# EDGAR Filing Document

**Accession Number:** 0001048702
**File Stem:** 0001752724-23-063232
**Filing Date:** 2023-3
**Character Count:** 210809
**Document Hash:** 647bb7cf3e2fcbced030afe54ef8cd6d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-063232.hdr.sgml**: 20230322

**ACCESSION NUMBER**: 0001752724-23-063232

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230322

**DATE AS OF CHANGE**: 20230322

**PERIOD START**: 20231031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** NATIONWIDE MUTUAL FUNDS
- **CENTRAL INDEX KEY:** 0001048702
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08495
- **FILM NUMBER:** 23752142

**BUSINESS ADDRESS:**
- **STREET 1:** ONE NATIONWIDE PLAZA
- **STREET 2:** MAIL CODE 05-02-210
- **CITY:** COLUMBUS
- **STATE:** OH
- **ZIP:** 43215
- **BUSINESS PHONE:** 614-435-5749

**MAIL ADDRESS:**
- **STREET 1:** ONE NATIONWIDE PLAZA
- **STREET 2:** MAIL CODE 05-02-210
- **CITY:** COLUMBUS
- **STATE:** OH
- **ZIP:** 43215

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** GARTMORE MUTUAL FUNDS
- **DATE OF NAME CHANGE:** 20020125

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** NATIONWIDE MUTUAL FUNDS
- **DATE OF NAME CHANGE:** 19991015

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** NATIONWIDE INVESTING FOUNDATION III
- **DATE OF NAME CHANGE:** 19971029

## Series and Classes Contracts Data

### Nationwide Loomis Core Bond Fund (Series ID: S000041106)

| Class ID   | Class Name                  | Ticker Symbol   |
|:---|:---|:---|
| C000127632 | Class A                     | NWJGX           |
| C000127633 | Class C                     | NWJHX           |
| C000127634 | Class R6                    | NWJIX           |
| C000127635 | Institutional Service Class | NWJJX           |

## Nport-Ex

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## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Nationwide Mutual Funds

- **b. Investment Company Act file number:** 811-08495

- **c. CIK number of Registrant:** 0001048702

- **d. LEI of Registrant:** 549300NXDT8MH8Z3PQ44

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

  - **Street Address 1:** One Nationwide Plaza Location:N0900

  - **City:** Columbus

  - **State:** OH

  - **Foreign country:** US

  - **Zip / Postal Code:** 43215

  - **Telephone number:** 614-435-3820

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

- **a. Name of Series:** Nationwide Loomis Core Bond Fund

- **b. EDGAR series identifier (if any):** S000041106

- **c. LEI of Series:** 549300ZRG1B2XM4FIS52

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

- **a. Date of fiscal year-end:** 2023-10-31

- **b. Date as of which information is reported:** 2023-01-31

**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:** $573287450.56

**Total Liabilities:** $78950558.55

**Net Assets:** $494336892.01

**Cash Not Reported:** $12822534.80

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 998.30621100 | **1-Year:** 20012.27597700 | **5-Year:** 52784.01390900 | **10-Year:** 47898.98007100 | **30-Year:** 36118.34450600

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

- **3-Month:** 0.00000000 | **1-Year:** 66.13045600 | **5-Year:** 1.33923300 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000127635 | 3.55%                | -0.41%               | 3.37%                |
| Class ID C000127634 | 3.68%                | -0.39%               | 3.39%                |
| Class ID C000127633 | 3.60%                | -0.46%               | 3.31%                |
| Class ID C000127632 | 3.62%                | -0.42%               | 3.33%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-2624958.80             | $16115684.12                               |
| Month 2  | $2016030.57              | $-4595288.81                               |
| Month 3  | $29613.73                | $13006563.39                               |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate Bond Total Return

- **Index Identifier:** LEHM.MC.LEHMRT00001UUSD

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| United States of America                           | U.S. Treasury Bonds                                                             | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8520000 | PA      | $7538868.75   | 1.53%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| Deutsche Bank AG                                   | Deutsche Bank AG                                                                | CUSIP: 25160PAJ6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    455000 | PA      | $460009.04    | 0.09%             | 2026-07-14      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2021-H08, Class IA                                                 | CUSIP: 38380QS86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    636674 | PA      | $8788.90      | 0.00%             | 2068-01-20      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2021-163                                                           | CUSIP: 38381D2H2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3686069 | PA      | $239013.20    | 0.05%             | 2064-03-16      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| UniCredit SpA                                      | UniCredit SpA                                                                   | CUSIP: 904678AU3<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |   1090000 | PA      | $988856.74    | 0.20%             | 2026-09-22      | Variable      | 2.57%                 | Yes           |                  2 | On Loan: No      |
| Cabot Corp.                                        | Cabot Corp.                                                                     | CUSIP: 127055AM3<br>LEI: K05C0SER542GQ6VLRO68 | Long             | DBT              | CORP              | US        |    465000 | PA      | $453297.24    | 0.09%             | 2032-06-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| National Bank of Canada                            | National Bank of Canada                                                         | CUSIP: 63307A2S3<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | DBT              | CORP              | CA        |   1580000 | PA      | $1551789.12   | 0.31%             | 2025-06-09      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                  | Credit Acceptance Auto Loan Trust, Series 2020-3A, Class B                      | CUSIP: 22536BAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    660000 | PA      | $626029.14    | 0.13%             | 2029-12-17      | Fixed         | 1.77%                 | Yes           |                  2 | On Loan: No      |
| Microchip Technology, Inc.                         | Microchip Technology, Inc.                                                      | CUSIP: 595017AZ7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |    860000 | PA      | $847749.76    | 0.17%             | 2023-09-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Western Union Co. (The)                            | Western Union Co. (The)                                                         | CUSIP: 959802AX7<br>LEI: 28ID94QU1140NC23S047 | Long             | DBT              | CORP              | US        |    645000 | PA      | $644318.59    | 0.13%             | 2023-06-09      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust              | Westlake Automobile Receivables Trust, Series 2021-1A, Class B                  | CUSIP: 96043FAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1625000 | PA      | $1604460.98   | 0.32%             | 2026-03-16      | Fixed         | 0.64%                 | Yes           |                  2 | On Loan: No      |
| Alliant Energy Finance LLC                         | Alliant Energy Finance LLC                                                      | CUSIP: 01882YAB2<br>LEI: 54930033ER6EOI5DL570 | Long             | DBT              | CORP              | US        |    810000 | PA      | $772844.94    | 0.16%             | 2028-06-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2017-H12, Class EZ                                                 | CUSIP: 38376R2U9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    659827 | PA      | $654476.19    | 0.13%             | 2066-06-20      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                        | ONEOK, Inc.                                                                     | CUSIP: 682680BF9<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    470000 | PA      | $522287.74    | 0.11%             | 2051-01-15      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                   | ABN AMRO Bank NV                                                                | CUSIP: 00084DAW0<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   1000000 | PA      | $844377.05    | 0.17%             | 2029-12-13      | Variable      | 2.47%                 | Yes           |                  2 | On Loan: No      |
| Interstate Power and Light Co.                     | Interstate Power and Light Co.                                                  | CUSIP: 461070AT1<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |    675000 | PA      | $475230.62    | 0.10%             | 2051-11-30      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Bain Capital Specialty Finance, Inc.               | Bain Capital Specialty Finance, Inc.                                            | CUSIP: 05684BAC1<br>LEI: 549300V2JL72R0EYBK64 | Long             | DBT              | CORP              | US        |    880000 | PA      | $766611.83    | 0.16%             | 2026-10-13      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Foursight Capital Automobile Receivables Trust     | Foursight Capital Automobile Receivables Trust, Series 2022-1, Class A3         | CUSIP: 35105JAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    635000 | PA      | $612106.28    | 0.12%             | 2026-12-15      | Fixed         | 1.83%                 | Yes           |                  2 | On Loan: No      |
| Prestige Auto Receivables Trust                    | Prestige Auto Receivables Trust, Series 2021-1A, Class C                        | CUSIP: 74113XAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    680000 | PA      | $633553.69    | 0.13%             | 2028-02-15      | Fixed         | 1.53%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K157, Class X1   | CUSIP: 3137FHQ89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9051051 | PA      | $43621.54     | 0.01%             | 2033-08-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2021-145                                                           | CUSIP: 38381DK58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    819524 | PA      | $47468.39     | 0.01%             | 2061-07-16      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| CF SECURED LLC                                     | Treasury Repurchase Agreement                                                   | CUSIP: N/A<br>LEI: 254900OXTV81I73FAT50       | Long             | RA               | CORP              | US        |   2443650 | PA      | $2443650.00   | 0.49%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K149, Class X1   | CUSIP: 3137H93E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6256675 | PA      | $147700.70    | 0.03%             | 2032-08-25      | Variable      | 0.26%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                         | AerCap Ireland Capital DAC                                                      | CUSIP: 00774MAQ8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    855000 | PA      | $833440.44    | 0.17%             | 2024-02-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                     | Carvana Auto Receivables Trust, Series 2021-N2, Class B                         | CUSIP: 14686KAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    134527 | PA      | $123423.16    | 0.02%             | 2028-03-10      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA ACES, Series 2020-M36, Class X1                                            | CUSIP: 3136BBBW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    917193 | PA      | $73273.88     | 0.01%             | 2034-09-25      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| Piedmont Operating Partnership LP                  | Piedmont Operating Partnership LP                                               | CUSIP: 720198AE0<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              | CORP              | US        |    370000 | PA      | $290778.38    | 0.06%             | 2030-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Ally Financial, Inc.                               | Ally Financial, Inc.                                                            | CUSIP: 02005NBQ2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    705000 | PA      | $683015.82    | 0.14%             | 2027-06-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Owl Rock Capital Corp.                             | Owl Rock Capital Corp.                                                          | CUSIP: 69121KAC8<br>LEI: 2549000BD79OOCPF2L94 | Long             | DBT              | CORP              | US        |    210000 | PA      | $196949.37    | 0.04%             | 2025-07-22      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Viterra Finance BV                                 | Viterra Finance BV                                                              | CUSIP: 92852LAA7<br>LEI: 213800HBZGEIZLKJBI17 | Long             | DBT              | CORP              | NL        |    300000 | PA      | $264381.15    | 0.05%             | 2026-04-21      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Edison International                               | Edison International                                                            | CUSIP: 281020AU1<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |   1790000 | PA      | $1763509.41   | 0.36%             | 2025-08-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Intesa Sanpaolo SpA                                | Intesa Sanpaolo SpA                                                             | CUSIP: 46115HBU0<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    805000 | PA      | $831304.53    | 0.17%             | 2025-11-21      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| OWL Rock Core Income Corp.                         | OWL Rock Core Income Corp.                                                      | CUSIP: 69120VAN1<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |    210000 | PA      | $211588.25    | 0.04%             | 2027-09-16      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Bank of Ireland Group plc                          | Bank of Ireland Group plc                                                       | CUSIP: 06279JAC3<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    510000 | PA      | $514004.37    | 0.10%             | 2026-09-16      | Variable      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Bank of Ireland Group plc                          | Bank of Ireland Group plc                                                       | CUSIP: 06279JAA7<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    620000 | PA      | $613180.00    | 0.12%             | 2023-11-25      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FS KKR Capital Corp.                               | FS KKR Capital Corp.                                                            | CUSIP: 302635AK3<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |    705000 | PA      | $603853.95    | 0.12%             | 2028-10-12      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                       | Drive Auto Receivables Trust, Series 2021-3, Class B                            | CUSIP: 262081AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    735000 | PA      | $717461.72    | 0.15%             | 2026-05-15      | Fixed         | 1.11%                 | No            |                  2 | On Loan: No      |
| CNH Industrial Capital LLC                         | CNH Industrial Capital LLC                                                      | CUSIP: 12592BAN4<br>LEI: 549300PNSJ5B81UMVO28 | Long             | DBT              | CORP              | US        |   1540000 | PA      | $1507209.07   | 0.30%             | 2025-05-23      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                | DT Auto Owner Trust, Series 2020-2A, Class C                                    | CUSIP: 23343RAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    222383 | PA      | $220238.92    | 0.04%             | 2026-03-16      | Fixed         | 3.28%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | FNMA ACES, Series 2020-M43, Class X1                                            | CUSIP: 3136BBS94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5517556 | PA      | $587206.47    | 0.12%             | 2034-08-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                   | Deutsche Bank AG                                                                | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1010000 | PA      | $1062756.59   | 0.21%             | 2029-01-18      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| Citizens Financial Group, Inc.                     | Citizens Financial Group, Inc.                                                  | CUSIP: 174610BE4<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |   1330000 | PA      | $1280452.74   | 0.26%             | 2037-05-21      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Element Fleet Management Corp.                     | Element Fleet Management Corp.                                                  | CUSIP: 286181AD4<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |    815000 | PA      | $779241.96    | 0.16%             | 2025-06-15      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                               | JPMorgan Chase & Co.                                                            | CUSIP: 46647PDM5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2445000 | PA      | $2464727.07   | 0.50%             | 2025-12-15      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, Series 2015-55, Class IN                                                  | CUSIP: 3136APF31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292802 | PA      | $45007.08     | 0.01%             | 2045-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                       | UBS Group AG                                                                    | CUSIP: 902613AS7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    980000 | PA      | $967284.36    | 0.20%             | 2027-08-05      | Variable      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| Target Corp.                                       | Target Corp.                                                                    | CUSIP: 87612EBR6<br>LEI: 8WDDFXB5T1Z6J0XC1L66 | Long             | DBT              | CORP              | US        |   1230000 | PA      | $1242744.45   | 0.25%             | 2053-01-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: —       |
| Office Properties Income Trust                     | Office Properties Income Trust                                                  | CUSIP: 67623CAF6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    580000 | PA      | $406876.24    | 0.08%             | 2031-10-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| F&G Global Funding                                 | F&G Global Funding                                                              | CUSIP: 30321L2C5<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |   1020000 | PA      | $866230.27    | 0.18%             | 2028-09-20      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                                                            | CUSIP: 3140LDHD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2155000 | PA      | $1739814.21   | 0.35%             | 2033-09-01      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| Brighthouse Financial Global Funding               | Brighthouse Financial Global Funding                                            | CUSIP: 10921U2H0<br>LEI: 549300BLFX3KJ2IFOA78 | Long             | DBT              | CORP              | US        |    955000 | PA      | $886973.16    | 0.18%             | 2025-01-13      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Marvell Technology, Inc.                           | Marvell Technology, Inc.                                                        | CUSIP: 573874AL8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    940000 | PA      | $935676.63    | 0.19%             | 2023-06-22      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Prosus NV                                          | Prosus NV                                                                       | CUSIP: 74365PAJ7<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    665000 | PA      | $513025.69    | 0.10%             | 2052-01-19      | Fixed         | 4.99%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2019-132, Class LI                                                 | CUSIP: 38381Y5Y6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    169375 | PA      | $17529.78     | 0.00%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                         | Flagship Credit Auto Trust, Series 2021-2, Class B                              | CUSIP: 33844WAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $478253.10    | 0.10%             | 2027-06-15      | Fixed         | 0.93%                 | Yes           |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                         | Flagship Credit Auto Trust, Series 2020-4, Class C                              | CUSIP: 33845XAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120000 | PA      | $114919.20    | 0.02%             | 2027-02-16      | Fixed         | 1.28%                 | Yes           |                  2 | On Loan: No      |
| NetApp, Inc.                                       | NetApp, Inc.                                                                    | CUSIP: 64110DAL8<br>LEI: QTX3D84DZDD5JYOCYH15 | Long             | DBT              | CORP              | US        |    535000 | PA      | $497722.64    | 0.10%             | 2025-06-22      | Fixed         | 1.88%                 | No            |                  2 | On Loan: —       |
| FHLMC                                              | FHLMC, Series 5214, Class BY                                                    | CUSIP: 3137H6RR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45000 | PA      | $38146.66     | 0.01%             | 2052-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                       | GS Mortgage Securities Trust, Series 2020-GC45, Class A5                        | CUSIP: 36258YBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    415000 | PA      | $371928.81    | 0.08%             | 2053-02-13      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                   | Deutsche Bank AG                                                                | CUSIP: 25160PAM9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    335000 | PA      | $343351.61    | 0.07%             | 2027-09-09      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Trust Bank Ltd.                    | Sumitomo Mitsui Trust Bank Ltd.                                                 | CUSIP: 86563VAU3<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |   1505000 | PA      | $1433297.66   | 0.29%             | 2024-03-25      | Fixed         | 0.85%                 | Yes           |                  2 | On Loan: —       |
| Warnermedia Holdings, Inc.                         | Warnermedia Holdings, Inc.                                                      | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    730000 | PA      | $606309.18    | 0.12%             | 2052-03-15      | Fixed         | 5.14%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust             | Santander Drive Auto Receivables Trust, Series 2022-4, Class B                  | CUSIP: 80286FAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    860000 | PA      | $847734.34    | 0.17%             | 2027-11-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Equitable Financial Life Global Funding            | Equitable Financial Life Global Funding                                         | CUSIP: 29449WAF4<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |    380000 | PA      | $326835.06    | 0.07%             | 2028-03-08      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| Kia Corp.                                          | Kia Corp.                                                                       | CUSIP: 49374JAB9<br>LEI: 988400V8MJK9N7OI5X76 | Long             | DBT              | CORP              | KR        |    400000 | PA      | $380048.34    | 0.08%             | 2024-04-16      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                | DT Auto Owner Trust, Series 2021-4A, Class C                                    | CUSIP: 26253WAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    690000 | PA      | $643461.78    | 0.13%             | 2027-09-15      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| McKesson Corp.                                     | McKesson Corp.                                                                  | CUSIP: 581557BR5<br>LEI: 549300WZWOM80UCFSF54 | Long             | DBT              | CORP              | US        |    480000 | PA      | $428288.44    | 0.09%             | 2026-08-15      | Fixed         | 1.30%                 | No            |                  2 | On Loan: —       |
| Penske Truck Leasing Co. LP                        | Penske Truck Leasing Co. LP                                                     | CUSIP: 709599BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1315000 | PA      | $1307932.16   | 0.26%             | 2023-08-01      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2021-151                                                           | CUSIP: 38381DM23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3497519 | PA      | $250026.08    | 0.05%             | 2063-04-16      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Jackson National Life Global Funding               | Jackson National Life Global Funding                                            | CUSIP: 46849LUV1<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |   1470000 | PA      | $1375101.70   | 0.28%             | 2025-01-12      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Omega Healthcare Investors, Inc.                   | Omega Healthcare Investors, Inc.                                                | CUSIP: 681936BD1<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    405000 | PA      | $395931.23    | 0.08%             | 2025-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LeasePlan Corp. NV                                 | LeasePlan Corp. NV                                                              | CUSIP: 52206AAD2<br>LEI: 724500C60L930FVHS484 | Long             | DBT              | CORP              | NL        |    780000 | PA      | $740212.20    | 0.15%             | 2024-10-24      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                | DT Auto Owner Trust, Series 2021-2A, Class B                                    | CUSIP: 23345EAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    510000 | PA      | $502778.15    | 0.10%             | 2027-01-15      | Fixed         | 0.81%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | FNMA, Series 2021-24                                                            | CUSIP: 3136BF2M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3732728 | PA      | $272646.70    | 0.06%             | 2059-03-25      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| United States of America                           | U.S. Treasury Notes                                                             | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  22595000 | PA      | $23770646.09  | 4.81%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                  | GLS Auto Receivables Issuer Trust, Series 2021-3A, Class B                      | CUSIP: 36263LAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    545000 | PA      | $532491.11    | 0.11%             | 2025-11-17      | Fixed         | 0.78%                 | Yes           |                  2 | On Loan: No      |
| Ares Capital Corp.                                 | Ares Capital Corp.                                                              | CUSIP: 04010LAV5<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |     45000 | PA      | $43395.46     | 0.01%             | 2025-03-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust              | Wells Fargo Commercial Mortgage Trust, Series 2022-C62, Class A4                | CUSIP: 95003MBS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1405000 | PA      | $1322908.24   | 0.27%             | 2055-04-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                        | Capital One Financial Corp.                                                     | CUSIP: 14040HCK9<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     65000 | PA      | $62796.52     | 0.01%             | 2024-12-06      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                 | General Motors Financial Co., Inc.                                              | CUSIP: 37045XDZ6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1390000 | PA      | $1416122.09   | 0.29%             | 2025-10-10      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Microchip Technology, Inc.                         | Microchip Technology, Inc.                                                      | CUSIP: 595017BB9<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |    240000 | PA      | $229753.30    | 0.05%             | 2024-02-15      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| Fortune Brands Innovations, Inc.                   | Fortune Brands Innovations, Inc.                                                | CUSIP: 34964CAG1<br>LEI: 54930032LHW54PQUJD44 | Long             | DBT              | CORP              | US        |   1130000 | PA      | $912191.11    | 0.18%             | 2052-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust              | Westlake Automobile Receivables Trust, Series 2023-1A, Class C                  | CUSIP: 96042XAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    275000 | PA      | $274887.97    | 0.06%             | 2028-08-15      | Fixed         | 5.74%                 | Yes           |                  2 | On Loan: No      |
| Hudson Pacific Properties LP                       | Hudson Pacific Properties LP                                                    | CUSIP: 44409MAD8<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |   1210000 | PA      | $1169833.83   | 0.24%             | 2028-02-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                            | CUSIP: 36179XC53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2295523 | PA      | $2174333.11   | 0.44%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Infor, Inc.                                        | Infor, Inc.                                                                     | CUSIP: 45674CAB9<br>LEI: 549300Q3IIYBYI4RHD64 | Long             | DBT              | CORP              | US        |    585000 | PA      | $572534.91    | 0.12%             | 2023-07-15      | Fixed         | 1.45%                 | Yes           |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA              | Banque Federative du Credit Mutuel SA                                           | CUSIP: 06675FAT4<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    985000 | PA      | $937359.04    | 0.19%             | 2024-11-21      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                    | CSAIL Commercial Mortgage Trust, Series 2019-C18, Class A4                      | CUSIP: 12597DAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    765000 | PA      | $676423.02    | 0.14%             | 2052-12-15      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Brighthouse Financial Global Funding               | Brighthouse Financial Global Funding                                            | CUSIP: 10921U2G2<br>LEI: 549300BLFX3KJ2IFOA78 | Long             | DBT              | CORP              | US        |    960000 | PA      | $925515.65    | 0.19%             | 2023-12-15      | Fixed         | 1.20%                 | Yes           |                  2 | On Loan: No      |
| Synchrony Financial                                | Synchrony Financial                                                             | CUSIP: 87165BAS2<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |    835000 | PA      | $818848.94    | 0.17%             | 2025-06-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                         | Flagship Credit Auto Trust, Series 2022-4, Class A3                             | CUSIP: 33843XAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    785000 | PA      | $796826.26    | 0.16%             | 2027-06-15      | Fixed         | 6.32%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2017-H13, Class JZ                                                 | CUSIP: 38375UB74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    132591 | PA      | $134098.50    | 0.03%             | 2067-05-20      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                    | Danske Bank A/S                                                                 | CUSIP: 23636ABF7<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1085000 | PA      | $1101620.42   | 0.22%             | 2026-01-09      | Variable      | 6.47%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2019-H18, Class DF                                                 | CUSIP: 38380LL27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    458260 | PA      | $454201.74    | 0.09%             | 2069-10-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co. LP                        | Penske Truck Leasing Co. LP                                                     | CUSIP: 709599BJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | PA      | $386632.65    | 0.08%             | 2025-07-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | FNMA, Series 2017-26, Class ID                                                  | CUSIP: 3136AWDD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224766 | PA      | $24906.62     | 0.01%             | 2047-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Blackstone Holdings Finance Co. LLC                | Blackstone Holdings Finance Co. LLC                                             | CUSIP: 09261BAJ9<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |    460000 | PA      | $478881.31    | 0.10%             | 2027-11-03      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC           | Avis Budget Rental Car Funding AESOP LLC, Series 2022-5A, Class A               | CUSIP: 05377RFV1<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    730000 | PA      | $752028.77    | 0.15%             | 2027-04-20      | Fixed         | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Hudsons Bay Simon JV Trust                         | Hudsons Bay Simon JV Trust, Series 2015-HB10, Class A10                         | CUSIP: 44422PBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2015000 | PA      | $1779188.58   | 0.36%             | 2034-08-05      | Fixed         | 4.15%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                      | UMBS, 30 Year, Single Family                                                    | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1250000 | PA      | $1135351.56   | 0.23%             | 2053-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2021-12                                                            | CUSIP: 38380RTF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3085964 | PA      | $215031.53    | 0.04%             | 2063-03-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                | Societe Generale SA                                                             | CUSIP: 83368RBT8<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    680000 | PA      | $737401.06    | 0.15%             | 2053-01-10      | Fixed         | 7.37%                 | Yes           |                  2 | On Loan: No      |
| Dell International LLC                             | Dell International LLC                                                          | CUSIP: 24703DBJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1315000 | PA      | $1325976.61   | 0.27%             | 2028-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                        | Capital One Financial Corp.                                                     | CUSIP: 14040HCJ2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    270000 | PA      | $214523.10    | 0.04%             | 2032-11-02      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                               | Royal Bank of Canada                                                            | CUSIP: 78016FZW7<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    795000 | PA      | $801749.86    | 0.16%             | 2028-01-12      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Avnet, Inc.                                        | Avnet, Inc.                                                                     | CUSIP: 053807AV5<br>LEI: XJI53DCPL7QABOWK4Z75 | Long             | DBT              | CORP              | US        |    535000 | PA      | $527269.34    | 0.11%             | 2032-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC, Series 5214, Class BI                                                    | CUSIP: 3137H6RQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124155 | PA      | $4902.98      | 0.00%             | 2052-04-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Arthur J Gallagher & Co.                           | Arthur J Gallagher & Co.                                                        | CUSIP: 04316JAB5<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |   1010000 | PA      | $690650.82    | 0.14%             | 2052-03-09      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| AIB Group plc                                      | AIB Group plc                                                                   | CUSIP: 00135TAC8<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | NUSS              | IE        |   1685000 | PA      | $1743826.53   | 0.35%             | 2026-10-14      | Variable      | 7.58%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC, Series 5115, Class FD                                                    | CUSIP: 3137H0W95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2167345 | PA      | $2080889.68   | 0.42%             | 2043-08-15      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                     | BNP Paribas SA                                                                  | CUSIP: 09659W2R4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1065000 | PA      | $903232.02    | 0.18%             | 2029-09-15      | Variable      | 2.16%                 | Yes           |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)           | PNC Financial Services Group, Inc. (The)                                        | CUSIP: 693475BJ3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    540000 | PA      | $583624.45    | 0.12%             | 2033-10-28      | Variable      | 6.04%                 | No            |                  2 | On Loan: —       |
| CNO Global Funding                                 | CNO Global Funding                                                              | CUSIP: 18977W2C3<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |   1520000 | PA      | $1324910.66   | 0.27%             | 2029-01-06      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| Bank of New Zealand                                | Bank of New Zealand                                                             | CUSIP: 06407EAE5<br>LEI: N7LGVZM7X4UQ66T7LT74 | Long             | DBT              | CORP              | NZ        |   1195000 | PA      | $1088596.40   | 0.22%             | 2027-01-27      | Fixed         | 2.29%                 | Yes           |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                               | BBCMS Mortgage Trust, Series 2021-C12, Class A5                                 | CUSIP: 05552XBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1470000 | PA      | $1263013.27   | 0.26%             | 2054-11-15      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                  | GLS Auto Receivables Issuer Trust, Series 2020-4A, Class C                      | CUSIP: 36261EAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    340250 | PA      | $335028.63    | 0.07%             | 2025-11-17      | Fixed         | 1.14%                 | Yes           |                  2 | On Loan: No      |
| New York Life Global Funding                       | New York Life Global Funding                                                    | CUSIP: 64952WEY5<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |   1260000 | PA      | $1282959.19   | 0.26%             | 2028-01-09      | Fixed         | 4.85%                 | Yes           |                  2 | On Loan: No      |
| CSMC OA LLC                                        | CSMC OA LLC, Series 2014-USA, Class A1                                          | CUSIP: 12649AAA7<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |    334917 | PA      | $306635.86    | 0.06%             | 2037-09-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Southwest Gas Corp.                                | Southwest Gas Corp.                                                             | CUSIP: 845011AD7<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |    780000 | PA      | $517178.83    | 0.10%             | 2051-08-15      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| OWL Rock Core Income Corp.                         | OWL Rock Core Income Corp.                                                      | CUSIP: 69120VAL5<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |    375000 | PA      | $366118.88    | 0.07%             | 2025-03-21      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2021-33                                                            | CUSIP: 38380RVE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2525129 | PA      | $164649.76    | 0.03%             | 2062-10-16      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                      | UMBS, 30 Year, Single Family                                                    | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $4064687.48   | 0.82%             | 2053-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Loan Extended Note Trust               | Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A                   | CUSIP: 89237JAA4<br>LEI: 549300XP7ILZSI1BWP36 | Long             | ABS-O            | CORP              | US        |    405000 | PA      | $376064.57    | 0.08%             | 2033-05-25      | Fixed         | 1.35%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                            | CUSIP: 36208CGG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4878 | PA      | $5008.86      | 0.00%             | 2028-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                  | GLS Auto Receivables Issuer Trust, Series 2021-4A, Class B                      | CUSIP: 36263DAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1570000 | PA      | $1503454.14   | 0.30%             | 2026-04-15      | Fixed         | 1.53%                 | Yes           |                  2 | On Loan: No      |
| Jackson Financial, Inc.                            | Jackson Financial, Inc.                                                         | CUSIP: 46817MAN7<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |    455000 | PA      | $315001.96    | 0.06%             | 2051-11-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                       | Ford Credit Auto Owner Trust, Series 2018-1, Class A                            | CUSIP: 34532RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1900000 | PA      | $1842053.23   | 0.37%             | 2031-07-15      | Fixed         | 3.19%                 | Yes           |                  2 | On Loan: No      |
| Blackstone Secured Lending Fund                    | Blackstone Secured Lending Fund                                                 | CUSIP: 09261XAG7<br>LEI: 549300KM7KWQHVBNH962 | Long             | DBT              | CORP              | US        |    940000 | PA      | $764046.18    | 0.15%             | 2028-09-30      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                       | Barclays plc                                                                    | CUSIP: 06738EBH7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    545000 | PA      | $534040.91    | 0.11%             | 2025-05-07      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                            | CUSIP: 36225BEA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39006 | PA      | $40427.47     | 0.01%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOC Aviation USA Corp.                             | BOC Aviation USA Corp.                                                          | CUSIP: 66980P2A6<br>LEI: 254900QKLTY6MF4Y3P65 | Long             | DBT              | CORP              | US        |    575000 | PA      | $549420.95    | 0.11%             | 2024-04-29      | Fixed         | 1.62%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                | Citigroup Commercial Mortgage Trust, Series 2019-C7, Class A4                   | CUSIP: 17328CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    910000 | PA      | $817312.13    | 0.17%             | 2072-12-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Santander Consumer Auto Receivables Trust          | Santander Consumer Auto Receivables Trust, Series 2020-AA, Class C              | CUSIP: 80281MAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    385000 | PA      | $382095.14    | 0.08%             | 2026-02-17      | Fixed         | 3.71%                 | Yes           |                  2 | On Loan: No      |
| Aircastle Ltd.                                     | Aircastle Ltd.                                                                  | CUSIP: 00928QAU5<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |    885000 | PA      | $771539.29    | 0.16%             | 2028-01-26      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| National Securities Clearing Corp.                 | National Securities Clearing Corp.                                              | CUSIP: 637639AH8<br>LEI: 549300RYC9NELN2ICA34 | Long             | DBT              | CORP              | US        |   1170000 | PA      | $1196513.79   | 0.24%             | 2027-11-21      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2019-21                                                            | CUSIP: 38381B5J9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4087608 | PA      | $623270.66    | 0.13%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Office Properties Income Trust                     | Office Properties Income Trust                                                  | CUSIP: 67623CAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $230622.95    | 0.05%             | 2027-02-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2018-82                                                            | CUSIP: 38380XAG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10227964 | PA      | $338523.12    | 0.07%             | 2058-05-16      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| Starwood Retail Property Trust                     | Starwood Retail Property Trust, Series 2014-STAR, Class A                       | CUSIP: 85571XAA5<br>LEI: 5493007115G809OI4R97 | Long             | ABS-MBS          | CORP              | US        |    655893 | PA      | $454591.55    | 0.09%             | 2027-11-15      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| United States of America                           | U.S. Treasury Bonds                                                             | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2360000 | PA      | $2231306.25   | 0.45%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Swedbank AB                                        | Swedbank AB                                                                     | CUSIP: 87020PAT4<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |    495000 | PA      | $500903.33    | 0.10%             | 2027-09-20      | Fixed         | 5.34%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust             | Santander Drive Auto Receivables Trust, Series 2022-7, Class A3                 | CUSIP: 80287FAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    175000 | PA      | $177547.46    | 0.04%             | 2027-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2019-H01, Class FT                                                 | CUSIP: 38380LNQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4176618 | PA      | $4159617.85   | 0.84%             | 2068-10-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                | Exeter Automobile Receivables Trust, Series 2020-2A, Class C                    | CUSIP: 30167YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105578 | PA      | $105171.78    | 0.02%             | 2025-05-15      | Fixed         | 3.28%                 | Yes           |                  2 | On Loan: No      |
| Med Trust                                          | Med Trust, Series 2021-MDLN, Class A                                            | CUSIP: 58403YAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    752764 | PA      | $733922.13    | 0.15%             | 2038-11-15      | Floating      | 5.41%                 | Yes           |                  2 | On Loan: No      |
| Global Payments, Inc.                              | Global Payments, Inc.                                                           | CUSIP: 37940XAF9<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    860000 | PA      | $806144.00    | 0.16%             | 2024-11-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. II                    | GS Mortgage Securities Corp. II, Series 2012-BWTR, Class A                      | CUSIP: 36192RAA0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |   1035000 | PA      | $792768.08    | 0.16%             | 2034-11-05      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Puget Energy, Inc.                                 | Puget Energy, Inc.                                                              | CUSIP: 745310AN2<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    470000 | PA      | $429307.14    | 0.09%             | 2032-03-15      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia (The)                          | Bank of Nova Scotia (The)                                                       | CUSIP: 06417XAP6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   2070000 | PA      | $2074015.53   | 0.42%             | 2030-02-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                               | BBCMS Mortgage Trust, Series 2020-BID, Class A                                  | CUSIP: 05493BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1095000 | PA      | $1068933.42   | 0.22%             | 2037-10-15      | Floating      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital Services, Inc.                     | Hyundai Capital Services, Inc.                                                  | CUSIP: 44920UAS7<br>LEI: 549300MALMDAGL2ZJJ27 | Long             | DBT              | CORP              | KR        |    410000 | PA      | $378817.84    | 0.08%             | 2025-04-24      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                  | GLS Auto Receivables Issuer Trust, Series 2021-1A, Class B                      | CUSIP: 36261AAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15157 | PA      | $15130.35     | 0.00%             | 2025-04-15      | Fixed         | 0.82%                 | Yes           |                  2 | On Loan: No      |
| United States of America                           | U.S. Treasury Bonds                                                             | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9935000 | PA      | $7464444.87   | 1.51%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Massachusetts Educational Financing Authority      | Massachusetts Educational Financing Authority, Series 2018-A, Class A           | CUSIP: 57563NAB4<br>LEI: 5493007K5OP7V6CL0Y88 | Long             | ABS-O            | CORP              | US        |    259038 | PA      | $251709.61    | 0.05%             | 2033-05-25      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Northern Trust Corp.                               | Northern Trust Corp.                                                            | CUSIP: 665859AS3<br>LEI: 549300GLF98S992BC502 | Long             | DBT              | CORP              | US        |   1175000 | PA      | $1088242.49   | 0.22%             | 2032-05-08      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Jackson National Life Global Funding               | Jackson National Life Global Funding                                            | CUSIP: 46849LTC5<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |    195000 | PA      | $188504.82    | 0.04%             | 2025-06-11      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                            | CUSIP: 3133B9Z56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5425152 | PA      | $4930863.70   | 1.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DAE Funding LLC                                    | DAE Funding LLC                                                                 | CUSIP: 23371DAJ3<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |    525000 | PA      | $495787.76    | 0.10%             | 2024-08-01      | Fixed         | 1.55%                 | Yes           |                  2 | On Loan: No      |
| Bank of Montreal                                   | Bank of Montreal, Series H                                                      | CUSIP: 06368LAQ9<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    530000 | PA      | $532213.73    | 0.11%             | 2027-09-14      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| BANK                                               | BANK, Series 2022-BNK40, Class A4                                               | CUSIP: 06541LBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    790000 | PA      | $720031.20    | 0.15%             | 2064-03-15      | Variable      | 3.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                | U.S. Treasury 10 Year Note                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        14 | NC      | $21653.77     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Direct Lending Fund                 | Morgan Stanley Direct Lending Fund                                              | CUSIP: 61774AAD5<br>LEI: 549300QEX22T2J8IB029 | Long             | DBT              | CORP              | US        |    660000 | PA      | $631901.98    | 0.13%             | 2027-02-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Planet Fitness Master Issuer LLC                   | Planet Fitness Master Issuer LLC, Series 2018-1A, Class A2II                    | CUSIP: 72703PAB9<br>LEI: 549300NX9W3U2DO53T22 | Long             | ABS-O            | CORP              | US        |    890475 | PA      | $847444.58    | 0.17%             | 2048-09-05      | Fixed         | 4.67%                 | Yes           |                  2 | On Loan: No      |
| Antares Holdings LP                                | Antares Holdings LP                                                             | CUSIP: 03666HAE1<br>LEI: 5493008EAIGV4283RM42 | Long             | DBT              | CORP              | US        |   1220000 | PA      | $1027028.34   | 0.21%             | 2027-07-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | FNMA, Series 2010-57, Class SA                                                  | CUSIP: 31398RG82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1525017 | PA      | $141391.68    | 0.03%             | 2040-06-25      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| Coca-Cola Europacific Partners plc                 | Coca-Cola Europacific Partners plc                                              | CUSIP: 19123MAE3<br>LEI: 549300LTH67W4GWMRF57 | Long             | DBT              | CORP              | GB        |   1790000 | PA      | $1697914.79   | 0.34%             | 2024-05-03      | Fixed         | 0.80%                 | Yes           |                  2 | On Loan: No      |
| KeyBank NA                                         | KeyBank NA                                                                      | CUSIP: 49327M3F9<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |   1380000 | PA      | $1446154.76   | 0.29%             | 2027-11-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                         | Flagship Credit Auto Trust, Series 2020-2, Class C                              | CUSIP: 33844QAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45468 | PA      | $45188.41     | 0.01%             | 2026-04-15      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2021-106                                                           | CUSIP: 38381DMB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3047230 | PA      | $212430.97    | 0.04%             | 2063-04-16      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Western Union Co. (The)                            | Western Union Co. (The)                                                         | CUSIP: 959802AZ2<br>LEI: 28ID94QU1140NC23S047 | Long             | DBT              | CORP              | US        |    235000 | PA      | $209080.14    | 0.04%             | 2026-03-15      | Fixed         | 1.35%                 | No            |                  2 | On Loan: —       |
| Sumitomo Mitsui Trust Bank Ltd.                    | Sumitomo Mitsui Trust Bank Ltd.                                                 | CUSIP: 86563VAZ2<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |    280000 | PA      | $265487.69    | 0.05%             | 2025-03-10      | Fixed         | 2.55%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC, Series 5094                                                              | CUSIP: 3137FYQ41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    883475 | PA      | $61791.13     | 0.01%             | 2048-12-15      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| SPGN Mortgage Trust                                | SPGN Mortgage Trust, Series 2022-TFLM, Class A                                  | CUSIP: 78473HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1495000 | PA      | $1430068.26   | 0.29%             | 2039-02-15      | Floating      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                                                            | CUSIP: 3138LMM34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1903117.48   | 0.38%             | 2033-02-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Brunswick Corp.                                    | Brunswick Corp.                                                                 | CUSIP: 117043AU3<br>LEI: YM4O38W15AX4YLLQKU27 | Long             | DBT              | CORP              | US        |    650000 | PA      | $562104.47    | 0.11%             | 2032-09-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| United States of America                           | U.S. Treasury Notes                                                             | CUSIP: 91282CGC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19540000 | PA      | $19761351.46  | 4.00%             | 2027-12-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Cabot Corp.                                        | Cabot Corp.                                                                     | CUSIP: 127055AL5<br>LEI: K05C0SER542GQ6VLRO68 | Long             | DBT              | CORP              | US        |    415000 | PA      | $383929.13    | 0.08%             | 2029-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                  | Credit Acceptance Auto Loan Trust, Series 2022-3A, Class A                      | CUSIP: 22534QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1360000 | PA      | $1390835.42   | 0.28%             | 2032-10-15      | Fixed         | 6.57%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC, Series 5065, Class EI                                                    | CUSIP: 3137F8R88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    428948 | PA      | $90804.05     | 0.02%             | 2044-11-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                            | CUSIP: 36207UEK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9332 | PA      | $9501.43      | 0.00%             | 2026-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                            | CUSIP: 3140XJ3F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5274026 | PA      | $4950014.37   | 1.00%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, Series 2018-4, Class FM                                                   | CUSIP: 3136B0E44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    297933 | PA      | $287533.45    | 0.06%             | 2048-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                            | CUSIP: 3132DWDJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3394300 | PA      | $2974447.24   | 0.60%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, Series 2016-32, Class SA                                                  | CUSIP: 3136ASUC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5253523 | PA      | $395309.76    | 0.08%             | 2034-10-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| Hercules Capital, Inc.                             | Hercules Capital, Inc.                                                          | CUSIP: 427096AJ1<br>LEI: 549300UJ5OC256GR2B73 | Long             | DBT              | CORP              | US        |   1215000 | PA      | $1072891.18   | 0.22%             | 2027-01-20      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                    | Santander UK Group Holdings plc                                                 | CUSIP: 80281LAS4<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   1645000 | PA      | $1702674.70   | 0.34%             | 2026-11-21      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                     | Carvana Auto Receivables Trust, Series 2022-P3, Class A3                        | CUSIP: 14686MAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    270000 | PA      | $264518.68    | 0.05%             | 2027-11-10      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Equitable Financial Life Global Funding            | Equitable Financial Life Global Funding                                         | CUSIP: 29449WAP2<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |    955000 | PA      | $963667.87    | 0.19%             | 2025-12-02      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC           | Avis Budget Rental Car Funding AESOP LLC, Series 2019-2A, Class A               | CUSIP: 05377RDL5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    980000 | PA      | $950635.28    | 0.19%             | 2025-09-22      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| Truist Financial Corp.                             | Truist Financial Corp.                                                          | CUSIP: 89788NAA8<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    635000 | PA      | $623926.15    | 0.13%             | 2033-07-28      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, Series 2010-63, Class SA                                                  | CUSIP: 31398RPK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1325079 | PA      | $122002.80    | 0.02%             | 2040-06-25      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                | Exeter Automobile Receivables Trust, Series 2021-4A, Class B                    | CUSIP: 30165JAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1140000 | PA      | $1115736.81   | 0.23%             | 2026-05-15      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                       | Drive Auto Receivables Trust, Series 2021-2, Class B                            | CUSIP: 262104AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    598163 | PA      | $591963.47    | 0.12%             | 2025-12-15      | Fixed         | 0.58%                 | No            |                  2 | On Loan: No      |
| Kennametal, Inc.                                   | Kennametal, Inc.                                                                | CUSIP: 489170AE0<br>LEI: 549300GZDSG25XUV0Y08 | Long             | DBT              | CORP              | US        |    380000 | PA      | $367309.64    | 0.07%             | 2028-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Golub Capital BDC, Inc.                            | Golub Capital BDC, Inc.                                                         | CUSIP: 38173MAB8<br>LEI: 2549005WE0QLGK9APF78 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $964675.61    | 0.20%             | 2026-08-24      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust              | Westlake Automobile Receivables Trust, Series 2020-3A, Class C                  | CUSIP: 96042QAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    305000 | PA      | $297733.16    | 0.06%             | 2025-11-17      | Fixed         | 1.24%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                            | CUSIP: 36207YB66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1902 | PA      | $1901.72      | 0.00%             | 2027-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                    | Danske Bank A/S                                                                 | CUSIP: 23636AAP6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1125000 | PA      | $1114151.32   | 0.23%             | 2023-09-12      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2022-H09, Class GF                                                 | CUSIP: 38382YRP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2577376 | PA      | $2554927.13   | 0.52%             | 2072-04-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2021-H03                                                           | CUSIP: 38380QYD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5696600 | PA      | $23145.29     | 0.00%             | 2070-04-20      | Variable      | 0.35%                 | No            |                  2 | On Loan: No      |
| New England Power Co.                              | New England Power Co.                                                           | CUSIP: 644188BG8<br>LEI: 549300DTVRGN9GYD5U85 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $663970.09    | 0.13%             | 2050-10-06      | Fixed         | 2.81%                 | Yes           |                  2 | On Loan: No      |
| Glencore Funding LLC                               | Glencore Funding LLC                                                            | CUSIP: 378272AT5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    290000 | PA      | $286584.27    | 0.06%             | 2024-03-12      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Office Properties Income Trust                     | Office Properties Income Trust                                                  | CUSIP: 81618TAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    405000 | PA      | $376793.81    | 0.08%             | 2025-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                             | Standard Chartered plc                                                          | CUSIP: 853254CS7<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   1820000 | PA      | $1897536.39   | 0.38%             | 2029-01-09      | Fixed         | 6.30%                 | Yes           |                  2 | On Loan: No      |
| Ferguson Finance plc                               | Ferguson Finance plc                                                            | CUSIP: 314890AD6<br>LEI: 2138003A7ZEU931DZL61 | Long             | DBT              | CORP              | GB        |    735000 | PA      | $697783.21    | 0.14%             | 2032-04-20      | Fixed         | 4.65%                 | Yes           |                  2 | On Loan: No      |
| Owl Rock Technology Finance Corp.                  | Owl Rock Technology Finance Corp.                                               | CUSIP: 691205AC2<br>LEI: 254900G5EZJSOD3UKL16 | Long             | DBT              | CORP              | US        |   1525000 | PA      | $1400860.88   | 0.28%             | 2025-12-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                            | CUSIP: 36209N2A9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11988 | PA      | $12424.76     | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                    | Danske Bank A/S                                                                 | CUSIP: 23636ABA8<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    955000 | PA      | $879635.06    | 0.18%             | 2025-09-10      | Variable      | 0.98%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                            | CUSIP: 36208UAF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       845 | PA      | $868.05       | 0.00%             | 2028-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Blackstone Private Credit Fund                     | Blackstone Private Credit Fund                                                  | CUSIP: 09261HAD9<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |   1960000 | PA      | $1678478.36   | 0.34%             | 2026-12-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                            | CUSIP: 36204KDN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       667 | PA      | $691.50       | 0.00%             | 2024-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, Series 2004-29, Class PS                                                  | CUSIP: 31393YPJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1082154 | PA      | $132346.94    | 0.03%             | 2034-05-25      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| GA Global Funding Trust                            | GA Global Funding Trust                                                         | CUSIP: 36143L2G9<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |   1515000 | PA      | $1361666.97   | 0.28%             | 2027-01-06      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                 | Credit Agricole SA                                                              | CUSIP: 22534PAC7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   1690000 | PA      | $1725391.47   | 0.35%             | 2028-07-12      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                          | Vistra Operations Co. LLC                                                       | CUSIP: 92840VAL6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   1165000 | PA      | $1142593.09   | 0.23%             | 2025-05-13      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Athene Global Funding                              | Athene Global Funding                                                           | CUSIP: 04685A2V2<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    780000 | PA      | $678828.56    | 0.14%             | 2028-03-24      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| World Omni Select Auto Trust                       | World Omni Select Auto Trust, Series 2020-A, Class A3                           | CUSIP: 98163DAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    123999 | PA      | $123074.75    | 0.02%             | 2025-07-15      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                | DT Auto Owner Trust, Series 2022-3A, Class B                                    | CUSIP: 23345RAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1015000 | PA      | $1038525.26   | 0.21%             | 2028-07-17      | Fixed         | 6.74%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                            | Hyundai Capital America                                                         | CUSIP: 44891ACA3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   1085000 | PA      | $919443.66    | 0.19%             | 2028-09-15      | Fixed         | 2.10%                 | Yes           |                  2 | On Loan: No      |
| Western Digital Corp.                              | Western Digital Corp.                                                           | CUSIP: 958102AR6<br>LEI: 549300QQXOOYEF89IC56 | Long             | DBT              | CORP              | US        |    130000 | PA      | $99577.95     | 0.02%             | 2032-02-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust            | United Auto Credit Securitization Trust, Series 2022-2, Class C                 | CUSIP: 90944KAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    490000 | PA      | $486218.52    | 0.10%             | 2027-05-10      | Fixed         | 5.81%                 | Yes           |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust            | United Auto Credit Securitization Trust, Series 2022-1, Class B                 | CUSIP: 90944DAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    315000 | PA      | $311291.60    | 0.06%             | 2025-03-10      | Fixed         | 2.10%                 | Yes           |                  2 | On Loan: No      |
| SK Telecom Co. Ltd.                                | SK Telecom Co. Ltd.                                                             | CUSIP: 78440PAE8<br>LEI: 9884003WEA1PHW006037 | Long             | DBT              | CORP              | KR        |    560000 | PA      | $558650.40    | 0.11%             | 2023-04-16      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Bank of New Zealand                                | Bank of New Zealand                                                             | CUSIP: 06407EAB1<br>LEI: N7LGVZM7X4UQ66T7LT74 | Long             | DBT              | CORP              | NZ        |   1015000 | PA      | $956302.55    | 0.19%             | 2025-02-21      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust       | American Credit Acceptance Receivables Trust, Series 2022-4, Class C            | CUSIP: 02529XAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    130000 | PA      | $135258.83    | 0.03%             | 2029-02-15      | Fixed         | 7.86%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                            | CUSIP: 36179XK70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    497987 | PA      | $487313.54    | 0.10%             | 2052-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                         | Flagship Credit Auto Trust, Series 2021-3, Class B                              | CUSIP: 33846QAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    375000 | PA      | $353469.79    | 0.07%             | 2027-07-15      | Fixed         | 0.95%                 | Yes           |                  2 | On Loan: No      |
| AES Corp. (The)                                    | AES Corp. (The)                                                                 | CUSIP: 00130HCB9<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    795000 | PA      | $757719.70    | 0.15%             | 2025-07-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Protective Life Global Funding                     | Protective Life Global Funding                                                  | CUSIP: 74368CBP8<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |   1240000 | PA      | $1229263.73   | 0.25%             | 2027-07-06      | Fixed         | 4.71%                 | Yes           |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                       | Pacific Gas and Electric Co.                                                    | CUSIP: 694308KE6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    905000 | PA      | $895884.21    | 0.18%             | 2025-06-08      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Sempra Energy                                      | Sempra Energy                                                                   | CUSIP: 816851BP3<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    495000 | PA      | $466944.50    | 0.09%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Great-West Lifeco US Finance 2020 LP               | Great-West Lifeco US Finance 2020 LP                                            | CUSIP: 391399AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1225000 | PA      | $1100123.34   | 0.22%             | 2025-08-12      | Fixed         | 0.90%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                      | UMBS, 30 Year, Single Family                                                    | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  20678000 | PA      | $19967193.75  | 4.04%             | 2053-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K146, Class X1   | CUSIP: 3137H7ZD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5009204 | PA      | $101033.14    | 0.02%             | 2054-06-25      | Variable      | 0.23%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                     | Carvana Auto Receivables Trust, Series 2021-N4, Class C                         | CUSIP: 14687HAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    480000 | PA      | $460863.46    | 0.09%             | 2028-09-11      | Fixed         | 1.72%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust             | Santander Drive Auto Receivables Trust, Series 2022-3, Class B                  | CUSIP: 80285UAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    975000 | PA      | $955942.36    | 0.19%             | 2027-08-16      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2020-128                                                           | CUSIP: 38380P4H4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1439651 | PA      | $96373.25     | 0.02%             | 2062-10-16      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K-1513, Class X1 | CUSIP: 3137FPJA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    965647 | PA      | $61824.17     | 0.01%             | 2034-08-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Pine Street Trust II                               | Pine Street Trust II                                                            | CUSIP: 72284LAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    275000 | PA      | $255887.45    | 0.05%             | 2049-02-15      | Fixed         | 5.57%                 | Yes           |                  2 | On Loan: No      |
| GA Global Funding Trust                            | GA Global Funding Trust                                                         | CUSIP: 36143L2F1<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    465000 | PA      | $448890.41    | 0.09%             | 2023-12-08      | Fixed         | 1.25%                 | Yes           |                  2 | On Loan: No      |
| Ryder System, Inc.                                 | Ryder System, Inc.                                                              | CUSIP: 78355HKQ1<br>LEI: ZXJ6Y2OSPZXIVGRILD15 | Long             | DBT              | CORP              | US        |    745000 | PA      | $738372.52    | 0.15%             | 2025-06-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Qorvo, Inc.                                        | Qorvo, Inc.                                                                     | CUSIP: 74739DAA2<br>LEI: 254900YAUJV2EUEVBR11 | Long             | DBT              | CORP              | US        |    320000 | PA      | $299417.60    | 0.06%             | 2024-12-15      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Barings BDC, Inc.                                  | Barings BDC, Inc.                                                               | CUSIP: 06759LAC7<br>LEI: 549300GSF4KFZP6ONG49 | Long             | DBT              | CORP              | US        |    335000 | PA      | $295343.12    | 0.06%             | 2026-11-23      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                             | Standard Chartered plc                                                          | CUSIP: 853254CL2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    705000 | PA      | $735511.00    | 0.15%             | 2025-11-16      | Variable      | 7.78%                 | Yes           |                  2 | On Loan: No      |
| Nordea Bank Abp                                    | Nordea Bank Abp                                                                 | CUSIP: 65559CAE1<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |   2165000 | PA      | $1913252.44   | 0.39%             | 2026-09-30      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| AutoNation, Inc.                                   | AutoNation, Inc.                                                                | CUSIP: 05329WAN2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    800000 | PA      | $772725.51    | 0.16%             | 2024-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Trustage Financial Group, Inc.                     | Trustage Financial Group, Inc.                                                  | CUSIP: 89787EAA9<br>LEI: 549300X7YNHNZXTI6F10 | Long             | DBT              | CORP              | US        |    560000 | PA      | $504184.38    | 0.10%             | 2032-04-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| MDC Holdings, Inc.                                 | MDC Holdings, Inc.                                                              | CUSIP: 552676AV0<br>LEI: 5299005FV4VNV75R8R35 | Long             | DBT              | CORP              | US        |    950000 | PA      | $573254.75    | 0.12%             | 2061-08-06      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                          | BPR Trust, Series 2022-OANA, Class A                                            | CUSIP: 05592DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    605000 | PA      | $595910.66    | 0.12%             | 2037-04-15      | Floating      | 6.38%                 | Yes           |                  2 | On Loan: No      |
| DXC Technology Co.                                 | DXC Technology Co.                                                              | CUSIP: 23355LAM8<br>LEI: 549300DOVZ3EDJB7O259 | Long             | DBT              | CORP              | US        |   1545000 | PA      | $1330781.69   | 0.27%             | 2028-09-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                  | Credit Acceptance Auto Loan Trust, Series 2021-4, Class A                       | CUSIP: 22535BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    530000 | PA      | $500611.24    | 0.10%             | 2030-10-15      | Fixed         | 1.26%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2022-132                                                           | CUSIP: 38383T8X4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3500455 | PA      | $180344.47    | 0.04%             | 2064-10-16      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                | Exeter Automobile Receivables Trust, Series 2022-6A, Class B                    | CUSIP: 30168AAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    355000 | PA      | $360247.65    | 0.07%             | 2027-08-16      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust                  | Affirm Asset Securitization Trust, Series 2021-B, Class A                       | CUSIP: 00834DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    665000 | PA      | $636195.06    | 0.13%             | 2026-08-17      | Fixed         | 1.03%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2021-52                                                            | CUSIP: 38380RJ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3366860 | PA      | $186651.66    | 0.04%             | 2063-04-16      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                    | Air Lease Corp.                                                                 | CUSIP: 00914AAM4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    605000 | PA      | $539166.44    | 0.11%             | 2026-08-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust           | AmeriCredit Automobile Receivables Trust, Series 2022-2, Class A3               | CUSIP: 03065WAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    520000 | PA      | $514259.98    | 0.10%             | 2028-04-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Toyota Motor Credit Corp.                          | Toyota Motor Credit Corp.                                                       | CUSIP: 89236TKQ7<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    760000 | PA      | $767725.46    | 0.16%             | 2028-01-12      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC, Series 5065, Class HI                                                    | CUSIP: 3137F8RE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1938113 | PA      | $338069.82    | 0.07%             | 2042-04-15      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                    | Goldman Sachs Group, Inc. (The)                                                 | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    770000 | PA      | $689249.97    | 0.14%             | 2027-10-21      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| Entergy Corp.                                      | Entergy Corp.                                                                   | CUSIP: 29364GAM5<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $988395.98    | 0.20%             | 2025-09-15      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                        | Nationwide Building Society                                                     | CUSIP: 63861VAC1<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   1310000 | PA      | $1298205.85   | 0.26%             | 2024-08-01      | Variable      | 4.36%                 | Yes           |                  2 | On Loan: No      |
| Capital One Financial Corp.                        | Capital One Financial Corp.                                                     | CUSIP: 14040HCG8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    415000 | PA      | $314689.79    | 0.06%             | 2032-07-29      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust             | Santander Drive Auto Receivables Trust, Series 2022-1, Class B                  | CUSIP: 80286EAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    975000 | PA      | $946848.24    | 0.19%             | 2026-08-17      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Open Text Corp.                                    | Open Text Corp.                                                                 | CUSIP: 683715AF3<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |    515000 | PA      | $527231.25    | 0.11%             | 2027-12-01      | Fixed         | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                     | Carvana Auto Receivables Trust, Series 2021-P4, Class A3                        | CUSIP: 14687KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1690000 | PA      | $1612580.93   | 0.33%             | 2027-01-11      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.              | Sumitomo Mitsui Financial Group, Inc.                                           | CUSIP: 86562MCG3<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   1560000 | PA      | $1333620.68   | 0.27%             | 2028-09-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, Series 2013-18, Class FB                                                  | CUSIP: 3136ACWX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120039 | PA      | $119817.08    | 0.02%             | 2041-10-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                       | Ford Credit Auto Owner Trust, Series 2021-1, Class A                            | CUSIP: 345340AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    980000 | PA      | $885793.38    | 0.18%             | 2033-10-17      | Fixed         | 1.37%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K147, Class X1   | CUSIP: 3137H8BN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3872856 | PA      | $115147.37    | 0.02%             | 2032-06-25      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp.                              | Targa Resources Corp.                                                           | CUSIP: 87612GAD3<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   1205000 | PA      | $1255993.68   | 0.25%             | 2053-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K145, Class X1   | CUSIP: 3137H7Z22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1478935 | PA      | $37985.10     | 0.01%             | 2055-06-25      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| F&G Annuities & Life, Inc.                         | F&G Annuities & Life, Inc.                                                      | CUSIP: 30190AAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    610000 | PA      | $625193.61    | 0.13%             | 2028-01-13      | Fixed         | 7.40%                 | Yes           |                  2 | On Loan: No      |
| BPR Trust                                          | BPR Trust, Series 2021-NRD, Class A                                             | CUSIP: 05592CAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    815000 | PA      | $766519.64    | 0.16%             | 2038-12-15      | Floating      | 6.01%                 | Yes           |                  2 | On Loan: No      |
| ASB Bank Ltd.                                      | ASB Bank Ltd.                                                                   | CUSIP: 04342JAA5<br>LEI: 549300IBZWZL1KTPF918 | Long             | DBT              | CORP              | NZ        |    925000 | PA      | $892147.92    | 0.18%             | 2032-06-17      | Variable      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust           | AmeriCredit Automobile Receivables Trust, Series 2021-2, Class B                | CUSIP: 03066RAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    655000 | PA      | $616985.77    | 0.12%             | 2027-01-19      | Fixed         | 0.69%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust          | Navient Private Education Refi Loan Trust, Series 2020-HA, Class A              | CUSIP: 63935BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    229505 | PA      | $210732.18    | 0.04%             | 2069-01-15      | Fixed         | 1.31%                 | Yes           |                  2 | On Loan: No      |
| United States of America                           | U.S. Treasury Bonds                                                             | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11385000 | PA      | $8625916.41   | 1.74%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Equitable Holdings, Inc.                           | Equitable Holdings, Inc.                                                        | CUSIP: 29452EAC5<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |    905000 | PA      | $926582.52    | 0.19%             | 2033-01-11      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| AutoNation, Inc.                                   | AutoNation, Inc.                                                                | CUSIP: 05329WAM4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    675000 | PA      | $664039.13    | 0.13%             | 2025-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2017-H22, Class FD                                                 | CUSIP: 38375UW48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     40825 | PA      | $40382.86     | 0.01%             | 2067-11-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                           | U.S. Treasury Bonds                                                             | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1520000 | PA      | $1047196.87   | 0.21%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust          | Navient Private Education Refi Loan Trust, Series 2020-BA, Class A2             | CUSIP: 63941GAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    275579 | PA      | $252269.57    | 0.05%             | 2069-01-15      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| DNB Bank ASA                                       | DNB Bank ASA                                                                    | CUSIP: 23329PAF7<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |   1115000 | PA      | $994724.91    | 0.20%             | 2026-09-16      | Variable      | 1.13%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                            | CUSIP: 31418CT95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1270970 | PA      | $1171741.25   | 0.24%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| F&G Global Funding                                 | F&G Global Funding                                                              | CUSIP: 30321L2E1<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |    880000 | PA      | $865259.85    | 0.18%             | 2025-07-07      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Denso Corp.                                        | Denso Corp.                                                                     | CUSIP: 24872BAA8<br>LEI: 549300RYPA10CQM3QK38 | Long             | DBT              | CORP              | JP        |   1115000 | PA      | $986337.41    | 0.20%             | 2026-09-16      | Fixed         | 1.24%                 | Yes           |                  2 | On Loan: No      |
| Westpac Banking Corp.                              | Westpac Banking Corp.                                                           | CUSIP: 961214FG3<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |   1345000 | PA      | $1337862.25   | 0.27%             | 2033-08-10      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                        | Capital One Financial Corp.                                                     | CUSIP: 14040HCX1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1145000 | PA      | $1152288.41   | 0.23%             | 2029-02-01      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust              | Westlake Automobile Receivables Trust, Series 2021-2A, Class B                  | CUSIP: 96042RAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    620000 | PA      | $600774.05    | 0.12%             | 2026-07-15      | Fixed         | 0.62%                 | Yes           |                  2 | On Loan: No      |
| United States of America                           | U.S. Treasury Bonds                                                             | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    785000 | PA      | $676449.22    | 0.14%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2019-H13, Class FT                                                 | CUSIP: 38380LXV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    431867 | PA      | $431624.56    | 0.09%             | 2069-08-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| American Electric Power Co., Inc.                  | American Electric Power Co., Inc.                                               | CUSIP: 025537AU5<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    765000 | PA      | $656094.29    | 0.13%             | 2062-02-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                     | Enterprise Fleet Financing LLC, Series 2022-3, Class A2                         | CUSIP: 29374FAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    290000 | PA      | $285145.11    | 0.06%             | 2029-07-20      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2022-17                                                            | CUSIP: 38381EVR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2085725 | PA      | $141766.95    | 0.03%             | 2064-06-16      | Variable      | 0.80%                 | 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        |   1355000 | PA      | $1180026.14   | 0.24%             | 2061-10-20      | Fixed         | 1.91%                 | Yes           |                  2 | On Loan: No      |
| National Australia Bank Ltd.                       | National Australia Bank Ltd.                                                    | CUSIP: 63253QAB0<br>LEI: 549300E2IPL06NDXMZ63 | Long             | DBT              | CORP              | AU        |    965000 | PA      | $987000.59    | 0.20%             | 2028-01-12      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| ANZ New Zealand Int'l Ltd.                         | ANZ New Zealand Int'l Ltd.                                                      | CUSIP: 00182EBP3<br>LEI: 213800VD256NU2D97H12 | Long             | DBT              | CORP              | NZ        |    890000 | PA      | $841800.55    | 0.17%             | 2025-02-18      | Fixed         | 2.17%                 | Yes           |                  2 | On Loan: No      |
| Fidelity National Information Services, Inc.       | Fidelity National Information Services, Inc.                                    | CUSIP: 31620MBZ8<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |    650000 | PA      | $654493.93    | 0.13%             | 2052-07-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                            | Bayer US Finance II LLC                                                         | CUSIP: 07274NAW3<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    605000 | PA      | $590275.97    | 0.12%             | 2024-07-15      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust       | American Credit Acceptance Receivables Trust, Series 2020-4, Class C            | CUSIP: 02530QAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    480619 | PA      | $473289.20    | 0.10%             | 2026-12-14      | Fixed         | 1.31%                 | Yes           |                  2 | On Loan: No      |
| International Business Machines Corp.              | International Business Machines Corp.                                           | CUSIP: 459200KX8<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |   1240000 | PA      | $1243008.31   | 0.25%             | 2028-02-06      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                 | Banco Santander SA                                                              | CUSIP: 05971KAM1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1400000 | PA      | $1379300.37   | 0.28%             | 2024-05-24      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                | U.S. Treasury Ultra Bond                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       139 | NC      | $586919.26    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Santander UK Group Holdings plc                    | Santander UK Group Holdings plc                                                 | CUSIP: 80281LAT2<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   1945000 | PA      | $2029501.13   | 0.41%             | 2029-01-10      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Hill City Funding Trust                            | Hill City Funding Trust                                                         | CUSIP: 43137PAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    670000 | PA      | $496520.67    | 0.10%             | 2041-08-15      | Fixed         | 4.05%                 | Yes           |                  2 | On Loan: No      |
| Micron Technology, Inc.                            | Micron Technology, Inc.                                                         | CUSIP: 595112BV4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |   1215000 | PA      | $1295915.18   | 0.26%             | 2029-11-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)           | PNC Financial Services Group, Inc. (The)                                        | CUSIP: 693475BK0<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    575000 | PA      | $591926.83    | 0.12%             | 2028-12-02      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                | Kinder Morgan, Inc.                                                             | CUSIP: 49456BAX9<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $1026377.89   | 0.21%             | 2033-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust | GM Financial Consumer Automobile Receivables Trust, Series 2020-2, Class A3     | CUSIP: 36258VAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     68995 | PA      | $68226.92     | 0.01%             | 2024-12-16      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| Santander Holdings USA, Inc.                       | Santander Holdings USA, Inc.                                                    | CUSIP: 80282KBB1<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   1475000 | PA      | $1411215.40   | 0.29%             | 2025-06-02      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust          | Navient Private Education Refi Loan Trust, Series 2020-GA, Class A              | CUSIP: 63941UAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    101220 | PA      | $90551.30     | 0.02%             | 2069-09-16      | Fixed         | 1.17%                 | Yes           |                  2 | On Loan: No      |
| JBS USA LUX SA                                     | JBS USA LUX SA                                                                  | CUSIP: 46590XAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1276862.50   | 0.26%             | 2052-12-01      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| CNH Industrial Capital LLC                         | CNH Industrial Capital LLC                                                      | CUSIP: 12592BAK0<br>LEI: 549300PNSJ5B81UMVO28 | Long             | DBT              | CORP              | US        |    560000 | PA      | $552567.75    | 0.11%             | 2023-07-02      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| CDW LLC                                            | CDW LLC                                                                         | CUSIP: 12513GBH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1425000 | PA      | $1252339.88   | 0.25%             | 2028-12-01      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust              | Wells Fargo Commercial Mortgage Trust, Series 2013-LC12, Class A4               | CUSIP: 94988QAG6<br>LEI: 549300V2DF3KW9L1CV04 | Long             | ABS-MBS          | CORP              | US        |   1505000 | PA      | $1493649.14   | 0.30%             | 2046-07-15      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                       | GS Mortgage Securities Trust, Series 2014-GC18, Class A4                        | CUSIP: 36252RAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4139865 | PA      | $4059530.51   | 0.82%             | 2047-01-10      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| DNB Bank ASA                                       | DNB Bank ASA                                                                    | CUSIP: 23341CAC7<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |   1435000 | PA      | $1451761.42   | 0.29%             | 2026-10-09      | Variable      | 5.90%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2021-10                                                            | CUSIP: 38380RQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    690879 | PA      | $51251.76     | 0.01%             | 2063-05-16      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC            | Volkswagen Group of America Finance LLC                                         | CUSIP: 928668BE1<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    490000 | PA      | $471909.08    | 0.10%             | 2025-05-13      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| Reliance Standard Life Global Funding II           | Reliance Standard Life Global Funding II                                        | CUSIP: 75951AAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    225000 | PA      | $223272.39    | 0.05%             | 2023-09-19      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust              | Westlake Automobile Receivables Trust, Series 2021-3A, Class C                  | CUSIP: 96043JAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1675000 | PA      | $1580172.22   | 0.32%             | 2027-01-15      | Fixed         | 1.58%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2017-H25, Class FD                                                 | CUSIP: 38375U2E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61846 | PA      | $60833.52     | 0.01%             | 2067-12-20      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| AEP Transmission Co. LLC                           | AEP Transmission Co. LLC, Series N                                              | CUSIP: 00115AAN9<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |    290000 | PA      | $198382.92    | 0.04%             | 2051-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| RGA Global Funding                                 | RGA Global Funding                                                              | CUSIP: 76209PAB9<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |   1160000 | PA      | $1016931.88   | 0.21%             | 2029-01-18      | Fixed         | 2.70%                 | Yes           |                  2 | On Loan: No      |
| Expedia Group, Inc.                                | Expedia Group, Inc.                                                             | CUSIP: 30212PAS4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    319000 | PA      | $324112.50    | 0.07%             | 2025-05-01      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2022-H22, Class FE                                                 | CUSIP: 38382YA45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    970595 | PA      | $963822.52    | 0.19%             | 2072-09-20      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| Huntington National Bank (The)                     | Huntington National Bank (The)                                                  | CUSIP: 44644MAJ0<br>LEI: 2WHM8VNJH63UN14OL754 | Long             | DBT              | CORP              | US        |    945000 | PA      | $983248.97    | 0.20%             | 2030-01-10      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2020-179                                                           | CUSIP: 38380RET3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2731308 | PA      | $193888.42    | 0.04%             | 2062-09-16      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, Series 2010-118, Class SN                                                 | CUSIP: 31398NVF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6774723 | PA      | $797689.07    | 0.16%             | 2040-10-25      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| United Mexican States                              | United Mexican States                                                           | CUSIP: 91087BAT7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    945000 | PA      | $907224.86    | 0.18%             | 2033-05-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust       | American Credit Acceptance Receivables Trust, Series 2021-3, Class B            | CUSIP: 025286AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    175257 | PA      | $174819.67    | 0.04%             | 2026-02-13      | Fixed         | 0.66%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2021-40                                                            | CUSIP: 38380RE71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2234080 | PA      | $145831.57    | 0.03%             | 2063-02-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust           | AmeriCredit Automobile Receivables Trust, Series 2021-3, Class C                | CUSIP: 03066JAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    830000 | PA      | $756387.72    | 0.15%             | 2027-08-18      | Fixed         | 1.41%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust             | Santander Drive Auto Receivables Trust, Series 2022-5, Class B                  | CUSIP: 80287HAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    460000 | PA      | $454009.93    | 0.09%             | 2027-03-15      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                  | Wells Fargo & Co.                                                               | CUSIP: 95000U3C5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1715000 | PA      | $1698411.01   | 0.34%             | 2026-08-15      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Foursight Capital Automobile Receivables Trust     | Foursight Capital Automobile Receivables Trust, Series 2022-2, Class A3         | CUSIP: 34660DAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    525000 | PA      | $518048.11    | 0.10%             | 2027-06-15      | Fixed         | 4.59%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Group AG                             | Credit Suisse Group AG                                                          | CUSIP: 225401AV0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1900000 | PA      | $1837586.69   | 0.37%             | 2028-08-11      | Variable      | 6.44%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                            | CUSIP: 36203GHN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $0.21         | 0.00%             | 2023-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Harley-Davidson Financial Services, Inc.           | Harley-Davidson Financial Services, Inc.                                        | CUSIP: 41283LAY1<br>LEI: RLUFFFFW4GRYU77BTS24 | Long             | DBT              | CORP              | US        |    535000 | PA      | $507516.52    | 0.10%             | 2025-06-08      | Fixed         | 3.35%                 | Yes           |                  2 | On Loan: No      |
| World Omni Select Auto Trust                       | World Omni Select Auto Trust, Series 2021-A, Class B                            | CUSIP: 98163HAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    595000 | PA      | $553314.00    | 0.11%             | 2027-08-16      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2019-H05, Class FT                                                 | CUSIP: 38380LSX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2924818 | PA      | $2925964.47   | 0.59%             | 2069-04-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                        | Toronto-Dominion Bank (The)                                                     | CUSIP: 89115A2M3<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   2405000 | PA      | $2453926.81   | 0.50%             | 2028-01-10      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                     | Broadcom, Inc.                                                                  | CUSIP: 11135FBR1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    730000 | PA      | $684432.47    | 0.14%             | 2029-04-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Flex Ltd.                                          | Flex Ltd.                                                                       | CUSIP: 33938XAE5<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | SG        |    585000 | PA      | $607639.62    | 0.12%             | 2028-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group plc                          | Bank of Ireland Group plc                                                       | CUSIP: 06279JAB5<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   1495000 | PA      | $1305039.32   | 0.26%             | 2027-09-30      | Variable      | 2.03%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                | U.S. Treasury Long Bond                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       142 | NC      | $493894.04    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Hilton Grand Vacations Trust                       | Hilton Grand Vacations Trust, Series 2022-2A, Class C                           | CUSIP: 43283GAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     91844 | PA      | $89573.31     | 0.02%             | 2037-01-25      | Fixed         | 5.57%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2012-H20, Class PT                                                 | CUSIP: 38375BVS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    467033 | PA      | $465739.16    | 0.09%             | 2062-07-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                             | Standard Chartered plc                                                          | CUSIP: 853254CG3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    595000 | PA      | $535579.90    | 0.11%             | 2028-01-12      | Variable      | 2.61%                 | Yes           |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                 | Canadian Imperial Bank of Commerce                                              | CUSIP: 13607H6M9<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |   1490000 | PA      | $1466316.32   | 0.30%             | 2025-08-04      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| John Deere Capital Corp.                           | John Deere Capital Corp.                                                        | CUSIP: 24422EWR6<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |   1925000 | PA      | $1965777.10   | 0.40%             | 2028-01-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Digital Realty Trust LP                            | Digital Realty Trust LP                                                         | CUSIP: 25389JAV8<br>LEI: CD4SPTZ3YBTHY0C1AH38 | Long             | DBT              | CORP              | US        |    600000 | PA      | $613085.54    | 0.12%             | 2028-01-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                            | CUSIP: 36208GRL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       333 | PA      | $333.74       | 0.00%             | 2027-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BANK                                               | BANK, Series 2021-BN37, Class A5                                                | CUSIP: 06540LBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1480000 | PA      | $1265712.43   | 0.26%             | 2064-11-15      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                            | CUSIP: 36203N7H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       218 | PA      | $225.50       | 0.00%             | 2023-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.              | NextEra Energy Capital Holdings, Inc.                                           | CUSIP: 65339KCB4<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    615000 | PA      | $537269.34    | 0.11%             | 2082-03-15      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                | Exeter Automobile Receivables Trust, Series 2021-2A, Class B                    | CUSIP: 30165XAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    179479 | PA      | $178494.12    | 0.04%             | 2025-09-15      | Fixed         | 0.57%                 | No            |                  2 | On Loan: No      |
| GE HealthCare Technologies, Inc.                   | GE HealthCare Technologies, Inc.                                                | CUSIP: 36267VAA1<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $1159827.51   | 0.23%             | 2024-11-15      | Fixed         | 5.55%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                          | SCF Equipment Leasing LLC, Series 2022-1A, Class A3                             | CUSIP: 784033AS1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    645000 | PA      | $610884.79    | 0.12%             | 2029-07-20      | Fixed         | 2.92%                 | Yes           |                  2 | On Loan: No      |
| Caterpillar Financial Services Corp.               | Caterpillar Financial Services Corp.                                            | CUSIP: 14913R3B1<br>LEI: EDBQKYOPJUCJKLOJDE72 | Long             | DBT              | CORP              | US        |   1365000 | PA      | $1383232.81   | 0.28%             | 2026-01-06      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Commonwealth Edison Co.                            | Commonwealth Edison Co.                                                         | CUSIP: 202795JY7<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |    755000 | PA      | $804497.90    | 0.16%             | 2053-02-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                  | Credit Acceptance Auto Loan Trust, Series 2020-2A, Class A                      | CUSIP: 22535MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    253242 | PA      | $251060.74    | 0.05%             | 2029-07-16      | Fixed         | 1.37%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                    | Citigroup, Inc.                                                                 | CUSIP: 172967MX6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    395000 | PA      | $374073.13    | 0.08%             | 2025-05-01      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| United States of America                           | U.S. Treasury Notes                                                             | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2585000 | PA      | $2432323.44   | 0.49%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                       | CaixaBank SA                                                                    | CUSIP: 12803RAA2<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   1290000 | PA      | $1308559.90   | 0.26%             | 2029-01-18      | Variable      | 6.21%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | FNMA ACES, Series 2020-M33, Class X                                             | CUSIP: 3136BBAL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    696013 | PA      | $44365.00     | 0.01%             | 2028-06-25      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust             | Santander Drive Auto Receivables Trust, Series 2023-1, Class C                  | CUSIP: 80287GAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    185000 | PA      | $184590.69    | 0.04%             | 2030-05-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2021-144                                                           | CUSIP: 38381DP87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3956145 | PA      | $260922.77    | 0.05%             | 2063-04-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Ameren Corp.                                       | Ameren Corp.                                                                    | CUSIP: 023608AK8<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | DBT              | CORP              | US        |    770000 | PA      | $671642.05    | 0.14%             | 2028-03-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                            | CUSIP: 3132DNP64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1944880 | PA      | $1705846.70   | 0.35%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BHG Securitization Trust                           | BHG Securitization Trust, Series 2022-C, Class A                                | CUSIP: 08860DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    196886 | PA      | $195501.30    | 0.04%             | 2035-10-17      | Fixed         | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Trust                                 | Aqua Finance Trust, Series 2021-A, Class A                                      | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    577414 | PA      | $518492.92    | 0.10%             | 2046-07-17      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2021-186                                                           | CUSIP: 38383CV72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4123133 | PA      | $255361.30    | 0.05%             | 2063-05-16      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| UBS-Barclays Commercial Mortgage Trust             | UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A4                | CUSIP: 90349GBF1<br>LEI: 549300G1IXWLFE766Q13 | Long             | ABS-MBS          | CORP              | US        |   1341473 | PA      | $1334442.42   | 0.27%             | 2046-04-10      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Dick's Sporting Goods, Inc.                        | Dick's Sporting Goods, Inc.                                                     | CUSIP: 253393AG7<br>LEI: 529900SSBV5I4LWSK313 | Long             | DBT              | CORP              | US        |    710000 | PA      | $499785.11    | 0.10%             | 2052-01-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                | U.S. Treasury 5 Year Note                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        35 | NC      | $40018.40     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                               | UMBS                                                                            | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2189297 | PA      | $1841561.16   | 0.37%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Owl Rock Capital Corp.                             | Owl Rock Capital Corp.                                                          | CUSIP: 69121KAD6<br>LEI: 2549000BD79OOCPF2L94 | Long             | DBT              | CORP              | US        |    490000 | PA      | $461550.82    | 0.09%             | 2026-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                            | CUSIP: 36179XE93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    991135 | PA      | $937582.41    | 0.19%             | 2052-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                   | OneMain Financial Issuance Trust, Series 2022-S1, Class A                       | CUSIP: 68267HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1920000 | PA      | $1867030.08   | 0.38%             | 2035-05-14      | Fixed         | 4.13%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                | DT Auto Owner Trust, Series 2021-1A, Class B                                    | CUSIP: 23344GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86628 | PA      | $86123.81     | 0.02%             | 2025-09-15      | Fixed         | 0.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                      | UMBS, 30 Year, Single Family                                                    | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1300000 | PA      | $1283750.00   | 0.26%             | 2053-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC           | Avis Budget Rental Car Funding AESOP LLC, Series 2023-2A, Class A               | CUSIP: 05377RGJ7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    295000 | PA      | $296248.26    | 0.06%             | 2027-10-20      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| United States of America                           | U.S. Treasury Bonds                                                             | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1485000 | PA      | $960493.37    | 0.19%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust              | Wells Fargo Commercial Mortgage Trust, Series 2021-C61, Class A4                | CUSIP: 95003QAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2165000 | PA      | $1836144.08   | 0.37%             | 2054-11-15      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K-150, Class X1  | CUSIP: 3137H9CB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5429674 | PA      | $146266.19    | 0.03%             | 2032-09-25      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2009-61, Class ZQ                                                  | CUSIP: 38376FDM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3673183 | PA      | $3976073.78   | 0.80%             | 2039-08-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                | DT Auto Owner Trust, Series 2023-1A, Class B                                    | CUSIP: 23346KAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    280000 | PA      | $279874.25    | 0.06%             | 2028-10-16      | Fixed         | 5.19%                 | Yes           |                  2 | On Loan: No      |
| Aptiv plc                                          | Aptiv plc                                                                       | CUSIP: 03835VAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |    510000 | PA      | $330625.72    | 0.07%             | 2051-12-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                            | CUSIP: 3132DWDD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2159997 | PA      | $1892992.32   | 0.38%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Class A4   | CUSIP: 61762TAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1130000 | PA      | $1116100.32   | 0.23%             | 2046-08-15      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                           | Benchmark Mortgage Trust, Series 2021-B31, Class A5                             | CUSIP: 08163MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1190000 | PA      | $1018792.08   | 0.21%             | 2054-12-15      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                            | CUSIP: 36203X4T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        45 | PA      | $44.53        | 0.00%             | 2024-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2019-H07, Class BZ                                                 | CUSIP: 38380LSC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4350559 | PA      | $4261008.44   | 0.86%             | 2069-01-20      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                            | MPLX LP                                                                         | CUSIP: 55336VBT6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    435000 | PA      | $385536.32    | 0.08%             | 2052-03-14      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                  | HSBC Holdings plc                                                               | CUSIP: 404280DS5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    645000 | PA      | $739925.01    | 0.15%             | 2033-11-03      | Variable      | 8.11%                 | No            |                  2 | On Loan: No      |
| PACCAR Financial Corp.                             | PACCAR Financial Corp.                                                          | CUSIP: 69371RS31<br>LEI: PH3S12DWZBHHQKVYZ297 | Long             | DBT              | CORP              | US        |    570000 | PA      | $577982.81    | 0.12%             | 2028-01-10      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Seagate HDD Cayman                                 | Seagate HDD Cayman                                                              | CUSIP: 81180WAT8<br>LEI: 529900BD50TRWEG1SF63 | Long             | DBT              | CORP              | KY        |    685000 | PA      | $677899.98    | 0.14%             | 2024-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| BANK                                               | BANK, Series 2020-BN25, Class A5                                                | CUSIP: 06539WBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1030000 | PA      | $906624.85    | 0.18%             | 2063-01-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2021-133                                                           | CUSIP: 38381DXB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3844008 | PA      | $265291.93    | 0.05%             | 2063-07-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2021-132, Class BI                                                 | CUSIP: 38381DZE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4014948 | PA      | $283084.77    | 0.06%             | 2063-04-16      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Ares Finance Co. IV LLC                            | Ares Finance Co. IV LLC                                                         | CUSIP: 039936AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    905000 | PA      | $606183.19    | 0.12%             | 2052-02-01      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2018-H02, Class ZJ                                                 | CUSIP: 38375U6H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    560684 | PA      | $553281.03    | 0.11%             | 2064-10-20      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                           | Lloyds Banking Group plc                                                        | CUSIP: 539439AS8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    905000 | PA      | $900037.06    | 0.18%             | 2023-08-16      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                            | CUSIP: 36203U2T8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       126 | PA      | $125.90       | 0.00%             | 2024-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                            | CUSIP: 36207WCY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3248 | PA      | $3247.10      | 0.00%             | 2027-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                 | General Motors Financial Co., Inc.                                              | CUSIP: 37045XEB8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1450000 | PA      | $1492280.33   | 0.30%             | 2028-01-09      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                    | Air Lease Corp.                                                                 | CUSIP: 00914AAT9<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    605000 | PA      | $617458.60    | 0.12%             | 2027-12-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| GMF Floorplan Owner Revolving Trust                | GMF Floorplan Owner Revolving Trust, Series 2020-1, Class A                     | CUSIP: 361886CH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    310000 | PA      | $302566.23    | 0.06%             | 2025-08-15      | Fixed         | 0.68%                 | Yes           |                  2 | On Loan: No      |
| Athene Holding Ltd.                                | Athene Holding Ltd.                                                             | CUSIP: 04686JAF8<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | BM        |    750000 | PA      | $792419.83    | 0.16%             | 2033-02-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                 | Credit Agricole SA                                                              | CUSIP: 22535WAG2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   1395000 | PA      | $1288266.85   | 0.26%             | 2026-06-16      | Variable      | 1.91%                 | Yes           |                  2 | On Loan: No      |
| Royal Bank of Canada                               | Royal Bank of Canada                                                            | CUSIP: 78016FZU1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   1555000 | PA      | $1642634.03   | 0.33%             | 2027-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, Series 2019-31, Class FA                                                  | CUSIP: 3136B5MD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1310403 | PA      | $1289384.89   | 0.26%             | 2049-07-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                        | Nationwide Building Society                                                     | CUSIP: 63861VAH0<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    955000 | PA      | $953422.07    | 0.19%             | 2027-07-27      | Fixed         | 4.85%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                | Exeter Automobile Receivables Trust, Series 2022-5A, Class B                    | CUSIP: 30167FAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1115000 | PA      | $1122453.78   | 0.23%             | 2027-03-15      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                            | CUSIP: 31418CR71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1399237 | PA      | $1291298.85   | 0.26%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Westpac Banking Corp.                              | Westpac Banking Corp.                                                           | CUSIP: 961214FK4<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    330000 | PA      | $343882.11    | 0.07%             | 2027-11-18      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K142, Class X1   | CUSIP: 3137H73R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5768207 | PA      | $133088.11    | 0.03%             | 2032-03-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                            | CUSIP: 36208M2N4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2041 | PA      | $2068.12      | 0.00%             | 2027-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2019-117, Class LI                                                 | CUSIP: 38381YRW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    484833 | PA      | $35004.31     | 0.01%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Lehman Brothers Holdings, Inc.                     | Lehman Brothers Holdings, Inc.                                                  | CUSIP: N/A<br>LEI: 549300FDK6ZP3YIHRJ47       | Long             | DBT              | CORP              | US        |   4000000 | PA      | $14000.00     | 0.00%             | 2013-01-24      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Corebridge Global Funding                          | Corebridge Global Funding                                                       | CUSIP: 00138CAN8<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |   1010000 | PA      | $912171.40    | 0.18%             | 2025-09-22      | Fixed         | 0.90%                 | Yes           |                  2 | On Loan: No      |
| NextGear Floorplan Master Owner Trust              | NextGear Floorplan Master Owner Trust, Series 2020-1A, Class A2                 | CUSIP: 65341KBN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $99848.69     | 0.02%             | 2025-02-15      | Fixed         | 1.55%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                     | BNP Paribas SA                                                                  | CUSIP: 09659W2V5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1715000 | PA      | $1729301.71   | 0.35%             | 2029-01-13      | Variable      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| United States of America                           | U.S. Treasury Bills                                                             | CUSIP: 912796W47<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  42995000 | PA      | $42423417.16  | 8.58%             | 2023-05-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                            | CUSIP: 36209VHZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22937 | PA      | $23553.74     | 0.00%             | 2028-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSMC OA LLC                                        | CSMC OA LLC, Series 2014-USA, Class A2                                          | CUSIP: 12649AAC3<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |   1030000 | PA      | $940039.39    | 0.19%             | 2037-09-15      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Protective Life Global Funding                     | Protective Life Global Funding                                                  | CUSIP: 74368CBJ2<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $990428.65    | 0.20%             | 2025-01-13      | Fixed         | 1.65%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K157, Class A3   | CUSIP: 3137FHQ71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1870000 | PA      | $1813811.92   | 0.37%             | 2033-08-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust              | Westlake Automobile Receivables Trust, Series 2020-2A, Class C                  | CUSIP: 96042PAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    240894 | PA      | $238879.52    | 0.05%             | 2025-07-15      | Fixed         | 2.01%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse AG                                   | Credit Suisse AG                                                                | CUSIP: 22550L2K6<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |   1275000 | PA      | $1209385.39   | 0.24%             | 2027-07-09      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| Commercial Mortgage Pass-Through Certificates      | Commercial Mortgage Pass-Through Certificates, Series 2012-LTRT, Class A2       | CUSIP: 12624NAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     99633 | PA      | $87278.07     | 0.02%             | 2030-10-05      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K107, Class X1   | CUSIP: 3137FRZC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    483149 | PA      | $42351.35     | 0.01%             | 2030-01-25      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                 | GS Mortgage Securities Corp. Trust, Series 2013-PEMB, Class A                   | CUSIP: 36197VAA6<br>LEI: 549300E4QCAQ0FY44H36 | Long             | ABS-MBS          | CORP              | US        |    235000 | PA      | $215679.59    | 0.04%             | 2033-03-05      | Variable      | 3.55%                 | Yes           |                  2 | On Loan: No      |
| Assurant, Inc.                                     | Assurant, Inc.                                                                  | CUSIP: 04621XAH1<br>LEI: H3F39CAXWQRVWURFXL38 | Long             | DBT              | CORP              | US        |    425000 | PA      | $421856.66    | 0.09%             | 2023-09-27      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                         | Aviation Capital Group LLC                                                      | CUSIP: 05369AAC5<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    835000 | PA      | $829980.44    | 0.17%             | 2023-05-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                                                            | CUSIP: 3138LNX63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4892671.40   | 0.99%             | 2033-07-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)           | PNC Financial Services Group, Inc. (The)                                        | CUSIP: 693475BM6<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    445000 | PA      | $448870.12    | 0.09%             | 2034-01-24      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K-1521, Class X1 | CUSIP: 3137H2NZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2805431 | PA      | $236572.15    | 0.05%             | 2036-08-25      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| SoFi Professional Loan Program LLC                 | SoFi Professional Loan Program LLC, Series 2018-A, Class A2B                    | CUSIP: 83406EAC9<br>LEI: 5493002WMPR84WZ75V46 | Long             | ABS-O            | CORP              | US        |    166507 | PA      | $160465.46    | 0.03%             | 2042-02-25      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                          | Williams Cos., Inc. (The)                                                       | CUSIP: 969457CA6<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    625000 | PA      | $603907.19    | 0.12%             | 2052-08-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA ACES, Series 2020-M37, Class X                                             | CUSIP: 3136BBGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1209831 | PA      | $67833.07     | 0.01%             | 2032-04-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Reliance Standard Life Global Funding II           | Reliance Standard Life Global Funding II                                        | CUSIP: 75951AAP3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1270000 | PA      | $1202133.87   | 0.24%             | 2025-05-07      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                    | WFRBS Commercial Mortgage Trust, Series 2014-C19, Class A5                      | CUSIP: 92938VAQ8<br>LEI: 549300FCX3YXSYSLU895 | Long             | ABS-MBS          | CORP              | US        |   3490000 | PA      | $3422880.32   | 0.69%             | 2047-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, Series 2020-85, Class LI                                                  | CUSIP: 3136BCR85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3029327 | PA      | $404428.50    | 0.08%             | 2035-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                   | Bank of Montreal                                                                | CUSIP: 06368LGV2<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   2410000 | PA      | $2457685.85   | 0.50%             | 2028-02-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Blue Owl Finance LLC                               | Blue Owl Finance LLC                                                            | CUSIP: 09581JAG1<br>LEI: 254900OF2NO2GYFV5T41 | Long             | DBT              | CORP              | US        |    580000 | PA      | $484412.26    | 0.10%             | 2032-02-15      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| Sempra Energy                                      | Sempra Energy                                                                   | CUSIP: 816851BM0<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    970000 | PA      | $849081.66    | 0.17%             | 2052-04-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| JAB Holdings BV                                    | JAB Holdings BV                                                                 | CUSIP: 46653KAC2<br>LEI: 529900RRNKUM3INJGF98 | Long             | DBT              | CORP              | NL        |    685000 | PA      | $510355.46    | 0.10%             | 2052-04-08      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2020-108                                                           | CUSIP: 38380PWY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2861535 | PA      | $174220.58    | 0.04%             | 2062-06-16      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Amcor Flexibles North America, Inc.                | Amcor Flexibles North America, Inc.                                             | CUSIP: 02343JAA8<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |    545000 | PA      | $533535.69    | 0.11%             | 2025-05-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK                                               | BANK, Series 2020-BN26, Class A4                                                | CUSIP: 06540JBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2050000 | PA      | $1771930.42   | 0.36%             | 2063-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA, Series 2021-20                                                            | CUSIP: 38380RYD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2948877 | PA      | $226319.20    | 0.05%             | 2062-08-16      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                             | Truist Financial Corp.                                                          | CUSIP: 89788MAM4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $1064069.60   | 0.22%             | 2034-01-26      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                         | UMBS                                                                            | CUSIP: 3132DPJ90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10535816 | PA      | $9882008.39   | 2.00%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust             | Santander Drive Auto Receivables Trust, Series 2020-4, Class C                  | CUSIP: 80286WAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    367287 | PA      | $363260.12    | 0.07%             | 2026-01-15      | Fixed         | 1.01%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                  | Credit Acceptance Auto Loan Trust, Series 2021-2A, Class A                      | CUSIP: 22537CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    565000 | PA      | $545597.79    | 0.11%             | 2030-02-15      | Fixed         | 0.96%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                               | FNMA                                                                            | CUSIP: 3140LHWN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1168729 | PA      | $1265036.22   | 0.26%             | 2032-10-01      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                            | CUSIP: 36208KRQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       166 | PA      | $165.86       | 0.00%             | 2027-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                              | Nomura Holdings, Inc.                                                           | CUSIP: 65535HAZ2<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   2155000 | PA      | $1936772.50   | 0.39%             | 2027-01-22      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| ArcelorMittal SA                                   | ArcelorMittal SA                                                                | CUSIP: 03938LBE3<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |   1410000 | PA      | $1472839.40   | 0.30%             | 2027-11-29      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                              | FHLMC Multifamily Structured Pass-Through Certificates, Series K143, Class X1   | CUSIP: 3137H74C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2603505 | PA      | $70037.94     | 0.01%             | 2055-04-25      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                | Exeter Automobile Receivables Trust, Series 2022-3A, Class B                    | CUSIP: 30166YAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    945000 | PA      | $934295.23    | 0.19%             | 2026-12-15      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust           | AmeriCredit Automobile Receivables Trust, Series 2020-2, Class B                | CUSIP: 03066EAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    160000 | PA      | $157248.35    | 0.03%             | 2026-02-18      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                            | CUSIP: 36204FQ64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       832 | PA      | $832.26       | 0.00%             | 2024-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                | U.S. Treasury 10 Year Ultra Note                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        31 | NC      | $66209.12     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                               | GNMA                                                                            | CUSIP: 36204GFK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       374 | PA      | $387.85       | 0.00%             | 2023-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ally Financial, Inc.                               | Ally Financial, Inc.                                                            | CUSIP: 02005NBR0<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   1090000 | PA      | $1150341.66   | 0.23%             | 2027-11-15      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | UMBS                                                                            | CUSIP: 31418EE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5407326 | PA      | $4913004.22   | 0.99%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                  | Credit Acceptance Auto Loan Trust, Series 2021-3A, Class A                      | CUSIP: 22535GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    625000 | PA      | $600648.25    | 0.12%             | 2030-05-15      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| ORIX Corp.                                         | ORIX Corp.                                                                      | CUSIP: 686330AK7<br>LEI: 35380016EMHNBOVYE123 | Long             | DBT              | CORP              | JP        |    635000 | PA      | $616310.15    | 0.12%             | 2024-12-04      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                            | CUSIP: 36205SKW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4411 | PA      | $4437.80      | 0.00%             | 2027-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                               | FNMA, Series 2013-117, Class Z                                                  | CUSIP: 3136AGZ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6399021 | PA      | $6048128.88   | 1.22%             | 2043-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Donlen Fleet Lease Funding 2 LLC                   | Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2                       | CUSIP: 257812AD9<br>LEI: 549300ZWUQETU54FDP26 | Long             | ABS-O            | CORP              | US        |    704699 | PA      | $684050.94    | 0.14%             | 2034-12-11      | Fixed         | 0.56%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                    | Citigroup, Inc.                                                                 | CUSIP: 172967MQ1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    535000 | PA      | $513031.49    | 0.10%             | 2026-04-08      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| Ares Capital Corp.                                 | Ares Capital Corp.                                                              | CUSIP: 04010LBB8<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    870000 | PA      | $734697.90    | 0.15%             | 2028-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: —       |
| Main Street Capital Corp.                          | Main Street Capital Corp.                                                       | CUSIP: 56035LAE4<br>LEI: 5493001FS9QJLJNF3E20 | Long             | DBT              | CORP              | US        |   1205000 | PA      | $1061446.83   | 0.21%             | 2026-07-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                            | CUSIP: 21H052629<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7000000 | PA      | $7113203.09   | 1.44%             | 2053-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Synchrony Bank                                     | Synchrony Bank                                                                  | CUSIP: 87166FAD5<br>LEI: 549300UATVPGSLE43Z27 | Long             | DBT              | CORP              | US        |    890000 | PA      | $886420.87    | 0.18%             | 2025-08-22      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                       | Barclays plc                                                                    | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1345000 | PA      | $1515422.76   | 0.31%             | 2033-11-02      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                               | GNMA                                                                            | CUSIP: 36179XFA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    737360 | PA      | $722011.53    | 0.15%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-03-02

**Name of Applicant:** Nationwide Mutual Funds

**Signature:** David Majewski

**Name of Signer:** David Majewski

**Title:** Treasurer