# EDGAR Filing Document

**Accession Number:** 0000887340
**File Stem:** 0001752724-23-044310
**Filing Date:** 2023-2
**Character Count:** 242501
**Document Hash:** 458f7898d3c912bd4fbdceb1b328622e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-044310.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-044310

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MAINSTAY VP FUNDS TRUST
- **CENTRAL INDEX KEY:** 0000887340
- **IRS NUMBER:** 133186036
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03833-01
- **FILM NUMBER:** 23679269

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

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** MAINSTAY VP FUNDS TRUST

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

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

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

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

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

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10010

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

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

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

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

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

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $545011247.25

**Total Liabilities:** $1067129.11

**Net Assets:** $543944118.14

**Cash Not Reported:** $27467.49

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -108.27000000 | **1-Year:** -5328.31000000 | **5-Year:** -19780.81000000 | **10-Year:** -32007.48000000 | **30-Year:** -37985.92000000

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

- **3-Month:** -94.78000000 | **1-Year:** -1326.37000000 | **5-Year:** -8128.07000000 | **10-Year:** -9902.77000000 | **30-Year:** -25287.96000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000025818 | 5.49%                | 6.40%                | -2.03%               |
| Class ID C000025819 | 5.47%                | 6.37%                | -2.05%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-2022777.77             | $23774384.70                               |
| Month 2  | $825252.98               | $29775251.18                               |
| Month 3  | $878489.36               | $-10546756.61                              |

**Designated Index Information**

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

- **Index Identifier:** CUSTOM_INCOME_BUILDER_INDEX

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BX Commercial Mortgage Trust                           | BX Commercial Mortgage Trust, Series 2021-VOLT, Class C                       | CUSIP: 05609VAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    970000 | PA      | $910829.13    | 0.17%             | 2036-09-15      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR Trust                                      | FHLMC STACR Trust, Series 2018-DNA2, Class B1                                 | CUSIP: 35563TAV3<br>LEI: 549300L8K4CLYS7FCQ06 | Long             | ABS-MBS          | CORP              | US        |    725000 | PA      | $726126.58    | 0.13%             | 2030-12-25      | Floating      | 8.09%                 | Yes           |                  2 | On Loan: No      |
| Western Midstream Operating LP                         | Western Midstream Operating LP                                                | CUSIP: 958667AA5<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    350000 | PA      | $288330.00    | 0.05%             | 2050-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Southern California Gas Co.                            | Southern California Gas Co., Series VV                                        | CUSIP: 842434CS9<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    325000 | PA      | $267448.43    | 0.05%             | 2049-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Orange SA                                              | Orange SA                                                                     | CUSIP: N/A<br>LEI: 969500MCOONR8990S771       | Long             | EC               | CORP              | FR        |    140156 | NS      | $1393627.22   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| Eaton Corp. plc                                        | Eaton Corp. plc                                                               | CUSIP: N/A<br>LEI: 549300VDIGTMXUNT7H71       | Long             | EC               | CORP              | IE        |     18350 | NS      | $2880032.50   | 0.53%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-158, Class NI                                               | CUSIP: 38382XY82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2002120 | PA      | $350753.96    | 0.06%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                         | CUSIP: 06051GKM0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    465000 | PA      | $444093.01    | 0.08%             | 2026-04-02      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                | FHLMC STACR REMIC Trust, Series 2021-HQA1, Class B1                           | CUSIP: 35564KCN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1295000 | PA      | $1094220.09   | 0.20%             | 2033-08-25      | Floating      | 6.93%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-105, Class IE                                               | CUSIP: 38382TXH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    637081 | PA      | $75542.92     | 0.01%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                   | JPMorgan Chase & Co.                                                          | CUSIP: 46647PCY0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    845000 | PA      | $819224.45    | 0.15%             | 2028-02-24      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                           | BX Commercial Mortgage Trust, Series 2021-XL2, Class A                        | CUSIP: 05609KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    551395 | PA      | $529959.07    | 0.10%             | 2038-10-15      | Floating      | 5.01%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                           | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2335000 | PA      | $2338283.59   | 0.43%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Taiwan Semiconductor Manufacturing Co. Ltd.            | Taiwan Semiconductor Manufacturing Co. Ltd.                                   | CUSIP: 874039100<br>LEI: 549300KB6NK5SBD14S87 | Long             | EC               | CORP              | TW        |     36044 | NS      | $2684917.56   | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| Walmart, Inc.                                          | Walmart, Inc.                                                                 | CUSIP: 931142103<br>LEI: Y87794H0US1R65VBXU25 | Long             | EC               | CORP              | US        |     32370 | NS      | $4589742.30   | 0.84%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2021-34, Class MI                                         | CUSIP: 3136BHWC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1719144 | PA      | $219997.47    | 0.04%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NCR Corp.                                              | NCR Corp.                                                                     | CUSIP: 62886EAY4<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |    991000 | PA      | $844861.48    | 0.16%             | 2028-10-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| BAT Capital Corp.                                      | BAT Capital Corp.                                                             | CUSIP: 05526DBT1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    905000 | PA      | $614515.15    | 0.11%             | 2040-09-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Waste Connections, Inc.                                | Waste Connections, Inc.                                                       | CUSIP: 94106BAC5<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |    235000 | PA      | $186427.20    | 0.03%             | 2032-01-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Holly Energy Partners LP                               | Holly Energy Partners LP                                                      | CUSIP: 435765AJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    145000 | PA      | $142461.33    | 0.03%             | 2027-04-15      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Nissan Motor Acceptance Co. LLC                        | Nissan Motor Acceptance Co. LLC                                               | CUSIP: 65480CAB1<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    810000 | PA      | $738075.61    | 0.14%             | 2024-09-16      | Fixed         | 1.12%                 | Yes           |                  2 | On Loan: No      |
| AT&T, Inc.                                             | AT&T, Inc.                                                                    | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    370000 | PA      | $247652.44    | 0.05%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Flex Intermediate Holdco LLC                           | Flex Intermediate Holdco LLC                                                  | CUSIP: 33939HAA7<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |    865000 | PA      | $675063.13    | 0.12%             | 2031-06-30      | Fixed         | 3.36%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                               | BX Trust, Series 2019-OC11, Class C                                           | CUSIP: 05606FAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    205000 | PA      | $168918.93    | 0.03%             | 2041-12-09      | Fixed         | 3.86%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                         | Home Partners of America Trust, Series 2021-2, Class A                        | CUSIP: 43732VAT3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    290157 | PA      | $250616.74    | 0.05%             | 2026-12-17      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2020-47, Class BD                                         | CUSIP: 3136BAP81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184186 | PA      | $141265.64    | 0.03%             | 2050-07-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| BAWAG Group AG                                         | BAWAG Group AG                                                                | CUSIP: N/A<br>LEI: 529900S9YO2JHTIIDG38       | Long             | EC               | CORP              | AT        |     45896 | NS      | $2440323.11   | 0.45%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Muenchener Rueckversicherungs-Gesellschaft AG          | Muenchener Rueckversicherungs-Gesellschaft AG (Registered)                    | CUSIP: N/A<br>LEI: 529900MUF4C20K50JS49       | Long             | EC               | CORP              | DE        |      6297 | NS      | $2047557.40   | 0.38%             |  |  |  | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                         | Southern California Edison Co.                                                | CUSIP: 842400GG2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    520000 | PA      | $406367.15    | 0.07%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | Euro STOXX 50 Index                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | DE        |      -629 | NC      | $1628901.32   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| Samsung Electronics Co. Ltd.                           | Samsung Electronics Co. Ltd.                                                  | CUSIP: 796050888<br>LEI: 9884007ER46L6N7EI764 | Long             | EC               | CORP              | KR        |       170 | NS      | $187850.00    | 0.03%             |  |  |  | Yes           |                  2 | On Loan: No      |
| Lloyds Banking Group plc                               | Lloyds Banking Group plc                                                      | CUSIP: 53944YAB9<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   1075000 | PA      | $1029344.86   | 0.19%             | 2026-03-24      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2018-K86, Class C                                | CUSIP: 30308RAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    425000 | PA      | $380260.59    | 0.07%             | 2051-11-25      | Variable      | 4.29%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                                | CF Hippolyta Issuer LLC, Series 2021-1A, Class A1                             | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1099237 | PA      | $950488.71    | 0.17%             | 2061-03-15      | Fixed         | 1.53%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5011, Class MI                                           | CUSIP: 3137FVSU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    730895 | PA      | $118029.26    | 0.02%             | 2050-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS, 30 Year                                                                 | CUSIP: 3140XGA90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    621936 | PA      | $546135.86    | 0.10%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Intesa Sanpaolo SpA                                    | Intesa Sanpaolo SpA                                                           | CUSIP: 46115HBU0<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    200000 | PA      | $203974.08    | 0.04%             | 2025-11-21      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                     | General Motors Financial Co., Inc.                                            | CUSIP: 37045XDV5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    470000 | PA      | $420981.77    | 0.08%             | 2029-04-06      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust            | Arbor Multifamily Mortgage Securities Trust, Series 2021-MF3, Class AS        | CUSIP: 03882KAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    930000 | PA      | $728091.23    | 0.13%             | 2054-10-15      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                               | BX Trust, Series 2019-OC11, Class D                                           | CUSIP: 05606FAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $358611.93    | 0.07%             | 2041-12-09      | Variable      | 3.94%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-166, Class IC                                               | CUSIP: 38382LQD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    355802 | PA      | $37651.41     | 0.01%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Sponsor LLC                 | New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class B1               | CUSIP: 643821AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    645000 | PA      | $529877.05    | 0.10%             | 2061-10-20      | Fixed         | 2.41%                 | Yes           |                  2 | On Loan: No      |
| KLA Corp.                                              | KLA Corp.                                                                     | CUSIP: 482480100<br>LEI: 549300H0BF5JCG96TJ81 | Long             | EC               | CORP              | US        |     10806 | NS      | $4074186.18   | 0.75%             |  |  |  | No            |                  1 | On Loan: No      |
| Becton Dickinson and Co.                               | Becton Dickinson and Co.                                                      | CUSIP: 075887BX6<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    200000 | PA      | $175992.22    | 0.03%             | 2047-06-06      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                | FHLMC STACR REMIC Trust, Series 2020-DNA6, Class M2                           | CUSIP: 35566CAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1140939 | PA      | $1133034.22   | 0.21%             | 2050-12-25      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Taco Bell Funding LLC                                  | Taco Bell Funding LLC, Series 2021-1A, Class A23                              | CUSIP: 87342RAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    757350 | PA      | $575656.43    | 0.11%             | 2051-08-25      | Fixed         | 2.54%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                           | BX Commercial Mortgage Trust, Series 2020-VIVA, Class D                       | CUSIP: 12433XAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    355000 | PA      | $265886.98    | 0.05%             | 2044-03-11      | Variable      | 3.55%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5094, Class IP                                           | CUSIP: 3137FYQ58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    881454 | PA      | $136492.20    | 0.03%             | 2051-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                         | Carrington Mortgage Loan Trust, Series 2007-HE1, Class A3                     | CUSIP: 14454EAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    505050 | PA      | $490217.22    | 0.09%             | 2037-06-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Trust, Series 2021-LBA, Class AV                                           | CUSIP: 05609BAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    820000 | PA      | $779399.59    | 0.14%             | 2036-02-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Group AG                                 | Credit Suisse Group AG                                                        | CUSIP: 225401AM0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    635000 | PA      | $561378.37    | 0.10%             | 2025-09-11      | Variable      | 2.59%                 | Yes           |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                           | Ford Credit Auto Owner Trust, Series 2020-2, Class A                          | CUSIP: 34532JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    645000 | PA      | $577539.64    | 0.11%             | 2033-04-15      | Fixed         | 1.06%                 | Yes           |                  2 | On Loan: No      |
| Eli Lilly & Co.                                        | Eli Lilly & Co.                                                               | CUSIP: 532457108<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | EC               | CORP              | US        |      7974 | NS      | $2917208.16   | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| Huntsman International LLC                             | Huntsman International LLC                                                    | CUSIP: 44701QBE1<br>LEI: 3YTEJFW18LGIUQ2N5J61 | Long             | DBT              | CORP              | US        |    731000 | PA      | $656496.47    | 0.12%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                     | General Motors Financial Co., Inc.                                            | CUSIP: 37045XDL7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    850000 | PA      | $651249.12    | 0.12%             | 2031-06-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| General Motors Co.                                     | General Motors Co.                                                            | CUSIP: 37045VAZ3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    225000 | PA      | $209024.17    | 0.04%             | 2032-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-145, Class LS                                               | CUSIP: 38382AWQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    729553 | PA      | $8190.99      | 0.00%             | 2049-11-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-77, Class SN                                                | CUSIP: 38382QS43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3100646 | PA      | $21262.99     | 0.00%             | 2051-05-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-34, Class SC                                                | CUSIP: 38382DM30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1189412 | PA      | $118980.42    | 0.02%             | 2050-03-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-5, Class AF                                                 | CUSIP: 38382CGC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    325180 | PA      | $290210.35    | 0.05%             | 2050-01-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Regents of the University of California Medical Center | Regents of the University of California Medical Center                        | CUSIP: 913366KB5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1065000 | PA      | $705592.00    | 0.13%             | 2050-05-15      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-5, Class AS                                                 | CUSIP: 38382CGD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    652099 | PA      | $4388.49      | 0.00%             | 2050-01-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Cummins, Inc.                                          | Cummins, Inc.                                                                 | CUSIP: 231021106<br>LEI: ZUNI8PYC725B6H8JU438 | Long             | EC               | CORP              | US        |     14191 | NS      | $3438337.39   | 0.63%             |  |  |  | No            |                  1 | On Loan: No      |
| Intel Corp.                                            | Intel Corp.                                                                   | CUSIP: 458140100<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | EC               | CORP              | US        |     50867 | NS      | $1344414.81   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| International Business Machines Corp.                  | International Business Machines Corp.                                         | CUSIP: 459200101<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | EC               | CORP              | US        |     41961 | NS      | $5911885.29   | 1.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Alabama Power Co.                                      | Alabama Power Co.                                                             | CUSIP: 010392FW3<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    335000 | PA      | $221150.40    | 0.04%             | 2052-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                           | BX Commercial Mortgage Trust, Series 2021-VOLT, Class E                       | CUSIP: 05609VAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1020000 | PA      | $948567.77    | 0.17%             | 2036-09-15      | Floating      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| Willis North America, Inc.                             | Willis North America, Inc.                                                    | CUSIP: 970648AJ0<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |   1395000 | PA      | $1172643.86   | 0.22%             | 2029-09-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                | FHLMC STACR REMIC Trust, Series 2021-DNA5, Class B1                           | CUSIP: 35564KJA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1730000 | PA      | $1579955.20   | 0.29%             | 2034-01-25      | Floating      | 6.98%                 | Yes           |                  2 | On Loan: No      |
| WP Carey, Inc.                                         | WP Carey, Inc.                                                                | CUSIP: 92936U109<br>LEI: 54930042CRNE713E3Q67 | Long             | EC               | CORP              | US        |     18485 | NS      | $1444602.75   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Bank AG                                       | Deutsche Bank AG                                                              | CUSIP: 25160PAM9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    410000 | PA      | $410914.21    | 0.08%             | 2027-09-09      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-206, Class CN                                               | CUSIP: 38383HKD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2000000 | PA      | $1736097.30   | 0.32%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Danone SA                                              | Danone SA                                                                     | CUSIP: N/A<br>LEI: 969500KMUQ2B6CBAF162       | Long             | EC               | CORP              | FR        |     27275 | NS      | $1436953.90   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| Sanofi                                                 | Sanofi                                                                        | CUSIP: N/A<br>LEI: 549300E9PC51EN656011       | Long             | EC               | CORP              | FR        |     30871 | NS      | $2987098.60   | 0.55%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                               | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    425000 | PA      | $338933.60    | 0.06%             | 2032-04-22      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC               | Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class A             | CUSIP: 826525AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    186838 | PA      | $175411.95    | 0.03%             | 2037-07-20      | Fixed         | 1.33%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                        | Citigroup, Inc., Series Y                                                     | CUSIP: 172967NB3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    840000 | PA      | $685800.36    | 0.13%             | 2026-11-15      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-105, Class DB                                               | CUSIP: 38382TWY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    738103 | PA      | $555007.46    | 0.10%             | 2051-06-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GSK plc                                                | GSK plc                                                                       | CUSIP: N/A<br>LEI: 5493000HZTVUYLO1D793       | Long             | EC               | CORP              | GB        |     83256 | NS      | $1447805.73   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| Ohio Power Co.                                         | Ohio Power Co., Series R                                                      | CUSIP: 677415CU3<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |    420000 | PA      | $273260.30    | 0.05%             | 2051-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR Trust                                      | FHLMC STACR Trust, Series 2019-DNA2, Class B1                                 | CUSIP: 35564LBD8<br>LEI: 549300Y6KOVOWQ8OJC33 | Long             | ABS-MBS          | CORP              | US        |    765000 | PA      | $786779.86    | 0.14%             | 2049-03-25      | Floating      | 8.74%                 | Yes           |                  2 | On Loan: No      |
| Apple, Inc.                                            | Apple, Inc.                                                                   | CUSIP: 037833100<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | EC               | CORP              | US        |     38146 | NS      | $4956309.78   | 0.91%             |  |  |  | No            |                  1 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K94, Class B                                | CUSIP: 30310XAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    830000 | PA      | $735449.47    | 0.14%             | 2052-07-25      | Variable      | 3.97%                 | Yes           |                  2 | On Loan: No      |
| British American Tobacco plc                           | British American Tobacco plc                                                  | CUSIP: N/A<br>LEI: 213800FKA5MF17RJKT63       | Long             | EC               | CORP              | GB        |    104060 | NS      | $4128550.25   | 0.76%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-41, Class FS                                                | CUSIP: 38382PCP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1738379 | PA      | $188796.99    | 0.03%             | 2050-10-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                   | JPMorgan Chase & Co., Series HH                                               | CUSIP: 48128BAG6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    659000 | PA      | $580743.75    | 0.11%             | 2025-02-01      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| NextEra Energy, Inc.                                   | NextEra Energy, Inc.                                                          | CUSIP: 65339F101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     41684 | NS      | $3484782.40   | 0.64%             |  |  |  | No            |                  1 | On Loan: No      |
| Howmet Aerospace, Inc.                                 | Howmet Aerospace, Inc.                                                        | CUSIP: 443201AB4<br>LEI: 549300HO5WFZUT5N2T22 | Long             | DBT              | CORP              | US        |    620000 | PA      | $527000.00    | 0.10%             | 2029-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS, 30 Year                                                                 | CUSIP: 31418EE55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1383547 | PA      | $1298249.08   | 0.24%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                        | Citigroup, Inc.                                                               | CUSIP: 172967ME8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    565000 | PA      | $509565.44    | 0.09%             | 2030-03-20      | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                           | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    505000 | PA      | $515336.72    | 0.09%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Banco BTG Pactual SA                                   | Banco BTG Pactual SA                                                          | CUSIP: 05971AAE1<br>LEI: 2549002JHJ73KGETOK78 | Long             | DBT              | CORP              | BR        |    350000 | PA      | $337312.50    | 0.06%             | 2025-01-10      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Citizens Financial Group, Inc.                         | Citizens Financial Group, Inc.                                                | CUSIP: 174610AW5<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |   1035000 | PA      | $768230.84    | 0.14%             | 2032-09-30      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| Carmax Auto Owner Trust                                | Carmax Auto Owner Trust, Series 2022-3, Class A3                              | CUSIP: 14318MAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    650000 | PA      | $637208.39    | 0.12%             | 2027-04-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | Forward Foreign Currency Contract                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-429434.65   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2020-SFR3, Class A                         | CUSIP: 74333AAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    663096 | PA      | $587251.94    | 0.11%             | 2027-10-17      | Fixed         | 1.29%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                             | AMSR Trust, Series 2020-SFR4, Class A                                         | CUSIP: 66981FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1110000 | PA      | $993287.72    | 0.18%             | 2037-11-17      | Fixed         | 1.35%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2022-10, Class SA                                                | CUSIP: 3136BL3H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    680229 | PA      | $86620.67     | 0.02%             | 2052-02-25      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS, 30 Year                                                                 | CUSIP: 3140XBRF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    351151 | PA      | $308536.48    | 0.06%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                        | Citigroup, Inc.                                                               | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    500000 | PA      | $388834.43    | 0.07%             | 2032-11-03      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                | JPMorgan Mortgage Trust, Series 2021-LTV2, Class A1                           | CUSIP: 46654VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    338830 | PA      | $271367.51    | 0.05%             | 2052-05-25      | Variable      | 2.52%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS, 30 Year                                                                 | CUSIP: 3140XGGG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    779725 | PA      | $684693.44    | 0.13%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Transcontinental Gas Pipe Line Co. LLC                 | Transcontinental Gas Pipe Line Co. LLC                                        | CUSIP: 893574AM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    840000 | PA      | $698138.64    | 0.13%             | 2048-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Stericycle, Inc.                                       | Stericycle, Inc.                                                              | CUSIP: 858912AG3<br>LEI: B8PTJH2P0AXSWSMP2136 | Long             | DBT              | CORP              | US        |    120000 | PA      | $104700.00    | 0.02%             | 2029-01-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    885000 | PA      | $641741.15    | 0.12%             | 2036-09-16      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-207, Class NA                                               | CUSIP: 38383HHS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2310000 | PA      | $2009332.00   | 0.37%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Delta Air Lines, Inc.                                  | Delta Air Lines, Inc.                                                         | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $845975.86    | 0.16%             | 2028-10-20      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Crown Castle Towers LLC                                | Crown Castle Towers LLC                                                       | CUSIP: 22822RBH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    990000 | PA      | $899202.94    | 0.17%             | 2028-07-15      | Fixed         | 4.24%                 | Yes           |                  2 | On Loan: No      |
| Nordstrom, Inc.                                        | Nordstrom, Inc.                                                               | CUSIP: 655664AS9<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |    102000 | PA      | $84925.20     | 0.02%             | 2027-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Johnson & Johnson                                      | Johnson & Johnson                                                             | CUSIP: 478160104<br>LEI: 549300G0CFPGEF6X2043 | Long             | EC               | CORP              | US        |      8181 | NS      | $1445173.65   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| Merck & Co., Inc.                                      | Merck & Co., Inc.                                                             | CUSIP: 58933Y105<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | EC               | CORP              | US        |     20236 | NS      | $2245184.20   | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| Protective Life Corp.                                  | Protective Life Corp.                                                         | CUSIP: 743674AY9<br>LEI: 549300ZWIT8J8Y2EXL07 | Long             | DBT              | CORP              | US        |    725000 | PA      | $852581.34    | 0.16%             | 2039-10-15      | Fixed         | 8.45%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                             | AT&T, Inc.                                                                    | CUSIP: 00206R102<br>LEI: 549300Z40J86GGSTL398 | Long             | EC               | CORP              | US        |    101674 | NS      | $1871818.34   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K98, Class C                                | CUSIP: 30312DAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    335000 | PA      | $283005.05    | 0.05%             | 2052-10-25      | Variable      | 3.74%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                   | JPMorgan Chase & Co.                                                          | CUSIP: 46647PBR6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    835000 | PA      | $730109.81    | 0.13%             | 2028-06-01      | Variable      | 2.18%                 | No            |                  2 | On Loan: No      |
| Pfizer, Inc.                                           | Pfizer, Inc.                                                                  | CUSIP: 717081103<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | EC               | CORP              | US        |     29414 | NS      | $1507173.36   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Calpine Corp.                                          | Calpine Corp.                                                                 | CUSIP: 131347CN4<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |    535000 | PA      | $477376.65    | 0.09%             | 2028-03-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                    | Forward Foreign Currency Contract                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $813114.26    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-6, Class AS                                                 | CUSIP: 38383GJG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    307831 | PA      | $3722.26      | 0.00%             | 2052-01-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                             | AerCap Ireland Capital DAC                                                    | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    665000 | PA      | $581503.72    | 0.11%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-25, Class LI                                                | CUSIP: 38382NTU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2393688 | PA      | $301988.91    | 0.06%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BXHPP Trust                                            | BXHPP Trust, Series 2021-FILM, Class B                                        | CUSIP: 05609JAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    535000 | PA      | $485950.99    | 0.09%             | 2036-08-15      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| U.S. Airways Pass-Through Trust                        | U.S. Airways Pass-Through Trust, Series 2012-1, Class A                       | CUSIP: 90345WAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    427598 | PA      | $413568.02    | 0.08%             | 2024-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2017-C01, Class 1B1                                              | CUSIP: 30711XEQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    240000 | PA      | $261639.19    | 0.05%             | 2029-07-25      | Floating      | 10.14%                | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                   | American Airlines Pass-Through Trust, Series 2019-1, Class B                  | CUSIP: 02379DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    426254 | PA      | $358218.18    | 0.07%             | 2028-02-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                           | Mizuho Financial Group, Inc.                                                  | CUSIP: 60687YBX6<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    345000 | PA      | $298471.09    | 0.05%             | 2030-05-22      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-83                                                          | CUSIP: 38383RA23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1485432 | PA      | $198608.19    | 0.04%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Post AG                                       | Deutsche Post AG (Registered)                                                 | CUSIP: N/A<br>LEI: 8ER8GIG7CSMVD8VUFE78       | Long             | EC               | CORP              | DE        |    103152 | NS      | $3882833.28   | 0.71%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-129, Class AG                                               | CUSIP: 38382JXZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1077984 | PA      | $818600.05    | 0.15%             | 2050-09-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                 | CVS Pass-Through Trust                                                        | CUSIP: 126650AQ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15926 | PA      | $15813.82     | 0.00%             | 2026-01-10      | Fixed         | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                  | Nomura Holdings, Inc.                                                         | CUSIP: 65535HBE8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    770000 | PA      | $761524.96    | 0.14%             | 2025-07-03      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Macquarie Group Ltd.                                   | Macquarie Group Ltd.                                                          | CUSIP: 55608JAZ1<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    820000 | PA      | $629089.81    | 0.12%             | 2033-01-14      | Variable      | 2.87%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-158, Class SB                                               | CUSIP: 38382XY58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1582489 | PA      | $64974.79     | 0.01%             | 2051-09-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable Enterprises LLC                      | Time Warner Cable Enterprises LLC                                             | CUSIP: 88731EAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    355000 | PA      | $357217.04    | 0.07%             | 2023-03-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                         | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    555000 | PA      | $513593.36    | 0.09%             | 2028-04-24      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS, 20 Year                                                                 | CUSIP: 31418ECZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    424915 | PA      | $369509.31    | 0.07%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                   | American Airlines Pass-Through Trust, Series 2016-2, Class A                  | CUSIP: 023764AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    543222 | PA      | $423531.57    | 0.08%             | 2028-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                           | BX Commercial Mortgage Trust, Series 2020-VIV3, Class B                       | CUSIP: 05608EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350059 | PA      | $281721.29    | 0.05%             | 2044-03-09      | Variable      | 3.54%                 | Yes           |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                               | Benchmark Mortgage Trust, Series 2020-B19, Class A2                           | CUSIP: 08162WAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    935000 | PA      | $848534.29    | 0.16%             | 2053-09-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                 | Dell International LLC                                                        | CUSIP: 24703DBE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    885000 | PA      | $592708.16    | 0.11%             | 2041-12-15      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| United Parcel Service, Inc.                            | United Parcel Service, Inc., Class B                                          | CUSIP: 911312106<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | EC               | CORP              | US        |     14137 | NS      | $2457576.08   | 0.45%             |  |  |  | No            |                  1 | On Loan: No      |
| Citizens Bank NA                                       | Citizens Bank NA                                                              | CUSIP: 75524KPT5<br>LEI: DRMSV1Q0EKMEXLAU1P80 | Long             | DBT              | CORP              | US        |    475000 | PA      | $480347.74    | 0.09%             | 2025-10-24      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-188                                                         | CUSIP: 38382L2B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1682646 | PA      | $178664.32    | 0.03%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Office Properties Income Trust                         | Office Properties Income Trust                                                | CUSIP: 67623CAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    565000 | PA      | $412795.53    | 0.08%             | 2027-02-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2021-8, Class ID                                          | CUSIP: 3136BFES8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1048269 | PA      | $210583.41    | 0.04%             | 2051-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Equitable Holdings, Inc.                               | Equitable Holdings, Inc.                                                      | CUSIP: 054561AM7<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |    830000 | PA      | $726732.01    | 0.13%             | 2048-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Vinci SA                                               | Vinci SA                                                                      | CUSIP: N/A<br>LEI: 213800WFQ334R8UXUG83       | Long             | EC               | CORP              | FR        |     18490 | NS      | $1846689.91   | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                           | Avolon Holdings Funding Ltd.                                                  | CUSIP: 05401AAM3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    645000 | PA      | $555135.85    | 0.10%             | 2026-02-21      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2021-12, Class GC                                         | CUSIP: 3136BFHM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    704076 | PA      | $648197.22    | 0.12%             | 2050-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                           | UBS Group AG                                                                  | CUSIP: 902613AD0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1005000 | PA      | $763557.43    | 0.14%             | 2031-02-10      | Variable      | 4.38%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-136, Class YF                                               | CUSIP: 38382A4Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    602782 | PA      | $536422.33    | 0.10%             | 2049-11-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-97, Class FA                                                | CUSIP: 38382VER6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    425339 | PA      | $363234.16    | 0.07%             | 2051-06-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5023, Class LI                                           | CUSIP: 3137FWV72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    628722 | PA      | $100138.60    | 0.02%             | 2050-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                           | BX Commercial Mortgage Trust, Series 2020-VIV2, Class C                       | CUSIP: 05605NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1265000 | PA      | $988690.60    | 0.18%             | 2044-03-09      | Variable      | 3.54%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2021-85, Class BI                                         | CUSIP: 3136BKHZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1590841 | PA      | $247056.14    | 0.05%             | 2051-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                                  | DB Master Finance LLC, Series 2019-1A, Class A23                              | CUSIP: 233046AL5<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |    169312 | PA      | $154376.43    | 0.03%             | 2049-05-20      | Fixed         | 4.35%                 | Yes           |                  2 | On Loan: No      |
| Bayer AG                                               | Bayer AG (Registered)                                                         | CUSIP: N/A<br>LEI: 549300J4U55H3WP1XT59       | Long             | EC               | CORP              | DE        |     30868 | NS      | $1593792.12   | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-24, Class SC                                                | CUSIP: 38383FT37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13411042 | PA      | $99850.57     | 0.02%             | 2052-02-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Home Depot, Inc. (The)                                 | Home Depot, Inc. (The)                                                        | CUSIP: 437076102<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | EC               | CORP              | US        |      5866 | NS      | $1852834.76   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| AXA SA                                                 | AXA SA                                                                        | CUSIP: N/A<br>LEI: F5WCUMTUM4RKZ1MAIE39       | Long             | EC               | CORP              | FR        |    107458 | NS      | $2994934.47   | 0.55%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                        | Citigroup, Inc.                                                               | CUSIP: 172967LP4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    430000 | PA      | $394907.43    | 0.07%             | 2028-07-24      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands III BV         | Teva Pharmaceutical Finance Netherlands III BV                                | CUSIP: 88167AAP6<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |    545000 | PA      | $492625.36    | 0.09%             | 2027-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Duke Energy Ohio, Inc.                                 | Duke Energy Ohio, Inc.                                                        | CUSIP: 26442EAG5<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |    565000 | PA      | $460578.16    | 0.08%             | 2049-02-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fidelity National Information Services, Inc.           | Fidelity National Information Services, Inc.                                  | CUSIP: 31620MBY1<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |    280000 | PA      | $269702.76    | 0.05%             | 2032-07-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Sands China Ltd.                                       | Sands China Ltd.                                                              | CUSIP: 80007RAF2<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    460000 | PA      | $439774.76    | 0.08%             | 2025-08-08      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                           | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2655000 | PA      | $2664748.84   | 0.49%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Altice France SA                                       | Altice France SA                                                              | CUSIP: 02156LAF8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    865000 | PA      | $648527.86    | 0.12%             | 2029-07-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Piedmont Natural Gas Co., Inc.                         | Piedmont Natural Gas Co., Inc.                                                | CUSIP: 720186AP0<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |    425000 | PA      | $383462.23    | 0.07%             | 2052-05-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Victoria's Secret & Co.                                | Victoria's Secret & Co.                                                       | CUSIP: 926400AA0<br>LEI: 5493006T3O70U3UWVF17 | Long             | DBT              | CORP              | US        |    472000 | PA      | $370567.20    | 0.07%             | 2029-07-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2022-3, Class YS                                          | CUSIP: 3136BLFH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4165043 | PA      | $49384.50     | 0.01%             | 2052-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | Forward Foreign Currency Contract                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $286553.73    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)               | PNC Financial Services Group, Inc. (The)                                      | CUSIP: 693475105<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | EC               | CORP              | US        |     10968 | NS      | $1732285.92   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-188, Class DI                                               | CUSIP: 38382LX22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2603276 | PA      | $394820.88    | 0.07%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | E-Mini Financial Select Sector Index                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       -16 | NC      | $34167.78     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Aircastle Ltd.                                         | Aircastle Ltd.                                                                | CUSIP: 00928QAW1<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |    745000 | PA      | $573650.00    | 0.11%             | 2026-06-15      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Bonds                                                           | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11615000 | PA      | $11371810.94  | 2.09%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Expedia Group, Inc.                                    | Expedia Group, Inc.                                                           | CUSIP: 30212PAP0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     82000 | PA      | $75275.84     | 0.01%             | 2028-02-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                           | Nutrien Ltd.                                                                  | CUSIP: 67077M108<br>LEI: 5493002QQ7GD21OWF963 | Long             | EC               | CORP              | CA        |     35701 | NS      | $2607244.03   | 0.48%             |  |  |  | No            |                  1 | On Loan: —       |
| MPLX LP                                                | MPLX LP                                                                       | CUSIP: 55336VBQ2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    730000 | PA      | $591590.10    | 0.11%             | 2030-08-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Starwood Property Trust, Inc.                          | Starwood Property Trust, Inc.                                                 | CUSIP: 85571BAW5<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |    710000 | PA      | $666701.04    | 0.12%             | 2024-12-31      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue Securities Trust        | Multifamily Connecticut Avenue Securities Trust, Series 2019-01, Class M10    | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |    862170 | PA      | $809478.38    | 0.15%             | 2049-10-25      | Floating      | 7.64%                 | Yes           |                  2 | On Loan: No      |
| Travelers Cos., Inc. (The)                             | Travelers Cos., Inc. (The)                                                    | CUSIP: 89417E109<br>LEI: 549300Y650407RU8B149 | Long             | EC               | CORP              | US        |     12555 | NS      | $2353936.95   | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-136, Class YS                                               | CUSIP: 38382A4Z5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1239869 | PA      | $15643.80     | 0.00%             | 2049-11-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS, 30 Year                                                                 | CUSIP: 3140XHJC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1235535 | PA      | $1159132.58   | 0.21%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Braskem Netherlands Finance BV                         | Braskem Netherlands Finance BV                                                | CUSIP: 10554TAB1<br>LEI: 2549000TLMHFQ74DS330 | Long             | DBT              | CORP              | NL        |    745000 | PA      | $668049.34    | 0.12%             | 2028-01-10      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                  | Entergy Louisiana LLC                                                         | CUSIP: 29364WBA5<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    790000 | PA      | $712956.26    | 0.13%             | 2033-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                 | JPMorgan Chase Bank NA, Series 2020-1, Class B                                | CUSIP: 46591HAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    111114 | PA      | $109420.12    | 0.02%             | 2028-01-25      | Fixed         | 0.99%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 10 Year Notes                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       225 | NC      | $-105159.26   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Altria Group, Inc.                                     | Altria Group, Inc.                                                            | CUSIP: 02209S103<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | EC               | CORP              | US        |     35079 | NS      | $1603461.09   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| FirstKey Homes Trust                                   | FirstKey Homes Trust, Series 2020-SFR1, Class A                               | CUSIP: 33767MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1040254 | PA      | $929609.56    | 0.17%             | 2037-08-17      | Fixed         | 1.34%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-97, Class IN                                                | CUSIP: 38382VKV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1877192 | PA      | $197634.58    | 0.04%             | 2049-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Samsung Electronics Co. Ltd.                           | Samsung Electronics Co. Ltd.                                                  | CUSIP: 796050888<br>LEI: 9884007ER46L6N7EI764 | Long             | EC               | CORP              | KR        |      1730 | NS      | $1922982.26   | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                             | Flagship Credit Auto Trust, Series 2020-3, Class D                            | CUSIP: 33844TAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    280000 | PA      | $256841.12    | 0.05%             | 2026-09-15      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4988, Class BA                                           | CUSIP: 3137FUNH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    208554 | PA      | $159928.33    | 0.03%             | 2050-06-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS, 30 Year                                                                 | CUSIP: 31418ED80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    805763 | PA      | $755837.55    | 0.14%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                     | Energy Transfer LP                                                            | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    415000 | PA      | $401298.89    | 0.07%             | 2028-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                       | Deutsche Bank AG                                                              | CUSIP: 251526CN7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    820000 | PA      | $733926.28    | 0.13%             | 2027-11-16      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                | MPLX LP                                                                       | CUSIP: 55336V100<br>LEI: 5493000CZJ19CK4P3G36 | Long             |  |  | US        |     50178 | NS      | $1647845.52   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| WEC Energy Group, Inc.                                 | WEC Energy Group, Inc.                                                        | CUSIP: 976657AH9<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |    480000 | PA      | $401539.20    | 0.07%             | 2067-05-15      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| Duquesne Light Holdings, Inc.                          | Duquesne Light Holdings, Inc.                                                 | CUSIP: 266233AG0<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    865000 | PA      | $777930.54    | 0.14%             | 2027-08-01      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| National Rural Utilities Cooperative Finance Corp.     | National Rural Utilities Cooperative Finance Corp.                            | CUSIP: 637432PA7<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    460000 | PA      | $480099.06    | 0.09%             | 2033-01-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Mileage Plus Holdings LLC                              | Mileage Plus Holdings LLC                                                     | CUSIP: 599191AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    715546 | PA      | $711397.27    | 0.13%             | 2027-06-20      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Owens-Brockway Glass Container, Inc.                   | Owens-Brockway Glass Container, Inc.                                          | CUSIP: 69073TAT0<br>LEI: V2UQUCDZJ9WY98W8QU33 | Long             | DBT              | CORP              | US        |    360000 | PA      | $349274.65    | 0.06%             | 2027-05-13      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                         | Southern Co. Gas Capital Corp., Series 21A                                    | CUSIP: 8426EPAE8<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    830000 | PA      | $537247.79    | 0.10%             | 2051-09-30      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-83, Class FM                                                | CUSIP: 38382QWD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1542425 | PA      | $1272730.75   | 0.23%             | 2051-05-20      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-97, Class SA                                                | CUSIP: 38382VET2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2894802 | PA      | $26416.81     | 0.00%             | 2051-06-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2019-K99, Class B                                | CUSIP: 30314FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    120000 | PA      | $104186.99    | 0.02%             | 2052-10-25      | Variable      | 3.65%                 | Yes           |                  2 | On Loan: No      |
| Aviation Capital Group LLC                             | Aviation Capital Group LLC                                                    | CUSIP: 05369AAK7<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    520000 | PA      | $452700.70    | 0.08%             | 2026-01-30      | Fixed         | 1.95%                 | Yes           |                  2 | On Loan: No      |
| Comision Federal de Electricidad                       | Comision Federal de Electricidad                                              | CUSIP: 200447AK6<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | NUSS              | MX        |   1170000 | PA      | $884948.66    | 0.16%             | 2033-07-26      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-139, Class IA                                               | CUSIP: 38382XFY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2188155 | PA      | $354534.05    | 0.07%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-6, Class CF                                                 | CUSIP: 38383GJL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    307831 | PA      | $273785.32    | 0.05%             | 2052-01-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                  | Mexico Government Bond                                                        | CUSIP: 91087BAP5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    800000 | PA      | $496782.44    | 0.09%             | 2071-04-19      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                       | CVS Health Corp.                                                              | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    400000 | PA      | $364373.63    | 0.07%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    645000 | PA      | $504752.01    | 0.09%             | 2032-10-20      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| Coca-Cola Europacific Partners plc                     | Coca-Cola Europacific Partners plc                                            | CUSIP: N/A<br>LEI: 549300LTH67W4GWMRF57       | Long             | EC               | CORP              | GB        |     93628 | NS      | $5179500.96   | 0.95%             |  |  |  | No            |                  1 | On Loan: No      |
| Snam SpA                                               | Snam SpA                                                                      | CUSIP: N/A<br>LEI: 8156002278562044AF79       | Long             | EC               | CORP              | IT        |    356625 | NS      | $1731486.50   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| California Institute of Technology                     | California Institute of Technology                                            | CUSIP: 13034VAD6<br>LEI: 549300CITPNHOTVPHC04 | Long             | DBT              | CORP              | US        |    385000 | PA      | $245221.60    | 0.05%             | 2119-09-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                         | Southern California Edison Co., Series E                                      | CUSIP: 842400GN7<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    330000 | PA      | $319268.91    | 0.06%             | 2025-08-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                | BPCE SA                                                                       | CUSIP: 05583JAK8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    530000 | PA      | $456830.30    | 0.08%             | 2027-10-19      | Variable      | 2.04%                 | Yes           |                  2 | On Loan: No      |
| Orkla ASA                                              | Orkla ASA                                                                     | CUSIP: N/A<br>LEI: 549300PZS8G8RG6RVZ52       | Long             | EC               | CORP              | NO        |    204533 | NS      | $1477737.49   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| Enterprise Products Partners LP                        | Enterprise Products Partners LP                                               | CUSIP: 293792107<br>LEI: K4CDIF4M54DJZ6TB4Q48 | Long             |  |  | US        |     89602 | NS      | $2161200.24   | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| Capital One Financial Corp.                            | Capital One Financial Corp.                                                   | CUSIP: 14040HCV5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    390000 | PA      | $371415.21    | 0.07%             | 2030-07-26      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Magellan Midstream Partners LP                         | Magellan Midstream Partners LP                                                | CUSIP: 559080106<br>LEI: MZF5TI8NFVZZNUSKDL39 | Long             |  |  | US        |     32430 | NS      | $1628310.30   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| LyondellBasell Industries NV                           | LyondellBasell Industries NV, Class A                                         | CUSIP: N/A<br>LEI: BN6WCCZ8OVP3ITUUVN49       | Long             | EC               | CORP              | NL        |     16913 | NS      | $1404286.39   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5160                                                     | CUSIP: 3137H3WL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    737602 | PA      | $87588.35     | 0.02%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                   | Colombia Government Bond                                                      | CUSIP: 195325DZ5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    725000 | PA      | $527218.11    | 0.10%             | 2032-04-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                    | Societe Generale SA                                                           | CUSIP: 83370RAB4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    395000 | PA      | $334801.01    | 0.06%             | 2026-05-26      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-145, Class LF                                               | CUSIP: 38382AWP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    727185 | PA      | $648970.38    | 0.12%             | 2049-11-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| RELX plc                                               | RELX plc                                                                      | CUSIP: N/A<br>LEI: 549300WSX3VBUFFJOO66       | Long             | EC               | CORP              | GB        |     54063 | NS      | $1490790.90   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| Federative Republic of Brazil                          | Brazil Government Bond                                                        | CUSIP: 105756CE8<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    175000 | PA      | $146960.00    | 0.03%             | 2031-09-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: —       |
| Linde plc                                              | Linde plc                                                                     | CUSIP: N/A<br>LEI: 8945002PAZHZLBGKGF02       | Long             | EC               | CORP              | IE        |     12336 | NS      | $4023756.48   | 0.74%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                               | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    590000 | PA      | $449471.77    | 0.08%             | 2032-01-27      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| AstraZeneca plc                                        | AstraZeneca plc                                                               | CUSIP: 046353108<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | EC               | CORP              | GB        |     67609 | NS      | $4583890.20   | 0.84%             |  |  |  | No            |                  1 | On Loan: No      |
| Nevada Power Co.                                       | Nevada Power Co., Series GG                                                   | CUSIP: 641423CF3<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    230000 | PA      | $245127.86    | 0.05%             | 2053-05-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Cheniere Corpus Christi Holdings LLC                   | Cheniere Corpus Christi Holdings LLC                                          | CUSIP: 16412XAL9<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |    670000 | PA      | $518086.97    | 0.10%             | 2039-12-31      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| SK Telecom Co. Ltd.                                    | SK Telecom Co. Ltd.                                                           | CUSIP: N/A<br>LEI: 9884003WEA1PHW006037       | Long             | EC               | CORP              | KR        |     36958 | NS      | $1382696.28   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| Reliance Standard Life Global Funding II               | Reliance Standard Life Global Funding II                                      | CUSIP: 75951AAL2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    950000 | PA      | $898186.90    | 0.17%             | 2024-10-30      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp., Series MM                                              | CUSIP: 060505FQ2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    916000 | PA      | $792373.91    | 0.15%             | 2025-01-28      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                 | Credit Suisse Group AG                                                        | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    785000 | PA      | $542392.96    | 0.10%             | 2032-05-14      | Variable      | 3.09%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                | CUSIP: 6174467X1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    780000 | PA      | $777648.87    | 0.14%             | 2025-11-24      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                         | Broadcom, Inc.                                                                | CUSIP: 11135F101<br>LEI: 549300WV6GIDOZJTV909 | Long             | EC               | CORP              | US        |     12348 | NS      | $6904137.24   | 1.27%             |  |  |  | No            |                  1 | On Loan: No      |
| American Airlines Pass-Through Trust                   | American Airlines Pass-Through Trust, Series 2013-2, Class A                  | CUSIP: 02377UAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    671812 | PA      | $670894.69    | 0.12%             | 2023-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Lazard Ltd.                                            | Lazard Ltd., Class A                                                          | CUSIP: N/A<br>LEI: 254900RIBCDJSUFG1A11       | Long             | EC               | CORP              | BM        |     43197 | NS      | $1497639.99   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                               | CUSIP: 38141GXD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    815000 | PA      | $809262.55    | 0.15%             | 2026-05-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2017-C05, Class 1B1                                              | CUSIP: 30711XNW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    975000 | PA      | $986513.68    | 0.18%             | 2030-01-25      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| BAE Systems plc                                        | BAE Systems plc                                                               | CUSIP: N/A<br>LEI: 8SVCSVKSGDWMW2QHOH83       | Long             | EC               | CORP              | GB        |    175575 | NS      | $1814600.96   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2021-40, Class SI                                         | CUSIP: 3136BHQA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1098811 | PA      | $104623.02    | 0.02%             | 2047-09-25      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Acceptance Co. LLC                        | Nissan Motor Acceptance Co. LLC                                               | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1127031.62   | 0.21%             | 2026-09-16      | Fixed         | 1.85%                 | Yes           |                  2 | On Loan: No      |
| Medtronic plc                                          | Medtronic plc                                                                 | CUSIP: N/A<br>LEI: 549300GX3ZBSQWUXY261       | Long             | EC               | CORP              | IE        |     50939 | NS      | $3958979.08   | 0.73%             |  |  |  | No            |                  1 | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands III BV         | Teva Pharmaceutical Finance Netherlands III BV                                | CUSIP: 88167AAE1<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |   1285000 | PA      | $1123732.50   | 0.21%             | 2026-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Air Products and Chemicals, Inc.                       | Air Products and Chemicals, Inc.                                              | CUSIP: 009158106<br>LEI: 7QEON6Y1RL5XR3R1W237 | Long             | EC               | CORP              | US        |      8106 | NS      | $2498755.56   | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-1, Class YS                                                 | CUSIP: 38382CDW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1510326 | PA      | $15421.18     | 0.00%             | 2050-01-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-19, Class SG                                                | CUSIP: 38383GMT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2663395 | PA      | $19066.98     | 0.00%             | 2052-01-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Hess Midstream Operations LP                           | Hess Midstream Operations LP                                                  | CUSIP: 428102AF4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    485000 | PA      | $443705.19    | 0.08%             | 2030-10-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| SVB Financial Group                                    | SVB Financial Group, Series C                                                 | CUSIP: 78486QAJ0<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |    770000 | PA      | $508215.42    | 0.09%             | 2026-05-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Ally Financial, Inc.                                   | Ally Financial, Inc.                                                          | CUSIP: 02005NBH2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    310000 | PA      | $301754.06    | 0.06%             | 2024-05-21      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5200, Class SA                                           | CUSIP: 3137H6KD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1119176 | PA      | $29226.05     | 0.01%             | 2052-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                  | Athene Global Funding                                                         | CUSIP: 04685A2V2<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    465000 | PA      | $387470.61    | 0.07%             | 2028-03-24      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered plc                                 | Standard Chartered plc                                                        | CUSIP: 853254BX7<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    525000 | PA      | $402011.34    | 0.07%             | 2031-01-14      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| American Tower Corp.                                   | American Tower Corp.                                                          | CUSIP: 03027XAR1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    375000 | PA      | $344654.84    | 0.06%             | 2028-01-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Sodexo, Inc.                                           | Sodexo, Inc.                                                                  | CUSIP: 833794AB6<br>LEI: 549300WSZGQGJQXRFU84 | Long             | DBT              | CORP              | US        |   1010000 | PA      | $805876.84    | 0.15%             | 2031-04-16      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| First Horizon Corp.                                    | First Horizon Corp.                                                           | CUSIP: 320517AD7<br>LEI: TF3RXI1ZB1TQ30H9JV10 | Long             | DBT              | CORP              | US        |    775000 | PA      | $753009.15    | 0.14%             | 2025-05-26      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                      | Philip Morris International, Inc.                                             | CUSIP: 718172109<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | EC               | CORP              | US        |     20926 | NS      | $2117920.46   | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                               | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    159000 | PA      | $169656.69    | 0.03%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2021-10, Class LI                                         | CUSIP: 3136BFLG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    397769 | PA      | $60191.41     | 0.01%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2021-12, Class JI                                         | CUSIP: 3136BFKM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    581507 | PA      | $88107.20     | 0.02%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| American Airlines, Inc.                                | American Airlines, Inc.                                                       | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    600000 | PA      | $576987.90    | 0.11%             | 2026-04-20      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Realty Income Corp.                                    | Realty Income Corp.                                                           | CUSIP: 756109104<br>LEI: 549300CUWDAUZSH43859 | Long             | EC               | CORP              | US        |     33067 | NS      | $2097439.81   | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC STACR Trust                                      | FHLMC STACR Trust, Series 2019-DNA1, Class B1                                 | CUSIP: 35563KBD1<br>LEI: 5493007222WHFWMBOC78 | Long             | ABS-MBS          | CORP              | US        |    875000 | PA      | $912430.14    | 0.17%             | 2049-01-25      | Floating      | 9.04%                 | Yes           |                  2 | On Loan: No      |
| Dell International LLC                                 | Dell International LLC                                                        | CUSIP: 24703TAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    527000 | PA      | $590565.74    | 0.11%             | 2036-07-15      | Fixed         | 8.10%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                         | Enterprise Fleet Financing LLC, Series 2022-2, Class A3                       | CUSIP: 29374JAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    385000 | PA      | $377566.69    | 0.07%             | 2029-05-21      | Fixed         | 4.79%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corp.                                          | Comcast Corp., Class A                                                        | CUSIP: 20030N101<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | EC               | CORP              | US        |     67091 | NS      | $2346172.27   | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | UMBS, 30 Year                                                                 | CUSIP: 3140XFXC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    466473 | PA      | $410290.95    | 0.08%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-1, Class PI                                                 | CUSIP: 38382ML56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    455221 | PA      | $59162.00     | 0.01%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                                | CF Hippolyta Issuer LLC, Series 2020-1, Class A2                              | CUSIP: 12530MAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    488614 | PA      | $403023.21    | 0.07%             | 2060-07-15      | Fixed         | 1.99%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, STRIPS, Series 311                                                     | CUSIP: 3132HTPF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    309950 | PA      | $231113.26    | 0.04%             | 2043-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | Russell 2000 E-Mini Index                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       188 | NC      | $-597052.98   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| Banco Santander SA                                     | Banco Santander SA                                                            | CUSIP: 05964HAS4<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    600000 | PA      | $585813.96    | 0.11%             | 2027-08-18      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                       | Jersey Central Power & Light Co.                                              | CUSIP: 476556DD4<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    700000 | PA      | $565274.92    | 0.10%             | 2032-03-01      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| MainStay U.S. Government Liquidity Fund                | MainStay U.S. Government Liquidity Fund, Class I                              | CUSIP: 56064L488<br>LEI: 549300Y3ZLEL13IJCK58 | Long             | STIV             | RF                | US        |   9593505 | NS      | $9593505.43   | 1.76%             |  |  |  | No            |                  1 | On Loan: No      |
| Ford Credit Floorplan Master Owner Trust               | Ford Credit Floorplan Master Owner Trust, Series 2018-4, Class A              | CUSIP: 34528PAK2<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-O            | CORP              | US        |    590000 | PA      | $553691.81    | 0.10%             | 2030-11-15      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Arthur J Gallagher & Co.                               | Arthur J. Gallagher & Co.                                                     | CUSIP: 363576109<br>LEI: 54930049QLLMPART6V29 | Long             | EC               | CORP              | US        |     11738 | NS      | $2213082.52   | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| US Bancorp                                             | U.S. Bancorp                                                                  | CUSIP: 902973304<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | EC               | CORP              | US        |     54105 | NS      | $2359519.05   | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| MMAF Equipment Finance LLC                             | MMAF Equipment Finance LLC, Series 2020-BA, Class A4                          | CUSIP: 60700KAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $681603.45    | 0.13%             | 2027-11-15      | Fixed         | 0.66%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                         | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    510000 | PA      | $399433.20    | 0.07%             | 2032-10-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust            | Arbor Multifamily Mortgage Securities Trust, Series 2022-MF4, Class A5        | CUSIP: 03882LAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    415000 | PA      | $357230.92    | 0.07%             | 2055-02-15      | Variable      | 3.29%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                | FHLMC STACR REMIC Trust, Series 2021-HQA1, Class M2                           | CUSIP: 35564KBS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1040000 | PA      | $979505.59    | 0.18%             | 2033-08-25      | Floating      | 6.18%                 | Yes           |                  2 | On Loan: No      |
| Barclays plc                                           | Barclays plc                                                                  | CUSIP: 06738EBT1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    835000 | PA      | $636687.50    | 0.12%             | 2028-03-15      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS, 30 Year                                                                 | CUSIP: 3133BFK33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1273255 | PA      | $1157116.57   | 0.21%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Peachtree Corners Funding Trust                        | Peachtree Corners Funding Trust                                               | CUSIP: 70466WAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    425000 | PA      | $410243.82    | 0.08%             | 2025-02-15      | Fixed         | 3.98%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                               | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    610000 | PA      | $533374.82    | 0.10%             | 2027-10-21      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS, 30 Year                                                                 | CUSIP: 3140HJJS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    697721 | PA      | $665271.70    | 0.12%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KeyCorp                                                | KeyCorp                                                                       | CUSIP: 493267108<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | EC               | CORP              | US        |    255600 | NS      | $4452552.00   | 0.82%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC STACR REMIC Trust                                | FHLMC STACR REMIC Trust, Series 2022-DNA1, Class M1B                          | CUSIP: 35564KPV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    990000 | PA      | $939382.79    | 0.17%             | 2042-01-25      | Floating      | 5.78%                 | Yes           |                  2 | On Loan: No      |
| Delta Air Lines, Inc.                                  | Delta Air Lines, Inc.                                                         | CUSIP: 830867AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    465000 | PA      | $453645.54    | 0.08%             | 2025-10-20      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Cisco Systems, Inc.                                    | Cisco Systems, Inc.                                                           | CUSIP: 17275R102<br>LEI: 549300LKFJ962MZ46593 | Long             | EC               | CORP              | US        |    109602 | NS      | $5221439.28   | 0.96%             |  |  |  | No            |                  1 | On Loan: No      |
| Textron Financial Corp.                                | Textron Financial Corp.                                                       | CUSIP: 883199AR2<br>LEI: 4E8B2CNXPE5P5AY03O18 | Long             | DBT              | CORP              | US        |   1045000 | PA      | $747175.00    | 0.14%             | 2042-02-15      | Floating      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                     | General Motors Financial Co., Inc.                                            | CUSIP: 37045XDE3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    344000 | PA      | $259381.04    | 0.05%             | 2031-01-08      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| First Horizon Bank                                     | First Horizon Bank                                                            | CUSIP: 337158AJ8<br>LEI: COOWI3L2W9TPYR3WJX37 | Long             | DBT              | CORP              | US        |    815000 | PA      | $790063.21    | 0.15%             | 2030-05-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Expedia Group, Inc.                                    | Expedia Group, Inc.                                                           | CUSIP: 30212PAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    795000 | PA      | $674394.65    | 0.12%             | 2030-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                      | Enterprise Products Operating LLC                                             | CUSIP: 29379VBW2<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    160000 | PA      | $125803.38    | 0.02%             | 2050-01-31      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Willis North America, Inc.                             | Willis North America, Inc.                                                    | CUSIP: 970648AK7<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |    185000 | PA      | $131252.58    | 0.02%             | 2049-09-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2018-K81, Class B                                | CUSIP: 30297HAG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    110000 | PA      | $100396.69    | 0.02%             | 2051-09-25      | Variable      | 4.17%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust, Series 2019-5A, Class B7                 | CUSIP: 64830MFJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1213101 | PA      | $714352.71    | 0.13%             | 2059-08-25      | Variable      | 4.35%                 | Yes           |                  2 | On Loan: No      |
| Empresa Nacional del Petroleo                          | Empresa Nacional del Petroleo                                                 | CUSIP: 29245JAM4<br>LEI: 549300YP3P0JZBLIV197 | Long             | DBT              | NUSS              | CL        |    980000 | PA      | $823921.70    | 0.15%             | 2031-09-16      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                   | JPMorgan Chase & Co.                                                          | CUSIP: 46625H100<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EC               | CORP              | US        |     30337 | NS      | $4068191.70   | 0.75%             |  |  |  | No            |                  1 | On Loan: No      |
| China Resources Gas Group Ltd.                         | China Resources Gas Group Ltd.                                                | CUSIP: N/A<br>LEI: 529900A0E1J5JSOKEK83       | Long             | EC               | CORP              | BM        |    564600 | NS      | $2102719.39   | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                   | Royal Bank of Canada                                                          | CUSIP: 780087102<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | EC               | CORP              | CA        |     15611 | NS      | $1467710.71   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-166, Class CA                                               | CUSIP: 38382LQC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    730529 | PA      | $545088.96    | 0.10%             | 2050-11-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                         | Bayview Commercial Asset Trust, Series 2006-4A, Class A1                      | CUSIP: 07325BAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24958 | PA      | $23081.90     | 0.00%             | 2036-12-25      | Floating      | 4.73%                 | Yes           |                  2 | On Loan: No      |
| Energy Transfer LP                                     | Energy Transfer LP                                                            | CUSIP: 86765BAQ2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    415000 | PA      | $351935.43    | 0.06%             | 2045-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| NiSource, Inc.                                         | NiSource, Inc.                                                                | CUSIP: 65473P105<br>LEI: 549300D8GOWWH0SJB189 | Long             | EC               | CORP              | US        |     54613 | NS      | $1497488.46   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2021-3, Class TI                                                 | CUSIP: 3136BDR42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    955499 | PA      | $155084.41    | 0.03%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LP                         | Hertz Vehicle Financing III LP, Series 2021-2A, Class D                       | CUSIP: 42806MAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1295000 | PA      | $1078076.88   | 0.20%             | 2027-12-27      | Fixed         | 4.34%                 | Yes           |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue Securities Trust        | Multifamily Connecticut Avenue Securities Trust, Series 2020-01, Class M10    | CUSIP: 62548QAD3<br>LEI: 5493002KQF9IH3CTQZ40 | Long             | ABS-MBS          | CORP              | US        |    195000 | PA      | $180091.02    | 0.03%             | 2050-03-25      | Floating      | 8.14%                 | Yes           |                  2 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                           | CUSIP: 91282CFT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2315000 | PA      | $2315723.44   | 0.43%             | 2029-10-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                      | HSBC Holdings plc                                                             | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    970000 | PA      | $849025.59    | 0.16%             | 2030-05-22      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Unilever plc                                           | Unilever plc                                                                  | CUSIP: N/A<br>LEI: 549300MKFYEKVRWML317       | Long             | EC               | CORP              | GB        |     34110 | NS      | $1720814.78   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | S&P E-Mini Commercial Service Equity Index, Series Dec22                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       -76 | NC      | $188213.15    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Bank AG                                       | Deutsche Bank AG                                                              | CUSIP: 251526CK3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    255000 | PA      | $193272.87    | 0.04%             | 2032-05-28      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | E-Mini Energy Select Sector Index                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       161 | NC      | $542845.57    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-1, Class IA                                                 | CUSIP: 38383GRY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    266103 | PA      | $36519.71     | 0.01%             | 2050-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Novo Nordisk A/S                                       | Novo Nordisk A/S, Class B                                                     | CUSIP: N/A<br>LEI: 549300DAQ1CVT6CXN342       | Long             | EC               | CORP              | DK        |     14571 | NS      | $1972912.70   | 0.36%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS, 30 Year                                                                 | CUSIP: 3140X7EV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65436 | PA      | $55930.41     | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-179, Class SA                                               | CUSIP: 38383CYH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1432877 | PA      | $176501.85    | 0.03%             | 2050-11-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Analog Devices, Inc.                                   | Analog Devices, Inc.                                                          | CUSIP: 032654105<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | EC               | CORP              | US        |     37451 | NS      | $6143087.53   | 1.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Barclays plc                                           | Barclays plc                                                                  | CUSIP: 06738EBX2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    680000 | PA      | $635800.00    | 0.12%             | 2029-03-15      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-57, Class SD                                                | CUSIP: 38382QAM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1578286 | PA      | $186746.53    | 0.03%             | 2051-03-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Roche Holding AG                                       | Roche Holding AG                                                              | CUSIP: N/A<br>LEI: 549300U41AUUVOAAOB37       | Long             | EC               | CORP              | CH        |      4464 | NS      | $1402864.86   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| Allianz SE                                             | Allianz SE (Registered)                                                       | CUSIP: N/A<br>LEI: 529900K9B0N5BT694847       | Long             | EC               | CORP              | DE        |      7886 | NS      | $1695697.47   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Colombia                                   | Colombia Government Bond                                                      | CUSIP: 195325CX1<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    235000 | PA      | $220876.28    | 0.04%             | 2026-01-28      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2021-53, Class GI                                         | CUSIP: 3136BGMS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2189317 | PA      | $347455.32    | 0.06%             | 2048-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                              | Ford Motor Credit Co. LLC                                                     | CUSIP: 345397B85<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    230000 | PA      | $209962.40    | 0.04%             | 2025-02-10      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                               | CUSIP: 38141GRD8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1330000 | PA      | $1328883.04   | 0.24%             | 2023-01-22      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| DISH DBS Corp.                                         | DISH DBS Corp.                                                                | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    495000 | PA      | $395071.88    | 0.07%             | 2028-12-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Chevron Corp.                                          | Chevron Corp.                                                                 | CUSIP: 166764100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     10785 | NS      | $1935799.65   | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| Smithfield Foods, Inc.                                 | Smithfield Foods, Inc.                                                        | CUSIP: 832248AZ1<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |    500000 | PA      | $460374.16    | 0.08%             | 2027-02-01      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| OneMain Finance Corp.                                  | OneMain Finance Corp.                                                         | CUSIP: 682691AB6<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |    375000 | PA      | $310488.75    | 0.06%             | 2027-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Other                                                                   | CUSIP: 31371NCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4761 | PA      | $4854.50      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                               | Lloyds Banking Group plc                                                      | CUSIP: 539439AM1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    508000 | PA      | $491895.07    | 0.09%             | 2025-12-10      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                                    | Abbott Laboratories                                                           | CUSIP: 002824BE9<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |    535000 | PA      | $529332.53    | 0.10%             | 2023-11-30      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Gazprom PJSC Via Gaz Capital SA                        | Gazprom PJSC Via Gaz Capital SA                                               | CUSIP: 368266AH5<br>LEI: 213800568PRHV2JR9650 | Long             | DBT              | CORP              | LU        |    640000 | PA      | $480000.00    | 0.09%             | 2037-08-16      | Fixed         | 7.29%                 | Yes           |                  2 | On Loan: No      |
| PFS Financing Corp.                                    | PFS Financing Corp., Series 2022-D, Class A                                   | CUSIP: 69335PEP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    525000 | PA      | $511974.23    | 0.09%             | 2027-08-15      | Fixed         | 4.27%                 | Yes           |                  2 | On Loan: No      |
| Extended Stay America Trust                            | Extended Stay America Trust, Series 2021-ESH, Class D                         | CUSIP: 30227FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    615001 | PA      | $588774.61    | 0.11%             | 2038-07-15      | Floating      | 6.57%                 | Yes           |                  2 | On Loan: No      |
| American Electric Power Co., Inc.                      | American Electric Power Co., Inc.                                             | CUSIP: 025537101<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | EC               | CORP              | US        |     40105 | NS      | $3807969.75   | 0.70%             |  |  |  | No            |                  1 | On Loan: No      |
| American Tower Corp.                                   | American Tower Corp.                                                          | CUSIP: 03027XAK6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    705000 | PA      | $659146.54    | 0.12%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Sponsor LLC                 | New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class A1               | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    665000 | PA      | $561904.85    | 0.10%             | 2061-10-20      | Fixed         | 1.91%                 | Yes           |                  2 | On Loan: No      |
| Ally Financial, Inc.                                   | Ally Financial, Inc.                                                          | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    640000 | PA      | $660701.61    | 0.12%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-30, Class HI                                                | CUSIP: 38382NZZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1367024 | PA      | $147959.38    | 0.03%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Starwood Property Trust, Inc.                          | Starwood Property Trust, Inc.                                                 | CUSIP: 85571BAY1<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |    415000 | PA      | $363156.31    | 0.07%             | 2027-01-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5187, Class SA                                           | CUSIP: 3137H5BK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1013219 | PA      | $3206.23      | 0.00%             | 2052-01-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| BAT International Finance plc                          | BAT International Finance plc                                                 | CUSIP: 05530QAP5<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |    490000 | PA      | $453819.01    | 0.08%             | 2028-03-16      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2017-K63, Class C                                | CUSIP: 30300HAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    842000 | PA      | $767870.24    | 0.14%             | 2050-02-25      | Variable      | 3.88%                 | Yes           |                  2 | On Loan: No      |
| Berry Global, Inc.                                     | Berry Global, Inc.                                                            | CUSIP: 085770AA3<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |     84000 | PA      | $80871.47     | 0.01%             | 2026-07-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2018-K76, Class B                                | CUSIP: 302954AS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    145000 | PA      | $133652.02    | 0.02%             | 2051-06-25      | Variable      | 4.21%                 | Yes           |                  2 | On Loan: No      |
| MSC Industrial Direct Co., Inc.                        | MSC Industrial Direct Co., Inc., Class A                                      | CUSIP: 553530106<br>LEI: 0XVKH0LN6YGOWO2EGO17 | Long             | EC               | CORP              | US        |     20481 | NS      | $1673297.70   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| Avolon Holdings Funding Ltd.                           | Avolon Holdings Funding Ltd.                                                  | CUSIP: 05401AAH4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1040000 | PA      | $960716.11    | 0.18%             | 2025-02-15      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust              | Navient Private Education Refi Loan Trust, Series 2021-EA, Class B            | CUSIP: 63942EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1380000 | PA      | $879228.64    | 0.16%             | 2069-12-16      | Fixed         | 2.03%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury Ultra Bonds                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        62 | NC      | $-65853.44    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| TruGreen LP                                            | TruGreen LP, 1st Lien Term Loan                                               | CUSIP: 89787RAH5<br>LEI: 549300QNRP2MNHR3QM19 | Long             | LON              | CORP              | US        |    315337 | PA      | $277496.30    | 0.05%             | 2027-11-02      | Variable      | 8.38%                 | No            |                  2 | On Loan: No      |
| AEP Texas, Inc.                                        | AEP Texas, Inc.                                                               | CUSIP: 00108WAP5<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    475000 | PA      | $454975.50    | 0.08%             | 2032-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Sprint Spectrum Co. LLC                                | Sprint Spectrum Co. LLC                                                       | CUSIP: 85208NAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    869065 | PA      | $858819.07    | 0.16%             | 2025-03-20      | Fixed         | 4.74%                 | Yes           |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                      | Enterprise Products Operating LLC                                             | CUSIP: 29379VBZ5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    595000 | PA      | $429402.68    | 0.08%             | 2060-01-31      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                         | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    465000 | PA      | $372178.60    | 0.07%             | 2032-04-22      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                           | BX Commercial Mortgage Trust, Series 2021-ACNT, Class D                       | CUSIP: 05609QAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1075000 | PA      | $1015692.36   | 0.19%             | 2038-11-15      | Floating      | 6.17%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                      | Wells Fargo & Co.                                                             | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    390000 | PA      | $370317.92    | 0.07%             | 2033-07-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                 | Dell International LLC                                                        | CUSIP: 24703TAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    680000 | PA      | $669323.39    | 0.12%             | 2026-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2016-57, Class SN                                         | CUSIP: 3136ATEN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    901910 | PA      | $92138.00     | 0.02%             | 2046-06-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Operating Partnership LP              | Invitation Homes Operating Partnership LP                                     | CUSIP: 46188BAA0<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |    680000 | PA      | $502517.93    | 0.09%             | 2031-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2021-54, Class HI                                         | CUSIP: 3136BGKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    276443 | PA      | $34542.51     | 0.01%             | 2051-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 2 Year Notes                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       101 | NC      | $27929.33     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BASF SE                                                | BASF SE                                                                       | CUSIP: N/A<br>LEI: 529900PM64WH8AF1E917       | Long             | EC               | CORP              | DE        |     31006 | NS      | $1539268.74   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| Toyota Motor Corp.                                     | Toyota Motor Corp.                                                            | CUSIP: N/A<br>LEI: 5493006W3QUS5LMH6R84       | Long             | EC               | CORP              | JP        |     98700 | NS      | $1348946.66   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| Hudson Yards Mortgage Trust                            | Hudson Yards Mortgage Trust, Series 2019-30HY, Class A                        | CUSIP: 44421GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    715000 | PA      | $614757.36    | 0.11%             | 2039-07-10      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| Coca-Cola Co. (The)                                    | Coca-Cola Co. (The)                                                           | CUSIP: 191216100<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | EC               | CORP              | US        |     40966 | NS      | $2605847.26   | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| Expedia Group, Inc.                                    | Expedia Group, Inc.                                                           | CUSIP: 30212PAM7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     22000 | PA      | $21709.55     | 0.00%             | 2026-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                     | United Airlines Pass-Through Trust, Series 2020-1, Class A                    | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    671826 | PA      | $662383.92    | 0.12%             | 2027-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| One Bryant Park Trust                                  | One Bryant Park Trust, Series 2019-OBP, Class A                               | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1945000 | PA      | $1592300.12   | 0.29%             | 2054-09-15      | Fixed         | 2.52%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                   | JPMorgan Chase & Co.                                                          | CUSIP: 46647PDA1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    905000 | PA      | $864263.09    | 0.16%             | 2028-04-26      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| Welltower, Inc.                                        | Welltower, Inc.                                                               | CUSIP: 95040Q104<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | EC               | CORP              | US        |     26533 | NS      | $1739238.15   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| Ford Motor Credit Co. LLC                              | Ford Motor Credit Co. LLC                                                     | CUSIP: 345397B77<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    595000 | PA      | $516698.00    | 0.09%             | 2026-08-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                 | Dell International LLC                                                        | CUSIP: 24703TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    318000 | PA      | $311004.65    | 0.06%             | 2029-10-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                                | CF Hippolyta Issuer LLC, Series 2020-1, Class A1                              | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    504108 | PA      | $449962.41    | 0.08%             | 2060-07-15      | Fixed         | 1.69%                 | Yes           |                  2 | On Loan: No      |
| NSTAR Electric Co.                                     | NSTAR Electric Co.                                                            | CUSIP: 67021CAT4<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |    250000 | PA      | $241509.04    | 0.04%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2018-K78, Class B                                | CUSIP: 30296XAG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    115000 | PA      | $105633.88    | 0.02%             | 2051-06-25      | Variable      | 4.13%                 | Yes           |                  2 | On Loan: No      |
| Expedia Group, Inc.                                    | Expedia Group, Inc.                                                           | CUSIP: 30212PAS4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     88000 | PA      | $88745.97     | 0.02%             | 2025-05-01      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| CIM Trust                                              | CIM Trust, Series 2021-J2, Class AIOS                                         | CUSIP: 12564ECM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18872349 | PA      | $189153.78    | 0.03%             | 2051-04-25      | Variable      | 0.21%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-125, Class AF                                               | CUSIP: 38382WHE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    799988 | PA      | $713636.46    | 0.13%             | 2051-07-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| Manulife Financial Corp.                               | Manulife Financial Corp.                                                      | CUSIP: 56501R106<br>LEI: 5493007GBX87QOZACS27 | Long             | EC               | CORP              | CA        |    164462 | NS      | $2933351.03   | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 4994, Class TS                                           | CUSIP: 3137FUFU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    914052 | PA      | $100787.73    | 0.02%             | 2050-07-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Dow, Inc.                                              | Dow, Inc.                                                                     | CUSIP: 260557103<br>LEI: 5493003S21INSLK2IP73 | Long             | EC               | CORP              | US        |     28275 | NS      | $1424777.25   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | FNMA, STRIPS, Series 427, Class C77                                           | CUSIP: 31423XQF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2169486 | PA      | $326557.37    | 0.06%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                 | Truist Financial Corp.                                                        | CUSIP: 89832Q109<br>LEI: 549300DRQQI75D2JP341 | Long             | EC               | CORP              | US        |     32400 | NS      | $1394172.00   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| Restaurant Brands International, Inc.                  | Restaurant Brands International, Inc.                                         | CUSIP: 76131D103<br>LEI: 5299009RXTX9DN9AKJ98 | Long             | EC               | CORP              | CA        |     79566 | NS      | $5145533.22   | 0.95%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                    | E-Mini Health Care Select Sector Index                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        86 | NC      | $-318172.29   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-96, Class FG                                                | CUSIP: 38382UG62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    826376 | PA      | $734948.31    | 0.14%             | 2051-06-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| INVESCO GOVT AND AGCY LEX                              | INVESCO GOVERNMENT & AGENCY PORTFOLIO OPEN-END FUND USD                       | CUSIP: 825252885<br>LEI: O37NHJVF7S22I1ONOU83 | Long             | STIV             | RF                | US        |    181338 | NS      | $181337.50    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| TruGreen LP                                            | TruGreen LP, 2nd Lien Term Loan                                               | CUSIP: 89787RAK8<br>LEI: 549300QNRP2MNHR3QM19 | Long             | LON              | CORP              | US        |    250000 | PA      | $182500.00    | 0.03%             | 2028-11-02      | Variable      | 12.91%                | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp., Series DD                                              | CUSIP: 060505EU4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    735000 | PA      | $729541.66    | 0.13%             | 2026-03-10      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                 | Credit Suisse Group AG                                                        | CUSIP: 225401AV0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    495000 | PA      | $450794.58    | 0.08%             | 2028-08-11      | Variable      | 6.44%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-136, Class TI                                               | CUSIP: 38382WV20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    771884 | PA      | $111612.03    | 0.02%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 5200, Class FA                                                  | CUSIP: 3137H6KC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    611315 | PA      | $552495.71    | 0.10%             | 2052-02-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                               | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    385000 | PA      | $312612.50    | 0.06%             | 2033-02-24      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                        | Citigroup, Inc.                                                               | CUSIP: 172967HS3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    216000 | PA      | $194513.83    | 0.04%             | 2044-05-06      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Edison International                                   | Edison International, Series B                                                | CUSIP: 281020AT4<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    905000 | PA      | $756534.39    | 0.14%             | 2026-12-15      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Hubbell, Inc.                                          | Hubbell, Inc.                                                                 | CUSIP: 443510607<br>LEI: 54930088VDQ6840Y6597 | Long             | EC               | CORP              | US        |      8446 | NS      | $1982107.28   | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| MetLife, Inc.                                          | MetLife, Inc.                                                                 | CUSIP: 59156R108<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | EC               | CORP              | US        |     51300 | NS      | $3712581.00   | 0.68%             |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust, Series 2018-AUS, Class A               | CUSIP: 94990EAA2<br>LEI: 54930012YCNUERXJ1I74 | Long             | ABS-MBS          | CORP              | US        |    850000 | PA      | $753890.93    | 0.14%             | 2036-08-17      | Variable      | 4.06%                 | Yes           |                  2 | On Loan: No      |
| Realogy Group LLC                                      | Realogy Group LLC                                                             | CUSIP: 75606DAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    560000 | PA      | $423578.40    | 0.08%             | 2029-01-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: —       |
| N/A                                                    | U.S. Treasury Long Bonds                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        16 | NC      | $-11787.12    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Siemens AG                                             | Siemens AG (Registered)                                                       | CUSIP: N/A<br>LEI: W38RGI023J3WT1HWRP32       | Long             | EC               | CORP              | DE        |     17374 | NS      | $2411384.45   | 0.44%             |  |  |  | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                           | Verizon Communications, Inc.                                                  | CUSIP: 92343V104<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | EC               | CORP              | US        |     43490 | NS      | $1713506.00   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| Quad/Graphics, Inc.                                    | Quad/Graphics, Inc.                                                           | CUSIP: 747301109<br>LEI: W2D68G5NJH4X0NW8PT65 | Long             | EC               | CORP              | US        |         6 | NS      | $24.48        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Cie Generale des Etablissements Michelin SCA           | Cie Generale des Etablissements Michelin SCA                                  | CUSIP: N/A<br>LEI: 549300SOSI58J6VIW052       | Long             | EC               | CORP              | FR        |     49231 | NS      | $1368961.94   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS, 30 Year                                                                 | CUSIP: 3140XDQV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    735591 | PA      | $646054.75    | 0.12%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freedom Mortgage Corp.                                 | Freedom Mortgage Corp.                                                        | CUSIP: 35640YAF4<br>LEI: 549300LYRWPSYPK6S325 | Long             | DBT              | CORP              | US        |    355000 | PA      | $296114.59    | 0.05%             | 2026-05-01      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS, 30 Year                                                                 | CUSIP: 3140XHL54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    585990 | PA      | $549789.30    | 0.10%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| QVC, Inc.                                              | QVC, Inc.                                                                     | CUSIP: 747262AZ6<br>LEI: 549300WBLU5NKPX5X472 | Long             | DBT              | CORP              | US        |    925000 | PA      | $552687.50    | 0.10%             | 2028-09-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                         | CUSIP: 06051GHZ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    650000 | PA      | $528314.53    | 0.10%             | 2031-02-13      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP                                         | GLP Capital LP                                                                | CUSIP: 361841AN9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    505000 | PA      | $483961.70    | 0.09%             | 2024-09-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Digital Realty Trust LP                                | Digital Realty Trust LP                                                       | CUSIP: 25389JAR7<br>LEI: CD4SPTZ3YBTHY0C1AH38 | Long             | DBT              | CORP              | US        |    660000 | PA      | $612447.65    | 0.11%             | 2027-08-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp.                                        | Microsoft Corp.                                                               | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |     24005 | NS      | $5756879.10   | 1.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Credit Agricole SA                                     | Credit Agricole SA                                                            | CUSIP: 225313AP0<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   1000000 | PA      | $801417.54    | 0.15%             | 2029-03-23      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-206, Class WN                                               | CUSIP: 38383HKK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    555000 | PA      | $514331.74    | 0.09%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Westpac Banking Corp.                                  | Westpac Banking Corp.                                                         | CUSIP: 961214EX7<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    533000 | PA      | $396268.04    | 0.07%             | 2036-11-18      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| Columbia Banking System, Inc.                          | Columbia Banking System, Inc.                                                 | CUSIP: 197236102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     81989 | NS      | $2470328.57   | 0.45%             |  |  |  | No            |                  1 | On Loan: No      |
| Glencore Funding LLC                                   | Glencore Funding LLC                                                          | CUSIP: 378272AX6<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   1205000 | PA      | $1090632.58   | 0.20%             | 2025-09-01      | Fixed         | 1.62%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                         | CUSIP: 060505104<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EC               | CORP              | US        |    106713 | NS      | $3534334.56   | 0.65%             |  |  |  | No            |                  1 | On Loan: No      |
| Grupo Televisa SAB                                     | Grupo Televisa SAB                                                            | CUSIP: 40049JBE6<br>LEI: 549300O4AF0C816ILN62 | Long             | DBT              | CORP              | MX        |    355000 | PA      | $313438.87    | 0.06%             | 2049-05-24      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Evergy, Inc.                                           | Evergy, Inc.                                                                  | CUSIP: 30034W106<br>LEI: 549300PGTHDQY6PSUI61 | Long             | EC               | CORP              | US        |     23389 | NS      | $1471869.77   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-146, Class IN                                               | CUSIP: 38382WH26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1398214 | PA      | $224928.94    | 0.04%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-136, Class SB                                               | CUSIP: 38382WR25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4879939 | PA      | $111363.62    | 0.02%             | 2051-08-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust, Series 2019-2A, Class B6                 | CUSIP: 64830DCF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    461610 | PA      | $291457.76    | 0.05%             | 2057-12-25      | Variable      | 4.89%                 | Yes           |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust              | Navient Private Education Refi Loan Trust, Series 2021-BA, Class A            | CUSIP: 63942LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    465911 | PA      | $393502.57    | 0.07%             | 2069-07-15      | Fixed         | 0.94%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5070, Class PI                                           | CUSIP: 3137F9Y54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    727162 | PA      | $117698.47    | 0.02%             | 2050-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential                                   | Progress Residential, Series 2021-SFR4, Class B                               | CUSIP: 74333EAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    670000 | PA      | $575305.15    | 0.11%             | 2038-05-17      | Fixed         | 1.81%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust     | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C28, Class A4 | CUSIP: 61766LBS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $188132.12    | 0.03%             | 2049-01-15      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Emerson Electric Co.                                   | Emerson Electric Co.                                                          | CUSIP: 291011104<br>LEI: FGLT0EWZSUIRRITFOA30 | Long             | EC               | CORP              | US        |     33194 | NS      | $3188615.64   | 0.59%             |  |  |  | No            |                  1 | On Loan: No      |
| Republic of Chile                                      | Chile Government Bond                                                         | CUSIP: 168863DT2<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    495000 | PA      | $387395.86    | 0.07%             | 2033-07-27      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                           | Drive Auto Receivables Trust, Series 2021-2, Class D                          | CUSIP: 262104AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $737147.60    | 0.14%             | 2029-03-15      | Fixed         | 1.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2022-5, Class SN                                          | CUSIP: 3136BLHM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    565395 | PA      | $1680.98      | 0.00%             | 2052-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust            | Arbor Multifamily Mortgage Securities Trust, Series 2021-MF2, Class AS        | CUSIP: 03881VAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    750000 | PA      | $592990.05    | 0.11%             | 2054-06-15      | Variable      | 2.70%                 | Yes           |                  2 | On Loan: No      |
| Lloyds Banking Group plc                               | Lloyds Banking Group plc                                                      | CUSIP: 53944YAU7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    365000 | PA      | $335139.48    | 0.06%             | 2033-08-11      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| National Fuel Gas Co.                                  | National Fuel Gas Co.                                                         | CUSIP: 636180BR1<br>LEI: 8JB38FFW1Y3C1HM8E841 | Long             | DBT              | CORP              | US        |    450000 | PA      | $352642.77    | 0.06%             | 2031-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Mastr Asset-Backed Securities Trust                    | Mastr Asset-Backed Securities Trust, Series 2006-HE4, Class A1                | CUSIP: 576449AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    190494 | PA      | $60720.49     | 0.01%             | 2036-11-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Honeywell International, Inc.                          | Honeywell International, Inc.                                                 | CUSIP: 438516106<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | EC               | CORP              | US        |     10440 | NS      | $2237292.00   | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP Paribas SA                                         | BNP Paribas SA                                                                | CUSIP: 05565ASK0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    885000 | PA      | $683751.42    | 0.13%             | 2031-02-25      | Variable      | 4.62%                 | Yes           |                  2 | On Loan: No      |
| TotalEnergies SE                                       | TotalEnergies SE                                                              | CUSIP: N/A<br>LEI: 529900S21EQ1BO4ESM68       | Long             | EC               | CORP              | FR        |     83320 | NS      | $5200433.09   | 0.96%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                    | Societe Generale SA                                                           | CUSIP: 83370RAA6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1115000 | PA      | $903302.51    | 0.17%             | 2030-11-18      | Variable      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-44, Class IQ                                                | CUSIP: 38382PMU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1567900 | PA      | $226583.06    | 0.04%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 5 Year Notes                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       122 | NC      | $943.25       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                  | FHLMC Structured Agency Credit Risk Debt Notes, Series 2018-DNA1, Class B1    | CUSIP: 3137G0UB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    420000 | PA      | $423588.48    | 0.08%             | 2030-07-25      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                        | Air Lease Corp.                                                               | CUSIP: 00912XAX2<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    500000 | PA      | $499411.39    | 0.09%             | 2023-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                           | Verizon Communications, Inc.                                                  | CUSIP: 92343VEP5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    660000 | PA      | $665234.08    | 0.12%             | 2025-05-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Nestle SA                                              | Nestle SA (Registered)                                                        | CUSIP: N/A<br>LEI: KY37LUS27QQX7BB93L28       | Long             | EC               | CORP              | CH        |     17353 | NS      | $2004019.60   | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| Hasbro, Inc.                                           | Hasbro, Inc.                                                                  | CUSIP: 418056107<br>LEI: 549300NUB6D2R1ITYR45 | Long             | EC               | CORP              | US        |     42285 | NS      | $2579807.85   | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| Fortis, Inc.                                           | Fortis, Inc.                                                                  | CUSIP: 349553107<br>LEI: 549300MQYQ9Y065XPR71 | Long             | EC               | CORP              | CA        |     33864 | NS      | $1355060.21   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5021, Class SA                                           | CUSIP: 3137FWMZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1316793 | PA      | $43968.65     | 0.01%             | 2050-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                      | NatWest Group plc                                                             | CUSIP: 780097BP5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   1580000 | PA      | $1411966.13   | 0.26%             | 2028-05-22      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                         | BNP Paribas SA                                                                | CUSIP: 09659W2K9<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    620000 | PA      | $508116.83    | 0.09%             | 2031-01-13      | Variable      | 3.05%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS, 30 Year                                                                 | CUSIP: 3140JNRL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    119746 | PA      | $114178.24    | 0.02%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corp.                            | Raytheon Technologies Corp.                                                   | CUSIP: 75513E101<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | EC               | CORP              | US        |     30163 | NS      | $3044049.96   | 0.56%             |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo & Co.                                      | Wells Fargo & Co.                                                             | CUSIP: 95000U2G7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    385000 | PA      | $327020.79    | 0.06%             | 2030-10-30      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Wachovia Corp.                                         | Wachovia Corp.                                                                | CUSIP: 929903AM4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $679518.18    | 0.12%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                               | CUSIP: 38141GYA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    535000 | PA      | $469145.74    | 0.09%             | 2027-03-09      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| Warnermedia Holdings, Inc.                             | Warnermedia Holdings, Inc.                                                    | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    565000 | PA      | $465427.08    | 0.09%             | 2032-03-15      | Fixed         | 4.28%                 | Yes           |                  2 | On Loan: No      |
| Nordstrom, Inc.                                        | Nordstrom, Inc.                                                               | CUSIP: 655664AY6<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |    530000 | PA      | $379003.00    | 0.07%             | 2031-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch Cos. LLC                                | Anheuser-Busch Cos. LLC                                                       | CUSIP: 03522AAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    475000 | PA      | $448610.33    | 0.08%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Arizona Public Service Co.                             | Arizona Public Service Co.                                                    | CUSIP: 040555DD3<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |    750000 | PA      | $572209.95    | 0.11%             | 2031-12-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| British Airways Pass-Through Trust                     | British Airways Pass-Through Trust, Series 2021-1, Class A                    | CUSIP: 11042CAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    826658 | PA      | $672922.21    | 0.12%             | 2035-03-15      | Fixed         | 2.90%                 | Yes           |                  2 | On Loan: No      |
| AbbVie, Inc.                                           | AbbVie, Inc.                                                                  | CUSIP: 00287Y109<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | EC               | CORP              | US        |     22042 | NS      | $3562207.62   | 0.65%             |  |  |  | No            |                  1 | On Loan: No      |
| Omnicom Group, Inc.                                    | Omnicom Group, Inc.                                                           | CUSIP: 681919106<br>LEI: HKUPACFHSSASQK8HLS17 | Long             | EC               | CORP              | US        |     22788 | NS      | $1858817.16   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Enbridge, Inc.                                         | Enbridge, Inc.                                                                | CUSIP: 29250N105<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | EC               | CORP              | CA        |     46401 | NS      | $1813545.73   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| DB Master Finance LLC                                  | DB Master Finance LLC, Series 2021-1A, Class A23                              | CUSIP: 233046AS0<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |    945450 | PA      | $728323.63    | 0.13%             | 2051-11-20      | Fixed         | 2.79%                 | Yes           |                  2 | On Loan: No      |
| Air Lease Corp.                                        | Air Lease Corp.                                                               | CUSIP: 00914AAF9<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    820000 | PA      | $763444.03    | 0.14%             | 2025-02-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| WEC Energy Group, Inc.                                 | WEC Energy Group, Inc.                                                        | CUSIP: 92939U106<br>LEI: 549300IGLYTZUK3PVP70 | Long             | EC               | CORP              | US        |     16621 | NS      | $1558384.96   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-177, Class IM                                               | CUSIP: 38383CFZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1478334 | PA      | $233814.29    | 0.04%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Manhattan West Mortgage Trust                          | Manhattan West Mortgage Trust, Series 2020-1MW, Class A                       | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1120000 | PA      | $956266.19    | 0.18%             | 2039-09-10      | Fixed         | 2.13%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                         | BNP Paribas SA                                                                | CUSIP: 05565AM34<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    230000 | PA      | $227125.00    | 0.04%             | 2029-08-16      | Variable      | 7.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, REMIC, Series 5038, Class KA                                           | CUSIP: 3137FXNA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    966788 | PA      | $733951.02    | 0.13%             | 2050-11-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-189, Class SU                                               | CUSIP: 38382MGE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    337098 | PA      | $40850.63     | 0.01%             | 2050-12-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust              | Navient Private Education Refi Loan Trust, Series 2020-EA, Class A            | CUSIP: 63941TAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    356492 | PA      | $320689.82    | 0.06%             | 2069-05-15      | Fixed         | 1.69%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered plc                                 | Standard Chartered plc                                                        | CUSIP: 853254CE8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   1060000 | PA      | $968144.36    | 0.18%             | 2025-11-23      | Variable      | 1.82%                 | Yes           |                  2 | On Loan: No      |
| NetApp, Inc.                                           | NetApp, Inc.                                                                  | CUSIP: 64110D104<br>LEI: QTX3D84DZDD5JYOCYH15 | Long             | EC               | CORP              | US        |     25515 | NS      | $1532430.90   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Thor Industries, Inc.                                  | Thor Industries, Inc.                                                         | CUSIP: 885160AA9<br>LEI: 254900XZO1228PDSG060 | Long             | DBT              | CORP              | US        |    375000 | PA      | $294443.84    | 0.05%             | 2029-10-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Voya Financial, Inc.                                   | Voya Financial, Inc.                                                          | CUSIP: 929089AB6<br>LEI: 549300T065Z4KJ686G75 | Long             | DBT              | CORP              | US        |    310000 | PA      | $292303.76    | 0.05%             | 2026-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, STRIPS, Series 311, Class S1                                           | CUSIP: 31325URK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    861585 | PA      | $84394.44     | 0.02%             | 2043-08-15      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Iron Mountain, Inc.                                    | Iron Mountain, Inc.                                                           | CUSIP: 46284VAJ0<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |    545000 | PA      | $473605.00    | 0.09%             | 2030-07-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2020-10, Class DA                                         | CUSIP: 3136B9BV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    624441 | PA      | $575654.86    | 0.11%             | 2060-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                         | Home Partners of America Trust, Series 2021-2, Class B                        | CUSIP: 43732VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    554171 | PA      | $473392.22    | 0.09%             | 2026-12-17      | Fixed         | 2.30%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-146, Class SA                                               | CUSIP: 38382KWJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1110488 | PA      | $131337.85    | 0.02%             | 2050-10-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-97, Class HB                                                | CUSIP: 38382GXQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    349277 | PA      | $265661.31    | 0.05%             | 2050-07-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                      | Duke Energy Corp.                                                             | CUSIP: 26441C204<br>LEI: I1BZKREC126H0VB1BL91 | Long             | EC               | CORP              | US        |     15060 | NS      | $1551029.40   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Societe Generale SA                                    | Societe Generale SA                                                           | CUSIP: 83368RBJ0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    680000 | PA      | $535479.18    | 0.10%             | 2033-01-21      | Variable      | 3.34%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                    | S&P 500 E-Mini Index                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        94 | NC      | $-772889.62   | -0.14%            |  |  |  | No            |                  1 | On Loan: No      |
| UnitedHealth Group, Inc.                               | UnitedHealth Group, Inc.                                                      | CUSIP: 91324P102<br>LEI: 549300GHBMY8T5GXDE41 | Long             | EC               | CORP              | US        |      8819 | NS      | $4675657.42   | 0.86%             |  |  |  | No            |                  1 | On Loan: No      |
| STACR Trust                                            | STACR Trust, Series 2018-HRP2, Class B1                                       | CUSIP: 35564ACB5<br>LEI: 549300YG8OJES76WL398 | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $798226.56    | 0.15%             | 2047-02-25      | Floating      | 8.59%                 | Yes           |                  2 | On Loan: No      |
| Ashtead Capital, Inc.                                  | Ashtead Capital, Inc.                                                         | CUSIP: 045054AJ2<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    380000 | PA      | $346455.12    | 0.06%             | 2028-05-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Telekom AG                                    | Deutsche Telekom AG (Registered)                                              | CUSIP: N/A<br>LEI: 549300V9QSIG4WX4GJ96       | Long             | EC               | CORP              | DE        |    243959 | NS      | $4866122.90   | 0.89%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                    | Yen Denominated Nikkei 225 Index                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       126 | NC      | $-908333.94   | -0.17%            |  |  |  | No            |                  1 | On Loan: No      |
| Novartis AG                                            | Novartis AG (Registered)                                                      | CUSIP: N/A<br>LEI: 5493007HIVTX6SY6XD66       | Long             | EC               | CORP              | CH        |     52184 | NS      | $4726895.16   | 0.87%             |  |  |  | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                        | Air Lease Corp.                                                               | CUSIP: 00912XAN4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    420000 | PA      | $410926.67    | 0.08%             | 2024-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TELUS Corp.                                            | TELUS Corp.                                                                   | CUSIP: 87971M103<br>LEI: L2TEUTQ8OSHMJWVLCE40 | Long             | EC               | CORP              | CA        |     71006 | NS      | $1370300.43   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust, Series 2015-UBS8, Class A4                    | CUSIP: 61691ABL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380000 | PA      | $359077.05    | 0.07%             | 2048-12-15      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-188                                                         | CUSIP: 38383CTL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1741318 | PA      | $278672.16    | 0.05%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp.                                       | McDonald's Corp.                                                              | CUSIP: 580135101<br>LEI: UE2136O97NLB5BYP9H04 | Long             | EC               | CORP              | US        |      7847 | NS      | $2067919.91   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup, Inc.                                        | Citigroup, Inc.                                                               | CUSIP: 172967BL4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    190000 | PA      | $200080.80    | 0.04%             | 2032-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | FTSE 100 Index                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | GB        |       -19 | NC      | $15477.36     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AutoNation, Inc.                                       | AutoNation, Inc.                                                              | CUSIP: 05329WAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $624536.40    | 0.11%             | 2030-06-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Progress Residential                                   | Progress Residential, Series 2021-SFR1, Class A                               | CUSIP: 74331FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    763511 | PA      | $657945.71    | 0.12%             | 2038-04-17      | Fixed         | 1.05%                 | Yes           |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                | Flagstar Mortgage Trust, Series 2021-6INV, Class A18                          | CUSIP: 33851GAU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    430314 | PA      | $331426.01    | 0.06%             | 2051-08-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2013-77, Class CY                                         | CUSIP: 3136AFML5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    535977 | PA      | $480840.30    | 0.09%             | 2043-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                            | Hertz Vehicle Financing LLC, Series 2021-1A, Class B                          | CUSIP: 42806MAB5<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |    520000 | PA      | $476384.27    | 0.09%             | 2025-12-26      | Fixed         | 1.56%                 | Yes           |                  2 | On Loan: No      |
| DT Midstream, Inc.                                     | DT Midstream, Inc.                                                            | CUSIP: 23345MAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    570000 | PA      | $500770.65    | 0.09%             | 2032-04-15      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2022-189, Class AT                                               | CUSIP: 38383LEF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    576997 | PA      | $513405.30    | 0.09%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                             | UMBS, 30 Year                                                                 | CUSIP: 3133A7QG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    453610 | PA      | $415923.88    | 0.08%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | Forward Foreign Currency Contract                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $5836.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                     | T-Mobile USA, Inc.                                                            | CUSIP: 87264ABS3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    300000 | PA      | $253959.24    | 0.05%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-98, Class IN                                                | CUSIP: 38382TM27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    669269 | PA      | $120297.74    | 0.02%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Leggett & Platt, Inc.                                  | Leggett & Platt, Inc.                                                         | CUSIP: 524660107<br>LEI: DKOVQUCDW4ZLYCUD4T55 | Long             | EC               | CORP              | US        |     43209 | NS      | $1392626.07   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| FREMF Mortgage Trust                                   | FREMF Mortgage Trust, Series 2018-K79, Class B                                | CUSIP: 302956AG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    105000 | PA      | $96245.06     | 0.02%             | 2051-07-25      | Variable      | 4.21%                 | Yes           |                  2 | On Loan: No      |
| Extended Stay America Trust                            | Extended Stay America Trust, Series 2021-ESH, Class C                         | CUSIP: 30227FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    951787 | PA      | $913584.94    | 0.17%             | 2038-07-15      | Floating      | 6.02%                 | Yes           |                  2 | On Loan: No      |
| CVS Health Corp.                                       | CVS Health Corp.                                                              | CUSIP: 126650100<br>LEI: 549300EJG376EN5NQE29 | Long             | EC               | CORP              | US        |     19961 | NS      | $1860165.59   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                   | FNMA, REMIC, Series 2019-13, Class PE                                         | CUSIP: 3136B4GU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316901 | PA      | $283798.06    | 0.05%             | 2049-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                | Volkswagen Group of America Finance LLC                                       | CUSIP: 928668BT8<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    355000 | PA      | $335346.28    | 0.06%             | 2029-06-08      | Fixed         | 4.60%                 | Yes           |                  2 | On Loan: No      |
| AT&T, Inc.                                             | AT&T, Inc.                                                                    | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    795000 | PA      | $536574.26    | 0.10%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-122, Class HS                                               | CUSIP: 38382WBD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1146296 | PA      | $147145.13    | 0.03%             | 2051-07-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                | FHLMC STACR REMIC Trust, Series 2021-HQA3, Class B1                           | CUSIP: 35564KKK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1470000 | PA      | $1255553.02   | 0.23%             | 2041-09-25      | Floating      | 7.28%                 | Yes           |                  2 | On Loan: No      |
| Entergy Corp.                                          | Entergy Corp.                                                                 | CUSIP: 29364G103<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | EC               | CORP              | US        |     14652 | NS      | $1648350.00   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| Ally Financial, Inc.                                   | Ally Financial, Inc., Series C                                                | CUSIP: 02005NBN9<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    555000 | PA      | $347568.75    | 0.06%             | 2028-05-15      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC               | Avis Budget Rental Car Funding AESOP LLC, Series 2021-1A, Class A             | CUSIP: 05377REH3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $870655.80    | 0.16%             | 2027-08-20      | Fixed         | 1.38%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                | FHLMC STACR REMIC Trust, Series 2022-DNA2, Class M2                           | CUSIP: 35564KRN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    770000 | PA      | $724142.11    | 0.13%             | 2042-02-25      | Floating      | 7.68%                 | Yes           |                  2 | On Loan: No      |
| Banco BTG Pactual SA                                   | Banco BTG Pactual SA                                                          | CUSIP: 05971AAG6<br>LEI: 2549002JHJ73KGETOK78 | Long             | DBT              | CORP              | BR        |   1130000 | PA      | $1026887.50   | 0.19%             | 2026-01-11      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Koei Tecmo Holdings Co. Ltd.                           | Koei Tecmo Holdings Co. Ltd.                                                  | CUSIP: N/A<br>LEI: 353800RQ25FIYLPYXP11       | Long             | EC               | CORP              | JP        |    107400 | NS      | $1935719.34   | 0.36%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2021-98, Class KI                                                | CUSIP: 38382TM43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1756528 | PA      | $263413.33    | 0.05%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                | CUSIP: 61746BCY0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    881000 | PA      | $920005.05    | 0.17%             | 2026-08-09      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust           | American Credit Acceptance Receivables Trust, Series 2021-3, Class D          | CUSIP: 025286AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    745000 | PA      | $691587.75    | 0.13%             | 2027-11-15      | Fixed         | 1.34%                 | Yes           |                  2 | On Loan: No      |
| Lockheed Martin Corp.                                  | Lockheed Martin Corp.                                                         | CUSIP: 539830109<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | EC               | CORP              | US        |      3821 | NS      | $1858878.29   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| BXHPP Trust                                            | BXHPP Trust, Series 2021-FILM, Class A                                        | CUSIP: 05609JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255000 | PA      | $238481.15    | 0.04%             | 2036-08-15      | Floating      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| Vail Resorts, Inc.                                     | Vail Resorts, Inc.                                                            | CUSIP: 91879Q109<br>LEI: 529900PSZHRNU9HKH870 | Long             | EC               | CORP              | US        |     13226 | NS      | $3152417.10   | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                    | E-Mini Industrial Equity Index                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |       -30 | NC      | $74605.50     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| American Airlines, Inc.                                | American Airlines, Inc.                                                       | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    360000 | PA      | $329024.10    | 0.06%             | 2029-04-20      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Virginia Electric and Power Co.                        | Virginia Electric and Power Co.                                               | CUSIP: 927804GF5<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    435000 | PA      | $285845.62    | 0.05%             | 2051-11-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Texas Instruments, Inc.                                | Texas Instruments, Inc.                                                       | CUSIP: 882508104<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | EC               | CORP              | US        |     17264 | NS      | $2852358.08   | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| Targa Resources Corp.                                  | Targa Resources Corp.                                                         | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    335000 | PA      | $288221.74    | 0.05%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Trust, Series 2021-ARIA, Class E                                           | CUSIP: 05608RAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1179382.36   | 0.22%             | 2036-10-15      | Floating      | 6.56%                 | Yes           |                  2 | On Loan: No      |
| Iron Mountain, Inc.                                    | Iron Mountain, Inc.                                                           | CUSIP: 46284V101<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | EC               | CORP              | US        |     35903 | NS      | $1789764.55   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                               | U.S. Treasury Notes                                                           | CUSIP: 91282CFQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5600000 | PA      | $5584031.26   | 1.03%             | 2024-10-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Bridgestone Corp.                                      | Bridgestone Corp.                                                             | CUSIP: N/A<br>LEI: 549300DHPOF90OYYD780       | Long             | EC               | CORP              | JP        |     47800 | NS      | $1701761.35   | 0.31%             |  |  |  | No            |                  2 | On Loan: —       |
| FHLMC                                                  | FHLMC, REMIC, Series 5040                                                     | CUSIP: 3137F6PH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    535270 | PA      | $89701.98     | 0.02%             | 2050-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                       | Deutsche Bank AG, Series E                                                    | CUSIP: 251526CM9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    665000 | PA      | $639815.52    | 0.12%             | 2023-11-08      | Fixed         | 0.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 10 Year Ultra Bonds                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       111 | NC      | $-59220.72    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                             | UMBS, 20 Year                                                                 | CUSIP: 3133KYWP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    405899 | PA      | $352972.94    | 0.06%             | 2042-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Gold Pools, 30 Year                                                     | CUSIP: 31335BM60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    559440 | PA      | $518975.50    | 0.10%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                           | UBS Group AG                                                                  | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    410000 | PA      | $392360.07    | 0.07%             | 2028-05-12      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Mortgage Acquisition Trust                    | JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AF1               | CUSIP: 46630KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120954 | PA      | $76152.67     | 0.01%             | 2047-03-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | UMBS, 30 Year                                                                 | CUSIP: 31418EHH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1063176 | PA      | $966111.65    | 0.18%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2018-C01, Class 1B1                                              | CUSIP: 30711XYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1135000 | PA      | $1154841.73   | 0.21%             | 2030-07-25      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                | FHLMC STACR REMIC Trust, Series 2021-HQA2, Class B1                           | CUSIP: 35564KGR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    430000 | PA      | $368168.58    | 0.07%             | 2033-12-25      | Floating      | 7.08%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                | FHLMC STACR REMIC Trust, Series 2021-HQA3, Class M2                           | CUSIP: 35564KJP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    715000 | PA      | $629361.16    | 0.12%             | 2041-09-25      | Floating      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC               | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A             | CUSIP: 05377RDY7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    360000 | PA      | $326242.94    | 0.06%             | 2027-02-20      | Fixed         | 2.02%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                | FHLMC STACR REMIC Trust, Series 2022-DNA3, Class M1B                          | CUSIP: 35564KUX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    996000 | PA      | $984180.37    | 0.18%             | 2042-04-25      | Floating      | 6.83%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                         | BNP Paribas SA                                                                | CUSIP: 05565AB28<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    625000 | PA      | $514055.52    | 0.09%             | 2027-01-12      | Variable      | 4.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | UMBS, 30 Year                                                                 | CUSIP: 31418EKU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4689441 | PA      | $4624589.43   | 0.85%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NewRez Warehouse Securitization Trust                  | NewRez Warehouse Securitization Trust, Series 2021-1, Class A                 | CUSIP: 65246PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    335000 | PA      | $329667.30    | 0.06%             | 2055-05-25      | Floating      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                         | CUSIP: 06051GJZ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    715000 | PA      | $601668.27    | 0.11%             | 2029-06-14      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2020-115, Class YA                                               | CUSIP: 38382HG20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    734554 | PA      | $559970.34    | 0.10%             | 2050-08-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA                                         | JBS USA LUX SA                                                                | CUSIP: 46590XAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    810000 | PA      | $772561.80    | 0.14%             | 2033-04-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                              | Ford Motor Credit Co. LLC                                                     | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    700000 | PA      | $626500.00    | 0.12%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Las Vegas Sands Corp.                                  | Las Vegas Sands Corp.                                                         | CUSIP: 517834AG2<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    555000 | PA      | $524580.96    | 0.10%             | 2024-08-08      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Hess Midstream Operations LP                           | Hess Midstream Operations LP                                                  | CUSIP: 428102AE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    135000 | PA      | $115414.33    | 0.02%             | 2030-02-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-31

**Name of Applicant:** MAINSTAY VP FUNDS TRUST

**Signature:** Jack Benintende

**Name of Signer:** Jack Benintende

**Title:** Treasurer