# EDGAR Filing Document

**Accession Number:** 0000887340
**File Stem:** 0001752724-25-201264
**Filing Date:** 2025-8
**Character Count:** 247814
**Document Hash:** 38f3e310fa8cf16cf3a2f2b60eeeb342
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-201264.hdr.sgml**: 20250825

**ACCESSION NUMBER**: 0001752724-25-201264

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250825

**DATE AS OF CHANGE**: 20250825

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** NEW YORK LIFE INVESTMENTS VP FUNDS TRUST
- **CENTRAL INDEX KEY:** 0000887340

**ORGANIZATION NAME:**
- **EIN:** 133186036
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03833-01
- **FILM NUMBER:** 251248724

**BUSINESS ADDRESS:**
- **STREET 1:** 51 MADISON AVE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10010
- **BUSINESS PHONE:** 2125767000

**MAIL ADDRESS:**
- **STREET 1:** 51 MADISON AVE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10010

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MAINSTAY VP FUNDS TRUST
- **DATE OF NAME CHANGE:** 20110429

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MAINSTAY VP SERIES FUND INC
- **DATE OF NAME CHANGE:** 20010518

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** NEW YORK LIFE MFA SERIES FUND INC
- **DATE OF NAME CHANGE:** 19920929

## Series and Classes Contracts Data

### NYLI VP Income Builder Portfolio (Series ID: S000009444)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000025818 | Initial Class |  |
| C000025819 | Service Class |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** NEW YORK LIFE INVESTMENTS VP FUNDS TRUST

- **b. Investment Company Act file number:** 811-03833-01

- **c. CIK number of Registrant:** 0000887340

- **d. LEI of Registrant:** 549300AG6K4RXYNOVN04

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

  - **Street Address 1:** 51 Madison Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10010

  - **Telephone number:** 212-576-7000

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

- **a. Name of Series:** NYLI VP Income Builder Portfolio

- **b. EDGAR series identifier (if any):** S000009444

- **c. LEI of Series:** WZQNS9UOCVW6JX8S5652

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $536950853.42

**Total Liabilities:** $6834734.77

**Net Assets:** $530116118.65

**Cash Not Reported:** $51637.25

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -239.34000000 | **1-Year:** -1577.68000000 | **5-Year:** -7042.25000000 | **10-Year:** -15789.92000000 | **30-Year:** -21057.78000000

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

- **3-Month:** -826.70000000 | **1-Year:** -2965.34000000 | **5-Year:** -8141.74000000 | **10-Year:** -12537.00000000 | **30-Year:** -17659.15000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000025818 | -0.03%               | 2.92%                | 3.54%                |
| Class ID C000025819 | -0.05%               | 2.90%                | 3.52%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-676452.33              | $-1776336.53                               |
| Month 2  | $2984424.82              | $8964068.34                                |
| Month 3  | $1157191.35              | $13601595.63                               |

**Designated Index Information**

- **Index Name:** Custom Income Builder Index

- **Index Identifier:** BCIBI

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Brooklyn Union Gas Co. (The)                            | Brooklyn Union Gas Co. (The)                                                              | CUSIP: 114259AX2<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |    425000 | PA      | $452108.11    | 0.09%             | 2033-09-15      | Fixed         | 6.39%                 | Yes           |                  2 | On Loan: No      |
| Western Midstream Operating LP                          | Western Midstream Operating LP                                                            | CUSIP: 958667AA5<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    630000 | PA      | $529847.49    | 0.10%             | 2050-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Southern California Gas Co.                             | Southern California Gas Co., Series VV                                                    | CUSIP: 842434CS9<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    325000 | PA      | $261071.62    | 0.05%             | 2049-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue Securities Trust         | Multifamily Connecticut Avenue Securities Trust, Series 2019-01, Class B10                | CUSIP: 62547NAC3<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |    545000 | PA      | $543721.65    | 0.10%             | 2049-10-25      | Floating      | 9.92%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                     | Connecticut Avenue Securities Trust, Series 2025-R01, Class 1B1                           | CUSIP: 20755JAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235000 | PA      | $234854.07    | 0.04%             | 2045-01-25      | Floating      | 6.01%                 | Yes           |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                              | Flagship Credit Auto Trust, Series 2022-2, Class D                                        | CUSIP: 33844XAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    655000 | PA      | $620166.45    | 0.12%             | 2028-04-17      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                       | Wells Fargo & Co.                                                                         | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    390000 | PA      | $356167.47    | 0.07%             | 2033-03-02      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Suzano Austria GmbH                                     | Suzano Austria GmbH                                                                       | CUSIP: 86964WAJ1<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |    625000 | PA      | $585097.31    | 0.11%             | 2031-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Orange SA                                               | Orange SA                                                                                 | CUSIP: N/A<br>LEI: 969500MCOONR8990S771       | Long             | EC               | CORP              | FR        |    192882 | NS      | $2934357.12   | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| ONEOK, Inc.                                             | ONEOK, Inc.                                                                               | CUSIP: 682680CM3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    260000 | PA      | $265795.31    | 0.05%             | 2028-01-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Eaton Corp. plc                                         | Eaton Corp. plc                                                                           | CUSIP: N/A<br>LEI: 549300VDIGTMXUNT7H71       | Long             | EC               | CORP              | IE        |      6770 | NS      | $2416822.30   | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                   | Wells Fargo Commercial Mortgage Trust, Series 2016-NXS5, Class D                          | CUSIP: 95000CBJ1<br>LEI: 549300SGFUCMB43V8P22 | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $234123.08    | 0.04%             | 2059-01-15      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Republic of Paraguay                                    | Paraguay Government Bond                                                                  | CUSIP: 699149AB6<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |    685000 | PA      | $655524.45    | 0.12%             | 2044-08-11      | Fixed         | 6.10%                 | Yes           |                  2 | On Loan: No      |
| Texas Debt Capital CLO Ltd.                             | Texas Debt Capital CLO Ltd., Series 2024-2A, Class B                                      | CUSIP: 88238EAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250645.25    | 0.05%             | 2037-01-24      | Floating      | 5.98%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2021-96, Class SN                                                            | CUSIP: 38382UVH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1098495 | PA      | $140530.97    | 0.03%             | 2051-06-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| BlackRock, Inc.                                         | BlackRock, Inc.                                                                           | CUSIP: 09290D101<br>LEI: 529900VBK42Y5HHRMD23 | Long             | EC               | CORP              | US        |      1815 | NS      | $1904388.75   | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America Merrill Lynch Commercial Mortgage Trust | Bank of America Merrill Lynch Commercial Mortgage Trust, Series 2016-UB10, Class D        | CUSIP: 06054MAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    740000 | PA      | $651056.96    | 0.12%             | 2049-07-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                   | Wells Fargo Commercial Mortgage Trust, Series 2017-C39, Class D                           | CUSIP: 95000XAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    285000 | PA      | $241737.43    | 0.05%             | 2050-09-15      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                     | Citigroup Commercial Mortgage Trust, Series 2018-B2, Class D                              | CUSIP: 17327FAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    905000 | PA      | $682672.18    | 0.13%             | 2051-03-10      | Variable      | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Taiwan Semiconductor Manufacturing Co. Ltd.             | Taiwan Semiconductor Manufacturing Co. Ltd.                                               | CUSIP: 874039100<br>LEI: 549300KB6NK5SBD14S87 | Long             | EC               | CORP              | TW        |     25327 | NS      | $5736312.23   | 1.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Walmart, Inc.                                           | Walmart, Inc.                                                                             | CUSIP: 931142103<br>LEI: Y87794H0US1R65VBXU25 | Long             | EC               | CORP              | US        |     37642 | NS      | $3680634.76   | 0.69%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                     | Citigroup Commercial Mortgage Trust, Series 2014-GC25, Class B                            | CUSIP: 17322YAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    226807 | PA      | $219208.95    | 0.04%             | 2047-10-10      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2021-34, Class MI                                                     | CUSIP: 3136BHWC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1418029 | PA      | $192489.48    | 0.04%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | UMBS, 30 Year                                                                             | CUSIP: 3140XKAD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    460137 | PA      | $463210.30    | 0.09%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO 12 Ltd.                                 | Signal Peak CLO 12 Ltd., Series 2022-12A, Class A1R                                       | CUSIP: 82671XAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    270000 | PA      | $270574.83    | 0.05%             | 2037-07-18      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| Santander Holdings USA, Inc.                            | Santander Holdings USA, Inc.                                                              | CUSIP: 80282KBF2<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    340000 | PA      | $354509.43    | 0.07%             | 2029-03-09      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                     | Connecticut Avenue Securities Trust, Series 2022-R02, Class 2B2                           | CUSIP: 20754BAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    570000 | PA      | $612989.86    | 0.12%             | 2042-01-25      | Floating      | 11.96%                | Yes           |                  2 | On Loan: No      |
| Regatta XI Funding Ltd.                                 | Regatta XI Funding Ltd., Series 2018-1A, Class AR                                         | CUSIP: 75887XAN7<br>LEI: 254900TUAAER6MTE4E64 | Long             | ABS-CBDO         | CORP              | KY        |    350000 | PA      | $350866.60    | 0.07%             | 2037-07-17      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Flex Intermediate Holdco LLC                            | Flex Intermediate Holdco LLC                                                              | CUSIP: 33939HAA7<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |    865000 | PA      | $768836.34    | 0.15%             | 2031-06-30      | Fixed         | 3.36%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2023-60, Class ES                                                            | CUSIP: 38383XSW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    474967 | PA      | $427375.36    | 0.08%             | 2053-04-20      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| Microchip Technology, Inc.                              | Microchip Technology, Inc.                                                                | CUSIP: 595017104<br>LEI: 5493007PTFULNYZJ1R12 | Long             | EC               | CORP              | US        |     43798 | NS      | $3082065.26   | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| Home Partners of America Trust                          | Home Partners of America Trust, Series 2021-2, Class A                                    | CUSIP: 43732VAT3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    245731 | PA      | $236610.73    | 0.04%             | 2026-12-17      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| BAWAG Group AG                                          | BAWAG Group AG                                                                            | CUSIP: N/A<br>LEI: 529900S9YO2JHTIIDG38       | Long             | EC               | CORP              | AT        |     20325 | NS      | $2595294.78   | 0.49%             |  |  |  | Yes           |                  1 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                                       | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2950000 | PA      | $2961523.44   | 0.56%             | 2030-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JH North America Holdings, Inc.                         | JH North America Holdings, Inc.                                                           | CUSIP: 46593WAB1<br>LEI: 254900A6FXA0D81TL967 | Long             | DBT              | CORP              | US        |    125000 | PA      | $127075.50    | 0.02%             | 2032-07-31      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Hilton Domestic Operating Co., Inc.                     | Hilton Domestic Operating Co., Inc.                                                       | CUSIP: 432833AP6<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |    550000 | PA      | $561756.25    | 0.11%             | 2029-04-01      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Muenchener Rueckversicherungs-Gesellschaft AG           | Muenchener Rueckversicherungs-Gesellschaft AG (Registered)                                | CUSIP: N/A<br>LEI: 529900MUF4C20K50JS49       | Long             | EC               | CORP              | DE        |      3095 | NS      | $2007352.84   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                              | UMBS Pool, 30 Year                                                                        | CUSIP: 3132E0MH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    328541 | PA      | $335936.12    | 0.06%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                  | Sequoia Mortgage Trust, Series 2021-4, Class A1                                           | CUSIP: 81748WBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86221 | PA      | $863.30       | 0.00%             | 2051-06-25      | Variable      | 0.16%                 | Yes           |                  2 | On Loan: No      |
| Southern California Edison Co.                          | Southern California Edison Co.                                                            | CUSIP: 842400GG2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    520000 | PA      | $373456.10    | 0.07%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                | Lloyds Banking Group plc                                                                  | CUSIP: 53944YAB9<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   1075000 | PA      | $1074022.65   | 0.20%             | 2026-03-24      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                                 | CF Hippolyta Issuer LLC, Series 2021-1A, Class A1                                         | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    315720 | PA      | $303761.57    | 0.06%             | 2061-03-15      | Fixed         | 1.53%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2022-69, Class FA                                                            | CUSIP: 38383PV40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    215345 | PA      | $202654.36    | 0.04%             | 2052-04-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 5011, Class MI                                                       | CUSIP: 3137FVSU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    692133 | PA      | $112802.99    | 0.02%             | 2050-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| XPLR Infrastructure Operating Partners LP               | XPLR Infrastructure Operating Partners LP                                                 | CUSIP: 98380MAA3<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |    295000 | PA      | $315090.68    | 0.06%             | 2031-01-15      | Fixed         | 8.38%                 | Yes           |                  2 | On Loan: —       |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust, Series 2025-2A, Class E                              | CUSIP: 30168JAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    575000 | PA      | $594696.86    | 0.11%             | 2032-10-15      | Fixed         | 7.81%                 | Yes           |                  2 | On Loan: No      |
| Dominican Republic                                      | Dominican Republic Government Bond                                                        | CUSIP: 25714PEF1<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    620000 | PA      | $571857.00    | 0.11%             | 2032-09-23      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 5326, Class QO                                                       | CUSIP: 3137HAFC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    720383 | PA      | $470861.14    | 0.09%             | 2050-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Intesa Sanpaolo SpA                                     | Intesa Sanpaolo SpA                                                                       | CUSIP: 46115HBU0<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    200000 | PA      | $201576.92    | 0.04%             | 2025-11-21      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                      | General Motors Financial Co., Inc.                                                        | CUSIP: 37045XDV5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    470000 | PA      | $459867.64    | 0.09%             | 2029-04-06      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                      | BMO Mortgage Trust, Series 2024-C9, Class A5                                              | CUSIP: 05593MAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580000 | PA      | $608624.91    | 0.11%             | 2057-07-15      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes                      | Ally Bank Auto Credit-Linked Notes, Series 2024-A, Class G                                | CUSIP: 02007G2A0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    461790 | PA      | $469456.66    | 0.09%             | 2032-05-17      | Fixed         | 12.75%                | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                     | Connecticut Avenue Securities Trust, Series 2023-R03, Class 2M2                           | CUSIP: 20753AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $404107.20    | 0.08%             | 2043-04-25      | Floating      | 8.21%                 | Yes           |                  2 | On Loan: No      |
| Trust Fibra Uno                                         | Trust Fibra Uno                                                                           | CUSIP: 89834JAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |    400000 | PA      | $421526.22    | 0.08%             | 2037-01-23      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2020-166, Class IC                                                           | CUSIP: 38382LQD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    300690 | PA      | $37710.56     | 0.01%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Sponsor LLC                  | New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class B1                           | CUSIP: 643821AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    255000 | PA      | $233794.58    | 0.04%             | 2061-10-20      | Fixed         | 2.41%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 5527, Class FA                                                       | CUSIP: 3137HKWJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    764657 | PA      | $760674.32    | 0.14%             | 2055-04-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| Virgin Media Bristol LLC                                | Virgin Media Bristol LLC, First Lien Facility Advance Term Loan Q                         | CUSIP: G9368PBE3<br>LEI: 213800IQ982XX69LE276 | Long             | LON              | CORP              | US        |    710000 | PA      | $703010.76    | 0.13%             | 2029-01-31      | Variable      | 7.68%                 | No            |                  2 | On Loan: No      |
| KLA Corp.                                               | KLA Corp.                                                                                 | CUSIP: 482480100<br>LEI: 549300H0BF5JCG96TJ81 | Long             | EC               | CORP              | US        |      4623 | NS      | $4141006.02   | 0.78%             |  |  |  | No            |                  1 | On Loan: No      |
| Arab Republic of Egypt                                  | Egypt Government Bond                                                                     | CUSIP: 03846JX54<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    520000 | PA      | $479145.80    | 0.09%             | 2032-05-29      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                     | Connecticut Avenue Securities Trust, Series 2023-R07, Class 2M2                           | CUSIP: 20753BAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    885000 | PA      | $921506.25    | 0.17%             | 2043-09-25      | Floating      | 7.56%                 | Yes           |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                | Benchmark Mortgage Trust, Series 2018-B6, Class D                                         | CUSIP: 08162CAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425000 | PA      | $329782.36    | 0.06%             | 2051-10-10      | Variable      | 3.24%                 | Yes           |                  2 | On Loan: No      |
| Argentine Republic (The)                                | Argentina Government Bond                                                                 | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    800000 | PA      | $538174.81    | 0.10%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 5094, Class IP                                                       | CUSIP: 3137FYQ58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    558275 | PA      | $90331.20     | 0.02%             | 2051-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Corp.                                     | First Horizon Corp.                                                                       | CUSIP: 320517AE5<br>LEI: TF3RXI1ZB1TQ30H9JV10 | Long             | DBT              | CORP              | US        |    335000 | PA      | $339827.14    | 0.06%             | 2031-03-07      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                   | OneMain Direct Auto Receivables Trust, Series 2019-1A, Class D                            | CUSIP: 68267EAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $398402.36    | 0.08%             | 2031-04-14      | Fixed         | 4.68%                 | Yes           |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                | Bristol-Myers Squibb Co.                                                                  | CUSIP: 110122108<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | EC               | CORP              | US        |     43885 | NS      | $2031436.65   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Eli Lilly & Co.                                         | Eli Lilly & Co.                                                                           | CUSIP: 532457108<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | EC               | CORP              | US        |      2319 | NS      | $1807730.07   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Huntsman International LLC                              | Huntsman International LLC                                                                | CUSIP: 44701QBE1<br>LEI: 3YTEJFW18LGIUQ2N5J61 | Long             | DBT              | CORP              | US        |    731000 | PA      | $693236.07    | 0.13%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                              | Flagship Credit Auto Trust, Series 2021-3, Class E                                        | CUSIP: 33846QAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    580000 | PA      | $537323.95    | 0.10%             | 2028-12-15      | Fixed         | 3.32%                 | Yes           |                  2 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                    | Columbia Pipelines Operating Co. LLC                                                      | CUSIP: 19828TAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    180000 | PA      | $186037.11    | 0.04%             | 2053-11-15      | Fixed         | 6.54%                 | Yes           |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                      | General Motors Financial Co., Inc.                                                        | CUSIP: 37045XDL7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    485000 | PA      | $424586.26    | 0.08%             | 2031-06-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Great Lakes Dredge & Dock Corp.                         | Great Lakes Dredge & Dock Corp.                                                           | CUSIP: 390607AF6<br>LEI: 549300H65E3MZ1CX0P05 | Long             | DBT              | CORP              | US        |    215000 | PA      | $206603.18    | 0.04%             | 2029-06-01      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd.                                            | OCP CLO Ltd., Series 2017-14A, Class A1R                                                  | CUSIP: 67097QAN5<br>LEI: 25490025Q5WQX513IQ05 | Long             | ABS-CBDO         | CORP              | KY        |    350000 | PA      | $351056.30    | 0.07%             | 2037-07-20      | Floating      | 5.64%                 | Yes           |                  2 | On Loan: No      |
| Prime Healthcare Services, Inc.                         | Prime Healthcare Services, Inc.                                                           | CUSIP: 74165HAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    330000 | PA      | $327525.00    | 0.06%             | 2029-09-01      | Fixed         | 9.38%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                              | UMBS Pool, 30 Year                                                                        | CUSIP: 3132DWDZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    751072 | PA      | $650252.31    | 0.12%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2020-34, Class SC                                                            | CUSIP: 38382DM30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    884740 | PA      | $115280.54    | 0.02%             | 2050-03-20      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| Cummins, Inc.                                           | Cummins, Inc.                                                                             | CUSIP: 231021106<br>LEI: ZUNI8PYC725B6H8JU438 | Long             | EC               | CORP              | US        |     11665 | NS      | $3820287.50   | 0.72%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS Commercial Mortgage Trust                           | UBS Commercial Mortgage Trust, Series 2018-C10, Class D                                   | CUSIP: 90276FAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    385000 | PA      | $311168.59    | 0.06%             | 2051-05-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| International Business Machines Corp.                   | International Business Machines Corp.                                                     | CUSIP: 459200101<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | EC               | CORP              | US        |     23346 | NS      | $6881933.88   | 1.30%             |  |  |  | No            |                  1 | On Loan: No      |
| Univision Communications, Inc.                          | Univision Communications, Inc.                                                            | CUSIP: 914906AU6<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |    520000 | PA      | $518581.43    | 0.10%             | 2027-06-01      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Ivy Hill Middle Market Credit Fund VII Ltd.             | Ivy Hill Middle Market Credit Fund VII Ltd., Series 7A, Class AR3                         | CUSIP: 46602ABE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250260.75    | 0.05%             | 2036-10-15      | Floating      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2022-78, Class S                                                             | CUSIP: 38383P8S3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1124760 | PA      | $19817.38     | 0.00%             | 2052-04-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Warnermedia Holdings, Inc.                              | Warnermedia Holdings, Inc.                                                                | CUSIP: 55903VBC6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    200000 | PA      | $148750.00    | 0.03%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Belron UK Finance plc                                   | Belron UK Finance plc                                                                     | CUSIP: 080782AA3<br>LEI: 9845006BC9D1A77B8178 | Long             | DBT              | CORP              | GB        |    520000 | PA      | $524338.52    | 0.10%             | 2029-10-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Sanofi SA                                               | Sanofi SA                                                                                 | CUSIP: N/A<br>LEI: 549300E9PC51EN656011       | Long             | EC               | CORP              | FR        |     40462 | NS      | $3918310.52   | 0.74%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2021-29, Class AS                                                            | CUSIP: 38382NP76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2033526 | PA      | $26503.56     | 0.00%             | 2051-02-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | UMBS Pool, 30 Year                                                                        | CUSIP: 3132DWHT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    258627 | PA      | $259156.74    | 0.05%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC STACR REMIC Trust, Series 2021-HQA3, Class B2                                       | CUSIP: 35564KKL2<br>LEI: 5493000ISHRHX47NOH65 | Long             | ABS-MBS          | CORP              | US        |    880000 | PA      | $917416.46    | 0.17%             | 2041-09-25      | Floating      | 10.56%                | Yes           |                  2 | On Loan: No      |
| GSK plc                                                 | GSK plc                                                                                   | CUSIP: N/A<br>LEI: 5493000HZTVUYLO1D793       | Long             | EC               | CORP              | GB        |    125302 | NS      | $2390741.49   | 0.45%             |  |  |  | No            |                  1 | On Loan: No      |
| Ohio Power Co.                                          | Ohio Power Co., Series R                                                                  | CUSIP: 677415CU3<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |    420000 | PA      | $256452.13    | 0.05%             | 2051-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                             | Apple, Inc.                                                                               | CUSIP: 037833100<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | EC               | CORP              | US        |     13126 | NS      | $2693061.42   | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2022-101, Class SB                                                           | CUSIP: 38383F6G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1096679 | PA      | $17494.23     | 0.00%             | 2052-06-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| NextEra Energy, Inc.                                    | NextEra Energy, Inc.                                                                      | CUSIP: 65339F101<br>LEI: 254900RHL9MEUS5NKX63 | Long             | EC               | CORP              | US        |     45292 | NS      | $3144170.64   | 0.59%             |  |  |  | No            |                  1 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust, Series 2022-2A, Class E                              | CUSIP: 30166QAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    915000 | PA      | $846499.99    | 0.16%             | 2029-10-15      | Fixed         | 6.34%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 5092, Class XA                                                       | CUSIP: 3137FYEX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    363011 | PA      | $312980.87    | 0.06%             | 2041-01-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | UMBS Pool, 30 Year                                                                        | CUSIP: 3132DUFQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    773941 | PA      | $741780.26    | 0.14%             | 2053-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2022-10, Class IC                                                            | CUSIP: 38383GFG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    946842 | PA      | $107786.55    | 0.02%             | 2051-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Edison International                                    | Edison International                                                                      | CUSIP: 281020AZ0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    315000 | PA      | $298420.39    | 0.06%             | 2054-06-15      | Variable      | 7.88%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Oklahoma                          | Public Service Co. of Oklahoma                                                            | CUSIP: 744533BQ2<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    200000 | PA      | $201579.89    | 0.04%             | 2033-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| STACR Trust                                             | STACR REMIC Trust, Series 2018-HRP1, Class B2                                             | CUSIP: 3137G0VB2<br>LEI: 549300D2VO9JVX6KU482 | Long             | ABS-MBS          | CORP              | US        |    974598 | PA      | $1177264.41   | 0.22%             | 2043-05-25      | Floating      | 16.17%                | Yes           |                  2 | On Loan: No      |
| Citizens Financial Group, Inc.                          | Citizens Financial Group, Inc.                                                            | CUSIP: 174610AW5<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |    540000 | PA      | $454983.15    | 0.09%             | 2032-09-30      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| BF Mortgage Trust                                       | BF Mortgage Trust, Series 2019-NYT, Class F                                               | CUSIP: 62954PAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    685000 | PA      | $591507.02    | 0.11%             | 2035-12-15      | Floating      | 7.61%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                     | Connecticut Avenue Securities Trust, Series 2022-R01, Class 1B2                           | CUSIP: 20754LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    940000 | PA      | $986559.99    | 0.19%             | 2041-12-25      | Floating      | 10.31%                | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                              | UMBS Pool, 30 Year                                                                        | CUSIP: 3132E0PK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    483266 | PA      | $494878.43    | 0.09%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Eversource Energy                                       | Eversource Energy                                                                         | CUSIP: 30040WAZ1<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    355000 | PA      | $371481.38    | 0.07%             | 2034-07-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2021-67, Class PI                                                            | CUSIP: 38382RR75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    709756 | PA      | $122280.36    | 0.02%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2022-10, Class SA                                                     | CUSIP: 3136BL3H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    766950 | PA      | $90084.31     | 0.02%             | 2052-02-25      | Floating      | 1.44%                 | No            |                  2 | On Loan: No      |
| M&T Bank Corp.                                          | M&T Bank Corp.                                                                            | CUSIP: 55261FAV6<br>LEI: 549300WYXDDBYRASEG81 | Long             | DBT              | CORP              | US        |    190000 | PA      | $189340.03    | 0.04%             | 2036-01-16      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Apidos CLO LI Ltd.                                      | Apidos CLO LI Ltd., Series 2024-51A, Class B                                              | CUSIP: 03771JAE9<br>LEI: 254900K0UHSUBZXUMR56 | Long             | ABS-CBDO         | CORP              | JE        |    250000 | PA      | $250713.00    | 0.05%             | 2038-01-20      | Floating      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2022-87, Class SA                                                            | CUSIP: 38383RYT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2188506 | PA      | $34912.58     | 0.01%             | 2052-05-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 5351, Class DO                                                       | CUSIP: 3137HAYG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    376668 | PA      | $315520.54    | 0.06%             | 2053-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2019-97, Class FG                                                            | CUSIP: 38381YHP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    610214 | PA      | $544056.67    | 0.10%             | 2049-08-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Transcontinental Gas Pipe Line Co. LLC                  | Transcontinental Gas Pipe Line Co. LLC                                                    | CUSIP: 893574AM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    840000 | PA      | $706979.02    | 0.13%             | 2048-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | U.S. Treasury 5 Year Notes                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       236 | NC      | $232378.39    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                          | Morgan Stanley                                                                            | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    885000 | PA      | $752015.56    | 0.14%             | 2036-09-16      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA II, Single Family, 30 Year                                                           | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2316396 | PA      | $2051236.26   | 0.39%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                   | Wells Fargo Commercial Mortgage Trust, Series 2018-C43, Class D                           | CUSIP: 95001LAC6<br>LEI: 549300RVQJTKIK3XGD11 | Long             | ABS-MBS          | CORP              | US        |    135000 | PA      | $109061.11    | 0.02%             | 2051-03-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Delta Air Lines, Inc.                                   | Delta Air Lines, Inc.                                                                     | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $902087.15    | 0.17%             | 2028-10-20      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Johnson & Johnson                                       | Johnson & Johnson                                                                         | CUSIP: 478160104<br>LEI: 549300G0CFPGEF6X2043 | Long             | EC               | CORP              | US        |     14685 | NS      | $2243133.75   | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| Merck & Co., Inc.                                       | Merck & Co., Inc.                                                                         | CUSIP: 58933Y105<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | EC               | CORP              | US        |     22995 | NS      | $1820284.20   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2023-86, Class SE                                                            | CUSIP: 38384A3B7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    755791 | PA      | $116974.87    | 0.02%             | 2050-09-20      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                | Lloyds Banking Group plc                                                                  | CUSIP: N/A<br>LEI: 549300PPXHEU2JF0AM85       | Long             | EC               | CORP              | GB        |   1899811 | NS      | $2000163.87   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| AT&T, Inc.                                              | AT&T, Inc.                                                                                | CUSIP: 00206R102<br>LEI: 549300Z40J86GGSTL398 | Long             | EC               | CORP              | US        |    102977 | NS      | $2980154.38   | 0.56%             |  |  |  | No            |                  1 | On Loan: No      |
| JBS USA Holding LUX SARL                                | JBS USA Holding LUX SARL                                                                  | CUSIP: 46590XAY2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    589000 | PA      | $605444.88    | 0.11%             | 2033-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| United States of America                                | U.S. Treasury Notes                                                                       | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1015000 | PA      | $1016585.94   | 0.19%             | 2035-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Pfizer, Inc.                                            | Pfizer, Inc.                                                                              | CUSIP: 717081103<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | EC               | CORP              | US        |     76502 | NS      | $1854408.48   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| Calpine Corp.                                           | Calpine Corp.                                                                             | CUSIP: 131347CN4<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |    290000 | PA      | $289675.08    | 0.05%             | 2028-03-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                         | CSAIL Commercial Mortgage Trust, Series 2016-C6, Class D                                  | CUSIP: 12636MAV0<br>LEI: 549300C2HE5FJAWYZL57 | Long             | ABS-MBS          | CORP              | US        |    675000 | PA      | $540419.51    | 0.10%             | 2049-01-15      | Variable      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                                       | CUSIP: 91282CMY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1560000 | PA      | $1559756.25   | 0.29%             | 2027-04-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                              | AerCap Ireland Capital DAC                                                                | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    665000 | PA      | $647893.87    | 0.12%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Arches Buyer, Inc.                                      | Arches Buyer, Inc., First Lien New Term Loan                                              | CUSIP: 03952HAD6<br>LEI: 2549009ADY4208OH2Y47 | Long             | LON              | CORP              | US        |    397917 | PA      | $392569.46    | 0.07%             | 2027-12-06      | Variable      | 7.68%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                    | American Airlines Pass-Through Trust, Series 2019-1, Class B                              | CUSIP: 02379DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    292230 | PA      | $281866.05    | 0.05%             | 2028-02-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Bath & Body Works, Inc.                                 | Bath & Body Works, Inc.                                                                   | CUSIP: 501797AW4<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |    615000 | PA      | $633849.14    | 0.12%             | 2030-10-01      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Stifel SBA IO Trust                                     | Stifel SBA IO Trust, Series 2024-1A, Class A2                                             | CUSIP: 86063NAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8191841 | PA      | $290554.36    | 0.05%             | 2050-06-25      | Variable      | 1.27%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2022-207                                                                     | CUSIP: 38383HFY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    741243 | PA      | $114751.09    | 0.02%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Strips, Series 272                                                          | CUSIP: 3128HXY25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    457992 | PA      | $352430.02    | 0.07%             | 2042-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Post AG                                        | Deutsche Post AG                                                                          | CUSIP: N/A<br>LEI: 8ER8GIG7CSMVD8VUFE78       | Long             | EC               | CORP              | DE        |     53052 | NS      | $2450334.98   | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| Commercial Mortgage Trust                               | Commercial Mortgage Trust, Series 2014-CR17, Class C                                      | CUSIP: 12631DBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    680000 | PA      | $620438.80    | 0.12%             | 2047-05-10      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes                | Huntington Bank Auto Credit-Linked Notes, Series 2024-2, Class D                          | CUSIP: 44644NAK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    470145 | PA      | $475289.45    | 0.09%             | 2032-10-20      | Floating      | 8.30%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                    | BANK, Series 2019-BN19, Class C                                                           | CUSIP: 06540WBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    685000 | PA      | $499654.34    | 0.09%             | 2061-08-15      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO                                               | AIMCO CLO, Series 2018-AA, Class B1R                                                      | CUSIP: 00900GAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $401108.40    | 0.08%             | 2037-10-17      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Terna - Rete Elettrica Nazionale                        | Terna - Rete Elettrica Nazionale                                                          | CUSIP: N/A<br>LEI: 8156009E94ED54DE7C31       | Long             | EC               | CORP              | IT        |    174696 | NS      | $1795663.80   | 0.34%             |  |  |  | No            |                  1 | On Loan: —       |
| Regions Financial Corp.                                 | Regions Financial Corp.                                                                   | CUSIP: 7591EP100<br>LEI: CW05CS5KW59QTC0DG824 | Long             | EC               | CORP              | US        |     76414 | NS      | $1797257.28   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| CVS Pass-Through Trust                                  | CVS Pass-Through Trust                                                                    | CUSIP: 126650AQ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3170 | PA      | $3172.30      | 0.00%             | 2026-01-10      | Fixed         | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                   | Nomura Holdings, Inc.                                                                     | CUSIP: 65535HBE8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    770000 | PA      | $770013.88    | 0.15%             | 2025-07-03      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | S&P 500 E-Mini Index                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        42 | NC      | $282672.55    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2021-158, Class SB                                                           | CUSIP: 38382XY58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1389969 | PA      | $51414.26     | 0.01%             | 2051-09-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2023-1, Class HD                                                             | CUSIP: 38383VFN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    365347 | PA      | $331517.12    | 0.06%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HPEFS Equipment Trust                                   | HPEFS Equipment Trust, Series 2024-1A, Class D                                            | CUSIP: 403963AF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    630000 | PA      | $634692.87    | 0.12%             | 2031-11-20      | Fixed         | 5.82%                 | Yes           |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                    | American Airlines Pass-Through Trust, Series 2016-2, Class A                              | CUSIP: 023764AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    458285 | PA      | $435833.43    | 0.08%             | 2028-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FHLMC, Multifamily Structured Pass-Through Certificates | FHLMC, Multifamily Structured Pass-Through Certificates, REMIC, Series 2021-MN3, Class M1 | CUSIP: 35563GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    307863 | PA      | $308122.70    | 0.06%             | 2051-11-25      | Floating      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                         | CFCRE Commercial Mortgage Trust, Series 2016-C3, Class D                                  | CUSIP: 12531WAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    470000 | PA      | $437868.22    | 0.08%             | 2048-01-10      | Variable      | 3.05%                 | Yes           |                  2 | On Loan: No      |
| Sasol Financing USA LLC                                 | Sasol Financing USA LLC                                                                   | CUSIP: 80386WAF2<br>LEI: 549300XRB1PFMESFEL85 | Long             | DBT              | CORP              | US        |    650000 | PA      | $643628.57    | 0.12%             | 2029-05-03      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| United Parcel Service, Inc.                             | United Parcel Service, Inc., Class B                                                      | CUSIP: 911312106<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | EC               | CORP              | US        |     16702 | NS      | $1685899.88   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| Sally Holdings LLC                                      | Sally Holdings LLC                                                                        | CUSIP: 79546VAQ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    185000 | PA      | $189922.48    | 0.04%             | 2032-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Hewlett Packard Enterprise Co.                          | Hewlett Packard Enterprise Co.                                                            | CUSIP: 42824C109<br>LEI: 549300BX44RGX6ANDV88 | Long             | EC               | CORP              | US        |    234728 | NS      | $4800187.60   | 0.91%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | U.S. Treasury Long Bonds                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        71 | NC      | $298955.31    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2020-188                                                                     | CUSIP: 38382L2B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1333878 | PA      | $153196.17    | 0.03%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                         | Citigroup, Inc.                                                                           | CUSIP: 17327CAU7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    425000 | PA      | $412784.87    | 0.08%             | 2039-09-19      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2021-8, Class ID                                                      | CUSIP: 3136BFES8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    897738 | PA      | $191611.76    | 0.04%             | 2051-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Vinci SA                                                | Vinci SA                                                                                  | CUSIP: N/A<br>LEI: 213800WFQ334R8UXUG83       | Long             | EC               | CORP              | FR        |     15152 | NS      | $2232822.13   | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2021-96, Class JS                                                            | CUSIP: 38382UYG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    883524 | PA      | $129742.52    | 0.02%             | 2051-06-20      | Floating      | 1.92%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                            | Avolon Holdings Funding Ltd.                                                              | CUSIP: 05401AAM3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    645000 | PA      | $633085.33    | 0.12%             | 2026-02-21      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| Fortress Credit Opportunities XXI CLO LLC               | Fortress Credit Opportunities XXI CLO LLC, Series 2023-21A, Class A1TR                    | CUSIP: 34964UAN6<br>LEI: 254900WDNXJI5BDB6170 | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $400819.20    | 0.08%             | 2037-01-21      | Floating      | 5.84%                 | Yes           |                  2 | On Loan: No      |
| Golub Capital Partners CLO 78M                          | Golub Capital Partners CLO 78M, Series 2025-78A, Class A1                                 | CUSIP: 381934AC2<br>LEI: 254900PSE4IZIZUH7U62 | Long             | ABS-CBDO         | CORP              | US        |    530000 | PA      | $527105.14    | 0.10%             | 2039-04-21      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                            | UBS Group AG                                                                              | CUSIP: 902613AD0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1005000 | PA      | $888246.14    | 0.17%             | 2031-02-10      | Variable      | 4.38%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 5023, Class LI                                                       | CUSIP: 3137FWV72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    485497 | PA      | $80298.18     | 0.02%             | 2050-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2021-85, Class BI                                                     | CUSIP: 3136BKHZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1411166 | PA      | $254391.00    | 0.05%             | 2051-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Zayo Issuer LLC                                         | Zayo Issuer LLC, Series 2025-1A, Class B                                                  | CUSIP: 98919WAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    635000 | PA      | $642690.42    | 0.12%             | 2055-03-20      | Fixed         | 6.09%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2023-59, Class YC                                                            | CUSIP: 38383XXB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    590872 | PA      | $652685.69    | 0.12%             | 2051-09-20      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| Rad CLO 25 Ltd.                                         | Rad CLO 25 Ltd., Series 2024-25A, Class A1                                                | CUSIP: 75009GAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    250000 | PA      | $250690.25    | 0.05%             | 2037-07-20      | Floating      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| Home Depot, Inc. (The)                                  | Home Depot, Inc. (The)                                                                    | CUSIP: 437076102<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | EC               | CORP              | US        |      6589 | NS      | $2415790.96   | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| AXA SA                                                  | AXA SA                                                                                    | CUSIP: N/A<br>LEI: F5WCUMTUM4RKZ1MAIE39       | Long             | EC               | CORP              | FR        |     58502 | NS      | $2871581.00   | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust      | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class D              | CUSIP: 61690FAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    780000 | PA      | $510915.60    | 0.10%             | 2048-04-15      | Variable      | 4.19%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2020-5, Class FA                                                             | CUSIP: 38382CGQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    673265 | PA      | $600067.75    | 0.11%             | 2050-01-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2021-47                                                                      | CUSIP: 38380RA75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3262479 | PA      | $223049.81    | 0.04%             | 2061-03-16      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands III BV          | Teva Pharmaceutical Finance Netherlands III BV                                            | CUSIP: 88167AAP6<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    330000 | PA      | $329422.43    | 0.06%             | 2027-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Duke Energy Ohio, Inc.                                  | Duke Energy Ohio, Inc.                                                                    | CUSIP: 26442EAG5<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |    565000 | PA      | $453958.31    | 0.09%             | 2049-02-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PacifiCorp                                              | PacifiCorp                                                                                | CUSIP: 695114DF2<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    340000 | PA      | $353450.53    | 0.07%             | 2055-09-15      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| Subway Funding LLC                                      | Subway Funding LLC, Series 2024-3A, Class A23                                             | CUSIP: 864300AL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    497500 | PA      | $492098.89    | 0.09%             | 2054-07-30      | Fixed         | 5.91%                 | Yes           |                  2 | On Loan: No      |
| ROCK Trust                                              | ROCK Trust, Series 2024-CNTR, Class E                                                     | CUSIP: 74970WAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1085000 | PA      | $1141503.98   | 0.22%             | 2041-11-13      | Fixed         | 8.82%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bills                                                                       | CUSIP: 912797QH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    980000 | PA      | $975945.93    | 0.18%             | 2025-08-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                               | Williams Cos., Inc. (The)                                                                 | CUSIP: 969457100<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | EC               | CORP              | US        |     44113 | NS      | $2770737.53   | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 5351, Class EO                                                       | CUSIP: 3137HAZG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    744881 | PA      | $611622.39    | 0.12%             | 2053-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CONE Trust                                              | CONE Trust, Series 2024-DFW1, Class E                                                     | CUSIP: 20682AAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    275000 | PA      | $272909.40    | 0.05%             | 2041-08-15      | Floating      | 8.20%                 | Yes           |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                | PNC Financial Services Group, Inc. (The)                                                  | CUSIP: 693475105<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | EC               | CORP              | US        |     10118 | NS      | $1886197.56   | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2020-188, Class DI                                                           | CUSIP: 38382LX22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1868355 | PA      | $249344.33    | 0.05%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP                                          | GLP Capital LP                                                                            | CUSIP: 361841AP4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    810000 | PA      | $778402.87    | 0.15%             | 2030-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                            | Nutrien Ltd.                                                                              | CUSIP: 67077M108<br>LEI: 5493002QQ7GD21OWF963 | Long             | EC               | CORP              | CA        |     48598 | NS      | $2830347.52   | 0.53%             |  |  |  | No            |                  1 | On Loan: —       |
| MPLX LP                                                 | MPLX LP                                                                                   | CUSIP: 55336VBQ2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    730000 | PA      | $660682.72    | 0.12%             | 2030-08-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                | Benchmark Mortgage Trust, Series 2019-B14, Class C                                        | CUSIP: 08162YAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    695000 | PA      | $528790.12    | 0.10%             | 2062-12-15      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| Braskem Netherlands Finance BV                          | Braskem Netherlands Finance BV                                                            | CUSIP: 10554TAB1<br>LEI: 2549000TLMHFQ74DS330 | Long             | DBT              | CORP              | NL        |    745000 | PA      | $640924.15    | 0.12%             | 2028-01-10      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Arcos Dorados BV                                        | Arcos Dorados BV                                                                          | CUSIP: 03965TAC7<br>LEI: 549300T91OYP6I7P8G39 | Long             | DBT              | CORP              | NL        |    570000 | PA      | $592167.30    | 0.11%             | 2032-01-29      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Imperial Brands plc                                     | Imperial Brands plc                                                                       | CUSIP: N/A<br>LEI: 549300DFVPOB67JL3A42       | Long             | EC               | CORP              | GB        |     91435 | NS      | $3610872.43   | 0.68%             |  |  |  | No            |                  1 | On Loan: No      |
| Samsung Electronics Co. Ltd.                            | Samsung Electronics Co. Ltd.                                                              | CUSIP: 796050888<br>LEI: 9884007ER46L6N7EI764 | Long             | EC               | CORP              | KR        |      2528 | NS      | $2783328.00   | 0.53%             |  |  |  | No            |                  1 | On Loan: No      |
| Flagship Credit Auto Trust                              | Flagship Credit Auto Trust, Series 2020-3, Class D                                        | CUSIP: 33844TAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    108752 | PA      | $108379.75    | 0.02%             | 2026-09-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA, Strips                                            | FNMA, Strips, REMIC, Series 440, Class C46                                                | CUSIP: 31424U8A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1755621 | PA      | $384873.18    | 0.07%             | 2053-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | UMBS, 30 Year                                                                             | CUSIP: 31418ED80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289685 | PA      | $269933.98    | 0.05%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| General Dynamics Corp.                                  | General Dynamics Corp.                                                                    | CUSIP: 369550108<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | EC               | CORP              | US        |      6205 | NS      | $1809750.30   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2023-53                                                                      | CUSIP: 38383XYN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    218986 | PA      | $174105.23    | 0.03%             | 2053-04-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | Deutsche Bank AG                                                                          | CUSIP: 251526CN7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    820000 | PA      | $820012.51    | 0.15%             | 2027-11-16      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                 | MPLX LP                                                                                   | CUSIP: 55336V100<br>LEI: 5493000CZJ19CK4P3G36 | Long             |  |  | US        |     38651 | NS      | $1990913.01   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | U.S. Treasury 10 Year Notes                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        34 | NC      | $59975.79     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Duquesne Light Holdings, Inc.                           | Duquesne Light Holdings, Inc.                                                             | CUSIP: 266233AG0<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    865000 | PA      | $838223.56    | 0.16%             | 2027-08-01      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC STACR REMIC Trust, Series 2022-HQA3, Class M2                                       | CUSIP: 35564KE70<br>LEI: 5493000IRJ8RDHSNEL96 | Long             | ABS-MBS          | CORP              | US        |    880000 | PA      | $944673.22    | 0.18%             | 2042-08-25      | Floating      | 9.66%                 | Yes           |                  2 | On Loan: No      |
| Mileage Plus Holdings LLC                               | Mileage Plus Holdings LLC                                                                 | CUSIP: 599191AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    318001 | PA      | $318417.97    | 0.06%             | 2027-06-20      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| BANK                                                    | BANK, Series 2017-BNK4, Class C                                                           | CUSIP: 06541FBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    520000 | PA      | $459329.73    | 0.09%             | 2050-05-15      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust      | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class D              | CUSIP: 61690QAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220000 | PA      | $208447.80    | 0.04%             | 2050-07-15      | Variable      | 4.31%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2019-115, Class SA                                                           | CUSIP: 38381YTX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    961204 | PA      | $120401.60    | 0.02%             | 2049-09-20      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                     | BWAY Mortgage Trust, Series 2013-1515, Class G                                            | CUSIP: 05604FAU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    515000 | PA      | $437673.37    | 0.08%             | 2033-03-10      | Variable      | 4.06%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2021-83, Class FM                                                            | CUSIP: 38382QWD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    877707 | PA      | $724420.05    | 0.14%             | 2051-05-20      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2021-97, Class SA                                                            | CUSIP: 38382VET2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2298851 | PA      | $23664.14     | 0.00%             | 2051-06-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Uniti Group LP                                          | Uniti Group LP                                                                            | CUSIP: 91327TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    384000 | PA      | $407056.32    | 0.08%             | 2028-02-15      | Fixed         | 10.50%                | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                              | UMBS Pool, 30 Year                                                                        | CUSIP: 3132DSS52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    577962 | PA      | $580439.66    | 0.11%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                              | Aviation Capital Group LLC                                                                | CUSIP: 05369AAK7<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    520000 | PA      | $511752.40    | 0.10%             | 2026-01-30      | Fixed         | 1.95%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2021-139, Class IA                                                           | CUSIP: 38382XFY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1829831 | PA      | $329232.34    | 0.06%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Post Holdings, Inc.                                     | Post Holdings, Inc.                                                                       | CUSIP: 737446AR5<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |    115000 | PA      | $106744.07    | 0.02%             | 2031-09-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                          | Morgan Stanley                                                                            | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    645000 | PA      | $564833.03    | 0.11%             | 2032-10-20      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| Mill City Mortgage Loan Trust                           | Mill City Mortgage Loan Trust, Series 2018-4, Class B4                                    | CUSIP: 59980YAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    559347 | PA      | $345727.89    | 0.07%             | 2066-04-25      | Variable      | 3.07%                 | Yes           |                  2 | On Loan: No      |
| Coca-Cola Europacific Partners plc                      | Coca-Cola Europacific Partners plc                                                        | CUSIP: N/A<br>LEI: 549300LTH67W4GWMRF57       | Long             | EC               | CORP              | GB        |     52980 | NS      | $4912305.60   | 0.93%             |  |  |  | No            |                  1 | On Loan: No      |
| Aegea Finance SARL                                      | Aegea Finance SARL                                                                        | CUSIP: 00775CAC0<br>LEI: 213800V6WTKUT1XWIZ47 | Long             | DBT              | CORP              | LU        |    210000 | PA      | $223026.72    | 0.04%             | 2031-01-20      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| Snam SpA                                                | Snam SpA                                                                                  | CUSIP: N/A<br>LEI: 8156002278562044AF79       | Long             | EC               | CORP              | IT        |    417790 | NS      | $2530561.93   | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| BPCE SA                                                 | BPCE SA                                                                                   | CUSIP: 05583JAK8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    530000 | PA      | $512482.32    | 0.10%             | 2027-10-19      | Variable      | 2.04%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                | Angel Oak Mortgage Trust, Series 2025-3, Class A1                                         | CUSIP: 03466RAA9<br>LEI: 254900U85BAJNPG0MG65 | Long             | ABS-MBS          | CORP              | US        |    390827 | PA      | $390697.17    | 0.07%             | 2070-03-25      | Variable      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust  | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2012-WLDN, Class A         | CUSIP: 46637TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    531496 | PA      | $488976.15    | 0.09%             | 2030-05-05      | Fixed         | 3.91%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2023-55, Class LB                                                            | CUSIP: 38383X4D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    433173 | PA      | $495001.31    | 0.09%             | 2051-11-20      | Variable      | 7.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2021-57, Class SA                                                            | CUSIP: 38382QAD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1930453 | PA      | $257127.62    | 0.05%             | 2051-03-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC STACR REMIC Trust, Series 2019-FTR2, Class B2                                       | CUSIP: 35564WBE2<br>LEI: 5493008J93RJW7PJFN93 | Long             | ABS-MBS          | CORP              | US        |    375000 | PA      | $434719.91    | 0.08%             | 2048-11-25      | Floating      | 11.82%                | Yes           |                  2 | On Loan: No      |
| OneMain Finance Corp.                                   | OneMain Finance Corp.                                                                     | CUSIP: 682691AF7<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    415000 | PA      | $433613.58    | 0.08%             | 2031-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | U.S. Treasury 2 Year Notes                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -61 | NC      | $-34002.59    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| LyondellBasell Industries NV                            | LyondellBasell Industries NV, Class A                                                     | CUSIP: N/A<br>LEI: BN6WCCZ8OVP3ITUUVN49       | Long             | EC               | CORP              | NL        |     32070 | NS      | $1855570.20   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2021-205, Class DS                                                           | CUSIP: 38383C3X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2817797 | PA      | $49541.94     | 0.01%             | 2051-11-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                               | Towd Point Mortgage Trust, Series 2017-4, Class B5                                        | CUSIP: 89173UAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    452415 | PA      | $287320.48    | 0.05%             | 2057-06-25      | Variable      | 3.66%                 | Yes           |                  2 | On Loan: No      |
| Terex Corp.                                             | Terex Corp.                                                                               | CUSIP: 880779BB8<br>LEI: YAWJZJYEQ7M1SYMOS462 | Long             | DBT              | CORP              | US        |    425000 | PA      | $425861.05    | 0.08%             | 2032-10-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 5160                                                                 | CUSIP: 3137H3WL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    568531 | PA      | $60725.27     | 0.01%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                    | Colombia Government Bond                                                                  | CUSIP: 195325DZ5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    725000 | PA      | $572898.19    | 0.11%             | 2032-04-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2021-16, Class AS                                                            | CUSIP: 38382NAB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2125011 | PA      | $25668.01     | 0.00%             | 2051-01-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                     | Societe Generale SA                                                                       | CUSIP: 83370RAB4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    395000 | PA      | $388638.29    | 0.07%             | 2026-05-26      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 5315, Class OQ                                                       | CUSIP: 3137HAA48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    324150 | PA      | $265129.93    | 0.05%             | 2055-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                              | UMBS Pool, 30 Year                                                                        | CUSIP: 3132E0W57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42490 | PA      | $43352.33     | 0.01%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                         | Goldman Sachs Group, Inc. (The)                                                           | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    480000 | PA      | $415754.69    | 0.08%             | 2032-01-27      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2016-93, Class AI                                                            | CUSIP: 38379XY20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    815325 | PA      | $198341.07    | 0.04%             | 2044-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AstraZeneca plc                                         | AstraZeneca plc                                                                           | CUSIP: 046353108<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | EC               | CORP              | GB        |     43633 | NS      | $3049074.04   | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2023-66, Class OQ                                                            | CUSIP: 38384AQK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    671338 | PA      | $520438.84    | 0.10%             | 2052-07-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Nevada Power Co.                                        | Nevada Power Co., Series GG                                                               | CUSIP: 641423CF3<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    230000 | PA      | $228440.29    | 0.04%             | 2053-05-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2019-128, Class KF                                                           | CUSIP: 38382AEQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    242060 | PA      | $215570.98    | 0.04%             | 2049-10-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Cheniere Corpus Christi Holdings LLC                    | Cheniere Corpus Christi Holdings LLC                                                      | CUSIP: 16412XAL9<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |    670000 | PA      | $545303.01    | 0.10%             | 2039-12-31      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| SK Telecom Co. Ltd.                                     | SK Telecom Co. Ltd.                                                                       | CUSIP: N/A<br>LEI: 9884003WEA1PHW006037       | Long             | EC               | CORP              | KR        |     52814 | NS      | $2218845.44   | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| Connecticut Avenue Securities Trust                     | Connecticut Avenue Securities Trust, Series 2019-HRP1, Class B1                           | CUSIP: 20754PAD2<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | CORP              | US        |    795000 | PA      | $857445.34    | 0.16%             | 2039-11-25      | Floating      | 13.67%                | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                           | Citigroup Mortgage Loan Trust, Series 2014-C, Class B3                                    | CUSIP: 17323GAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    853000 | PA      | $717501.55    | 0.14%             | 2054-02-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                     | Seasoned Credit Risk Transfer Trust, Series 2025-1, Class MTU                             | CUSIP: 35563PYZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1139544 | PA      | $988087.57    | 0.19%             | 2064-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                            | UBS Group AG                                                                              | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    500000 | PA      | $453881.55    | 0.09%             | 2032-05-14      | Variable      | 3.09%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2021-46, Class QS                                                            | CUSIP: 38382P5H1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    507785 | PA      | $67647.74     | 0.01%             | 2051-03-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                            | Bain Capital Credit CLO Ltd., Series 2021-6A, Class DR                                    | CUSIP: 05684PAU0<br>LEI: 254900YXN9JEMKU5DF45 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249341.25    | 0.05%             | 2034-10-21      | Floating      | 7.22%                 | Yes           |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                               | Ford Motor Credit Co. LLC                                                                 | CUSIP: 345397C92<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    365000 | PA      | $377236.57    | 0.07%             | 2028-05-12      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Apidos CLO XVIII-R                                      | Apidos CLO, Series 2018-18A, Class BR2                                                    | CUSIP: 03767NBA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $501371.00    | 0.09%             | 2038-01-22      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| Broadcom, Inc.                                          | Broadcom, Inc.                                                                            | CUSIP: 11135F101<br>LEI: 549300WV6GIDOZJTV909 | Long             | EC               | CORP              | US        |     30980 | NS      | $8539637.00   | 1.61%             |  |  |  | No            |                  1 | On Loan: No      |
| Las Vegas Sands Corp.                                   | Las Vegas Sands Corp.                                                                     | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    550000 | PA      | $561019.40    | 0.11%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                             | Capital One Financial Corp.                                                               | CUSIP: 14040HCZ6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    515000 | PA      | $540595.15    | 0.10%             | 2029-06-08      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                             | Capital One Financial Corp.                                                               | CUSIP: 14040HDF9<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    205000 | PA      | $213688.53    | 0.04%             | 2035-02-01      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| BAE Systems plc                                         | BAE Systems plc                                                                           | CUSIP: N/A<br>LEI: 8SVCSVKSGDWMW2QHOH83       | Long             | EC               | CORP              | GB        |    114575 | NS      | $2966924.47   | 0.56%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2023-80, Class SA                                                            | CUSIP: 38384BPQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2230291 | PA      | $87580.18     | 0.02%             | 2053-06-20      | Floating      | 0.95%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Acceptance Co. LLC                         | Nissan Motor Acceptance Co. LLC                                                           | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1287439.81   | 0.24%             | 2026-09-16      | Fixed         | 1.85%                 | Yes           |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue Securities Trust         | Multifamily Connecticut Avenue Securities Trust, Series 2020-01, Class CE                 | CUSIP: 62548QAF8<br>LEI: 5493002KQF9IH3CTQZ40 | Long             | ABS-MBS          | CORP              | US        |    720000 | PA      | $749466.79    | 0.14%             | 2050-03-25      | Floating      | 11.92%                | Yes           |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                    | Meta Platforms, Inc., Class A                                                             | CUSIP: 30303M102<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | EC               | CORP              | US        |      6449 | NS      | $4759942.41   | 0.90%             |  |  |  | No            |                  1 | On Loan: No      |
| Medtronic plc                                           | Medtronic plc                                                                             | CUSIP: N/A<br>LEI: 549300GX3ZBSQWUXY261       | Long             | EC               | CORP              | IE        |     35356 | NS      | $3081982.52   | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | MSCI EAFE Index                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        86 | NC      | $72480.80     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands III BV          | Teva Pharmaceutical Finance Netherlands III BV                                            | CUSIP: 88167AAE1<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    142000 | PA      | $139241.82    | 0.03%             | 2026-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2020-1, Class YS                                                             | CUSIP: 38382CDW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1272491 | PA      | $20051.03     | 0.00%             | 2050-01-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 5200, Class SA                                                       | CUSIP: 3137H6KD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156813 | PA      | $3813.24      | 0.00%             | 2052-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Strips, Series 426, Class C32                                                | CUSIP: 31422MZU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2082451 | PA      | $199076.29    | 0.04%             | 2052-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2020-70, Class SD                                                     | CUSIP: 3136BBX23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    930919 | PA      | $126922.92    | 0.02%             | 2050-10-25      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC STACR REMIC Trust, Series 2020-HQA1, Class B2                                       | CUSIP: 35565JBE0<br>LEI: 549300TCRXCIFPAC3B85 | Long             | ABS-MBS          | CORP              | US        |    695000 | PA      | $764850.70    | 0.14%             | 2050-01-25      | Floating      | 9.52%                 | Yes           |                  2 | On Loan: No      |
| Philip Morris International, Inc.                       | Philip Morris International, Inc.                                                         | CUSIP: 718172109<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | EC               | CORP              | US        |     30874 | NS      | $5623081.62   | 1.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                         | Goldman Sachs Group, Inc. (The)                                                           | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    159000 | PA      | $174546.92    | 0.03%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                       | NatWest Group plc                                                                         | CUSIP: 639057AN8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    355000 | PA      | $368648.69    | 0.07%             | 2035-03-01      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2024-48, Class JI                                                            | CUSIP: 38384KHH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1091550 | PA      | $187215.81    | 0.04%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2021-12, Class JI                                                     | CUSIP: 3136BFKM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    502777 | PA      | $81733.31     | 0.02%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| American Airlines, Inc.                                 | American Airlines, Inc.                                                                   | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $199541.06    | 0.04%             | 2026-04-20      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Realty Income Corp.                                     | Realty Income Corp.                                                                       | CUSIP: 756109104<br>LEI: 549300CUWDAUZSH43859 | Long             | EC               | CORP              | US        |     32699 | NS      | $1883789.39   | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2021-1, Class PI                                                             | CUSIP: 38382ML56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    524777 | PA      | $80408.99     | 0.02%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Post Holdings, Inc.                                     | Post Holdings, Inc.                                                                       | CUSIP: 737446AQ7<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |    257000 | PA      | $247037.19    | 0.05%             | 2030-04-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | Canada 5 Year Bonds                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |      -121 | NC      | $-17635.74    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                                       | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1410000 | PA      | $1402068.75   | 0.26%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Belrose Funding Trust II                                | Belrose Funding Trust II                                                                  | CUSIP: 08079KAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    380000 | PA      | $388432.40    | 0.07%             | 2055-05-15      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2023-66, Class MP                                                            | CUSIP: 38384AWS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    589956 | PA      | $551959.64    | 0.10%             | 2053-05-20      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| Owl Rock CLO XX LLC                                     | Owl Rock CLO XX LLC, Series 2024-20A, Class C                                             | CUSIP: 69122LAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $247364.75    | 0.05%             | 2034-10-24      | Floating      | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Banco Santander SA                                      | Banco Santander SA                                                                        | CUSIP: 05964HAS4<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    600000 | PA      | $610094.67    | 0.12%             | 2027-08-18      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                        | Jersey Central Power & Light Co.                                                          | CUSIP: 476556DD4<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    700000 | PA      | $613650.29    | 0.12%             | 2032-03-01      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 4993, Class KS                                                       | CUSIP: 3137FU6G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1384882 | PA      | $187667.83    | 0.04%             | 2050-07-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| AGL CLO 32 Ltd.                                         | AGL CLO 32 Ltd., Series 2024-32A, Class A1                                                | CUSIP: 00121BAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $400802.80    | 0.08%             | 2037-07-21      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                              | Flagship Credit Auto Trust, Series 2021-1, Class D                                        | CUSIP: 33843WAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    473051 | PA      | $466361.63    | 0.09%             | 2027-03-15      | Fixed         | 1.27%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                                       | CUSIP: 91282CNA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    355000 | PA      | $355443.75    | 0.07%             | 2032-04-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK                                                    | BANK, Series 2018-BN12, Class D                                                           | CUSIP: 06541KAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    675000 | PA      | $514918.08    | 0.10%             | 2061-05-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| NYLI U.S. Government Liquidity Fund                     | NYLI U.S. Government Liquidity Fund                                                       | CUSIP: 56064L488<br>LEI: 549300Y3ZLEL13IJCK58 | Long             | STIV             | RF                | US        |   7458218 | NS      | $7458217.54   | 1.41%             |  |  |  | No            |                  1 | On Loan: No      |
| U.S. Bancorp                                            | U.S. Bancorp                                                                              | CUSIP: 902973304<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | EC               | CORP              | US        |     49272 | NS      | $2229558.00   | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America Corp.                                   | Bank of America Corp.                                                                     | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    510000 | PA      | $449494.14    | 0.08%             | 2032-10-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2023-172                                                                     | CUSIP: 38381JA72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2006712 | PA      | $192824.34    | 0.04%             | 2066-02-16      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2020-167, Class SN                                                           | CUSIP: 38382LBS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    431851 | PA      | $64280.56     | 0.01%             | 2050-11-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                     | RCKT Mortgage Trust, Series 2024-CES5, Class A1A                                          | CUSIP: 74938KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    406823 | PA      | $408806.16    | 0.08%             | 2044-08-25      | Variable      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2021-226, Class SA                                                           | CUSIP: 38383FAC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1673057 | PA      | $6942.52      | 0.00%             | 2051-12-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                     | Connecticut Avenue Securities Trust, Series 2022-R03, Class 1B2                           | CUSIP: 20753XAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    270000 | PA      | $302168.75    | 0.06%             | 2042-03-25      | Floating      | 14.16%                | Yes           |                  2 | On Loan: No      |
| Barclays plc                                            | Barclays plc                                                                              | CUSIP: 06738EBT1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    835000 | PA      | $777251.32    | 0.15%             | 2028-03-15      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | UMBS, 30 Year                                                                             | CUSIP: 3140HJJS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    196866 | PA      | $186218.24    | 0.04%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC STACR REMIC Trust, Series 2022-DNA1, Class B2                                       | CUSIP: 35564KQZ5<br>LEI: 5493000ISBDRXIMCHZ70 | Long             | ABS-MBS          | CORP              | US        |    830000 | PA      | $884897.78    | 0.17%             | 2042-01-25      | Floating      | 11.41%                | Yes           |                  2 | On Loan: No      |
| Delta Air Lines, Inc.                                   | Delta Air Lines, Inc.                                                                     | CUSIP: 830867AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     77751 | PA      | $77562.59     | 0.01%             | 2025-10-20      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Cisco Systems, Inc.                                     | Cisco Systems, Inc.                                                                       | CUSIP: 17275R102<br>LEI: 549300LKFJ962MZ46593 | Long             | EC               | CORP              | US        |     98599 | NS      | $6840798.62   | 1.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Textron Financial Corp.                                 | Textron Financial Corp.                                                                   | CUSIP: 883199AR2<br>LEI: 4E8B2CNXPE5P5AY03O18 | Long             | DBT              | CORP              | US        |    565000 | PA      | $508276.10    | 0.10%             | 2042-02-15      | Floating      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                      | General Motors Financial Co., Inc.                                                        | CUSIP: 37045XDE3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    344000 | PA      | $297970.29    | 0.06%             | 2031-01-08      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| First Horizon Bank                                      | First Horizon Bank                                                                        | CUSIP: 337158AJ8<br>LEI: COOWI3L2W9TPYR3WJX37 | Long             | DBT              | CORP              | US        |    815000 | PA      | $833636.34    | 0.16%             | 2030-05-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                          | Southern California Edison Co.                                                            | CUSIP: 842400HV8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    165000 | PA      | $148017.83    | 0.03%             | 2053-03-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Strips, Series 402                                                          | CUSIP: 3133Q3C33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    432291 | PA      | $359908.04    | 0.07%             | 2053-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PepsiCo, Inc.                                           | PepsiCo, Inc.                                                                             | CUSIP: 713448108<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | EC               | CORP              | US        |     15062 | NS      | $1988786.48   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Celanese US Holdings LLC                                | Celanese US Holdings LLC                                                                  | CUSIP: 15089QAY0<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |    450000 | PA      | $477702.00    | 0.09%             | 2033-11-15      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC STACR REMIC Trust, Series 2022-HQA1, Class M2                                       | CUSIP: 35564KTJ8<br>LEI: 5493000IRODEKU3J3Q16 | Long             | ABS-MBS          | CORP              | US        |    195000 | PA      | $206933.92    | 0.04%             | 2042-03-25      | Floating      | 9.56%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 4725, Class WZ                                                       | CUSIP: 3137FBKV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    947772 | PA      | $871599.21    | 0.16%             | 2047-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Empresa Nacional del Petroleo                           | Empresa Nacional del Petroleo                                                             | CUSIP: 29245JAM4<br>LEI: 549300YP3P0JZBLIV197 | Long             | DBT              | NUSS              | CL        |    320000 | PA      | $284721.06    | 0.05%             | 2031-09-16      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                    | JPMorgan Chase & Co.                                                                      | CUSIP: 46625H100<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EC               | CORP              | US        |     17193 | NS      | $4984422.63   | 0.94%             |  |  |  | No            |                  1 | On Loan: No      |
| Royal Bank of Canada                                    | Royal Bank of Canada                                                                      | CUSIP: 780087102<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | EC               | CORP              | CA        |     14271 | NS      | $1880827.15   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                    | FNMA, Strips, REMIC, Series 429, Class C5                                                 | CUSIP: 31423YVM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1898399 | PA      | $336707.87    | 0.06%             | 2052-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                      | Energy Transfer LP                                                                        | CUSIP: 86765BAQ2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    415000 | PA      | $373754.30    | 0.07%             | 2045-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| NiSource, Inc.                                          | NiSource, Inc.                                                                            | CUSIP: 65473P105<br>LEI: 549300D8GOWWH0SJB189 | Long             | EC               | CORP              | US        |     66409 | NS      | $2678939.06   | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2021-3, Class TI                                                      | CUSIP: 3136BDR42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1316533 | PA      | $220388.07    | 0.04%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LP                          | Hertz Vehicle Financing III LP, Series 2021-2A, Class D                                   | CUSIP: 42806MAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    635000 | PA      | $608666.61    | 0.11%             | 2027-12-27      | Fixed         | 4.34%                 | Yes           |                  2 | On Loan: No      |
| Jefferies Financial Group, Inc.                         | Jefferies Financial Group, Inc.                                                           | CUSIP: 47233WEJ4<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    245000 | PA      | $256274.35    | 0.05%             | 2034-04-14      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Unilever plc                                            | Unilever plc                                                                              | CUSIP: N/A<br>LEI: 549300MKFYEKVRWML317       | Long             | EC               | CORP              | GB        |     41288 | NS      | $2507823.32   | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| Minerva Luxembourg SA                                   | Minerva Luxembourg SA                                                                     | CUSIP: 603374AH2<br>LEI: 222100NM3G3RCPGZ2Z17 | Long             | DBT              | CORP              | LU        |    630000 | PA      | $680537.97    | 0.13%             | 2033-09-13      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bills                                                                       | CUSIP: 912797MS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    600000 | PA      | $593446.40    | 0.11%             | 2025-10-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | Deutsche Bank AG                                                                          | CUSIP: 251526CK3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    255000 | PA      | $228763.01    | 0.04%             | 2032-05-28      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                     | Connecticut Avenue Securities Trust, Series 2020-SBT1, Class 1B1                          | CUSIP: 20753VBT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    660000 | PA      | $702339.20    | 0.13%             | 2040-02-25      | Floating      | 11.17%                | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2023-55, Class CG                                                            | CUSIP: 38383X4E1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    452999 | PA      | $507977.79    | 0.10%             | 2051-07-20      | Variable      | 7.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2021-179, Class SA                                                           | CUSIP: 38383CYH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1257967 | PA      | $184792.55    | 0.03%             | 2050-11-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| TruGreen Ltd. Partnership                               | TruGreen Ltd. Partnership, First Lien Term Loan B                                         | CUSIP: 89787RAH5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    307292 | PA      | $289623.09    | 0.05%             | 2027-11-02      | Variable      | 8.43%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bills                                                                       | CUSIP: 912797MH7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   2500000 | PA      | $2480776.48   | 0.47%             | 2025-09-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust  | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2022-NLP, Class G          | CUSIP: 466317AS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    610175 | PA      | $559034.70    | 0.11%             | 2037-04-15      | Floating      | 8.84%                 | Yes           |                  2 | On Loan: No      |
| Analog Devices, Inc.                                    | Analog Devices, Inc.                                                                      | CUSIP: 032654105<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | EC               | CORP              | US        |     18942 | NS      | $4508574.84   | 0.85%             |  |  |  | No            |                  1 | On Loan: No      |
| Rakuten Group, Inc.                                     | Rakuten Group, Inc.                                                                       | CUSIP: 75102WAK4<br>LEI: 529900IMXUCQKUL1H943 | Long             | DBT              | CORP              | JP        |    470000 | PA      | $514828.02    | 0.10%             | 2029-04-15      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust, Series 2023-4A, Class D                              | CUSIP: 30166TAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120000 | PA      | $123574.76    | 0.02%             | 2029-12-17      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                            | Barclays plc                                                                              | CUSIP: 06738EBX2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    260000 | PA      | $272721.02    | 0.05%             | 2029-03-15      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| NHK Spring Co. Ltd.                                     | NHK Spring Co. Ltd.                                                                       | CUSIP: N/A<br>LEI: 35380033IJ3XRDV8VH57       | Long             | EC               | CORP              | JP        |    152000 | NS      | $1659803.48   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Schroders plc                                           | Schroders plc                                                                             | CUSIP: N/A<br>LEI: 2138001YYBULX5SZ2H24       | Long             | EC               | CORP              | GB        |    405052 | NS      | $2009364.59   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Golub Capital Partners CLO 76 B Ltd.                    | Golub Capital Partners CLO 76 B Ltd., Series 2024-76A, Class A1                           | CUSIP: 38180BAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    350000 | PA      | $350429.80    | 0.07%             | 2037-10-25      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2021-57, Class SD                                                            | CUSIP: 38382QAM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3265323 | PA      | $447413.58    | 0.08%             | 2051-03-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Roche Holding AG                                        | Roche Holding AG                                                                          | CUSIP: N/A<br>LEI: 549300U41AUUVOAAOB37       | Long             | EC               | CORP              | CH        |      6086 | NS      | $1982005.67   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                   | FHLMC STACR REMIC Trust, Series 2019-FTR1, Class B2                                       | CUSIP: 35564PAC2<br>LEI: 549300MHCI0CUXMJQS62 | Long             | ABS-MBS          | CORP              | US        |    570000 | PA      | $677672.03    | 0.13%             | 2048-01-25      | Floating      | 12.77%                | Yes           |                  2 | On Loan: No      |
| Allianz SE                                              | Allianz SE (Registered)                                                                   | CUSIP: N/A<br>LEI: 529900K9B0N5BT694847       | Long             | EC               | CORP              | DE        |      6042 | NS      | $2449019.54   | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2021-53, Class GI                                                     | CUSIP: 3136BGMS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2062476 | PA      | $343995.56    | 0.06%             | 2048-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Vedanta Resources Finance II plc                        | Vedanta Resources Finance II plc                                                          | CUSIP: 92243XAL5<br>LEI: 8945002DGA3BBXO3N634 | Long             | DBT              | CORP              | GB        |    510000 | PA      | $511769.63    | 0.10%             | 2033-04-24      | Fixed         | 9.85%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2019-128, Class YF                                                           | CUSIP: 38382AGG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    250361 | PA      | $223508.84    | 0.04%             | 2049-10-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | Yen Denominated Nikkei 225 Index                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        92 | NC      | $736133.80    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Chevron Corp.                                           | Chevron Corp.                                                                             | CUSIP: 166764100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     12801 | NS      | $1832975.19   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| Smithfield Foods, Inc.                                  | Smithfield Foods, Inc.                                                                    | CUSIP: 832248AZ1<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |    500000 | PA      | $495124.65    | 0.09%             | 2027-02-01      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2021-74, Class HI                                                            | CUSIP: 38382RLF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    156750 | PA      | $23894.93     | 0.00%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MS GOVT US LEX                                          | MSILF GOVERNMENT PORTFOLIO OPEN-END FUND USD                                              | CUSIP: 61747C707<br>LEI: 6N8SC06AK49F0N7KIX52 | Long             | STIV             | RF                | US        |   2000000 | NS      | $2000000.00   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                    | FNMA, Other                                                                               | CUSIP: 31371NCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2965 | PA      | $3051.63      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AGL CLO 35 Ltd.                                         | AGL CLO 35 Ltd., Series 2024-35A, Class A2                                                | CUSIP: 00852KAB0<br>LEI: 254900LDCU83O7QV9777 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249674.00    | 0.05%             | 2038-01-21      | Floating      | 5.82%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2023-70, Class AO                                                     | CUSIP: 3136BQG37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    360087 | PA      | $289087.27    | 0.05%             | 2053-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                | Lloyds Banking Group plc                                                                  | CUSIP: 539439AM1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    508000 | PA      | $507498.38    | 0.10%             | 2025-12-10      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2020-168, Class IA                                                           | CUSIP: 38380REA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1403880 | PA      | $104040.69    | 0.02%             | 2062-12-16      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| American Electric Power Co., Inc.                       | American Electric Power Co., Inc.                                                         | CUSIP: 025537101<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | EC               | CORP              | US        |     26619 | NS      | $2761987.44   | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| New Economy Assets Phase 1 Sponsor LLC                  | New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class A1                           | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    665000 | PA      | $626089.45    | 0.12%             | 2061-10-20      | Fixed         | 1.91%                 | Yes           |                  2 | On Loan: No      |
| Truist Financial Corp.                                  | Truist Financial Corp.                                                                    | CUSIP: 89788MAT9<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    385000 | PA      | $392482.98    | 0.07%             | 2032-08-05      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2021-30, Class HI                                                            | CUSIP: 38382NZZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1891057 | PA      | $212865.47    | 0.04%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| KeyBank NA                                              | KeyBank NA                                                                                | CUSIP: 49327V2C7<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |    445000 | PA      | $429410.86    | 0.08%             | 2032-08-08      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Starwood Property Trust, Inc.                           | Starwood Property Trust, Inc.                                                             | CUSIP: 85571BAY1<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |    415000 | PA      | $411109.91    | 0.08%             | 2027-01-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Herc Holdings, Inc.                                     | Herc Holdings, Inc.                                                                       | CUSIP: 42704LAF1<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |    290000 | PA      | $302863.63    | 0.06%             | 2030-06-15      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Berry Global, Inc.                                      | Berry Global, Inc.                                                                        | CUSIP: 085770AA3<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39947.97     | 0.01%             | 2026-07-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| MSC Industrial Direct Co., Inc.                         | MSC Industrial Direct Co., Inc., Class A                                                  | CUSIP: 553530106<br>LEI: 0XVKH0LN6YGOWO2EGO17 | Long             | EC               | CORP              | US        |     41937 | NS      | $3565483.74   | 0.67%             |  |  |  | No            |                  1 | On Loan: No      |
| BRAVO Residential Funding Trust                         | BRAVO Residential Funding Trust, Series 2024-NQM8, Class A1A                              | CUSIP: 10571DAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    274445 | PA      | $268116.97    | 0.05%             | 2053-08-01      | Variable      | 4.30%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | Euro STOXX 50 Index                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |        80 | NC      | $-30212.51    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                   | FHLMC STACR REMIC Trust, Series 2022-HQA1, Class B1                                       | CUSIP: 35564KUE7<br>LEI: 5493000IRODEKU3J3Q16 | Long             | ABS-MBS          | CORP              | US        |    670000 | PA      | $727531.83    | 0.14%             | 2042-03-25      | Floating      | 11.31%                | Yes           |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, Strips, Series 397, Class C61                                                      | CUSIP: 3142G4PC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    749326 | PA      | $172901.92    | 0.03%             | 2053-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AEP Texas, Inc.                                         | AEP Texas, Inc.                                                                           | CUSIP: 00108WAP5<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    475000 | PA      | $468072.30    | 0.09%             | 2032-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                   | Bank of America Corp.                                                                     | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    465000 | PA      | $417302.55    | 0.08%             | 2032-04-22      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2016-57, Class SN                                                     | CUSIP: 3136ATEN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    664843 | PA      | $72983.52     | 0.01%             | 2046-06-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Segro plc                                               | Segro plc                                                                                 | CUSIP: N/A<br>LEI: 213800XC35KGM9NFC641       | Long             | EC               | CORP              | GB        |    189546 | NS      | $1768185.44   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2021-54, Class HI                                                     | CUSIP: 3136BGKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219301 | PA      | $26999.26     | 0.01%             | 2051-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | UMBS, 30 Year                                                                             | CUSIP: 3140QNQH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    631474 | PA      | $500514.73    | 0.09%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                    | FirstKey Homes Trust, Series 2022-SFR2, Class C                                           | CUSIP: 33767PAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    595000 | PA      | $587168.73    | 0.11%             | 2039-07-17      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Toyota Motor Corp.                                      | Toyota Motor Corp.                                                                        | CUSIP: N/A<br>LEI: 5493006W3QUS5LMH6R84       | Long             | EC               | CORP              | JP        |     92900 | NS      | $1608275.41   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| Coca-Cola Co. (The)                                     | Coca-Cola Co. (The)                                                                       | CUSIP: 191216100<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | EC               | CORP              | US        |     40292 | NS      | $2850659.00   | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| United Airlines Pass-Through Trust                      | United Airlines Pass-Through Trust, Series 2020-1, Class A                                | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    337871 | PA      | $344763.61    | 0.07%             | 2027-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                           | UBS Commercial Mortgage Trust, Series 2018-C9, Class C                                    | CUSIP: 90291JBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    480000 | PA      | $395891.76    | 0.07%             | 2051-03-15      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC STACR REMIC Trust, Series 2019-FTR3, Class B2                                       | CUSIP: 35565EAE2<br>LEI: 5493009ZFZYH4FRCW638 | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $763238.14    | 0.14%             | 2047-09-25      | Floating      | 9.22%                 | Yes           |                  2 | On Loan: No      |
| XPLR Infrastructure Operating Partners LP               | XPLR Infrastructure Operating Partners LP                                                 | CUSIP: 65342QAM4<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |    425000 | PA      | $435681.13    | 0.08%             | 2029-01-15      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: —       |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Trust, Series 2015-GC30, Class D                                   | CUSIP: 36250GAX3<br>LEI: 549300L45M7638EL0H21 | Long             | ABS-MBS          | CORP              | US        |    445000 | PA      | $322629.45    | 0.06%             | 2050-05-10      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                               | Ford Motor Credit Co. LLC                                                                 | CUSIP: 345397B77<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    595000 | PA      | $579305.06    | 0.11%             | 2026-08-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | Forward Foreign Currency Contract                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $247451.68    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                     | GS Mortgage-Backed Securities Trust, Series 2021-PJ6, Class A2                            | CUSIP: 36262LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    943932 | PA      | $768862.30    | 0.15%             | 2051-11-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                                 | CF Hippolyta Issuer LLC, Series 2020-1, Class A1                                          | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    499196 | PA      | $493853.97    | 0.09%             | 2060-07-15      | Fixed         | 1.69%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC Gold Pools, 30 Year                                                                 | CUSIP: 3132FCJ48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    521247 | PA      | $480118.37    | 0.09%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2019-92, Class GF                                                            | CUSIP: 38381WS33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    234215 | PA      | $208856.03    | 0.04%             | 2049-07-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| VICI Properties, Inc.                                   | VICI Properties, Inc.                                                                     | CUSIP: 925652109<br>LEI: 254900RKH6RY9KCJQH63 | Long             | EC               | CORP              | US        |     89556 | NS      | $2919525.60   | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| CIM Trust                                               | CIM Trust, Series 2021-J2, Class AS                                                       | CUSIP: 12564ECM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16596143 | PA      | $213985.68    | 0.04%             | 2051-04-25      | Variable      | 0.21%                 | Yes           |                  2 | On Loan: No      |
| Banco Santander SA                                      | Banco Santander SA                                                                        | CUSIP: 05964HBD6<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    600000 | PA      | $628332.25    | 0.12%             | 2034-03-14      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Manulife Financial Corp.                                | Manulife Financial Corp.                                                                  | CUSIP: 56501R106<br>LEI: 5493007GBX87QOZACS27 | Long             | EC               | CORP              | CA        |    123899 | NS      | $3961492.54   | 0.75%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2024-51, Class SX                                                            | CUSIP: 38384KVY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5183232 | PA      | $219293.20    | 0.04%             | 2054-03-20      | Floating      | 0.90%                 | No            |                  2 | On Loan: No      |
| EnfraGen Energia Sur SA                                 | EnfraGen Energia Sur SA                                                                   | CUSIP: 29280LAA1<br>LEI: 2549002TO75PYMY3VY07 | Long             | DBT              | CORP              | ES        |    425000 | PA      | $380567.40    | 0.07%             | 2030-12-30      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 4994, Class TS                                                       | CUSIP: 3137FUFU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    714682 | PA      | $96296.74     | 0.02%             | 2050-07-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Ally Financial, Inc.                                    | Ally Financial, Inc.                                                                      | CUSIP: 02005NBT6<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    265000 | PA      | $278963.33    | 0.05%             | 2029-06-13      | Variable      | 6.99%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC STACR Securitized Participation Interests Trust, Series 2018-SPI3, Class B          | CUSIP: 3137G1DF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    832783 | PA      | $637377.01    | 0.12%             | 2048-08-25      | Variable      | 4.15%                 | Yes           |                  2 | On Loan: No      |
| Truist Financial Corp.                                  | Truist Financial Corp.                                                                    | CUSIP: 89832Q109<br>LEI: 549300DRQQI75D2JP341 | Long             | EC               | CORP              | US        |     41880 | NS      | $1800421.20   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                    | UMBS, 30 Year                                                                             | CUSIP: 3140XM3V6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46614 | PA      | $47523.23     | 0.01%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WP Glimcher Mall Trust                                  | WP Glimcher Mall Trust, Series 2015-WPG, Class C                                          | CUSIP: 92939VAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $533820.00    | 0.10%             | 2035-06-05      | Variable      | 3.63%                 | Yes           |                  2 | On Loan: No      |
| Restaurant Brands International, Inc.                   | Restaurant Brands International, Inc.                                                     | CUSIP: 76131D103<br>LEI: 5299009RXTX9DN9AKJ98 | Long             | EC               | CORP              | CA        |     52347 | NS      | $3470082.63   | 0.65%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | FTSE 100 Index                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | GB        |       -71 | NC      | $118016.57    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| INVESCO GOVT AND AGCY LEX                               | INVESCO GOVERNMENT & AGENCY PORTFOLIO OPEN-END FUND USD                                   | CUSIP: 825252885<br>LEI: O37NHJVF7S22I1ONOU83 | Long             | STIV             | RF                | US        |   4050414 | NS      | $4050413.50   | 0.76%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital I Trust                          | Morgan Stanley Capital I Trust, Series 2018-H3, Class D                                   | CUSIP: 61767YAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    560000 | PA      | $468249.26    | 0.09%             | 2051-07-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                     | RCKT Mortgage Trust, Series 2021-5, Class A1                                              | CUSIP: 749384AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1140663 | PA      | $928749.68    | 0.18%             | 2051-11-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust, Series 2022-5A, Class E                              | CUSIP: 30167FAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    210000 | PA      | $221740.93    | 0.04%             | 2030-04-15      | Fixed         | 10.45%                | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | UMBS, 30 Year                                                                             | CUSIP: 31418E5P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    503688 | PA      | $503782.80    | 0.10%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Astellas Pharma, Inc.                                   | Astellas Pharma, Inc.                                                                     | CUSIP: N/A<br>LEI: 529900IB708DY2HBBB35       | Long             | EC               | CORP              | JP        |    162600 | NS      | $1599409.05   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | Forward Foreign Currency Contract                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $177091.66    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2020-175, Class CS                                                           | CUSIP: 38382LLE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    869350 | PA      | $121818.17    | 0.02%             | 2050-11-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2023-114, Class MO                                                           | CUSIP: 38384EBR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    217516 | PA      | $181882.15    | 0.03%             | 2053-08-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MetLife, Inc.                                           | MetLife, Inc.                                                                             | CUSIP: 59156R108<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | EC               | CORP              | US        |     51754 | NS      | $4162056.68   | 0.79%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                    | UMBS, 30 Year                                                                             | CUSIP: 31418EV98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    752717 | PA      | $766073.53    | 0.14%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Strips, Series 438, Class C34                                                | CUSIP: 31424UWR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1028439 | PA      | $242889.04    | 0.05%             | 2053-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Siemens AG                                              | Siemens AG (Registered)                                                                   | CUSIP: N/A<br>LEI: W38RGI023J3WT1HWRP32       | Long             | EC               | CORP              | DE        |     11438 | NS      | $2932483.79   | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| Verizon Communications, Inc.                            | Verizon Communications, Inc.                                                              | CUSIP: 92343V104<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | EC               | CORP              | US        |     53704 | NS      | $2323772.08   | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| Quad/Graphics, Inc.                                     | Quad/Graphics, Inc.                                                                       | CUSIP: 747301109<br>LEI: W2D68G5NJH4X0NW8PT65 | Long             | EC               | CORP              | US        |         6 | NS      | $33.90        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Cie Generale des Etablissements Michelin SCA            | Cie Generale des Etablissements Michelin SCA                                              | CUSIP: N/A<br>LEI: 549300SOSI58J6VIW052       | Long             | EC               | CORP              | FR        |     43830 | NS      | $1628395.96   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                    | UMBS, 30 Year                                                                             | CUSIP: 3140XTCZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2192351 | PA      | $1743630.52   | 0.33%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | UMBS, 30 Year                                                                             | CUSIP: 3140XHL54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    498575 | PA      | $464941.57    | 0.09%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Bonds                                                                       | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4160000 | PA      | $4273100.00   | 0.81%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Nexstar Media, Inc.                                     | Nexstar Media, Inc.                                                                       | CUSIP: 65336YAN3<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |    555000 | PA      | $540601.08    | 0.10%             | 2028-11-01      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: —       |
| Bank of America Corp.                                   | Bank of America Corp.                                                                     | CUSIP: 06051GHZ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    650000 | PA      | $593685.06    | 0.11%             | 2031-02-13      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Great Lakes CLO Ltd.                                    | Great Lakes CLO Ltd., Series 2019-1A, Class ARR                                           | CUSIP: 390578AT9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    455000 | PA      | $455476.39    | 0.09%             | 2037-04-15      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                            | BX Commercial Mortgage Trust, Series 2024-BRBK, Class D                                   | CUSIP: 05613NAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    585000 | PA      | $586459.69    | 0.11%             | 2041-10-15      | Floating      | 10.28%                | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2021-46, Class TS                                                            | CUSIP: 38382P5E8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    619314 | PA      | $82985.36     | 0.02%             | 2051-03-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                                     | Synchrony Financial                                                                       | CUSIP: 87165BAW3<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    475000 | PA      | $479141.38    | 0.09%             | 2031-03-06      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Paychex, Inc.                                           | Paychex, Inc.                                                                             | CUSIP: 704326107<br>LEI: 529900K900DW6SUBM174 | Long             | EC               | CORP              | US        |     17726 | NS      | $2578423.96   | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| Microsoft Corp.                                         | Microsoft Corp.                                                                           | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |     16008 | NS      | $7962539.28   | 1.50%             |  |  |  | No            |                  1 | On Loan: No      |
| Credit Agricole SA                                      | Credit Agricole SA                                                                        | CUSIP: 225313AP0<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    590000 | PA      | $551175.99    | 0.10%             | 2029-03-23      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Westpac Banking Corp.                                   | Westpac Banking Corp.                                                                     | CUSIP: 961214EX7<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    533000 | PA      | $467949.25    | 0.09%             | 2036-11-18      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| Columbia Banking System, Inc.                           | Columbia Banking System, Inc.                                                             | CUSIP: 197236102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     78380 | NS      | $1832524.40   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America Corp.                                   | Bank of America Corp.                                                                     | CUSIP: 060505104<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EC               | CORP              | US        |     81630 | NS      | $3862731.60   | 0.73%             |  |  |  | No            |                  1 | On Loan: No      |
| Rogers Communications, Inc.                             | Rogers Communications, Inc., Class B                                                      | CUSIP: 775109200<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | EC               | CORP              | CA        |     61800 | NS      | $1833010.46   | 0.35%             |  |  |  | No            |                  1 | On Loan: —       |
| GNMA                                                    | GNMA, Series 2021-146, Class IN                                                           | CUSIP: 38382WH26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1549600 | PA      | $275234.55    | 0.05%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2021-136, Class SB                                                           | CUSIP: 38382WR25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6466052 | PA      | $103141.30    | 0.02%             | 2051-08-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust              | JPMDB Commercial Mortgage Securities Trust, Series 2017-C7, Class D                       | CUSIP: 46648KAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540000 | PA      | $426578.51    | 0.08%             | 2050-10-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Equinor ASA                                             | Equinor ASA                                                                               | CUSIP: N/A<br>LEI: OW6OFBNCKXC4US5C7523       | Long             | EC               | CORP              | NO        |     78406 | NS      | $1984381.07   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 5070, Class PI                                                       | CUSIP: 3137F9Y54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    758727 | PA      | $141169.09    | 0.03%             | 2050-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DIRECTV Financing LLC                                   | DIRECTV Financing LLC, First Lien 2024 Refinancing Term Loan B                            | CUSIP: 25460HAD4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    494286 | PA      | $489166.40    | 0.09%             | 2029-08-02      | Variable      | 9.79%                 | No            |                  2 | On Loan: No      |
| Emerson Electric Co.                                    | Emerson Electric Co.                                                                      | CUSIP: 291011104<br>LEI: FGLT0EWZSUIRRITFOA30 | Long             | EC               | CORP              | US        |     27056 | NS      | $3607376.48   | 0.68%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                              | UMBS Pool, 30 Year                                                                        | CUSIP: 3132DWE66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    173885 | PA      | $166640.91    | 0.03%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                              | J.P. Morgan Mortgage Trust, Series 2021-4, Class B1                                       | CUSIP: 46652VBT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1269731 | PA      | $1028077.84   | 0.19%             | 2051-08-25      | Variable      | 2.88%                 | Yes           |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                | Lloyds Banking Group plc                                                                  | CUSIP: 53944YAU7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    365000 | PA      | $361808.02    | 0.07%             | 2033-08-11      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| Silver Point SCF CLO IV Ltd.                            | Silver Point SCF CLO IV Ltd., Series 2021-1A, Class A2R                                   | CUSIP: 82809JAE9<br>LEI: 549300JT1NOSMVUW1B50 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $251767.00    | 0.05%             | 2036-10-15      | Floating      | 6.21%                 | Yes           |                  2 | On Loan: No      |
| National Fuel Gas Co.                                   | National Fuel Gas Co.                                                                     | CUSIP: 636180BR1<br>LEI: 8JB38FFW1Y3C1HM8E841 | Long             | DBT              | CORP              | US        |    450000 | PA      | $401251.23    | 0.08%             | 2031-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| AIA Group Ltd.                                          | AIA Group Ltd.                                                                            | CUSIP: N/A<br>LEI: ZP5ILWVSYE4LJGMMVD57       | Long             | EC               | CORP              | HK        |    271800 | NS      | $2437559.47   | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| Honeywell International, Inc.                           | Honeywell International, Inc.                                                             | CUSIP: 438516106<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | EC               | CORP              | US        |      8284 | NS      | $1929177.92   | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| TotalEnergies SE                                        | TotalEnergies SE                                                                          | CUSIP: N/A<br>LEI: 529900S21EQ1BO4ESM68       | Long             | EC               | CORP              | FR        |     26891 | NS      | $1650332.81   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Societe Generale SA                                     | Societe Generale SA                                                                       | CUSIP: 83370RAA6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    810000 | PA      | $740970.75    | 0.14%             | 2030-11-18      | Variable      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2021-44, Class IQ                                                            | CUSIP: 38382PMU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1239784 | PA      | $216248.66    | 0.04%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | UMBS, 30 Year                                                                             | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1457090 | PA      | $1155151.03   | 0.22%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 2025-MN10, Class M2                                                  | CUSIP: 35563UAB4<br>LEI: 529900M14O2Z3FO2N217 | Long             | ABS-MBS          | USGSE             | US        |    660000 | PA      | $653407.19    | 0.12%             | 2045-02-25      | Floating      | 7.16%                 | Yes           |                  2 | On Loan: No      |
| Nestle SA                                               | Nestle SA (Registered)                                                                    | CUSIP: N/A<br>LEI: KY37LUS27QQX7BB93L28       | Long             | EC               | CORP              | CH        |     19867 | NS      | $1973805.04   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                   | Wells Fargo Commercial Mortgage Trust, Series 2022-ONL, Class E                           | CUSIP: 95003WAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    535000 | PA      | $469645.36    | 0.09%             | 2039-12-15      | Variable      | 5.09%                 | Yes           |                  2 | On Loan: No      |
| Hasbro, Inc.                                            | Hasbro, Inc.                                                                              | CUSIP: 418056107<br>LEI: 549300NUB6D2R1ITYR45 | Long             | EC               | CORP              | US        |     49498 | NS      | $3653942.36   | 0.69%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 5021, Class SA                                                       | CUSIP: 3137FWMZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1121402 | PA      | $33829.68     | 0.01%             | 2050-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| BMO Mortgage Trust                                      | BMO Mortgage Trust, Series 2022-C1, Class 111A                                            | CUSIP: 05609MCJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    615000 | PA      | $556639.70    | 0.11%             | 2055-02-17      | Variable      | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Pinnacle West Capital Corp.                             | Pinnacle West Capital Corp.                                                               | CUSIP: 723484101<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | EC               | CORP              | US        |     19991 | NS      | $1788594.77   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP Paribas SA                                          | BNP Paribas SA                                                                            | CUSIP: 09659W2K9<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    565000 | PA      | $525237.76    | 0.10%             | 2031-01-13      | Variable      | 3.05%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | UMBS, 30 Year                                                                             | CUSIP: 3140XMMG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    449408 | PA      | $460560.38    | 0.09%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | UMBS, 30 Year                                                                             | CUSIP: 3140JNRL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82616 | PA      | $77460.16     | 0.01%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                               | RTX Corp.                                                                                 | CUSIP: 75513E101<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | EC               | CORP              | US        |     22130 | NS      | $3231422.60   | 0.61%             |  |  |  | No            |                  1 | On Loan: No      |
| Mill City Mortgage Loan Trust                           | Mill City Mortgage Loan Trust, Series 2018-3, Class B4                                    | CUSIP: 59980XAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    349255 | PA      | $216172.39    | 0.04%             | 2058-08-25      | Variable      | 3.68%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2023-101, Class KO                                                           | CUSIP: 38384CBE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    594235 | PA      | $393669.40    | 0.07%             | 2051-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2023-194, Class CI                                                           | CUSIP: 38381JN94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2153030 | PA      | $138714.97    | 0.03%             | 2065-10-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Cogent Communications Group LLC                         | Cogent Communications Group LLC                                                           | CUSIP: 19240WAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    510000 | PA      | $502201.79    | 0.09%             | 2032-07-01      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Arizona Public Service Co.                              | Arizona Public Service Co.                                                                | CUSIP: 040555DD3<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |    750000 | PA      | $644272.62    | 0.12%             | 2031-12-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| British Airways Pass-Through Trust                      | British Airways Pass-Through Trust, Series 2021-1, Class A                                | CUSIP: 11042CAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    698221 | PA      | $628870.10    | 0.12%             | 2035-03-15      | Fixed         | 2.90%                 | Yes           |                  2 | On Loan: No      |
| Mondelez International, Inc.                            | Mondelez International, Inc., Class A                                                     | CUSIP: 609207105<br>LEI: 549300DV9GIB88LZ5P30 | Long             | EC               | CORP              | US        |     47301 | NS      | $3189979.44   | 0.60%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                    | UMBS, 30 Year                                                                             | CUSIP: 3140XRGM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    965088 | PA      | $982182.68    | 0.19%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                            | AbbVie, Inc.                                                                              | CUSIP: 00287Y109<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | EC               | CORP              | US        |     32710 | NS      | $6071630.20   | 1.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Omnicom Group, Inc.                                     | Omnicom Group, Inc.                                                                       | CUSIP: 681919106<br>LEI: HKUPACFHSSASQK8HLS17 | Long             | EC               | CORP              | US        |     29113 | NS      | $2094389.22   | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| Australia & New Zealand Banking Group Ltd.              | Australia & New Zealand Banking Group Ltd.                                                | CUSIP: 052528AR7<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |    585000 | PA      | $600302.25    | 0.11%             | 2034-09-18      | Variable      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| WEC Energy Group, Inc.                                  | WEC Energy Group, Inc.                                                                    | CUSIP: 92939U106<br>LEI: 549300IGLYTZUK3PVP70 | Long             | EC               | CORP              | US        |     15696 | NS      | $1635523.20   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Commercial Mortgage Trust                               | Commercial Mortgage Trust, Series 2014-CR20, Class D                                      | CUSIP: 12592LAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    820000 | PA      | $617550.20    | 0.12%             | 2047-11-10      | Fixed         | 3.22%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2021-177, Class IM                                                           | CUSIP: 38383CFZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1307471 | PA      | $220869.74    | 0.04%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Regatta 30 Funding Ltd.                                 | Regatta 30 Funding Ltd., Series 2024-4A, Class B                                          | CUSIP: 75903UAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $401087.20    | 0.08%             | 2038-01-25      | Floating      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2023-159, Class CI                                                           | CUSIP: 38381JZC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2938991 | PA      | $218082.24    | 0.04%             | 2065-07-16      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                     | U.S. Treasury Ultra Bonds                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        75 | NC      | $374580.34    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2020-189, Class SU                                                           | CUSIP: 38382MGE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    574978 | PA      | $86607.32     | 0.02%             | 2050-12-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | UMBS, 30 Year                                                                             | CUSIP: 3140XPND7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    603963 | PA      | $606492.63    | 0.11%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                | Benchmark Mortgage Trust, Series 2019-B15, Class C                                        | CUSIP: 08160KAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    590000 | PA      | $470746.13    | 0.09%             | 2072-12-15      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| NetApp, Inc.                                            | NetApp, Inc.                                                                              | CUSIP: 64110D104<br>LEI: QTX3D84DZDD5JYOCYH15 | Long             | EC               | CORP              | US        |     28057 | NS      | $2989473.35   | 0.56%             |  |  |  | No            |                  1 | On Loan: No      |
| Connecticut Avenue Securities Trust                     | Connecticut Avenue Securities Trust, Series 2025-R02, Class 1B1                           | CUSIP: 20754TAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    190000 | PA      | $189650.61    | 0.04%             | 2045-02-25      | Floating      | 6.26%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Strips, Series 311, Class S1                                                | CUSIP: 31325URK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1344302 | PA      | $144424.36    | 0.03%             | 2043-08-15      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                          | Home Partners of America Trust, Series 2021-2, Class B                                    | CUSIP: 43732VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    249578 | PA      | $240260.84    | 0.05%             | 2026-12-17      | Fixed         | 2.30%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Trust, Series 2018-GS10, Class D                                   | CUSIP: 36250SAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    665000 | PA      | $456694.34    | 0.09%             | 2051-07-10      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | U.S. Treasury 10 Year Ultra Bonds                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        53 | NC      | $136931.71    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| KeyCorp                                                 | KeyCorp                                                                                   | CUSIP: 49326EEP4<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    270000 | PA      | $288010.22    | 0.05%             | 2035-03-06      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2020-146, Class SA                                                           | CUSIP: 38382KWJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    847466 | PA      | $121985.69    | 0.02%             | 2050-10-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                       | Duke Energy Corp.                                                                         | CUSIP: 26441C204<br>LEI: I1BZKREC126H0VB1BL91 | Long             | EC               | CORP              | US        |     16799 | NS      | $1982282.00   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2022-107, Class SA                                                           | CUSIP: 38383TLA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5535110 | PA      | $93076.76     | 0.02%             | 2052-06-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2021-135, Class GS                                                           | CUSIP: 38382XAJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1710075 | PA      | $246731.19    | 0.05%             | 2051-08-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                | UnitedHealth Group, Inc.                                                                  | CUSIP: 91324P102<br>LEI: 549300GHBMY8T5GXDE41 | Long             | EC               | CORP              | US        |      5930 | NS      | $1849982.10   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| Essential Utilities, Inc.                               | Essential Utilities, Inc.                                                                 | CUSIP: 29670G102<br>LEI: 549300ILTEOF3E3QY357 | Long             | EC               | CORP              | US        |     51307 | NS      | $1905541.98   | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| Ashtead Capital, Inc.                                   | Ashtead Capital, Inc.                                                                     | CUSIP: 045054AJ2<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    380000 | PA      | $374252.75    | 0.07%             | 2028-05-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2023-47, Class KS                                                            | CUSIP: 38383WL38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2541614 | PA      | $291013.03    | 0.05%             | 2048-04-20      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| Studio City Finance Ltd.                                | Studio City Finance Ltd.                                                                  | CUSIP: 86389QAG7<br>LEI: 254900D6R731QAUIG324 | Long             | DBT              | CORP              | VG        |    505000 | PA      | $463353.18    | 0.09%             | 2029-01-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Telekom AG                                     | Deutsche Telekom AG (Registered)                                                          | CUSIP: N/A<br>LEI: 549300V9QSIG4WX4GJ96       | Long             | EC               | CORP              | DE        |    108888 | NS      | $3972355.27   | 0.75%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2025-2, Class WZ                                                             | CUSIP: 38385B3C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    877274 | PA      | $551540.00    | 0.10%             | 2052-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Commonwealth Bank of Australia                          | Commonwealth Bank of Australia                                                            | CUSIP: 202712BX2<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    270000 | PA      | $265125.24    | 0.05%             | 2046-03-14      | Variable      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Novartis AG                                             | Novartis AG (Registered)                                                                  | CUSIP: N/A<br>LEI: 5493007HIVTX6SY6XD66       | Long             | EC               | CORP              | CH        |     35891 | NS      | $4350163.80   | 0.82%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                     | Forward Foreign Currency Contract                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-17848.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                     | Connecticut Avenue Securities Trust, Series 2021-R03, Class 1B2                           | CUSIP: 20754AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255000 | PA      | $265670.68    | 0.05%             | 2041-12-25      | Floating      | 9.81%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2021-188                                                                     | CUSIP: 38383CTL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1541612 | PA      | $261114.12    | 0.05%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp.                                        | McDonald's Corp.                                                                          | CUSIP: 580135101<br>LEI: UE2136O97NLB5BYP9H04 | Long             | EC               | CORP              | US        |     10337 | NS      | $3020161.29   | 0.57%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup, Inc.                                         | Citigroup, Inc.                                                                           | CUSIP: 172967BL4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    190000 | PA      | $207196.74    | 0.04%             | 2032-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2021-1, Class IT                                                             | CUSIP: 38382MV97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1181354 | PA      | $201415.17    | 0.04%             | 2051-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AutoNation, Inc.                                        | AutoNation, Inc.                                                                          | CUSIP: 05329WAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    308000 | PA      | $306243.28    | 0.06%             | 2030-06-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                 | Flagstar Mortgage Trust, Series 2021-6INV, Class A18                                      | CUSIP: 33851GAU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365467 | PA      | $295628.80    | 0.06%             | 2051-08-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| DT Midstream, Inc.                                      | DT Midstream, Inc.                                                                        | CUSIP: 23345MAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $467826.45    | 0.09%             | 2032-04-15      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                              | UMBS Pool, 30 Year                                                                        | CUSIP: 3133A7QG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    425586 | PA      | $387361.37    | 0.07%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OneMain Finance Corp.                                   | OneMain Finance Corp.                                                                     | CUSIP: 682691AJ9<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    375000 | PA      | $382053.00    | 0.07%             | 2032-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 4831, Class SA                                                       | CUSIP: 3137FHQP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    612061 | PA      | $79603.31     | 0.02%             | 2048-10-15      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2021-98, Class IN                                                            | CUSIP: 38382TM27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    578651 | PA      | $101892.58    | 0.02%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2022-185, Class DI                                                           | CUSIP: 38381HVY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1257458 | PA      | $89851.39     | 0.02%             | 2065-10-16      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                        | CVS Health Corp.                                                                          | CUSIP: 126650100<br>LEI: 549300EJG376EN5NQE29 | Long             | EC               | CORP              | US        |     63532 | NS      | $4382437.36   | 0.83%             |  |  |  | No            |                  1 | On Loan: No      |
| BBCMS Mortgage Trust                                    | BBCMS Mortgage Trust, Series 2022-C16, Class D                                            | CUSIP: 05552YAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    575000 | PA      | $370673.41    | 0.07%             | 2055-06-15      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| AT&T, Inc.                                              | AT&T, Inc.                                                                                | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    680000 | PA      | $460263.00    | 0.09%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                    | UMBS, 30 Year                                                                             | CUSIP: 3140XLG93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2467548 | PA      | $2065919.29   | 0.39%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2021-122, Class HS                                                           | CUSIP: 38382WBD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1080468 | PA      | $153266.14    | 0.03%             | 2051-07-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Dell Technologies, Inc.                                 | Dell Technologies, Inc., Class C                                                          | CUSIP: 24703L202<br>LEI: 549300TJB5YBRUPOG437 | Long             | EC               | CORP              | US        |     39915 | NS      | $4893579.00   | 0.92%             |  |  |  | No            |                  1 | On Loan: No      |
| Entergy Corp.                                           | Entergy Corp.                                                                             | CUSIP: 29364G103<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | EC               | CORP              | US        |     41591 | NS      | $3457043.92   | 0.65%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                              | UMBS Pool, 30 Year                                                                        | CUSIP: 3132DWKU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    366610 | PA      | $359749.81    | 0.07%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                | U.S. Treasury Notes                                                                       | CUSIP: 91282CMW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    515000 | PA      | $515643.75    | 0.10%             | 2028-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Banco BTG Pactual SA                                    | Banco BTG Pactual SA                                                                      | CUSIP: 05971AAG6<br>LEI: 2549002JHJ73KGETOK78 | Long             | DBT              | CORP              | BR        |    505000 | PA      | $498457.52    | 0.09%             | 2026-01-11      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                     | Forward Foreign Currency Contract                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-173551.18   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                | Benchmark Mortgage Trust, Series 2018-B1, Class C                                         | CUSIP: 08162PBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    555000 | PA      | $457291.64    | 0.09%             | 2051-01-15      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust, Series 2021-3A, Class E                              | CUSIP: 30166AAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    855000 | PA      | $831068.38    | 0.16%             | 2028-12-15      | Fixed         | 3.04%                 | Yes           |                  2 | On Loan: No      |
| JH North America Holdings, Inc.                         | JH North America Holdings, Inc.                                                           | CUSIP: 46593WAA3<br>LEI: 254900A6FXA0D81TL967 | Long             | DBT              | CORP              | US        |     70000 | PA      | $70611.24     | 0.01%             | 2031-01-31      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC STACR REMIC Trust, Series 2021-HQA4, Class B2                                       | CUSIP: 35564KPP8<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | CORP              | US        |    690000 | PA      | $730300.07    | 0.14%             | 2041-12-25      | Floating      | 11.31%                | Yes           |                  2 | On Loan: No      |
| Lockheed Martin Corp.                                   | Lockheed Martin Corp.                                                                     | CUSIP: 539830109<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | EC               | CORP              | US        |      5153 | NS      | $2386560.42   | 0.45%             |  |  |  | No            |                  1 | On Loan: No      |
| Vistra Operations Co. LLC                               | Vistra Operations Co. LLC                                                                 | CUSIP: 92840VAR3<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    300000 | PA      | $313644.60    | 0.06%             | 2032-04-15      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | UMBS, 30 Year                                                                             | CUSIP: 3140XPP78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    665571 | PA      | $637405.20    | 0.12%             | 2054-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Vail Resorts, Inc.                                      | Vail Resorts, Inc.                                                                        | CUSIP: 91879Q109<br>LEI: 529900PSZHRNU9HKH870 | Long             | EC               | CORP              | US        |     11450 | NS      | $1799138.50   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| American Airlines, Inc.                                 | American Airlines, Inc.                                                                   | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    360000 | PA      | $359684.17    | 0.07%             | 2029-04-20      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Virginia Electric and Power Co.                         | Virginia Electric and Power Co.                                                           | CUSIP: 927804GF5<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    435000 | PA      | $271687.51    | 0.05%             | 2051-11-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Texas Instruments, Inc.                                 | Texas Instruments, Inc.                                                                   | CUSIP: 882508104<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | EC               | CORP              | US        |     20854 | NS      | $4329707.48   | 0.82%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                    | GNMA, Series 2023-38, Class WT                                                            | CUSIP: 38383WJT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    269946 | PA      | $284929.34    | 0.05%             | 2051-12-20      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Iron Mountain, Inc.                                     | Iron Mountain, Inc.                                                                       | CUSIP: 46284V101<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | EC               | CORP              | US        |     36358 | NS      | $3729240.06   | 0.70%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                   | FHLMC, REMIC, Series 5040                                                                 | CUSIP: 3137F6PH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    410103 | PA      | $76730.26     | 0.01%             | 2050-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Salesforce, Inc.                                        | Salesforce, Inc.                                                                          | CUSIP: 79466L302<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | EC               | CORP              | US        |     16071 | NS      | $4382400.99   | 0.83%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                              | UMBS Pool, 30 Year                                                                        | CUSIP: 3132DSXM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1082001 | PA      | $1009012.88   | 0.19%             | 2053-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                   | FHLMC Gold Pools, 30 Year                                                                 | CUSIP: 31335BM60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    443914 | PA      | $407743.38    | 0.08%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                            | UBS Group AG                                                                              | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    160000 | PA      | $160933.36    | 0.03%             | 2028-05-12      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Dell International LLC                                  | Dell International LLC                                                                    | CUSIP: 24703DBF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    410000 | PA      | $306431.72    | 0.06%             | 2041-12-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Hilcorp Energy I LP                                     | Hilcorp Energy I LP                                                                       | CUSIP: 431318AU8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    645000 | PA      | $636606.49    | 0.12%             | 2029-02-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | UMBS, 30 Year                                                                             | CUSIP: 31418EPD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159972 | PA      | $160373.29    | 0.03%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Beach Acquisition Bidco LLC                             | Beach Acquisition Bidco LLC, First Lien Term Loan B                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    200000 | PA      | $200750.00    | 0.04%             | 2032-06-25      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| Ares Direct Lending CLO 3 LLC                           | Ares Direct Lending CLO 3 LLC, Series 2024-3A, Class A2                                   | CUSIP: 039945AB6<br>LEI: 254900TU6Z546P794928 | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $250146.50    | 0.05%             | 2037-01-20      | Floating      | 6.02%                 | Yes           |                  2 | On Loan: No      |
| XPLR Infrastructure Operating Partners LP               | XPLR Infrastructure Operating Partners LP                                                 | CUSIP: 65342QAB8<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |    316000 | PA      | $308036.48    | 0.06%             | 2027-09-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                          | BNP Paribas SA                                                                            | CUSIP: 05565AB28<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    625000 | PA      | $607052.44    | 0.11%             | 2027-01-12      | Variable      | 4.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | UMBS, 30 Year                                                                             | CUSIP: 31418EKU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1960648 | PA      | $1934507.73   | 0.36%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Lazard, Inc.                                            | Lazard, Inc.                                                                              | CUSIP: 52110M109<br>LEI: 254900RIBCDJSUFG1A11 | Long             | EC               | CORP              | US        |     55923 | NS      | $2683185.54   | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| Ford Motor Credit Co. LLC                               | Ford Motor Credit Co. LLC                                                                 | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    485000 | PA      | $474086.70    | 0.09%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Perenti Finance Pty. Ltd.                               | Perenti Finance Pty. Ltd.                                                                 | CUSIP: 71367VAB5<br>LEI: 894500ZDIIAOXSQHE612 | Long             | DBT              | CORP              | AU        |    365000 | PA      | $377490.15    | 0.07%             | 2029-04-26      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                    | FNMA, REMIC, Series 2023-24, Class OQ                                                     | CUSIP: 3136BP5A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    501206 | PA      | $410594.82    | 0.08%             | 2054-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Linde plc                                               | Linde plc                                                                                 | CUSIP: N/A<br>LEI: 5299003QR1WT0EF88V51       | Long             | EC               | CORP              | IE        |      6911 | NS      | $3242502.98   | 0.61%             |  |  |  | No            |                  1 | On Loan: No      |
| Best Buy Co., Inc.                                      | Best Buy Co., Inc.                                                                        | CUSIP: 086516101<br>LEI: HL5XPTVRV0O8TUN5LL90 | Long             | EC               | CORP              | US        |     24761 | NS      | $1662205.93   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-30

**Name of Applicant:** NEW YORK LIFE INVESTMENTS VP FUNDS TRUST

**Signature:** Jack Benintende

**Name of Signer:** Jack Benintende

**Title:** Treasurer