036-01-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                  | Sequoia Mortgage Trust 2003-8                                                   | CUSIP: 81743PDX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        251 | PA      | $244.49        | 0.00%             | 2034-01-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJZX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10684294 | PA      | $9966315.28    | 0.03%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Frost CMBS                                                              | Frost CMBS 2021-1 DAC                                                           | CUSIP: 000000000<br>LEI: 635400USRLUMX8CQN243 | Long             | ABS-MBS          | CORP              | IE        |    2904827 | PA      | $3412656.15    | 0.01%             | 2033-11-20      | Floating      | 3.18%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31417DCX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     169849 | PA      | $156214.52     | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36202D5P2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        466 | PA      | $467.09        | 0.00%             | 2034-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                                        | CIFC Funding 2021-VI Ltd                                                        | CUSIP: 12553SAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   20000000 | PA      | $20041700.00   | 0.06%             | 2034-10-15      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31292MBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8197992 | PA      | $7570968.31    | 0.02%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE GLOBAL                                                  | Protective Life Global Funding                                                  | CUSIP: 74368CBG8<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |   47980000 | PA      | $45165493.20   | 0.14%             | 2028-07-06      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                                   | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CAM6<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |   14683000 | PA      | $12989169.12   | 0.04%             | 2041-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| New York State Thruway Authority                                        | NEW YORK ST THRUWAY AUTH PERSONAL INCOME TAX REVENUE                            | CUSIP: 650028C68<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   27365000 | PA      | $28253213.17   | 0.09%             | 2059-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3133B9KZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5695430 | PA      | $4614134.95    | 0.01%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TCW Private Asset Income Fund                                           | TCW Private Asset Income Fund                                                   | CUSIP: 87807Y206<br>LEI: 254900JOZ7KOHWZ5ZD02 | Long             | EC               | RF                | US        |   17949766 | NS      | $180036153.57  | 0.56%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179R4H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6895 | PA      | $7049.03       | 0.00%             | 2046-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOUTH FIELD LLC                                                         | South Field LLC 2025 Term Loan B                                                | CUSIP: 83783XAD8<br>LEI: 549300M3RBW5ZIH20760 | Long             | LON              | CORP              | US        |    2290936 | PA      | $2299526.73    | 0.01%             | 2031-08-29      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                        | IndyMac INDX Mortgage Loan Trust 2006-AR19                                      | CUSIP: 45660GAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9450989 | PA      | $5924470.45    | 0.02%             | 2036-08-25      | Variable      | 3.82%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                                          | Sabre GLBL Inc 2024 Term Loan B1                                                | CUSIP: 78571YBK5<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | LON              | CORP              | US        |    1045285 | PA      | $989100.47     | 0.00%             | 2029-11-15      | Floating      | 10.26%                | No            |                  2 | On Loan: No      |
| FERRELLGAS LP/FERRELLGAS                                                | Ferrellgas LP / Ferrellgas Finance Corp                                         | CUSIP: 315289AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   25729000 | PA      | $25491264.04   | 0.08%             | 2026-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 3132DWES8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   92295505 | PA      | $89989527.72   | 0.28%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31410GAM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59274 | PA      | $64918.35      | 0.00%             | 2037-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                           | Citigroup Inc                                                                   | CUSIP: 172967NA5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   22971000 | PA      | $22535240.13   | 0.07%             | 2027-06-09      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| PROJECT COLT                                                            | PROJECT COLT                                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   98801413 | PA      | $98821173.58   | 0.31%             | 2027-03-10      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                       | EURO-BUXL 30Y BND DEC25                                                         | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -191 | NC      | $-377285.28    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                   | Athene Global Funding                                                           | CUSIP: 04685A2Z3<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   58755000 | PA      | $57670382.70   | 0.18%             | 2026-06-29      | Fixed         | 1.61%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                         | CVS Health Corp                                                                 | CUSIP: 126650EG1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   14063000 | PA      | $14536923.10   | 0.05%             | 2054-12-10      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                                            | CSMC 2022-RPL1 Trust                                                            | CUSIP: 12661QAH0<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |  194834063 | PA      | $170752884.23  | 0.53%             | 2061-04-25      | Variable      | 4.59%                 | No            |                  2 | On Loan: No      |
| TENNET NET BV                                                           | Tennet Netherlands BV                                                           | CUSIP: 000000000<br>LEI: 724500N24X9VLIRO3K10 | Long             | DBT              | CORP              | NL        |   14082000 | PA      | $18307208.91   | 0.06%             | 2042-10-28      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| BLACKSTONE PP EUR HOLD                                                  | Blackstone Property Partners Europe Holdings Sarl                               | CUSIP: 000000000<br>LEI: 213800Y3B5GQFBGVHP79 | Long             | DBT              | CORP              | LU        |   13936000 | PA      | $15587660.25   | 0.05%             | 2028-05-04      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                    | Bank of America Corp                                                            | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   42299000 | PA      | $41460633.82   | 0.13%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                                      | Royalty Pharma PLC                                                              | CUSIP: 78081BAJ2<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    1295000 | PA      | $1237579.70    | 0.00%             | 2027-09-02      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Genesys Cloud Services Holdings II LLC                                  | Genesys Cloud Services Holdings II LLC 2025 USD Term Loan B                     | CUSIP: 39479UAY9<br>LEI: 254900CRMBG6WX4HX396 | Long             | LON              | CORP              | US        |    2415193 | PA      | $2402863.05    | 0.01%             | 2032-01-30      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Operating Partnership LP                               | Invitation Homes Operating Partnership LP 2024 Term Loan                        | CUSIP: 46187CAJ0<br>LEI: 549300147YMUQB3GW319 | Long             | LON              |  | US        |   36581794 | PA      | $36581794.07   | 0.11%             | 2028-09-09      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                                  | VICI Properties LP / VICI Note Co Inc                                           | CUSIP: 92564RAK1<br>LEI: N/A                  | Long             | DBT              |  | US        |    2727000 | PA      | $2722773.15    | 0.01%             | 2028-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust                          | Securitized Asset Backed Receivables LLC Trust 2007-BR5                         | CUSIP: 81379EAC6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | ABS-O            | CORP              | US        |    7315275 | PA      | $5675359.16    | 0.02%             | 2037-05-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Krum Independent School District                                        | KRUM TX INDEP SCH DIST                                                          | CUSIP: 501098VK0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    8350000 | PA      | $8674238.85    | 0.03%             | 2057-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                                                 | Dell International LLC / EMC Corp                                               | CUSIP: 24703TAM8<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |   24890000 | PA      | $25505031.90   | 0.08%             | 2030-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                     | GS Mortgage-Backed Securities Trust 2023-PJ1                                    | CUSIP: 36267TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   83670216 | PA      | $72245917.80   | 0.22%             | 2053-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418AHY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13325714 | PA      | $12942241.50   | 0.04%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SCA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58562 | PA      | $58170.48      | 0.00%             | 2046-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179SYV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2571319 | PA      | $2628903.68    | 0.01%             | 2047-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                                      | Alternative Loan Trust 2006-OC5                                                 | CUSIP: 02147HAC6<br>LEI: 549300WJBLP6N8ETXD40 | Long             | ABS-MBS          | CORP              | US        |       2335 | PA      | $0.00          | 0.00%             | 2046-06-25      | Floating      | 4.61%                 | No            |                  3 | On Loan: No      |
| HEALTHPEAK PROPERTIES INC                                               | Healthpeak Properties Inc Term Loan A2                                          | CUSIP: 42250UAE2<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | LON              |  | US        |   13772696 | PA      | $13669401.19   | 0.04%             | 2027-02-22      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Nationstar Home Equity Loan Trust                                       | Nationstar Home Equity Loan Trust 2007-C                                        | CUSIP: 63860KAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3063544 | PA      | $3005644.28    | 0.01%             | 2037-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities                           | First Horizon Alternative Mortgage Securities Trust 2004-AA3                    | CUSIP: 32051D6B3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4312 | PA      | $4401.99       | 0.00%             | 2034-09-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                                       | Magnetite XXIII Ltd                                                             | CUSIP: 55954NAL3<br>LEI: 549300WG00K34O9YA435 | Long             | ABS-CBDO         | CORP              | KY        |   20000000 | PA      | $20035360.00   | 0.06%             | 2035-01-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Pool                                                                | CUSIP: 31427NZ28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   61661587 | PA      | $60111456.45   | 0.19%             | 2053-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac REMICS                                                              | CUSIP: 31396EJS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1121499 | PA      | $1148688.73    | 0.00%             | 2035-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 31297BTM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23286 | PA      | $24079.06      | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                     | JPMorgan Chase & Co                                                             | CUSIP: 46647PBU9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2935000 | PA      | $2592250.70    | 0.01%             | 2031-11-19      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                                  | RR 26 Ltd                                                                       | CUSIP: 74989MAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   34500000 | PA      | $34528773.00   | 0.11%             | 2038-04-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| New York State Thruway Authority                                        | NEW YORK ST THRUWAY AUTH PERSONAL INCOME TAX REVENUE                            | CUSIP: 650028C35<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   10435000 | PA      | $10774304.46   | 0.03%             | 2056-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-154699.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Government National Mortgage Association                                        | CUSIP: 38374CK26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2048057 | PA      | $2089005.63    | 0.01%             | 2033-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors Inc.                                         | Oakwood Mortgage Investors Inc                                                  | CUSIP: 67087TBD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20571005 | PA      | $2538554.55    | 0.01%             | 2029-09-15      | Variable      | 8.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                              | Fannie Mae Pool                                                                 | CUSIP: 31418BFY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23854 | PA      | $23284.28      | 0.00%             | 2034-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                | Ginnie Mae II Pool                                                              | CUSIP: 36179UXH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1479 | PA      | $1306.92       | 0.00%             | 2049-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of New York Mellon                                                 | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              |  | XX        |          1 | NC      | $-61457.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                                             | PURCHASED USD / SOLD AUD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | US        |          1 | NC      | $-151966.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                        | IndyMac INDX Mortgage Loan Trust 2005-AR19                                      | CUSIP: 45660LXA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15683118 | PA      | $12607415.65   | 0.04%             | 2035-10-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                             | Freddie Mac Gold Pool                                                           | CUSIP: 3128M96X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   70595822 | PA      | $69036173.38   | 0.21%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| University of California                                                | UNIV OF CALIFORNIA REVENUES                                                     | CUSIP: 91412GXE0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    6615000 | PA      | $6050416.37    | 0.02%             | 2045-05-15      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| New York City Transitional Finance Authority Future Tax Secured Revenue | NEW YORK CITY NY TRANSITIONAL FIN AUTH REVENUE                                  | CUSIP: 64971XQZ4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    4055000 | PA      | $3203295.91    | 0.01%             | 2035-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-22

**Name of Applicant:** TCW Metropolitan West Funds

**Signature:** Richard Villa

**Name of Signer:** Richard Villa

**Title:** Treasurer