# EDGAR Filing Document

**Accession Number:** 0000719423
**File Stem:** 0001752724-23-015145
**Filing Date:** 2023-1
**Character Count:** 220369
**Document Hash:** 54a7b20c06c767c3bd35debdd0a55ce3
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-015145.hdr.sgml**: 20230126

**ACCESSION NUMBER**: 0001752724-23-015145

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230126

**DATE AS OF CHANGE**: 20230126

**PERIOD START**: 20230531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** VALIC Co I
- **CENTRAL INDEX KEY:** 0000719423
- **IRS NUMBER:** 720029692
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 0531

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03738
- **FILM NUMBER:** 23558188

**BUSINESS ADDRESS:**
- **STREET 1:** HARBORSIDE 5
- **STREET 2:** 185 HUDSON STREET, SUITE 3300
- **CITY:** JERSEY CITY
- **STATE:** NJ
- **ZIP:** 07311
- **BUSINESS PHONE:** 201-324-6378

**MAIL ADDRESS:**
- **STREET 1:** HARBORSIDE 5
- **STREET 2:** 185 HUDSON STREET, SUITE 3300
- **CITY:** JERSEY CITY
- **STATE:** NJ
- **ZIP:** 07311

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AIG Retirement CO I
- **DATE OF NAME CHANGE:** 20080501

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** VALIC CO I
- **DATE OF NAME CHANGE:** 20020110

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** NORTH AMERICAN FUNDS VARIABLE PRODUCT SERIES CO I
- **DATE OF NAME CHANGE:** 20000929

## Series and Classes Contracts Data

### Asset Allocation Fund (Series ID: S000007994)

| Class ID   | Class Name            | Ticker Symbol   |
|:---|:---|:---|
| C000021763 | Asset Allocation Fund | VCAAX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** VALIC Co I

- **b. Investment Company Act file number:** 811-03738

- **c. CIK number of Registrant:** 0000719423

- **d. LEI of Registrant:** 549300N3XZ1M1QABFI47

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

  - **Street Address 1:** 2929 ALLEN PARKWAY

  - **City:** HOUSTON

  - **State:** TX

  - **Foreign country:** US

  - **Zip / Postal Code:** 77019

  - **Telephone number:** 800-448-2542

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

- **a. Name of Series:** Asset Allocation Fund

- **b. EDGAR series identifier (if any):** S000007994

- **c. LEI of Series:** 549300HUV8X45ZFZG207

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

- **a. Date of fiscal year-end:** 2023-05-31

- **b. Date as of which information is reported:** 2022-11-30

**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:** $135275294.56

**Total Liabilities:** $965086.10

**Net Assets:** $134310208.46

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -47.37000000 | **1-Year:** -1111.23000000 | **5-Year:** -3315.23000000 | **10-Year:** -3332.52000000 | **30-Year:** -2247.98000000

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

- **3-Month:** -46.81000000 | **1-Year:** -557.25000000 | **5-Year:** -862.18000000 | **10-Year:** -288.84000000 | **30-Year:** -23.71000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000021763 | -6.99%               | 3.33%                | 5.09%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-299564.68              | $-9150142.84                               |
| Month 2  | $-294501.34              | $4240285.65                                |
| Month 3  | $-13763.66               | $6253722.06                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BANK OF AMERICA CORP                             | Bank of America Corp                                                            | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     45000 | PA      | $43206.02     | 0.03%             | 2028-04-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                               | Analog Devices Inc                                                              | CUSIP: 032654AW5<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |     26000 | PA      | $19569.64     | 0.01%             | 2041-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 3617UGL98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    284853 | PA      | $261304.02    | 0.19%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BROWN & BROWN INC                                | Brown & Brown Inc                                                               | CUSIP: 115236AC5<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |     56000 | PA      | $43068.77     | 0.03%             | 2031-03-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| EVERGY INC                                       | Evergy Inc                                                                      | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |    151000 | PA      | $130350.04    | 0.10%             | 2029-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                              | American Tower Corp                                                             | CUSIP: 03027XBJ8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     47000 | PA      | $38819.36     | 0.03%             | 2028-01-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                              | NatWest Markets PLC                                                             | CUSIP: 63906YAD0<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $173177.06    | 0.13%             | 2026-09-29      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| ESC LEHMAN BRTH HLDH PROD                        | ESC LEHMAN BRTH HLDH PROD                                                       | CUSIP: 525ESC1H2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     44000 | PA      | $154.00       | 0.00%             | 2016-04-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 3617UXC59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25815 | PA      | $24913.30     | 0.02%             | 2051-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                     | Broadcom Inc                                                                    | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     10000 | PA      | $7283.12      | 0.01%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2018-1 A PTT                          | United Airlines 2018-1 Class A Pass Through Trust                               | CUSIP: 90931VAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     36410 | PA      | $29288.12     | 0.02%             | 2030-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                          | Jersey Central Power & Light Co                                                 | CUSIP: 476556DC6<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |     65000 | PA      | $62831.75     | 0.05%             | 2026-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 3617XVVU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130684 | PA      | $122190.15    | 0.09%             | 2051-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 3617F25R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109132 | PA      | $107757.11    | 0.08%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WEC ENERGY GROUP INC                             | WEC Energy Group Inc                                                            | CUSIP: 92939UAD8<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |    140000 | PA      | $118889.74    | 0.09%             | 2027-10-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140LH2Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155000 | PA      | $155571.48    | 0.12%             | 2032-12-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                           | Cascade MH Asset Trust 2021-MH1                                                 | CUSIP: 14731QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    138102 | PA      | $116963.62    | 0.09%             | 2046-02-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3132XFJB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210000 | PA      | $181846.09    | 0.14%             | 2028-11-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| PUBLIC STORAGE                                   | Public Storage                                                                  | CUSIP: 74460DAH2<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              |  | US        |     18000 | PA      | $15487.20     | 0.01%             | 2028-11-09      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                             | Bank of America Corp                                                            | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    149000 | PA      | $138794.02    | 0.10%             | 2028-04-24      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138L54D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55801 | PA      | $55522.25     | 0.04%             | 2029-01-01      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Dollar General Corp                              | Dollar General Corp                                                             | CUSIP: 256677105<br>LEI: OPX52SQVOZI8IVSWYU66 | Long             | EC               | CORP              | US        |      5388 | NS      | $1377603.84   | 1.03%             |  |  |  | No            |                  1 | On Loan: No      |
| SCENTRE GROUP TRUST 1/2                          | Scentre Group Trust 1 / Scentre Group Trust 2                                   | CUSIP: 80622GAD6<br>LEI: N/A                  | Long             | DBT              |  | AU        |    140000 | PA      | $131078.94    | 0.10%             | 2026-01-28      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Tyson Foods Inc                                  | Tyson Foods Inc                                                                 | CUSIP: 902494BC6<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |     44000 | PA      | $41586.53     | 0.03%             | 2027-06-02      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    262980 | PA      | $251152.72    | 0.19%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NORTHWESTERN MUTUAL GLBL                         | Northwestern Mutual Global Funding                                              | CUSIP: 66815L2D0<br>LEI: 635400LZXFVELZDVP257 | Long             | DBT              | CORP              | US        |     25000 | PA      | $21176.93     | 0.02%             | 2028-06-01      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                          | American Electric Power Co Inc                                                  | CUSIP: 025537AK7<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    160000 | PA      | $153740.78    | 0.11%             | 2024-03-15      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140LGVV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $97210.63     | 0.07%             | 2032-07-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133B3M38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93441 | PA      | $82912.26     | 0.06%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                   | Air Lease Corp                                                                  | CUSIP: 00914AAH5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    129000 | PA      | $121734.66    | 0.09%             | 2025-07-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138LMNC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    324213 | PA      | $302293.14    | 0.23%             | 2030-04-01      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                     | Comcast Corp                                                                    | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    154000 | PA      | $121677.49    | 0.09%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140J2WN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250000 | PA      | $207217.94    | 0.15%             | 2030-12-01      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| MASCO CORP                                       | Masco Corp                                                                      | CUSIP: 574599BP0<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |     57000 | PA      | $44713.65     | 0.03%             | 2030-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    580000 | PA      | $537225.00    | 0.40%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     80000 | PA      | $55812.50     | 0.04%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Progressive Corp/The                             | Progressive Corp/The                                                            | CUSIP: 743315103<br>LEI: 529900TACNVLY9DCR586 | Long             | EC               | CORP              | US        |      4663 | NS      | $616215.45    | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| QUALCOMM INC                                     | QUALCOMM Inc                                                                    | CUSIP: 747525BR3<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17749.95     | 0.01%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                           | Marlette Funding Trust 2021-1                                                   | CUSIP: 57110NAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60041 | PA      | $59101.73     | 0.04%             | 2031-06-16      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                   | Amazon.com Inc                                                                  | CUSIP: 023135CJ3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     50000 | PA      | $42721.80     | 0.03%             | 2052-04-13      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Vertex Pharmaceuticals Inc                       | Vertex Pharmaceuticals Inc                                                      | CUSIP: 92532F100<br>LEI: 54930015RAQRRZ5ZGJ91 | Long             | EC               | CORP              | US        |      2868 | NS      | $907435.20    | 0.68%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 3617V7V70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53208 | PA      | $48290.36     | 0.04%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QM6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111401 | PA      | $98671.68     | 0.07%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                               | Energy Transfer LP                                                              | CUSIP: 292480AH3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    110000 | PA      | $107536.39    | 0.08%             | 2024-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                        | CUSIP: 38382YFS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125000 | PA      | $130735.93    | 0.10%             | 2071-06-20      | Variable      | 16.04%                | No            |                  2 | On Loan: No      |
| McDonald's Corp                                  | McDonald's Corp                                                                 | CUSIP: 580135101<br>LEI: UE2136O97NLB5BYP9H04 | Long             | EC               | CORP              | US        |      6953 | NS      | $1896708.87   | 1.41%             |  |  |  | No            |                  1 | On Loan: No      |
| COTERRA ENERGY INC                               | Coterra Energy Inc                                                              | CUSIP: 127097AE3<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |     46000 | PA      | $43406.26     | 0.03%             | 2027-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| PIEDMONT HEALTHCARE INC                          | Piedmont Healthcare Inc                                                         | CUSIP: 72014TAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $15587.89     | 0.01%             | 2052-01-01      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                           | UnitedHealth Group Inc                                                          | CUSIP: 91324P102<br>LEI: 549300GHBMY8T5GXDE41 | Long             | EC               | CORP              | US        |      5186 | NS      | $2840683.36   | 2.12%             |  |  |  | No            |                  1 | On Loan: No      |
| VMWARE INC                                       | VMware Inc                                                                      | CUSIP: 928563AF2<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     94000 | PA      | $88265.56     | 0.07%             | 2030-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                 | Societe Generale SA                                                             | CUSIP: 83367TBJ7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $191077.86    | 0.14%             | 2025-04-14      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     15000 | PA      | $11848.30     | 0.01%             | 2032-07-21      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                       | AbbVie Inc                                                                      | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     19000 | PA      | $17789.20     | 0.01%             | 2026-11-21      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| OGE ENERGY CORP                                  | OGE Energy Corp                                                                 | CUSIP: 670837AC7<br>LEI: CE5OG6JPOZMDSA0LAQ19 | Long             | DBT              | CORP              | US        |     15000 | PA      | $14686.84     | 0.01%             | 2023-05-26      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-2 A PTT                          | United Airlines 2016-2 Class A Pass Through Trust                               | CUSIP: 90932DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25749 | PA      | $20172.81     | 0.02%             | 2028-10-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                   | Lowe's Cos Inc                                                                  | CUSIP: 548661DN4<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     67000 | PA      | $51337.28     | 0.04%             | 2046-04-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                 | Wells Fargo & Co                                                                | CUSIP: 949746101<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EC               | CORP              | US        |     18831 | NS      | $902946.45    | 0.67%             |  |  |  | No            |                  1 | On Loan: No      |
| Fanniemae-Aces                                   | Fannie Mae-Aces                                                                 | CUSIP: 3136BNET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225000 | PA      | $185580.50    | 0.14%             | 2032-04-25      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                      | Diamond Resorts Owner Trust 2021-1                                              | CUSIP: 25273CAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     47959 | PA      | $43651.04     | 0.03%             | 2033-11-21      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Inc                               | NextEra Energy Inc                                                              | CUSIP: 65339F101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     31406 | NS      | $2660088.20   | 1.98%             |  |  |  | No            |                  1 | On Loan: No      |
| SYSCO CORPORATION                                | Sysco Corp                                                                      | CUSIP: 871829BK2<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |    122000 | PA      | $102443.96    | 0.08%             | 2030-02-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140LGDR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140000 | PA      | $128657.52    | 0.10%             | 2033-08-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corp                            | Northrop Grumman Corp                                                           | CUSIP: 666807BJ0<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |     68000 | PA      | $56004.72     | 0.04%             | 2045-04-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Freedom Financial                                | FREED ABS Trust 2021-2                                                          | CUSIP: 35635CAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24155 | PA      | $24038.08     | 0.02%             | 2028-06-19      | Fixed         | 1.03%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    374000 | PA      | $245948.83    | 0.18%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                       | AbbVie Inc                                                                      | CUSIP: 00287Y109<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | EC               | CORP              | US        |     18455 | NS      | $2974576.90   | 2.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FXFZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44332 | PA      | $42821.84     | 0.03%             | 2057-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TRITON CONTAINER                                 | Triton Container International Ltd                                              | CUSIP: 89680YAA3<br>LEI: 549300O4LZFLCX53XZ54 | Long             | DBT              | CORP              | BM        |    100000 | PA      | $86948.75     | 0.06%             | 2026-04-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                      | Legacy Mortgage Asset Trust 2021-GS1                                            | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88704 | PA      | $79653.28     | 0.06%             | 2066-10-25      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee            | VOLT XCIV LLC                                                                   | CUSIP: 92873AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    203174 | PA      | $179810.42    | 0.13%             | 2051-02-27      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                          | Hyundai Capital America                                                         | CUSIP: 44891ABP1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    120000 | PA      | $101754.84    | 0.08%             | 2027-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit Risk               | Freddie Mac Multifamily Structured Credit Risk                                  | CUSIP: 35563JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100274 | PA      | $91050.16     | 0.07%             | 2041-07-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAPITAL                            | TotalEnergies Capital International SA                                          | CUSIP: 89153VAX7<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |     58000 | PA      | $44188.08     | 0.03%             | 2041-06-29      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138L3KY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69060 | PA      | $71161.30     | 0.05%             | 2028-03-01      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| EMPOWER FINANCE 2020 LP                          | Empower Finance 2020 LP                                                         | CUSIP: 29248HAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     68000 | PA      | $41634.14     | 0.03%             | 2051-09-17      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    150000 | PA      | $131894.31    | 0.10%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                           | NXP BV / NXP Funding LLC / NXP USA Inc                                          | CUSIP: 62954HAU2<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     40000 | PA      | $28620.79     | 0.02%             | 2041-05-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                   | S&P Global Inc                                                                  | CUSIP: 78409VBB9<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     44000 | PA      | $39107.26     | 0.03%             | 2029-03-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                   | Pagaya AI Debt Selection Trust 2021-3                                           | CUSIP: 69546RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     81647 | PA      | $79334.16     | 0.06%             | 2029-05-15      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| KANSAS CITY SOUTHERN                             | Kansas City Southern/Old                                                        | CUSIP: 485170BB9<br>LEI: 5493008C12PZMWP3WY03 | Long             | DBT              | CORP              | US        |     22000 | PA      | $19441.18     | 0.01%             | 2048-05-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Uber Technologies Inc                            | Uber Technologies Inc                                                           | CUSIP: 90353T100<br>LEI: 549300B2FTG34FILDR98 | Long             | EC               | CORP              | US        |     28298 | NS      | $824603.72    | 0.61%             |  |  |  | No            |                  1 | On Loan: No      |
| Teradyne Inc                                     | Teradyne Inc                                                                    | CUSIP: 880770102<br>LEI: C3X4YJ278QNZHRJULN75 | Long             | EC               | CORP              | US        |      6105 | NS      | $570512.25    | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| F&G GLOBAL FUNDING                               | F&G Global Funding                                                              | CUSIP: 30321L2A9<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |     25000 | PA      | $22239.56     | 0.02%             | 2026-06-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee            | VOLT XCVII LLC                                                                  | CUSIP: 91835EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    171193 | PA      | $152689.15    | 0.11%             | 2051-04-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                              | Oportun Issuance Trust 2021-B                                                   | CUSIP: 68377GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    255000 | PA      | $221758.53    | 0.17%             | 2031-05-08      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| Accelerated Assets                               | Accelerated 2021-1H LLC                                                         | CUSIP: 00439KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     47617 | PA      | $41825.33     | 0.03%             | 2040-10-20      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Theorem Funding Trust                            | Theorem Funding Trust 2021-1                                                    | CUSIP: 88339VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     42139 | PA      | $41361.82     | 0.03%             | 2027-12-15      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                   | Pagaya AI Debt Selection Trust 2021-1                                           | CUSIP: 69547JAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    104542 | PA      | $102554.08    | 0.08%             | 2027-11-15      | Fixed         | 1.18%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                     | Drive Auto Receivables Trust 2021-1                                             | CUSIP: 262108AF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120000 | PA      | $111740.40    | 0.08%             | 2029-01-16      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                           | NXP BV / NXP Funding LLC / NXP USA Inc                                          | CUSIP: 62954HBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     40000 | PA      | $31656.93     | 0.02%             | 2031-05-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 3617ULV54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    442851 | PA      | $414070.46    | 0.31%             | 2051-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NIKE Inc                                         | NIKE Inc                                                                        | CUSIP: 654106103<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | EC               | CORP              | US        |      7830 | NS      | $858872.70    | 0.64%             |  |  |  | No            |                  1 | On Loan: No      |
| FannieMae Grantor Trust                          | Fannie Mae Grantor Trust 2001-T12                                               | CUSIP: 31392A5L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     94104 | PA      | $95929.02     | 0.07%             | 2041-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                   | CUSIP: 097023CA1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     19000 | PA      | $17051.21     | 0.01%             | 2028-11-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                | HSBC Holdings PLC                                                               | CUSIP: 404280AM1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     95000 | PA      | $97902.66     | 0.07%             | 2042-01-14      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC             | Pretium Mortgage Credit Partners I 2021-NPL1 LLC                                | CUSIP: 741389AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    149125 | PA      | $134658.63    | 0.10%             | 2060-09-27      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| State Street Global Advisors                     | State Street Navigator Securities Lending Government Money Market Portfolio     | CUSIP: 857492706<br>LEI: 5493008BJIBKQ5KTIF74 | Long             | STIV             | RF                | US        |    840862 | NS      | $840862.50    | 0.63%             |  |  |  | No            |                  1 | On Loan: No      |
| ACC Trust                                        | ACC Trust 2021-1                                                                | CUSIP: 00091KAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37564 | PA      | $37330.90     | 0.03%             | 2024-07-22      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust               | Tricolor Auto Securitization Trust 2021-1                                       | CUSIP: 89615BAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    115000 | PA      | $113142.18    | 0.08%             | 2024-09-16      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                               | Raytheon Technologies Corp                                                      | CUSIP: 75513EAD3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     86000 | PA      | $72212.73     | 0.05%             | 2030-07-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                                   | CPS Auto Receivables Trust 2021-A                                               | CUSIP: 12656NAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    257312 | PA      | $253483.12    | 0.19%             | 2026-09-15      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                         | Microchip Technology Inc                                                        | CUSIP: 595017AZ7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |     11000 | PA      | $10757.23     | 0.01%             | 2023-09-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 91282CFN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    795000 | PA      | $792608.79    | 0.59%             | 2024-09-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 3617ULWB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    207920 | PA      | $188180.66    | 0.14%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308JY4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19178.08     | 0.01%             | 2023-11-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| KEYCORP                                          | KeyCorp                                                                         | CUSIP: 49326EEK5<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    140000 | PA      | $123845.59    | 0.09%             | 2027-04-06      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                            | Wells Fargo & Co                                                                | CUSIP: 95000U2Q5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     69000 | PA      | $51221.83     | 0.04%             | 2041-04-30      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| LIFE STORAGE LP                                  | Life Storage LP                                                                 | CUSIP: 53227JAD6<br>LEI: X0MIGH67XZCB7HL1A534 | Long             | DBT              |  | US        |     35000 | PA      | $27013.63     | 0.02%             | 2031-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| TAKE-TWO INTERACTIVE SOF                         | Take-Two Interactive Software Inc                                               | CUSIP: 874054AG4<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |     52000 | PA      | $49325.53     | 0.04%             | 2027-04-14      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                     | Upstart Securitization Trust 2021-1                                             | CUSIP: 91681NAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8960 | PA      | $8912.43      | 0.01%             | 2031-03-20      | Fixed         | 0.87%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                          | Duke Energy Florida LLC                                                         | CUSIP: 26444HAN1<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |     34000 | PA      | $37406.31     | 0.03%             | 2052-11-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Xcel Energy Inc                                  | Xcel Energy Inc                                                                 | CUSIP: 98389B100<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | EC               | CORP              | US        |     12743 | NS      | $894813.46    | 0.67%             |  |  |  | No            |                  1 | On Loan: No      |
| Oportun Funding LLC                              | Oportun Funding XIV LLC                                                         | CUSIP: 68377BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $91699.24     | 0.07%             | 2028-03-08      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| PHYSICIANS REALTY LP                             | Physicians Realty LP                                                            | CUSIP: 71951QAC6<br>LEI: 549300P6Q1UMT0X60U20 | Long             | DBT              |  | US        |     15000 | PA      | $11791.45     | 0.01%             | 2031-11-01      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                         | Rogers Communications Inc                                                       | CUSIP: 775109CD1<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |     20000 | PA      | $16278.87     | 0.01%             | 2052-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133KKVR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133118 | PA      | $118443.12    | 0.09%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                         | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BU7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $79126.31     | 0.06%             | 2031-04-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-2 B PTT                          | United Airlines 2019-2 Class B Pass Through Trust                               | CUSIP: 90932KAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     42911 | PA      | $36841.50     | 0.03%             | 2028-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    322000 | PA      | $212318.75    | 0.16%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                   | NRG Energy Inc                                                                  | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    308000 | PA      | $263566.76    | 0.20%             | 2027-12-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| PPG Industries Inc                               | PPG Industries Inc                                                              | CUSIP: 693506107<br>LEI: 549300BKPEP01R3V6C59 | Long             | EC               | CORP              | US        |      8907 | NS      | $1204404.54   | 0.90%             |  |  |  | No            |                  1 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                         | Microchip Technology Inc                                                        | CUSIP: 595017BB9<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |     12000 | PA      | $11354.05     | 0.01%             | 2024-02-15      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust       | Mercury Financial Credit Card Master Trust                                      | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140000 | PA      | $132785.07    | 0.10%             | 2026-03-20      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co                             | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |     19000 | PA      | $16014.38     | 0.01%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 3617VQ2T2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    194358 | PA      | $180523.98    | 0.13%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TENNESSEE GAS PIPELINE                           | Tennessee Gas Pipeline Co LLC                                                   | CUSIP: 880451AZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $59280.06     | 0.04%             | 2030-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Marriott International Inc/MD                    | Marriott International Inc/MD                                                   | CUSIP: 571903202<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | EC               | CORP              | US        |      3173 | NS      | $524655.55    | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140LGEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234000 | PA      | $212401.38    | 0.16%             | 2032-07-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| MARTIN MARIETTA MATERIAL                         | Martin Marietta Materials Inc                                                   | CUSIP: 573284AV8<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |     57000 | PA      | $47579.84     | 0.04%             | 2030-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PARK AEROSPACE HOLDINGS                          | Park Aerospace Holdings Ltd                                                     | CUSIP: 70014LAC4<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |     46000 | PA      | $45771.17     | 0.03%             | 2023-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp                            | Truist Financial Corp                                                           | CUSIP: 89832Q109<br>LEI: 549300DRQQI75D2JP341 | Long             | EC               | CORP              | US        |     42706 | NS      | $1999067.86   | 1.49%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133BBA90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59463 | PA      | $58748.88     | 0.04%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 3617XXAR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    142997 | PA      | $131312.88    | 0.10%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Advanced Micro Devices Inc                       | Advanced Micro Devices Inc                                                      | CUSIP: 007903107<br>LEI: R2I72C950HOYXII45366 | Long             | EC               | CORP              | US        |     16553 | NS      | $1285009.39   | 0.96%             |  |  |  | No            |                  1 | On Loan: No      |
| TRANSCANADA PIPELINES                            | TransCanada PipeLines Ltd                                                       | CUSIP: 89352HBA6<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |     37000 | PA      | $34527.73     | 0.03%             | 2030-04-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KT3U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    378568 | PA      | $363574.16    | 0.27%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                               | CUSIP: 3136AWMX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88326 | PA      | $86473.74     | 0.06%             | 2028-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137H9C98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    120000 | PA      | $113508.92    | 0.08%             | 2032-09-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Vulcan Materials Co                              | Vulcan Materials Co                                                             | CUSIP: 929160109<br>LEI: 549300Q8LSNHAVWBNI21 | Long             | EC               | CORP              | US        |      4936 | NS      | $904916.88    | 0.67%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 91282CCR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    260000 | PA      | $222939.84    | 0.17%             | 2028-07-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Centene Corp                                     | Centene Corp                                                                    | CUSIP: 15135B101<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | EC               | CORP              | US        |      1814 | NS      | $157908.70    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| DELTA AIR LINES 2020-A                           | Delta Air Lines 2020-1 Class A Pass Through Trust                               | CUSIP: 247361ZW1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     86844 | PA      | $73629.68     | 0.05%             | 2028-06-10      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc                                     | Alphabet Inc                                                                    | CUSIP: 02079K305<br>LEI: 5493006MHB84DD0ZWV18 | Long             | EC               | CORP              | US        |     47406 | NS      | $4787531.94   | 3.56%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140LFVV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105000 | PA      | $93091.23     | 0.07%             | 2033-09-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| BUNGE LTD FINANCE CORP                           | Bunge Ltd Finance Corp                                                          | CUSIP: 120568BC3<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |     26000 | PA      | $21586.73     | 0.02%             | 2031-05-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Prologis Inc                                     | Prologis Inc                                                                    | CUSIP: 74340W103<br>LEI: 529900DFH19P073LZ636 | Long             | EC               |  | US        |     21398 | NS      | $2520470.42   | 1.88%             |  |  |  | No            |                  1 | On Loan: No      |
| NRG ENERGY INC                                   | NRG Energy Inc                                                                  | CUSIP: 629377CN0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     47000 | PA      | $42096.96     | 0.03%             | 2025-12-02      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 3617W0AL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89848 | PA      | $81466.30     | 0.06%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                           | UnitedHealth Group Inc                                                          | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     20000 | PA      | $22132.85     | 0.02%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                         | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAH4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     24000 | PA      | $22032.57     | 0.02%             | 2025-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Eastman Chemical Co                              | Eastman Chemical Co                                                             | CUSIP: 277432100<br>LEI: FDPVHDGJ1IQZFK9KH630 | Long             | EC               | CORP              | US        |      8711 | NS      | $754546.82    | 0.56%             |  |  |  | No            |                  1 | On Loan: No      |
| ASML Holding NV                                  | ASML Holding NV                                                                 | CUSIP: 000000000<br>LEI: 724500Y6DUVHQD6OXN27 | Long             | EC               | CORP              | NL        |      1036 | NS      | $630012.32    | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| HF SINCLAIR CORP                                 | HF Sinclair Corp                                                                | CUSIP: 403949AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     56000 | PA      | $54851.21     | 0.04%             | 2023-10-01      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 3617UHAE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    260498 | PA      | $244089.79    | 0.18%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Boston Scientific Corp                           | Boston Scientific Corp                                                          | CUSIP: 101137107<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | EC               | CORP              | US        |     36439 | NS      | $1649593.53   | 1.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140LGFW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160000 | PA      | $150736.14    | 0.11%             | 2032-01-01      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 3617XRCV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    152589 | PA      | $141727.36    | 0.11%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                         | Ajax Mortgage Loan Trust 2021-B                                                 | CUSIP: 00970LAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105533 | PA      | $96539.41     | 0.07%             | 2066-06-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| UDR INC                                          | UDR Inc                                                                         | CUSIP: 90265EAT7<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              |  | US        |     57000 | PA      | $42328.71     | 0.03%             | 2032-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Baker Hughes Co                                  | Baker Hughes Co                                                                 | CUSIP: 05722G100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     55547 | NS      | $1611973.94   | 1.20%             |  |  |  | No            |                  1 | On Loan: No      |
| NXP Semiconductors NV                            | NXP Semiconductors NV                                                           | CUSIP: 000000000<br>LEI: 724500M9BY5293JDF951 | Long             | EC               | CORP              | NL        |     14591 | NS      | $2565681.44   | 1.91%             |  |  |  | No            |                  1 | On Loan: No      |
| Leidos Holdings Inc                              | Leidos Holdings Inc                                                             | CUSIP: 525327102<br>LEI: 549300IUTGTP6EJP8124 | Long             | EC               | CORP              | US        |      5803 | NS      | $634441.99    | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| Flagship Credit Auto Trust                       | Flagship Credit Auto Trust 2021-2                                               | CUSIP: 33844WAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     59285 | PA      | $58326.13     | 0.04%             | 2026-12-15      | Fixed         | 0.37%                 | No            |                  2 | On Loan: No      |
| Crossroads Asset Trust                           | Crossroads Asset Trust 2021-A                                                   | CUSIP: 22767CAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    205000 | PA      | $198988.83    | 0.15%             | 2025-06-20      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140MJLM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59118 | PA      | $52394.66     | 0.04%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co LLC                | Sierra Timeshare 2021-2 Receivables Funding LLC                                 | CUSIP: 82652RAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49361 | PA      | $45472.08     | 0.03%             | 2038-09-20      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                           | BP Capital Markets America Inc                                                  | CUSIP: 10373QBN9<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    145000 | PA      | $95872.18     | 0.07%             | 2050-11-10      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC                   | VCAT 2021-NPL2 LLC                                                              | CUSIP: 91822YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57185 | PA      | $51694.54     | 0.04%             | 2051-03-27      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| Lowe's Cos Inc                                   | Lowe's Cos Inc                                                                  | CUSIP: 548661107<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | EC               | CORP              | US        |      4031 | NS      | $856789.05    | 0.64%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140HT2W8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160000 | PA      | $151463.46    | 0.11%             | 2026-08-01      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140QM4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120959 | PA      | $103976.44    | 0.08%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                   | Air Lease Corp                                                                  | CUSIP: 00914AAM4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8743.64      | 0.01%             | 2026-08-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140MHL80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69162 | PA      | $65730.50     | 0.05%             | 2052-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust              | Exeter Automobile Receivables Trust 2021-2                                      | CUSIP: 30166RAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    213367 | PA      | $208116.59    | 0.15%             | 2026-01-15      | Fixed         | 0.74%                 | No            |                  2 | On Loan: No      |
| JETBLUE 2020-1 CLASS B                           | JetBlue 2020-1 Class B Pass Through Trust                                       | CUSIP: 477164AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     41149 | PA      | $39865.62     | 0.03%             | 2028-11-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                       | Progress Residential 2020-SFR1 Trust                                            | CUSIP: 74331CAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    115000 | PA      | $104460.41    | 0.08%             | 2037-04-17      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| GRAY OAK PIPELINE LLC                            | Gray Oak Pipeline LLC                                                           | CUSIP: 38937LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    139000 | PA      | $126107.48    | 0.09%             | 2025-10-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp                            | Norfolk Southern Corp                                                           | CUSIP: 655844108<br>LEI: 54930036C8MWP850MI84 | Long             | EC               | CORP              | US        |      5930 | NS      | $1521045.00   | 1.13%             |  |  |  | No            |                  1 | On Loan: No      |
| MACQUARIE GROUP LTD                              | Macquarie Group Ltd                                                             | CUSIP: 55608JAZ1<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    100000 | PA      | $76740.39     | 0.06%             | 2033-01-14      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp                                   | Microsoft Corp                                                                  | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |     25850 | NS      | $6595369.00   | 4.91%             |  |  |  | No            |                  1 | On Loan: No      |
| Business Jet Securities, LLC                     | Business Jet Securities 2021-1 LLC                                              | CUSIP: 12327BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     89021 | PA      | $77485.54     | 0.06%             | 2036-04-15      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| NORDSTROM INC                                    | Nordstrom Inc                                                                   | CUSIP: 655664AY6<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |     47000 | PA      | $36497.38     | 0.03%             | 2031-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 36241L4J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32959 | PA      | $32477.29     | 0.02%             | 2031-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE INSURANCE                          | New York Life Insurance Co                                                      | CUSIP: 64952GAT5<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |     68000 | PA      | $52166.81     | 0.04%             | 2050-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                               | Energy Transfer LP                                                              | CUSIP: 292480AK6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     50000 | PA      | $47816.22     | 0.04%             | 2027-03-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                     | AutoZone Inc                                                                    | CUSIP: 053332AY8<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |     84000 | PA      | $81689.56     | 0.06%             | 2025-04-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140MDKH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158806 | PA      | $147968.51    | 0.11%             | 2052-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MID-AMERICA APARTMENTS                           | Mid-America Apartments LP                                                       | CUSIP: 59523UAN7<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              |  | US        |     19000 | PA      | $18059.74     | 0.01%             | 2027-06-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| NEW ENGLAND POWER CO                             | New England Power Co                                                            | CUSIP: 644188BG8<br>LEI: 549300DTVRGN9GYD5U85 | Long             | DBT              | CORP              | US        |     58000 | PA      | $35972.64     | 0.03%             | 2050-10-06      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140X6PC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95670 | PA      | $85990.42     | 0.06%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                   | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    270000 | PA      | $243916.42    | 0.18%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140M4M54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58813 | PA      | $52133.47     | 0.04%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Trane Technologies PLC                           | Trane Technologies PLC                                                          | CUSIP: 000000000<br>LEI: 549300BURLR9SLYY2705 | Long             | EC               | CORP              | IE        |      7392 | NS      | $1318880.64   | 0.98%             |  |  |  | No            |                  1 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                         | Capital One Financial Corp                                                      | CUSIP: 14040HBW4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     94000 | PA      | $87826.76     | 0.07%             | 2028-01-31      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FXDJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80267 | PA      | $77532.67     | 0.06%             | 2056-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                                   | CPS Auto Receivables Trust 2021-B                                               | CUSIP: 12656QAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $96525.32     | 0.07%             | 2027-03-15      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                     | WP Carey Inc                                                                    | CUSIP: 92936UAG4<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              |  | US        |    141000 | PA      | $112112.94    | 0.08%             | 2031-02-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| EQUINIX INC                                      | Equinix Inc                                                                     | CUSIP: 29444UBD7<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              |  | US        |     85000 | PA      | $77692.47     | 0.06%             | 2026-11-18      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| NVIDIA Corp                                      | NVIDIA Corp                                                                     | CUSIP: 67066G104<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | EC               | CORP              | US        |      4461 | NS      | $754935.03    | 0.56%             |  |  |  | No            |                  1 | On Loan: No      |
| HEALTHCARE RLTY HLDGS LP                         | Healthcare Realty Holdings LP                                                   | CUSIP: 42225UAH7<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              |  | US        |     56000 | PA      | $42536.41     | 0.03%             | 2031-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                       | AMSR 2020-SFR4 Trust                                                            | CUSIP: 66981FAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $87163.03     | 0.06%             | 2037-11-17      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 3617W0AP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48396 | PA      | $43821.94     | 0.03%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY COMPANY/THE                          | Walt Disney Co/The                                                              | CUSIP: 254687FY7<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |     96000 | PA      | $78954.96     | 0.06%             | 2040-05-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                             | FREMF 2017-KGS1 Mortgage Trust                                                  | CUSIP: 30305QAG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     65000 | PA      | $58069.40     | 0.04%             | 2027-10-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                       | Flagship Credit Auto Trust 2021-1                                               | CUSIP: 33843WAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     65000 | PA      | $63114.02     | 0.05%             | 2027-02-16      | Fixed         | 0.68%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN INC                                     | 7-Eleven Inc                                                                    | CUSIP: 817826AA8<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |     85000 | PA      | $84247.75     | 0.06%             | 2023-02-10      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                              | Global Payments Inc                                                             | CUSIP: 37940XAB8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     27000 | PA      | $23070.88     | 0.02%             | 2029-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust              | Exeter Automobile Receivables Trust 2022-5                                      | CUSIP: 30167FAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75000 | PA      | $74864.67     | 0.06%             | 2027-12-15      | Fixed         | 6.51%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes           | NRZ Excess Spread-Collateralized Notes                                          | CUSIP: 64830YAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     95247 | PA      | $84409.64     | 0.06%             | 2026-03-25      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    305000 | PA      | $279027.34    | 0.21%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                         | Discovery Communications LLC                                                    | CUSIP: 25470DBJ7<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |     94000 | PA      | $79191.04     | 0.06%             | 2030-05-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Eaton Corp                                       | Eaton Corp                                                                      | CUSIP: 278062AE4<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |     30000 | PA      | $26128.98     | 0.02%             | 2042-11-02      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138LJZP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85000 | PA      | $76330.80     | 0.06%             | 2032-07-01      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140LHWQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113000 | PA      | $117631.55    | 0.09%             | 2032-10-01      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 91282CEM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    276000 | PA      | $261553.13    | 0.19%             | 2029-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION EN GEN LLC                         | Constellation Energy Generation LLC                                             | CUSIP: 30161MAS2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    299000 | PA      | $287045.65    | 0.21%             | 2025-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                             | Targa Resources Corp                                                            | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17489.60     | 0.01%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                     | Veros Auto Receivables Trust 2021-1                                             | CUSIP: 92512BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27422 | PA      | $26950.22     | 0.02%             | 2026-10-15      | Fixed         | 0.92%                 | No            |                  2 | On Loan: No      |
| SAFEHOLD OPERATING PARTN                         | Safehold Operating Partnership LP                                               | CUSIP: 78646UAB5<br>LEI: 54930012UY5Z4Q8NL108 | Long             | DBT              |  | US        |     46000 | PA      | $35333.26     | 0.03%             | 2032-01-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| SCHLUMBERGER HLDGS CORP                          | Schlumberger Holdings Corp                                                      | CUSIP: 806851AG6<br>LEI: 529900IKZG65COT1D505 | Long             | DBT              | CORP              | US        |     65000 | PA      | $63251.47     | 0.05%             | 2025-12-21      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     30000 | PA      | $24812.11     | 0.02%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                        | BPR Trust 2021-KEN                                                              | CUSIP: 05591QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145000 | PA      | $140756.63    | 0.10%             | 2029-02-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140MDJT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171618 | PA      | $152797.73    | 0.11%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                             | Keurig Dr Pepper Inc                                                            | CUSIP: 49271VAJ9<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     73000 | PA      | $64292.55     | 0.05%             | 2030-05-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Coca-Cola Co/The                                 | Coca-Cola Co/The                                                                | CUSIP: 191216100<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | EC               | CORP              | US        |     28278 | NS      | $1798763.58   | 1.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140LF5T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107000 | PA      | $97483.73     | 0.07%             | 2033-03-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140LGZJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210000 | PA      | $205724.84    | 0.15%             | 2029-01-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                              | American Tower Corp                                                             | CUSIP: 03027XBD1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     88000 | PA      | $58160.95     | 0.04%             | 2050-06-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133A1QZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122369 | PA      | $113787.02    | 0.08%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3132WVA46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    249665 | PA      | $231264.07    | 0.17%             | 2032-08-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                         | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     35000 | PA      | $23659.26     | 0.02%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OKLAHOMA G&E CO                                  | Oklahoma Gas and Electric Co                                                    | CUSIP: 678858BW0<br>LEI: 549300VJ8YXGPO8EV472 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19572.28     | 0.01%             | 2023-05-26      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    649000 | PA      | $624282.22    | 0.46%             | 2029-08-31      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                          | Bristol-Myers Squibb Co                                                         | CUSIP: 110122CQ9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     48000 | PA      | $43581.03     | 0.03%             | 2039-06-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 3617W0AQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102142 | PA      | $93434.07     | 0.07%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LEIDOS INC                                       | Leidos Inc                                                                      | CUSIP: 52532XAH8<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    141000 | PA      | $109176.86    | 0.08%             | 2031-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                   | Home Partners of America 2021-3 Trust                                           | CUSIP: 43730XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     93530 | PA      | $77526.14     | 0.06%             | 2041-01-17      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                   | CFMT 2021-HB5 LLC                                                               | CUSIP: 12526PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179249 | PA      | $172097.14    | 0.13%             | 2031-02-25      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                               | Seasoned Credit Risk Transfer Trust Series 2019-4                               | CUSIP: 35563PMT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     56712 | PA      | $54268.95     | 0.04%             | 2059-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORP                                | Atmos Energy Corp                                                               | CUSIP: 049560AW5<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |     35000 | PA      | $23043.33     | 0.02%             | 2052-02-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY RES                           | CenterPoint Energy Resources Corp                                               | CUSIP: 15189YAF3<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |    141000 | PA      | $112553.25    | 0.08%             | 2030-10-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 3617V7VQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    427966 | PA      | $397505.60    | 0.30%             | 2051-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                           | Verizon Communications Inc                                                      | CUSIP: 92343VFE9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    151000 | PA      | $134022.83    | 0.10%             | 2030-03-22      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| MEDSTAR HEALTH INC                               | MedStar Health Inc                                                              | CUSIP: 58506YAS1<br>LEI: 549300ICFOCGDEPVJE31 | Long             | DBT              | CORP              | US        |     46000 | PA      | $33174.96     | 0.02%             | 2049-08-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138L5FA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70142 | PA      | $68924.32     | 0.05%             | 2025-12-01      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust              | Exeter Automobile Receivables Trust 2021-1                                      | CUSIP: 30165XAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     95000 | PA      | $90656.40     | 0.07%             | 2026-06-15      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                              | Macquarie Group Ltd                                                             | CUSIP: 55608JBL1<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |     35000 | PA      | $35202.70     | 0.03%             | 2024-11-22      | Fixed         | 6.21%                 | No            |                  2 | On Loan: No      |
| Crossroads Asset Trust                           | Crossroads Asset Trust 2021-A                                                   | CUSIP: 22767CAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18932 | PA      | $18755.99     | 0.01%             | 2024-03-20      | Fixed         | 0.82%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                            | Wells Fargo & Co                                                                | CUSIP: 95000U2Z5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     80000 | PA      | $71072.07     | 0.05%             | 2053-04-25      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                 | BAT Capital Corp                                                                | CUSIP: 05526DBR5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    113000 | PA      | $94726.31     | 0.07%             | 2028-03-25      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                         | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     47000 | PA      | $42643.62     | 0.03%             | 2026-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                 | Altria Group Inc                                                                | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     50000 | PA      | $37906.20     | 0.03%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| USASF Receivables LLC                            | US Auto Funding 2021-1                                                          | CUSIP: 90355EAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $98092.89     | 0.07%             | 2025-03-17      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                           | Roper Technologies Inc                                                          | CUSIP: 776743AL0<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |     29000 | PA      | $22502.94     | 0.02%             | 2031-02-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Oportun Funding LLC                              | Oportun Funding XIV LLC                                                         | CUSIP: 68377BAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    245000 | PA      | $223897.46    | 0.17%             | 2028-03-08      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC                         | Thermo Fisher Scientific Inc                                                    | CUSIP: 883556CL4<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |     40000 | PA      | $32815.73     | 0.02%             | 2031-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140FXPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85667 | PA      | $79203.41     | 0.06%             | 2059-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                         | AT&T Inc                                                                        | CUSIP: 00206RJZ6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     87000 | PA      | $66475.07     | 0.05%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TJX Cos Inc/The                                  | TJX Cos Inc/The                                                                 | CUSIP: 872540109<br>LEI: V167QI9I69W364E2DY52 | Long             | EC               | CORP              | US        |     10418 | NS      | $833960.90    | 0.62%             |  |  |  | No            |                  1 | On Loan: No      |
| Business Jet Securities, LLC                     | Business Jet Securities 2021-1 LLC                                              | CUSIP: 12327BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120801 | PA      | $98105.62     | 0.07%             | 2036-04-15      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                            | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     30000 | PA      | $24521.23     | 0.02%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitization Trust          | Lendingpoint 2021-B Asset Securitization Trust                                  | CUSIP: 52607HAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $93611.23     | 0.07%             | 2029-02-15      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                            | Southern California Gas Co                                                      | CUSIP: 842434CX8<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |     25000 | PA      | $28244.96     | 0.02%             | 2052-11-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140LEXU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $343319.15    | 0.26%             | 2029-10-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 3617W0AN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48073 | PA      | $43558.08     | 0.03%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138LEGT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151246 | PA      | $142050.42    | 0.11%             | 2026-07-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                            | Athene Global Funding                                                           | CUSIP: 04685A2J9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     56000 | PA      | $53264.21     | 0.04%             | 2024-06-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                         | Microchip Technology Inc                                                        | CUSIP: 595017BC7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7396.82      | 0.01%             | 2024-09-01      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 3617V7V88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    170433 | PA      | $154657.26    | 0.12%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RPM INTERNATIONAL INC                            | RPM International Inc                                                           | CUSIP: 749685AY9<br>LEI: 549300TJCKW4BRXPJ474 | Long             | DBT              | CORP              | US        |     37000 | PA      | $29414.51     | 0.02%             | 2032-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                             | Fannie Mae REMIC Trust 2002-W3                                                  | CUSIP: 31392CT61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     94442 | PA      | $97096.64     | 0.07%             | 2041-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Intuitive Surgical Inc                           | Intuitive Surgical Inc                                                          | CUSIP: 46120E602<br>LEI: 54930052SRG011710797 | Long             | EC               | CORP              | US        |      3282 | NS      | $887419.98    | 0.66%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                           | United States Treasury Strip Coupon                                             | CUSIP: 912834KH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    450000 | PA      | $213126.45    | 0.16%             | 2041-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138L5KB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35774 | PA      | $35142.17     | 0.03%             | 2030-11-01      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| CGI INC                                          | CGI Inc                                                                         | CUSIP: 12532HAF1<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |     42000 | PA      | $32292.08     | 0.02%             | 2031-09-14      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                               | Seasoned Credit Risk Transfer Trust Series 2018-1                               | CUSIP: 35563PEL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    114947 | PA      | $108391.76    | 0.08%             | 2057-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                  | MVW 2021-2 LLC                                                                  | CUSIP: 55400KAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    122840 | PA      | $108746.98    | 0.08%             | 2039-05-20      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                      | Diamond Resorts Owner Trust 2021-1                                              | CUSIP: 25273CAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     87198 | PA      | $80314.00     | 0.06%             | 2033-11-21      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| Mastercard Inc                                   | Mastercard Inc                                                                  | CUSIP: 57636Q104<br>LEI: AR5L2ODV9HN37376R084 | Long             | EC               | CORP              | US        |      6818 | NS      | $2429935.20   | 1.81%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                   | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     15000 | PA      | $11786.74     | 0.01%             | 2032-11-03      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs. | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FARG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9501674 | PA      | $66776.82     | 0.05%             | 2024-07-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                                   | CPS Auto Receivables Trust 2022-C                                               | CUSIP: 12664DAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120000 | PA      | $117221.36    | 0.09%             | 2030-04-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 3622AAXX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    213363 | PA      | $196123.47    | 0.15%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FELLS POINT FUNDING TR                           | Fells Point Funding Trust                                                       | CUSIP: 314382AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $91036.65     | 0.07%             | 2027-01-31      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                       | FIXED INC CLEARING CORP.REPO                                                    | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |   2627218 | PA      | $2627217.66   | 1.96%             |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO                                        | Boeing Co/The                                                                   | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4545.08      | 0.00%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                             | FirstKey Homes 2022-SFR1 Trust                                                  | CUSIP: 33768NAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $85653.43     | 0.06%             | 2039-05-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133APKA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96850 | PA      | $86324.14     | 0.06%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                  | CVS Health Corp                                                                 | CUSIP: 126650DP2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     94000 | PA      | $66152.06     | 0.05%             | 2040-08-21      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                      | Oracle Corp                                                                     | CUSIP: 68389XBP9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     70000 | PA      | $55435.50     | 0.04%             | 2037-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Emera US Finance LP                              | Emera US Finance LP                                                             | CUSIP: 29103DAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    174000 | PA      | $137802.48    | 0.10%             | 2046-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FLEX INTERMEDIATE HOLDCO                         | Flex Intermediate Holdco LLC                                                    | CUSIP: 33939HAA7<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |     25000 | PA      | $19949.56     | 0.01%             | 2031-06-30      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                          | MPLX LP                                                                         | CUSIP: 55336VBQ2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     69000 | PA      | $56623.23     | 0.04%             | 2030-08-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                       | Upstart Pass-Through Trust Series 2021-ST2                                      | CUSIP: 91682CAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41370 | PA      | $38939.51     | 0.03%             | 2027-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 3617ULWC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    195543 | PA      | $176694.93    | 0.13%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                        | Towd Point Mortgage Trust 2021-R1                                               | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    225484 | PA      | $181997.18    | 0.14%             | 2060-11-30      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                            | CUSIP: 06051GKJ7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     25000 | PA      | $22365.22     | 0.02%             | 2028-02-04      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                               | CUSIP: 3136B27G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177887 | PA      | $170757.78    | 0.13%             | 2031-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Tesla Inc                                        | Tesla Inc                                                                       | CUSIP: 88160R101<br>LEI: 54930043XZGB27CTOV49 | Long             | EC               | CORP              | US        |      8272 | NS      | $1610558.40   | 1.20%             |  |  |  | No            |                  1 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                         | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     78000 | PA      | $63089.91     | 0.05%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                               | Seasoned Credit Risk Transfer Trust Series 2019-3                               | CUSIP: 35563PLJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    125000 | PA      | $108067.69    | 0.08%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                       | US Bancorp                                                                      | CUSIP: 902973304<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | EC               | CORP              | US        |     28287 | NS      | $1283946.93   | 0.96%             |  |  |  | No            |                  1 | On Loan: No      |
| DELL INT LLC / EMC CORP                          | Dell International LLC / EMC Corp                                               | CUSIP: 24703TAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    141000 | PA      | $144993.78    | 0.11%             | 2030-07-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140LHSH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155000 | PA      | $151533.22    | 0.11%             | 2032-11-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                       | VMware Inc                                                                      | CUSIP: 928563AJ4<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     47000 | PA      | $41335.04     | 0.03%             | 2026-08-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                               | Seasoned Credit Risk Transfer Trust Series 2019-1                               | CUSIP: 35563PJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     51641 | PA      | $46427.70     | 0.03%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 3617V7V96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    149471 | PA      | $135556.06    | 0.10%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                          | HCA Inc                                                                         | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9118.11      | 0.01%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                         | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    150000 | PA      | $126733.41    | 0.09%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                   | Pagaya AI Debt Selection Trust 2021-HG1                                         | CUSIP: 69547PAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    113055 | PA      | $106323.87    | 0.08%             | 2029-01-16      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     10000 | PA      | $7286.16      | 0.01%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| UNIVERSAL HEALTH SVCS                            | Universal Health Services Inc                                                   | CUSIP: 913903AV2<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1598.98      | 0.00%             | 2030-10-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                             | LHOME Mortgage Trust 2021-RTL1                                                  | CUSIP: 501894AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $188477.76    | 0.14%             | 2026-09-25      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                             | FREMF 2016-K56 Mortgage Trust                                                   | CUSIP: 30289UAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50000 | PA      | $47317.51     | 0.04%             | 2049-06-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                   | Fannie Mae-Aces                                                                 | CUSIP: 3136BDXP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54671 | PA      | $50961.80     | 0.04%             | 2033-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK PROPERTIES                            | Healthpeak Properties Inc                                                       | CUSIP: 42250PAD5<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              |  | US        |     38000 | PA      | $32025.16     | 0.02%             | 2028-12-01      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                   | Mariner Finance Issuance Trust 2021-A                                           | CUSIP: 56848DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    130000 | PA      | $110987.70    | 0.08%             | 2036-03-20      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| PacifiCorp                                       | PacifiCorp                                                                      | CUSIP: 695114CV8<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    183000 | PA      | $152090.16    | 0.11%             | 2050-02-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| PG&E Corp                                        | PG&E Corp                                                                       | CUSIP: 69331C108<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | EC               | CORP              | US        |     22488 | NS      | $353061.60    | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| SABRA HEALTH CARE LP                             | Sabra Health Care LP                                                            | CUSIP: 78574MAA1<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              |  | US        |     25000 | PA      | $18746.02     | 0.01%             | 2031-12-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                             | FREMF 2016-K58 Mortgage Trust                                                   | CUSIP: 35690AAS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    260000 | PA      | $242489.23    | 0.18%             | 2049-09-25      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| NGPL PIPECO LLC                                  | NGPL PipeCo LLC                                                                 | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |     25000 | PA      | $20456.13     | 0.02%             | 2031-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Aligned Data Centers Issuer LLC                  | Aligned Data Centers Issuer LLC                                                 | CUSIP: 01627AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     95000 | PA      | $80381.97     | 0.06%             | 2046-08-15      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 91282CFH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    580000 | PA      | $562282.81    | 0.42%             | 2027-08-31      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| STEEL DYNAMICS INC                               | Steel Dynamics Inc                                                              | CUSIP: 858119BN9<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |     56000 | PA      | $47001.09     | 0.03%             | 2027-10-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 91282CBC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    290000 | PA      | $259629.30    | 0.19%             | 2025-12-31      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                 | Deutsche Bank AG/New York NY                                                    | CUSIP: 25160PAH0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    150000 | PA      | $125930.93    | 0.09%             | 2028-01-07      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                              | DT Auto Owner Trust 2022-2                                                      | CUSIP: 23345AAG8<br>LEI: 549300XVMF0FUK76JG97 | Long             | ABS-O            | CORP              | US        |     55000 | PA      | $51782.19     | 0.04%             | 2028-03-15      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140MPSD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59740 | PA      | $61564.57     | 0.05%             | 2052-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140KT3T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    267388 | PA      | $256144.82    | 0.19%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD                         | Alimentation Couche-Tard Inc                                                    | CUSIP: 01626PAQ9<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     35000 | PA      | $23988.58     | 0.02%             | 2051-05-13      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                       | AbbVie Inc                                                                      | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     47000 | PA      | $42909.97     | 0.03%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                | General Motors Co                                                               | CUSIP: 37045VAU4<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    100000 | PA      | $105009.97    | 0.08%             | 2027-10-01      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                          | HCA Inc                                                                         | CUSIP: 404119BT5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    158000 | PA      | $156746.37    | 0.12%             | 2026-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                       | Progress Residential 2021-SFR2 Trust                                            | CUSIP: 74333DAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    267000 | PA      | $224180.30    | 0.17%             | 2038-04-19      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| SMITHFIELD FOODS INC                             | Smithfield Foods Inc                                                            | CUSIP: 832248BC1<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |    122000 | PA      | $93945.90     | 0.07%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                    | Citigroup Inc                                                                   | CUSIP: 172967LU3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     67000 | PA      | $56027.22     | 0.04%             | 2039-01-24      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140JVQQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55147 | PA      | $53282.15     | 0.04%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitization Trust          | Lendingpoint 2021-A Asset Securitization Trust                                  | CUSIP: 52607FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7091 | PA      | $7077.63      | 0.01%             | 2028-12-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                               | Seasoned Credit Risk Transfer Trust Series 2019-3                               | CUSIP: 35563PLQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    155790 | PA      | $149022.45    | 0.11%             | 2058-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                   | Morgan Stanley                                                                  | CUSIP: 61744YAR9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    110000 | PA      | $97833.40     | 0.07%             | 2039-04-22      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 21-1B PTT                           | American Airlines 2021-1 Class B Pass Through Trust                             | CUSIP: 02376LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    104000 | PA      | $84897.57     | 0.06%             | 2030-07-11      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| ACC Auto Trust                                   | ACC Auto Trust 2021-A                                                           | CUSIP: 00108XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22448 | PA      | $22094.54     | 0.02%             | 2027-04-15      | Fixed         | 1.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 3617MKP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    211449 | PA      | $182235.27    | 0.14%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                       | Zoetis Inc                                                                      | CUSIP: 98978VAV5<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |     41000 | PA      | $42970.43     | 0.03%             | 2032-11-16      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| KRAFT HEINZ FOODS CO                             | Kraft Heinz Foods Co                                                            | CUSIP: 50077LAX4<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |     40000 | PA      | $35815.48     | 0.03%             | 2039-10-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    421000 | PA      | $269407.11    | 0.20%             | 2040-05-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133A7RS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    202092 | PA      | $174256.98    | 0.13%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust          | United Auto Credit Securitization Trust                                         | CUSIP: 90943UAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     90394 | PA      | $89529.23     | 0.07%             | 2026-06-10      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                              | DT Auto Owner Trust 2019-4                                                      | CUSIP: 23343JAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     85000 | PA      | $83822.55     | 0.06%             | 2025-07-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Deere & Co                                       | Deere & Co                                                                      | CUSIP: 244199105<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | EC               | CORP              | US        |      3350 | NS      | $1477350.00   | 1.10%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 91282CEU1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    565000 | PA      | $547520.31    | 0.41%             | 2025-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    160000 | PA      | $152450.00    | 0.11%             | 2027-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3138LKK55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139000 | PA      | $124683.88    | 0.09%             | 2032-10-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Strip Coupon                                             | CUSIP: 912833PD6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    310000 | PA      | $260245.47    | 0.19%             | 2027-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Meta Platforms Inc                               | Meta Platforms Inc                                                              | CUSIP: 30303M102<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | EC               | CORP              | US        |      1357 | NS      | $160261.70    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140LHSL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140000 | PA      | $133373.70    | 0.10%             | 2032-10-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee            | VOLT XCV LLC                                                                    | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    124445 | PA      | $115886.51    | 0.09%             | 2051-03-27      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| Verizon Communications Inc                       | Verizon Communications Inc                                                      | CUSIP: 92343V104<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | EC               | CORP              | US        |     26050 | NS      | $1015429.00   | 0.76%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED AIR 2016-1 B PTT                          | United Airlines 2016-1 Class B Pass Through Trust                               | CUSIP: 90933HAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     51010 | PA      | $45946.34     | 0.03%             | 2026-01-07      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133B2F38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59226 | PA      | $56081.03     | 0.04%             | 2052-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ACTIVISION BLIZZARD                              | Activision Blizzard Inc                                                         | CUSIP: 00507VAP4<br>LEI: 549300TPQQDBP9GNOF40 | Long             | DBT              | CORP              | US        |     28000 | PA      | $22128.76     | 0.02%             | 2030-09-15      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| HASBRO INC                                       | Hasbro Inc                                                                      | CUSIP: 418056AZ0<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |     47000 | PA      | $42387.79     | 0.03%             | 2029-11-19      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 3617V7VU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63093 | PA      | $57011.87     | 0.04%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| XILINX INC                                       | Xilinx Inc                                                                      | CUSIP: 983919AK7<br>LEI: 6EY4K7ZMF9UX1CU6KC79 | Long             | DBT              | CORP              | US        |     71000 | PA      | $60394.90     | 0.04%             | 2030-06-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                             | FirstKey Homes 2021-SFR2 Trust                                                  | CUSIP: 33767TAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    155000 | PA      | $128723.92    | 0.10%             | 2038-09-17      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                               | Seasoned Credit Risk Transfer Trust Series 2018-4                               | CUSIP: 35563PHK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    164586 | PA      | $158291.97    | 0.12%             | 2058-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY                           | PG&E Wildfire Recovery Funding LLC                                              | CUSIP: 693342AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     20000 | PA      | $18699.63     | 0.01%             | 2036-06-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 3617UP4S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    321725 | PA      | $284360.78    | 0.21%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Grantor Trust                          | Fannie Mae Grantor Trust 2002-T4                                                | CUSIP: 31392B6T8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10603 | PA      | $10964.49     | 0.01%             | 2041-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                   | Home Depot Inc/The                                                              | CUSIP: 437076CT7<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     23000 | PA      | $22760.77     | 0.02%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: —       |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 91282CCE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    214000 | PA      | $186957.42    | 0.14%             | 2028-05-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                         | Vistra Operations Co LLC                                                        | CUSIP: 92840VAK8<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     63000 | PA      | $61535.25     | 0.05%             | 2024-05-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| CORPORATE OFFICE PROP LP                         | Corporate Office Properties LP                                                  | CUSIP: 22003BAM8<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              |  | US        |     36000 | PA      | $27200.86     | 0.02%             | 2031-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                               | Seasoned Credit Risk Transfer Trust Series 2019-2                               | CUSIP: 35563PKL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    166232 | PA      | $159022.09    | 0.12%             | 2058-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                         | Octane Receivables Trust 2021-1                                                 | CUSIP: 67571AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43488 | PA      | $41909.61     | 0.03%             | 2027-03-22      | Fixed         | 0.93%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Strip Coupon                                             | CUSIP: 912833QB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    900000 | PA      | $743079.90    | 0.55%             | 2027-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: —       |
| Vericrest Opportunity Loan Transferee            | VOLT XCIII LLC                                                                  | CUSIP: 92873CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    242374 | PA      | $216993.72    | 0.16%             | 2051-02-27      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2016-2 B PTT                          | United Airlines 2016-2 Class B Pass Through Trust                               | CUSIP: 90933JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     45741 | PA      | $40150.61     | 0.03%             | 2025-10-07      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                             | Edison International                                                            | CUSIP: 281020AN7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     17000 | PA      | $17179.88     | 0.01%             | 2027-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    515000 | PA      | $371906.45    | 0.28%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                         | Enterprise Products Operating LLC                                               | CUSIP: 29379VAY9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     50000 | PA      | $42456.87     | 0.03%             | 2043-02-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| UNION ELECTRIC CO                                | Union Electric Co                                                               | CUSIP: 906548CU4<br>LEI: QMPJLLDULY5C1M8PNY21 | Long             | DBT              | CORP              | US        |     27000 | PA      | $22028.28     | 0.02%             | 2052-04-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| LYB INT FINANCE III                              | LYB International Finance III LLC                                               | CUSIP: 50249AAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    138000 | PA      | $122806.93    | 0.09%             | 2025-10-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes           | NRZ Excess Spread-Collateralized Notes                                          | CUSIP: 62955WAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    146124 | PA      | $129258.12    | 0.10%             | 2026-05-25      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                     | CSMC 2021-RPL1 Trust                                                            | CUSIP: 12660KAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    126879 | PA      | $118755.97    | 0.09%             | 2060-09-27      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    165000 | PA      | $141281.25    | 0.11%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHF Trust 2021-1                                 | FHF Trust 2021-1                                                                | CUSIP: 30260WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28839 | PA      | $27536.68     | 0.02%             | 2027-03-15      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 91282CEW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    345000 | PA      | $336024.61    | 0.25%             | 2027-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 3617V7WL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30142 | PA      | $27317.50     | 0.02%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer LLC                              | DataBank Issuer                                                                 | CUSIP: 23802WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    175000 | PA      | $150930.57    | 0.11%             | 2051-02-27      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                         | AT&T Inc                                                                        | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     30000 | PA      | $21042.27     | 0.02%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities, LLC                     | Business Jet Securities 2022-1 LLC                                              | CUSIP: 12327AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     94072 | PA      | $85787.22     | 0.06%             | 2037-06-15      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                               | Energy Transfer LP                                                              | CUSIP: 86765BAT6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     78000 | PA      | $73624.45     | 0.05%             | 2026-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| KLA CORP                                         | KLA Corp                                                                        | CUSIP: 482480AJ9<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    105000 | PA      | $78655.21     | 0.06%             | 2050-03-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                               | CUSIP: 3136B32G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224141 | PA      | $213626.42    | 0.16%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust               | Tricolor Auto Securitization Trust 2021-1                                       | CUSIP: 89615BAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120000 | PA      | $119237.75    | 0.09%             | 2024-06-17      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1303000 | PA      | $827557.70    | 0.62%             | 2040-08-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140MLP53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68013 | PA      | $66712.14     | 0.05%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140MNDD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93906 | PA      | $92823.24     | 0.07%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PG&E RECOVERY FND LLC                            | PG&E Recovery Funding LLC                                                       | CUSIP: 71710TAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $30273.81     | 0.02%             | 2047-07-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                           | Verizon Communications Inc                                                      | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     57000 | PA      | $39457.85     | 0.03%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                 | BAT Capital Corp                                                                | CUSIP: 05526DBT1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     38000 | PA      | $26777.00     | 0.02%             | 2040-09-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                              | Elevance Health Inc                                                             | CUSIP: 036752AN3<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     57000 | PA      | $47601.17     | 0.04%             | 2030-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                           | Brixmor Operating Partnership LP                                                | CUSIP: 11120VAL7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |     15000 | PA      | $11368.07     | 0.01%             | 2031-08-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GVR2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    440000 | PA      | $431408.92    | 0.32%             | 2025-10-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                         | International Flavors & Fragrances Inc                                          | CUSIP: 459506AS0<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |    112000 | PA      | $76990.98     | 0.06%             | 2050-12-01      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                       | AMSR 2020-SFR2 Trust                                                            | CUSIP: 00178UAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    145000 | PA      | $132907.80    | 0.10%             | 2037-07-17      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 3622AAAB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    115906 | PA      | $111597.30    | 0.08%             | 2038-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16-3 AA PTT                         | American Airlines 2016-3 Class AA Pass Through Trust                            | CUSIP: 023771R91<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     58494 | PA      | $51603.57     | 0.04%             | 2028-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| REGENERON PHARMACEUTICAL                         | Regeneron Pharmaceuticals Inc                                                   | CUSIP: 75886FAE7<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | DBT              | CORP              | US        |     56000 | PA      | $43998.17     | 0.03%             | 2030-09-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                         | AT&T Inc                                                                        | CUSIP: 00206RJY9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    180000 | PA      | $151304.01    | 0.11%             | 2031-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust              | Exeter Automobile Receivables Trust 2022-4                                      | CUSIP: 30166BAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120000 | PA      | $111074.39    | 0.08%             | 2028-12-15      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 3617V7VT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43418 | PA      | $39419.04     | 0.03%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                   | Morgan Stanley                                                                  | CUSIP: 617446448<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | EC               | CORP              | US        |     21448 | NS      | $1996165.36   | 1.49%             |  |  |  | No            |                  1 | On Loan: No      |
| OTIS WORLDWIDE CORP                              | Otis Worldwide Corp                                                             | CUSIP: 68902VAL1<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |     67000 | PA      | $50350.64     | 0.04%             | 2040-02-15      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Pioneer Natural Resources Co                     | Pioneer Natural Resources Co                                                    | CUSIP: 723787107<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | EC               | CORP              | US        |      4562 | NS      | $1076586.38   | 0.80%             |  |  |  | No            |                  1 | On Loan: No      |
| Mission Lane Credit Card Master Trust            | Mission Lane Credit Card Master Trust                                           | CUSIP: 60510MAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110000 | PA      | $105888.85    | 0.08%             | 2026-09-15      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                      | Workday Inc                                                                     | CUSIP: 98138HAG6<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |     35000 | PA      | $33087.56     | 0.02%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                                 | SLG Office Trust 2021-OVA                                                       | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110000 | PA      | $88723.13     | 0.07%             | 2041-07-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3131XJLM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68106 | PA      | $63986.31     | 0.05%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PART                           | Brixmor Operating Partnership LP                                                | CUSIP: 11120VAK9<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              |  | US        |     30000 | PA      | $24829.43     | 0.02%             | 2028-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                              | Gilead Sciences Inc                                                             | CUSIP: 375558BS1<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    143000 | PA      | $102204.20    | 0.08%             | 2040-10-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                               | Seasoned Credit Risk Transfer Trust Series 2018-3                               | CUSIP: 35563PGL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    152555 | PA      | $145369.75    | 0.11%             | 2057-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Ameriprise Financial Inc                         | Ameriprise Financial Inc                                                        | CUSIP: 03076C106<br>LEI: 6ZLKQF7QB6JAEKQS5388 | Long             | EC               | CORP              | US        |      3347 | NS      | $1111036.65   | 0.83%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     25000 | PA      | $21886.09     | 0.02%             | 2027-10-21      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                         | Santander UK Group Holdings PLC                                                 | CUSIP: 80281LAR6<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $170258.87    | 0.13%             | 2028-01-11      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 91282CAY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    292000 | PA      | $249591.56    | 0.19%             | 2027-11-30      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                    | Lendbuzz Securitization Trust 2021-1                                            | CUSIP: 52607BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     74342 | PA      | $70617.22     | 0.05%             | 2026-06-15      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corp                            | Northrop Grumman Corp                                                           | CUSIP: 666807102<br>LEI: RIMU48P07456QXSO0R61 | Long             | EC               | CORP              | US        |      2148 | NS      | $1145506.92   | 0.85%             |  |  |  | No            |                  1 | On Loan: No      |
| FannieMae Whole Loan                             | Fannie Mae Trust 2002-W8                                                        | CUSIP: 31392DP89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     48182 | PA      | $50962.52     | 0.04%             | 2042-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                              | American Tower Corp                                                             | CUSIP: 03027XBK5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |     57000 | PA      | $36594.60     | 0.03%             | 2051-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                           | General Motors Financial Co Inc                                                 | CUSIP: 37045XDU7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28990.68     | 0.02%             | 2025-04-07      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust               | Regional Management Issuance Trust 2021-1                                       | CUSIP: 75907VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125000 | PA      | $112179.36    | 0.08%             | 2031-03-17      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                             | Glencore Funding LLC                                                            | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     75000 | PA      | $60860.52     | 0.05%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: —       |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                            | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     40000 | PA      | $31850.06     | 0.02%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    225000 | PA      | $196453.13    | 0.15%             | 2043-02-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitization Trust          | Lendingpoint 2021-B Asset Securitization Trust                                  | CUSIP: 52607HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35791 | PA      | $35272.87     | 0.03%             | 2029-02-15      | Fixed         | 1.11%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                   | S&P Global Inc                                                                  | CUSIP: 78409VAZ7<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     44000 | PA      | $42465.29     | 0.03%             | 2029-05-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ACRE COMMERCIAL MORTGAGE TRUST                   | ACRE Commercial Mortgage 2021-FL4 Ltd                                           | CUSIP: 00489TAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    110000 | PA      | $107260.12    | 0.08%             | 2037-12-18      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| ALEXANDER FUNDING TRUST                          | Alexander Funding Trust                                                         | CUSIP: 014621AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     74000 | PA      | $69773.27     | 0.05%             | 2023-11-15      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| Apple Inc                                        | Apple Inc                                                                       | CUSIP: 037833100<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | EC               | CORP              | US        |     27070 | NS      | $4007172.10   | 2.98%             |  |  |  | No            |                  1 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                          | Hyundai Capital America                                                         | CUSIP: 44891ABG1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    200000 | PA      | $177611.55    | 0.13%             | 2027-02-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| SABINE PASS LIQUEFACTION                         | Sabine Pass Liquefaction LLC                                                    | CUSIP: 785592AM8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     65000 | PA      | $65161.90     | 0.05%             | 2025-03-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140LAUW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $240877.43    | 0.18%             | 2031-01-01      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                               | Seasoned Credit Risk Transfer Trust Series 2018-2                               | CUSIP: 35563PFP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    180815 | PA      | $173605.83    | 0.13%             | 2057-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EXXON MOBIL CORPORATION                          | Exxon Mobil Corp                                                                | CUSIP: 30231GAY8<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |     86000 | PA      | $67373.92     | 0.05%             | 2039-08-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1139000 | PA      | $656882.66    | 0.49%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                                      | Nutrien Ltd                                                                     | CUSIP: 67077MAZ1<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |     27000 | PA      | $27311.84     | 0.02%             | 2024-11-07      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                   | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     21000 | PA      | $17261.06     | 0.01%             | 2033-01-25      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities, LLC                     | Business Jet Securities 2020-1 LLC                                              | CUSIP: 12327FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     88848 | PA      | $80526.05     | 0.06%             | 2035-11-15      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                   | Morgan Stanley                                                                  | CUSIP: 61761JZN2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    150000 | PA      | $144558.85    | 0.11%             | 2027-04-23      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140HY4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104628 | PA      | $82524.62     | 0.06%             | 2035-06-01      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Regeneron Pharmaceuticals Inc                    | Regeneron Pharmaceuticals Inc                                                   | CUSIP: 75886F107<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | EC               | CORP              | US        |      2418 | NS      | $1817610.60   | 1.35%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 3617UXCZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10370 | PA      | $9962.73      | 0.01%             | 2051-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                           | Mitsubishi UFJ Financial Group Inc                                              | CUSIP: 606822BH6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    130000 | PA      | $120046.75    | 0.09%             | 2029-03-07      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 3617UA5Y4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    184952 | PA      | $173801.65    | 0.13%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ACRE COMMERCIAL MORTGAGE TRUST                   | ACRE Commercial Mortgage 2021-FL4 Ltd                                           | CUSIP: 00489TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     75803 | PA      | $75152.52     | 0.06%             | 2037-12-18      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                              | CUSIP: 3137AEKV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38590 | PA      | $37555.29     | 0.03%             | 2041-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ACC Auto Trust                                   | ACC Auto Trust 2021-A                                                           | CUSIP: 00108XAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105000 | PA      | $100340.17    | 0.07%             | 2027-04-15      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee            | VOLT XCII LLC                                                                   | CUSIP: 91835MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87846 | PA      | $77779.51     | 0.06%             | 2051-02-27      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| ELARA HGV TIMESHARE ISSUER                       | Elara HGV Timeshare Issuer 2021-A LLC                                           | CUSIP: 28416LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     74131 | PA      | $65870.80     | 0.05%             | 2035-08-27      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee            | VOLT XCVI LLC                                                                   | CUSIP: 92873FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    152761 | PA      | $135933.26    | 0.10%             | 2051-03-27      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                             | Westpac Banking Corp                                                            | CUSIP: 961214EY5<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |     25000 | PA      | $16276.32     | 0.01%             | 2041-11-18      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                      | Viatris Inc                                                                     | CUSIP: 92556VAE6<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    153000 | PA      | $105392.20    | 0.08%             | 2040-06-22      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                 | BAT Capital Corp                                                                | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     20000 | PA      | $15754.04     | 0.01%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| GRAY OAK PIPELINE LLC                            | Gray Oak Pipeline LLC                                                           | CUSIP: 38937LAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     41000 | PA      | $36425.18     | 0.03%             | 2027-10-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    815000 | PA      | $701791.41    | 0.52%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC             | PRET 2021-RN4 LLC                                                               | CUSIP: 69359QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116797 | PA      | $102498.52    | 0.08%             | 2051-10-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                 | CUSIP: 3140L2YQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    261053 | PA      | $232098.56    | 0.17%             | 2051-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                        | Amgen Inc                                                                       | CUSIP: 031162CR9<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     68000 | PA      | $52282.17     | 0.04%             | 2040-02-21      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                           | Pacific Gas and Electric Co                                                     | CUSIP: 694308KA4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     60000 | PA      | $58181.98     | 0.04%             | 2024-02-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| HCA INC                                          | HCA Inc                                                                         | CUSIP: 404119CB3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      7000 | PA      | $4730.90      | 0.00%             | 2051-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                  | Republic Finance Issuance Trust 2021-A                                          | CUSIP: 76042UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    189000 | PA      | $168815.27    | 0.13%             | 2031-12-22      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Credito Real USA Auto Receivables Trust          | Credito Real USA Auto Receivables Trust 2021-1                                  | CUSIP: 22551EAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17378 | PA      | $16931.69     | 0.01%             | 2027-02-16      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| PARK AEROSPACE HOLDINGS                          | Park Aerospace Holdings Ltd                                                     | CUSIP: 70014LAB6<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |      7000 | PA      | $6897.04      | 0.01%             | 2024-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                | CUSIP: 3133AFNU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162623 | PA      | $139789.22    | 0.10%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    720000 | PA      | $477478.12    | 0.36%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD                         | Alimentation Couche-Tard Inc                                                    | CUSIP: 01626PAP1<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     35000 | PA      | $25265.05     | 0.02%             | 2041-05-13      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| S&P Global Inc                                   | S&P Global Inc                                                                  | CUSIP: 78409V104<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | EC               | CORP              | US        |      4529 | NS      | $1597831.20   | 1.19%             |  |  |  | No            |                  1 | On Loan: No      |
| TEACHERS INSUR & ANNUITY                         | Teachers Insurance & Annuity Association of America                             | CUSIP: 878091BG1<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |     58000 | PA      | $40895.15     | 0.03%             | 2050-05-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust            | PRPM 2021-2 LLC                                                                 | CUSIP: 69359UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165197 | PA      | $150895.53    | 0.11%             | 2026-03-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                   | Home Partners of America 2021-2 Trust                                           | CUSIP: 43732VAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    126549 | PA      | $106802.18    | 0.08%             | 2026-12-17      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Amazon.com Inc                                   | Amazon.com Inc                                                                  | CUSIP: 023135106<br>LEI: ZXTILKJKG63JELOEG630 | Long             | EC               | CORP              | US        |     27893 | NS      | $2692790.22   | 2.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BAYVIEW FING TR 2021 3F                          | BAYVIEW FING TR 2021 3F                                                         | CUSIP: 07335NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89289 | PA      | $87949.72     | 0.07%             | 2033-07-12      | Variable      | 1.84%                 | No            |                  3 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    855000 | PA      | $730824.61    | 0.54%             | 2031-05-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                              | Southern California Edison Co                                                   | CUSIP: 842400GV9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    112000 | PA      | $99696.17     | 0.07%             | 2026-02-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| GRAPHIC PACKAGING INTERN                         | Graphic Packaging International LLC                                             | CUSIP: 38869PAP9<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |     33000 | PA      | $28695.24     | 0.02%             | 2026-04-15      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                           | Berkshire Hathaway Finance Corp                                                 | CUSIP: 084664DB4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |     25000 | PA      | $20412.52     | 0.02%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                   | Fannie Mae-Aces                                                                 | CUSIP: 3136B2GY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22788 | PA      | $22480.27     | 0.02%             | 2028-07-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| FLEX INTERMEDIATE HOLDCO                         | Flex Intermediate Holdco LLC                                                    | CUSIP: 33939HAB5<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |     15000 | PA      | $10803.33     | 0.01%             | 2039-12-30      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                       | AMSR 2020-SFR3 Trust                                                            | CUSIP: 001807AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $89148.47     | 0.07%             | 2037-09-17      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| OFFICE PPTY INCOME TRST                          | Office Properties Income Trust                                                  | CUSIP: 67623CAF6<br>LEI: N/A                  | Long             | DBT              |  | US        |     10000 | PA      | $6403.06      | 0.00%             | 2031-10-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                          | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     37000 | PA      | $33009.07     | 0.02%             | 2028-02-24      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                       | GLS Auto Receivables Issuer Trust 2021-2                                        | CUSIP: 36261XAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     93015 | PA      | $91690.53     | 0.07%             | 2025-09-15      | Fixed         | 0.77%                 | No            |                  2 | On Loan: No      |
| Lennar Corp                                      | Lennar Corp                                                                     | CUSIP: 526057CV4<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49015.52     | 0.04%             | 2027-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                   | Fannie Mae-Aces                                                                 | CUSIP: 3136BPGK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120000 | PA      | $115830.05    | 0.09%             | 2032-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY                           | PG&E Wildfire Recovery Funding LLC                                              | CUSIP: 693342AK3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $28913.33     | 0.02%             | 2052-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                               | Seasoned Credit Risk Transfer Trust Series 2022-1                               | CUSIP: 35563P7E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50990 | PA      | $45014.53     | 0.03%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    405000 | PA      | $315061.52    | 0.23%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co                          | Bristol-Myers Squibb Co                                                         | CUSIP: 110122108<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | EC               | CORP              | US        |     25486 | NS      | $2046016.08   | 1.52%             |  |  |  | No            |                  1 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                         | Avolon Holdings Funding Ltd                                                     | CUSIP: 05401AAK7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    154000 | PA      | $145869.49    | 0.11%             | 2026-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 3617UA6Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    199628 | PA      | $185419.27    | 0.14%             | 2051-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CUBESMART LP                                     | CubeSmart LP                                                                    | CUSIP: 22966RAG1<br>LEI: 549300MPHKO3I3FJRA97 | Long             | DBT              |  | US        |     85000 | PA      | $64721.19     | 0.05%             | 2031-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UTAH ACQUISITION SUB                             | Utah Acquisition Sub Inc                                                        | CUSIP: 62854AAN4<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |    159000 | PA      | $149012.18    | 0.11%             | 2026-06-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                            | FMC GMSR Issuer Trust                                                           | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $80429.07     | 0.06%             | 2026-10-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| OFFICE PPTY INCOME TRST                          | Office Properties Income Trust                                                  | CUSIP: 67623CAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     45000 | PA      | $32517.45     | 0.02%             | 2027-02-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                          | Hyundai Capital America                                                         | CUSIP: 44891ABF3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     37000 | PA      | $34550.00     | 0.03%             | 2025-02-10      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                              | CUSIP: 3617UXCF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29824 | PA      | $27539.48     | 0.02%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                              | DT Auto Owner Trust 2021-1                                                      | CUSIP: 23344GAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50000 | PA      | $47757.21     | 0.04%             | 2026-10-15      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK PROPERTIES                            | Healthpeak Properties Inc                                                       | CUSIP: 42250PAB9<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              |  | US        |     56000 | PA      | $47393.65     | 0.04%             | 2031-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                            | CUSIP: 06051GJE0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    144000 | PA      | $100453.44    | 0.07%             | 2041-06-19      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Eaton Corp PLC                                   | Eaton Corp PLC                                                                  | CUSIP: 000000000<br>LEI: 549300VDIGTMXUNT7H71 | Long             | EC               | CORP              | IE        |     12058 | NS      | $1970880.10   | 1.47%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    800000 | PA      | $494125.00    | 0.37%             | 2050-11-15      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| ConocoPhillips                                   | ConocoPhillips                                                                  | CUSIP: 20825C104<br>LEI: WPTL2Z3FIYTHSP5V2253 | Long             | EC               | CORP              | US        |     10807 | NS      | $1334772.57   | 0.99%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-20

**Name of Applicant:** VALIC Co I

**Signature:** Donna McManus

**Name of Signer:** Donna McManus

**Title:** Assistant Treasurer