# EDGAR Filing Document

**Accession Number:** 0001053425
**File Stem:** 0001752724-23-038280
**Filing Date:** 2023-2
**Character Count:** 596836
**Document Hash:** c22d89293b3763fba1268f856d0d8f70
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-038280.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001752724-23-038280

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** HARTFORD SERIES FUND INC
- **CENTRAL INDEX KEY:** 0001053425
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08629
- **FILM NUMBER:** 23664034

**BUSINESS ADDRESS:**
- **STREET 1:** 690 LEE ROAD
- **CITY:** WAYNE
- **STATE:** PA
- **ZIP:** 19087
- **BUSINESS PHONE:** 610-386-4068

**MAIL ADDRESS:**
- **STREET 1:** 690 LEE ROAD
- **CITY:** WAYNE
- **STATE:** PA
- **ZIP:** 19087

## Series and Classes Contracts Data

### HARTFORD TOTAL RETURN BOND HLS FUND (Series ID: S000003222)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000008630 | IA           | HIABX           |
| C000008631 | IB           | HBNBX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** HARTFORD SERIES FUND INC

- **b. Investment Company Act file number:** 811-08629

- **c. CIK number of Registrant:** 0001053425

- **d. LEI of Registrant:** L2SH4E1KCLEHYZJ8SW12

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

  - **Street Address 1:** 690 LEE ROAD

  - **City:** WAYNE

  - **State:** PA

  - **Foreign country:** US

  - **Zip / Postal Code:** 19087

  - **Telephone number:** 610-386-4068

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

- **a. Name of Series:** HARTFORD TOTAL RETURN BOND HLS FUND

- **b. EDGAR series identifier (if any):** S000003222

- **c. LEI of Series:** BBUGZQIQV7HQ7WJ85660

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2318483004.32

**Total Liabilities:** $551502874.85

**Net Assets:** $1766980129.47

**Delayed Delivery Securities:** $70321096.09

**Cash Not Reported:** $25791698.72

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1747.16000000 | **1-Year:** -36009.85000000 | **5-Year:** -143925.79000000 | **10-Year:** -173342.81000000 | **30-Year:** -71447.76000000

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

- **3-Month:** -727.98000000 | **1-Year:** -17077.53000000 | **5-Year:** -44023.36000000 | **10-Year:** -25392.97000000 | **30-Year:** -8839.16000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000008630 | -1.33%               | 3.81%                | 0.11%                |
| Class ID C000008631 | -1.22%               | 3.72%                | 0.11%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-36636483.90            | $5465006.24                                |
| Month 2  | $-4608780.30             | $71432717.03                               |
| Month 3  | $2582720.16              | $-9486521.21                               |

**Designated Index Information**

- **Index Name:** BBG Barc US Aggregate Index

- **Index Identifier:** LBUSTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ASCENT CLASS A PP                                      | ASCENT CLASS A PP                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     64657 | NS      | $157601.44    | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36178WGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    196868 | PA      | $185406.25    | 0.01%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                   | CUSIP: 38379JKC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147705 | PA      | $22987.19     | 0.00%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31418QMU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75819 | PA      | $75717.31     | 0.00%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36180H7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    878184 | PA      | $827039.96    | 0.05%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                               | Benchmark 2020-B22 Mortgage Trust                                                                          | CUSIP: 08163BBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10382887 | PA      | $899884.82    | 0.05%             | 2054-01-15      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                           | CUSIP: 3132DWBC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    570721 | PA      | $486850.42    | 0.03%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                           | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10820000 | PA      | $10931581.25  | 0.62%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                               | Benchmark 2019-B12 Mortgage Trust                                                                          | CUSIP: 08162FAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8683019 | PA      | $360914.91    | 0.02%             | 2052-08-15      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                    | Southern California Edison Co                                                                              | CUSIP: 842400HM8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1427922.68   | 0.08%             | 2032-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| EVERGY INC                                             | Evergy Inc                                                                                                 | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |    715000 | PA      | $619209.68    | 0.04%             | 2029-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8091932 | PA      | $7241759.30   | 0.41%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                  | Time Warner Cable LLC                                                                                      | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    780000 | PA      | $745603.48    | 0.04%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140LHCY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1507267 | PA      | $1438594.00   | 0.08%             | 2032-09-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31371JNN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       334 | PA      | $343.60       | 0.00%             | 2030-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36211B2C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2090 | PA      | $2149.88      | 0.00%             | 2031-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                            | BNP Paribas SA                                                                                             | CUSIP: 09659T2A8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2305000 | PA      | $2040635.61   | 0.12%             | 2033-03-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Sempra Energy                                          | Sempra Energy                                                                                              | CUSIP: 816851BG3<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |   1615000 | PA      | $1501134.38   | 0.08%             | 2028-02-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| ENERGEAN ISRAEL FINANCE                                | Energean Israel Finance Ltd                                                                                | CUSIP: 000000000<br>LEI: 98450044QACBL3F8EB03 | Long             | DBT              | CORP              | IL        |    695000 | PA      | $605518.75    | 0.03%             | 2031-03-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                               | Angel Oak Mortgage Trust 2020-R1                                                                           | CUSIP: 034651AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1231037 | PA      | $1145443.85   | 0.06%             | 2053-04-25      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                   | Colombia Government International Bond                                                                     | CUSIP: 195325CU7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   2685000 | PA      | $1824724.04   | 0.10%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36210BUK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3934 | PA      | $4045.37      | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                    | JPMorgan Chase & Co                                                                                        | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    430000 | PA      | $399419.69    | 0.02%             | 2033-04-26      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36213NEZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1342 | PA      | $1379.81      | 0.00%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                           | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24645000 | PA      | $13403606.90  | 0.76%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae                                                                                                 | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  40050000 | PA      | $36844697.57  | 2.09%             | 2053-01-23      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                        | BRAVO Residential Funding Trust 2021-NQM1                                                                  | CUSIP: 10569TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    884444 | PA      | $791472.01    | 0.04%             | 2049-02-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities         | Credit Suisse First Boston Mortgage Securities Corp                                                        | CUSIP: 225458RW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19962 | PA      | $19587.90     | 0.00%             | 2037-04-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                           | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  90455000 | PA      | $73392219.17  | 4.15%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                           | CUSIP: 3132DNK77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1474881 | PA      | $1409708.89   | 0.08%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Inflation Indexed Bonds                                                             | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6143026 | PA      | $3977849.02   | 0.23%             | 2052-02-15      | Fixed         | 0.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128M7T48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2075729 | PA      | $2153517.53   | 0.12%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                   | Bank of America Corp                                                                                       | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1860000 | PA      | $1723730.78   | 0.10%             | 2028-04-24      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36209UNF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       778 | PA      | $799.72       | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31385JNG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       632 | PA      | $648.06       | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                  | Wells Fargo & Co                                                                                           | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    665000 | PA      | $615385.00    | 0.03%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                         | CUSIP: 31396UCL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    324503 | PA      | $332276.74    | 0.02%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 36179W5F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    370684 | PA      | $360483.67    | 0.02%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| QORVO INC                                              | Qorvo Inc                                                                                                  | CUSIP: 74736KAJ0<br>LEI: 254900YAUJV2EUEVBR11 | Long             | DBT              | CORP              | US        |    575000 | PA      | $461977.43    | 0.03%             | 2031-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                           | CUSIP: 3133AGLE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2418828 | PA      | $1991037.56   | 0.11%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NiSource Inc                                           | NiSource Inc                                                                                               | CUSIP: 65473QBE2<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   1090000 | PA      | $1028080.00   | 0.06%             | 2027-05-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                               | Enterprise Products Operating LLC                                                                          | CUSIP: 29379VBF9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    665000 | PA      | $557517.91    | 0.03%             | 2054-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                   | CUSIP: 38379XH52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    954811 | PA      | $36886.36     | 0.00%             | 2029-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Seasoned Credit Risk Transfer Trust Series 2020-1                                                          | CUSIP: 35563PNN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2140058 | PA      | $1820351.95   | 0.10%             | 2059-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust 2016-LC24                                                            | CUSIP: 95000HBF8<br>LEI: 5493007OD9MH69ES1S63 | Long             | ABS-MBS          | CORP              | US        |   3085000 | PA      | $2827349.75   | 0.16%             | 2049-10-15      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC                                | Standard Industries Inc/NJ                                                                                 | CUSIP: 853496AG2<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |   3370000 | PA      | $2746295.80   | 0.16%             | 2030-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8125067 | PA      | $7062333.81   | 0.40%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                                    | AUST 10Y BOND FUT MAR23                                                                                    | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |       302 | NC      | $-1324827.73  | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| GSR Mortgage Loan Trust                                | GSR Mortgage Loan Trust 2007-1F                                                                            | CUSIP: 3622MPBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800316 | PA      | $220461.35    | 0.01%             | 2037-01-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2445284 | PA      | $2126041.14   | 0.12%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SS&C Technologies Inc                                  | SS&C Technologies Inc                                                                                      | CUSIP: 78466CAC0<br>LEI: 549300KY09TR3J12JU49 | Long             | DBT              | CORP              | US        |   3245000 | PA      | $3045535.37   | 0.17%             | 2027-09-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                           | Comcast Corp                                                                                               | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     10000 | PA      | $7831.34      | 0.00%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                    | Banc of America Funding 2007-1 Trust                                                                       | CUSIP: 05951FAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84156 | PA      | $72865.82     | 0.00%             | 2037-01-25      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                               | AT&T Inc                                                                                                   | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1266000 | PA      | $880404.23    | 0.05%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                  | Athene Global Funding                                                                                      | CUSIP: 04685A3E9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   1780000 | PA      | $1364468.83   | 0.08%             | 2031-10-04      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                               | Intercontinental Exchange Inc                                                                              | CUSIP: 45866FAW4<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    225000 | PA      | $215205.55    | 0.01%             | 2033-03-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36213JJ89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71790 | PA      | $73999.83     | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| IHS HOLDING LTD                                        | IHS Holding Ltd                                                                                            | CUSIP: 44963HAB1<br>LEI: 213800CLGMKL63VKTD94 | Long             | DBT              | CORP              | KY        |   1615000 | PA      | $1302594.40   | 0.07%             | 2028-11-29      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                    | JPMorgan Chase & Co                                                                                        | CUSIP: 46647PAM8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1025000 | PA      | $931787.67    | 0.05%             | 2029-01-23      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                               | Duke Energy Progress LLC                                                                                   | CUSIP: 26442RAB7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    670000 | PA      | $579725.70    | 0.03%             | 2044-03-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc.                       | RALI Series 2005-QS17 Trust                                                                                | CUSIP: 761118PY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    419629 | PA      | $352262.19    | 0.02%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                            | Aker BP ASA                                                                                                | CUSIP: 55037AAA6<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    775000 | PA      | $685412.30    | 0.04%             | 2026-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                               | Penske Truck Leasing Co Lp / PTL Finance Corp                                                              | CUSIP: 709599BG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1675000 | PA      | $1579668.60   | 0.09%             | 2024-11-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                    | Southern California Edison Co                                                                              | CUSIP: 842400GS6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1351885.11   | 0.08%             | 2029-08-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                   | CUSIP: 38379QFZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62385 | PA      | $2401.62      | 0.00%             | 2026-12-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust 2017-4                                                                 | CUSIP: 64829NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1521468 | PA      | $1415325.03   | 0.08%             | 2057-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 3136BDR42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3200019 | PA      | $519328.86    | 0.03%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                           | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  36900000 | PA      | $33723140.63  | 1.91%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                   | CUSIP: 38378MSZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    274476 | PA      | $12896.54     | 0.00%             | 2027-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CPT MORTGAGE TRUST                                     | Century Plaza Towers 2019-CPT                                                                              | CUSIP: 12654YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2780000 | PA      | $2220866.11   | 0.13%             | 2039-11-13      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                               | JP Morgan Mortgage Trust 2007-A2                                                                           | CUSIP: 46630PAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111484 | PA      | $81824.34     | 0.00%             | 2037-04-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128MJJH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15034 | PA      | $15618.48     | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                               | Angel Oak Mortgage Trust 2021-1                                                                            | CUSIP: 03465CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1566345 | PA      | $1322342.82   | 0.07%             | 2066-01-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM 2013-CCRE10 Mortgage Trust                                                                            | CUSIP: 12626BAD6<br>LEI: 549300YJIXJB9DCDOI21 | Long             | ABS-MBS          | CORP              | US        |   1045000 | PA      | $1037914.17   | 0.06%             | 2046-08-10      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Trust 2022-PSB                                                                                          | CUSIP: 05606DAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2377494 | PA      | $2372815.55   | 0.13%             | 2039-08-15      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust 2015-GC29                                                              | CUSIP: 17323VBF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20260528 | PA      | $375077.07    | 0.02%             | 2048-04-10      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128P76P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1584622 | PA      | $1522589.35   | 0.09%             | 2034-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 3136AKXK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    974125 | PA      | $45647.97     | 0.00%             | 2044-08-25      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                 | Credit Suisse Group AG                                                                                     | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   6415000 | PA      | $5645943.24   | 0.32%             | 2033-08-12      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 31335BN36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6095481 | PA      | $5660871.01   | 0.32%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                       | Paramount Global                                                                                           | CUSIP: 92556HAB3<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |   2645000 | PA      | $2357233.44   | 0.13%             | 2031-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36294S5H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23045 | PA      | $23940.68     | 0.00%             | 2037-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Republic of Senegal                                    | Senegal Government International Bond                                                                      | CUSIP: 000000000<br>LEI: 549300NP14ZLQGWIUZ97 | Long             | DBT              | NUSS              | SN        |    785000 | PA      | $723164.63    | 0.04%             | 2028-03-13      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| HUNGARY                                                | Hungary Government International Bond                                                                      | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |   5610000 | PA      | $4300939.75   | 0.24%             | 2032-04-28      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31417FMM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1950972 | PA      | $1684728.10   | 0.10%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                  | PRPM 2021-6 LLC                                                                                            | CUSIP: 69360FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2191040 | PA      | $1978338.03   | 0.11%             | 2026-07-25      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 36179W7K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21267894 | PA      | $18967548.11  | 1.07%             | 2052-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                                               | CUSIP: 3137F82T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4250800 | PA      | $221221.86    | 0.01%             | 2030-11-25      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 312935NT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6211 | PA      | $6228.16      | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36212D4K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2036 | PA      | $2093.99      | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NORTHROP GRUMMAN CORP                                  | Northrop Grumman Corp                                                                                      | CUSIP: 666807BT8<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    845000 | PA      | $823644.14    | 0.05%             | 2040-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36178DR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4818 | PA      | $4537.17      | 0.00%             | 2042-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36213UMG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        73 | PA      | $73.70        | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    393940 | PA      | $367918.07    | 0.02%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                               | Warnermedia Holdings Inc                                                                                   | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   4170000 | PA      | $3046256.39   | 0.17%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Sempra Energy                                          | Sempra Energy                                                                                              | CUSIP: 816851BH1<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    720000 | PA      | $592484.89    | 0.03%             | 2038-02-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Inflation Indexed Bonds                                                             | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  29722424 | PA      | $27241297.83  | 1.54%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 3136AAF59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1200809 | PA      | $1040195.52   | 0.06%             | 2042-12-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae                                                                                                 | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -420000 | PA      | $-407793.75   | -0.02%            | 2053-01-23      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                    | Exeter Automobile Receivables Trust 2022-6                                                                 | CUSIP: 30168AAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    649000 | PA      | $650117.32    | 0.04%             | 2027-08-16      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM 2013-CCRE8 Mortgage Trust                                                                             | CUSIP: 12625KAE5<br>LEI: 549300NGGFIEJ2ER3D22 | Long             | ABS-MBS          | CORP              | US        |   1046906 | PA      | $1040261.07   | 0.06%             | 2046-06-10      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                | Goldman Sachs Group Inc/The                                                                                | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2810000 | PA      | $2187690.46   | 0.12%             | 2032-07-21      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 3136A6DE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50013 | PA      | $4196.45      | 0.00%             | 2042-05-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| Chicago Transit Authority Sales Tax Receipts Fund      | CHICAGO IL TRANSIT AUTH SALES TAX RECPTS REVENUE                                                           | CUSIP: 16772PCX2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    720000 | PA      | $602126.64    | 0.03%             | 2040-12-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140QMV68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    865088 | PA      | $761853.92    | 0.04%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREEPORT INDONESIA PT                                  | Freeport Indonesia PT                                                                                      | CUSIP: 69377FAB2<br>LEI: 549300T4HTQHRKLNE619 | Long             | DBT              | CORP              | ID        |   1505000 | PA      | $1380437.58   | 0.08%             | 2032-04-14      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                  | Athene Global Funding                                                                                      | CUSIP: 04685A3G4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   3010000 | PA      | $2490749.38   | 0.14%             | 2029-01-07      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| AVANTOR FUNDING INC                                    | Avantor Funding Inc                                                                                        | CUSIP: 05352TAA7<br>LEI: 5493003VM0XB4U8YD238 | Long             | DBT              | CORP              | US        |   3220000 | PA      | $2925820.80   | 0.17%             | 2028-07-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 31397UKE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    422905 | PA      | $329539.49    | 0.02%             | 2041-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                   | CUSIP: 38382E5F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3016305 | PA      | $176426.72    | 0.01%             | 2035-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36225BDT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       472 | PA      | $484.44       | 0.00%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140XDFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    736648 | PA      | $605456.97    | 0.03%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                           | Centene Corp                                                                                               | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    435000 | PA      | $408367.13    | 0.02%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                    | Banc of America Funding 2007-4 Trust                                                                       | CUSIP: 05953YAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2182472 | PA      | $1910731.76   | 0.11%             | 2037-05-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                    | Dominion Energy Inc                                                                                        | CUSIP: 25746UDR7<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   1360000 | PA      | $1352117.78   | 0.08%             | 2032-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F012619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7875000 | PA      | $6073232.76   | 0.34%             | 2053-01-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36209DRA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3516 | PA      | $3615.73      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CLEAN HARBORS INC                                      | Clean Harbors Inc                                                                                          | CUSIP: 184496AN7<br>LEI: 5493000SJVZVZJKHJF48 | Long             | DBT              | CORP              | US        |   4475000 | PA      | $4240062.50   | 0.24%             | 2027-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 3136ADEM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2039491 | PA      | $1831935.30   | 0.10%             | 2043-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 31287XG26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       125 | PA      | $128.77       | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36201JDB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27738 | PA      | $28526.19     | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                             | Verus Securitization Trust 2021-2                                                                          | CUSIP: 92538FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1076380 | PA      | $895320.94    | 0.05%             | 2066-02-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132L83D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1338439 | PA      | $1243145.54   | 0.07%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140FXHP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1511576 | PA      | $1438586.04   | 0.08%             | 2041-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                 | Verizon Communications Inc                                                                                 | CUSIP: 92343VFD1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     90000 | PA      | $71021.72     | 0.00%             | 2050-03-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                            | Oracle Corp                                                                                                | CUSIP: 68389XCB9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1005000 | PA      | $702123.37    | 0.04%             | 2061-03-25      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140XGYT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    573957 | PA      | $468976.56    | 0.03%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140LHGY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1020000 | PA      | $937687.83    | 0.05%             | 2032-09-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                    | Starwood Mortgage Residential Trust 2021-2                                                                 | CUSIP: 85573HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    708131 | PA      | $641574.66    | 0.04%             | 2065-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                 | US 10YR ULTRA FUT MAR23                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       106 | NC      | $-264898.30   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Bank                                                   | BANK 2021-BNK31                                                                                            | CUSIP: 06541ABG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2545000 | PA      | $2032449.73   | 0.12%             | 2054-02-15      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140M2CY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1180744 | PA      | $1009928.54   | 0.06%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                       | COLT 2021-HX1 Mortgage Loan Trust                                                                          | CUSIP: 19688KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4729146 | PA      | $3779647.09   | 0.21%             | 2066-10-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| SFAVE Commercial Mortgage Securities Trust             | SFAVE Commercial Mortgage Securities Trust 2015-5AVE                                                       | CUSIP: 78413MAA6<br>LEI: 549300FIGODFFTOAAU64 | Long             | ABS-MBS          | CORP              | US        |    790000 | PA      | $540792.60    | 0.03%             | 2043-01-05      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                | United Rentals North America Inc                                                                           | CUSIP: 911365BN3<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |    140000 | PA      | $119671.52    | 0.01%             | 2030-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MFRA TRUST                                             | MFA 2021-NQM2 Trust                                                                                        | CUSIP: 55283WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1330277 | PA      | $1081815.50   | 0.06%             | 2064-11-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                        | Csail 2015-C2 Commercial Mortgage Trust                                                                    | CUSIP: 12634NAV0<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |  53250091 | PA      | $669534.70    | 0.04%             | 2057-06-15      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| ARCELORMITTAL SA                                       | ArcelorMittal SA                                                                                           | CUSIP: 03938LBE3<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |    580000 | PA      | $582862.11    | 0.03%             | 2027-11-29      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                   | Bank of America Corp                                                                                       | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   7680000 | PA      | $6167023.41   | 0.35%             | 2032-04-22      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                       | Symphony CLO XXV Ltd                                                                                       | CUSIP: 87167WAC9<br>LEI: 5493006CLZCEH6WYKR81 | Long             | ABS-CBDO         | CORP              | KY        |   6615000 | PA      | $6417945.77   | 0.36%             | 2034-04-19      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140KYEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1681923 | PA      | $1375061.94   | 0.08%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                      | HSBC Holdings PLC                                                                                          | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    440000 | PA      | $357205.17    | 0.02%             | 2029-08-17      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond - WI Reopening                                                            | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25635000 | PA      | $25262491.41  | 1.43%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                 | BP Capital Markets America Inc                                                                             | CUSIP: 10373QBL3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    330000 | PA      | $303466.23    | 0.02%             | 2030-04-06      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36183RD91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70901 | PA      | $63444.00     | 0.00%             | 2045-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                            | GSAMP Trust 2007-FM2                                                                                       | CUSIP: 3622MHAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2492589 | PA      | $1495455.71   | 0.08%             | 2037-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| NMLT Trust                                             | NMLT 2021-INV1 Trust                                                                                       | CUSIP: 62923JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3788049 | PA      | $2978652.62   | 0.17%             | 2056-05-25      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3138M5VP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    276129 | PA      | $265274.58    | 0.02%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                         | CUSIP: 3137B0Q64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    275361 | PA      | $10646.57     | 0.00%             | 2028-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DAE FUNDING LLC                                        | DAE Funding LLC                                                                                            | CUSIP: 23371DAJ3<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |   3775000 | PA      | $3514370.72   | 0.20%             | 2024-08-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                           | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5115000 | PA      | $3272401.15   | 0.19%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140XHNB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1656395 | PA      | $1562510.22   | 0.09%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust 2015-NXS1                                                            | CUSIP: 94989HAZ3<br>LEI: 5493002S7XBI8CVRR075 | Long             | ABS-MBS          | CORP              | US        |  14783361 | PA      | $262369.17    | 0.01%             | 2048-05-15      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| TAYLOR MORRISON COMM                                   | Taylor Morrison Communities Inc                                                                            | CUSIP: 87724RAB8<br>LEI: 549300O1Z08HI2MRK572 | Long             | DBT              | CORP              | US        |   2558000 | PA      | $2395190.13   | 0.14%             | 2028-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ENERGEAN ISRAEL FINANCE                                | Energean Israel Finance Ltd                                                                                | CUSIP: 000000000<br>LEI: 98450044QACBL3F8EB03 | Long             | DBT              | CORP              | IL        |    735000 | PA      | $678331.50    | 0.04%             | 2026-03-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                                                                         | CUSIP: 31325XV31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1131933 | PA      | $96002.28     | 0.01%             | 2034-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                 | Pacific Gas and Electric Co                                                                                | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   3191000 | PA      | $2487522.77   | 0.14%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee                  | VOLT XCIV LLC                                                                                              | CUSIP: 92873AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2467042 | PA      | $2236955.61   | 0.13%             | 2051-02-27      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31418BMM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    711208 | PA      | $663313.78    | 0.04%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140KP7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6100254 | PA      | $4990970.84   | 0.28%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ENERGO PRO AS                                          | Energo-Pro AS                                                                                              | CUSIP: 000000000<br>LEI: 315700IQCL9IX158RO36 | Long             | DBT              | CORP              | CZ        |   2650000 | PA      | $2420695.50   | 0.14%             | 2027-02-04      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                 | Verizon Communications Inc                                                                                 | CUSIP: 92343VCV4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1143000 | PA      | $1029058.98   | 0.06%             | 2036-01-15      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 31335AZ68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3956031 | PA      | $3550326.31   | 0.20%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                       | Soundview Home Loan Trust 2006-3                                                                           | CUSIP: 83612HAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    358020 | PA      | $331076.83    | 0.02%             | 2036-11-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                        | CSAIL 2016-C6 Commercial Mortgage Trust                                                                    | CUSIP: 12636MAG3<br>LEI: 549300C2HE5FJAWYZL57 | Long             | ABS-MBS          | CORP              | US        |   7040228 | PA      | $330469.02    | 0.02%             | 2049-01-15      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31418DWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    906621 | PA      | $741339.77    | 0.04%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                 | Pacific Gas and Electric Co                                                                                | CUSIP: 694308KC0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    260000 | PA      | $227683.81    | 0.01%             | 2032-03-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140J6GM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1399134 | PA      | $1338350.29   | 0.08%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                                     | Alcon Finance Corp                                                                                         | CUSIP: 01400EAA1<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |   1164000 | PA      | $1066405.07   | 0.06%             | 2026-09-23      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140QKP28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7953493 | PA      | $6767434.63   | 0.38%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                           | CUSIP: 3133AUDY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2313422 | PA      | $2048648.62   | 0.12%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                         | CUSIP: 3137B16D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    625687 | PA      | $33612.38     | 0.00%             | 2028-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust 2014-GC18                                                                     | CUSIP: 36252RAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    785121 | PA      | $768208.24    | 0.04%             | 2047-01-10      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                                     | Alcon Finance Corp                                                                                         | CUSIP: 01400EAB9<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |    915000 | PA      | $798783.09    | 0.05%             | 2029-09-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140LUFN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1783760 | PA      | $1573945.29   | 0.09%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                           | CD 2016-CD1 Mortgage Trust                                                                                 | CUSIP: 12514MBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3344985 | PA      | $3061179.98   | 0.17%             | 2049-08-10      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36201CLC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4790 | PA      | $4926.62      | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140XGCK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    745131 | PA      | $668247.53    | 0.04%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        | 139799000 | PA      | $134665755.47 | 7.62%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                         | CUSIP: 3137AJUU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1382968 | PA      | $1322771.00   | 0.07%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 3617GGRM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    314383 | PA      | $299794.76    | 0.02%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC            | BBCMS Mortgage Trust 2022-C18                                                                              | CUSIP: 054975AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1338116.13   | 0.08%             | 2055-12-15      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140XHBE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1849015 | PA      | $1579032.86   | 0.09%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust 2016-2                                                                 | CUSIP: 64829GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1608418 | PA      | $1490348.89   | 0.08%             | 2035-11-26      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                     | VICI Properties LP                                                                                         | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |    515000 | PA      | $476864.25    | 0.03%             | 2032-05-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HOLDINGS                               | Cleco Corporate Holdings LLC                                                                               | CUSIP: 18551PAE9<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |   1215000 | PA      | $1036214.62   | 0.06%             | 2029-09-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                           | CSMC 2021-NQM5 Trust                                                                                       | CUSIP: 22946DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1937488 | PA      | $1497555.67   | 0.08%             | 2066-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31416VS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    408775 | PA      | $426971.24    | 0.02%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                  | MASTR Adjustable Rate Mortgages Trust 2004-13                                                              | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    166933 | PA      | $149762.97    | 0.01%             | 2034-11-21      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36209JUM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       485 | PA      | $498.10       | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                 | Pacific Gas and Electric Co                                                                                | CUSIP: 694308KD8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    529000 | PA      | $430925.00    | 0.02%             | 2052-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140X6GA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1279270 | PA      | $1189939.06   | 0.07%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                            | Ovintiv Inc                                                                                                | CUSIP: 292505AD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    355000 | PA      | $358656.77    | 0.02%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                    | Bear Stearns Mortgage Funding Trust 2006-AR3                                                               | CUSIP: 07400HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    186122 | PA      | $153165.68    | 0.01%             | 2036-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Ball Corp                                              | Ball Corp                                                                                                  | CUSIP: 058498AS5<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |   4650000 | PA      | $4557553.49   | 0.26%             | 2023-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM 2013-CCRE6 Mortgage Trust                                                                             | CUSIP: 12624XAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    553867 | PA      | $552088.57    | 0.03%             | 2046-03-10      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust 2014-GC23                                                              | CUSIP: 17322VAY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16973336 | PA      | $185326.76    | 0.01%             | 2047-07-10      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36225BND6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16367 | PA      | $16868.58     | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140X7K40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    836946 | PA      | $779024.88    | 0.04%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE                               | Equitable Financial Life Global Funding                                                                    | CUSIP: 29449WAF4<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |   3390000 | PA      | $2830613.08   | 0.16%             | 2028-03-08      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust 2014-GC20                                                                     | CUSIP: 36252WAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2215000 | PA      | $1671629.05   | 0.09%             | 2047-04-10      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                           | CUSIP: 3132A9T64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2437687 | PA      | $2321978.26   | 0.13%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                | GLP Capital LP / GLP Financing II Inc                                                                      | CUSIP: 361841AQ2<br>LEI: N/A                  | Long             | DBT              |  | US        |    435000 | PA      | $373143.00    | 0.02%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Fannie Mae Connecticut Avenue Securities                                                                   | CUSIP: 30711XAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    360120 | PA      | $369492.71    | 0.02%             | 2024-11-25      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                     | Energy Transfer LP                                                                                         | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    875000 | PA      | $848669.06    | 0.05%             | 2029-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fieldstone Mortgage Investment Corp.                   | Fieldstone Mortgage Investment Trust Series 2006-1                                                         | CUSIP: 31659TEZ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    834223 | PA      | $566507.12    | 0.03%             | 2036-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                     | Wendy's Funding LLC                                                                                        | CUSIP: 95058XAL2<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |   5869615 | PA      | $4570522.46   | 0.26%             | 2051-06-15      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2017-4                                                                           | CUSIP: 89173UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1576849 | PA      | $1496008.56   | 0.08%             | 2057-06-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                               | Benchmark 2019-B10 Mortgage Trust                                                                          | CUSIP: 08162VAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  25710495 | PA      | $1332073.58   | 0.08%             | 2062-03-15      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                                 | GE HealthCare Technologies Inc                                                                             | CUSIP: 36267VAE3<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   1075000 | PA      | $1089637.37   | 0.06%             | 2027-11-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31419FVT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1016722 | PA      | $977635.11    | 0.06%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                                 | ConocoPhillips Co                                                                                          | CUSIP: 20826FBD7<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    365000 | PA      | $290252.22    | 0.02%             | 2062-03-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36213UPD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8797 | PA      | $9049.96      | 0.00%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                       | BAT Capital Corp                                                                                           | CUSIP: 05526DBW4<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   3790000 | PA      | $3373948.20   | 0.19%             | 2032-03-16      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Conagra Brands Inc                                     | Conagra Brands Inc                                                                                         | CUSIP: 205887CE0<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |     75000 | PA      | $69756.48     | 0.00%             | 2048-11-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                           | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7090000 | PA      | $5059933.63   | 0.29%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 3136ANMB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    551189 | PA      | $42124.34     | 0.00%             | 2030-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                      | L3Harris Technologies Inc                                                                                  | CUSIP: 502431AJ8<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |   1112000 | PA      | $1105454.79   | 0.06%             | 2023-06-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                                 | Galaxy Pipeline Assets Bidco Ltd                                                                           | CUSIP: 36321PAE0<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |    547056 | PA      | $439229.87    | 0.02%             | 2040-09-30      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36213QXQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2201 | PA      | $2263.22      | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36200SWT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6221 | PA      | $6397.85      | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                       | Bain Capital Credit CLO 2017-2 Ltd                                                                         | CUSIP: 05683HAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5645000 | PA      | $5463112.46   | 0.31%             | 2034-07-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36241KDF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22171 | PA      | $23505.04     | 0.00%             | 2035-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INVEST ENERGY RES LTD                                  | Investment Energy Resources Ltd                                                                            | CUSIP: 46143NAB6<br>LEI: 254900A71Y7WHN7L5K89 | Long             | DBT              | CORP              | BM        |    845000 | PA      | $807397.50    | 0.05%             | 2029-04-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 36230L3K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    308039 | PA      | $297046.18    | 0.02%             | 2040-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                             | Verus Securitization Trust 2021-8                                                                          | CUSIP: 92538GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2318394 | PA      | $1956160.77   | 0.11%             | 2066-11-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36212M6C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1892 | PA      | $1945.83      | 0.00%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GCAT                                                   | GCAT 2021-NQM7 Trust                                                                                       | CUSIP: 36167YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1686222 | PA      | $1478880.26   | 0.08%             | 2066-08-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| LSTAR Securities Investment Ltd                        | LSTAR Securities Investment Ltd 2019-4                                                                     | CUSIP: 54912JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1842385 | PA      | $1784406.72   | 0.10%             | 2024-05-01      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                 | Credit Suisse Group AG                                                                                     | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    865000 | PA      | $600300.57    | 0.03%             | 2032-05-14      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                         | Long: 99D08SWR5 CDS USD R F   .09000 99D08SWR5 / Short: 99D08SWR5 CDS USD P V 01MEVENT 99D08SWS            | CUSIP: 000000000<br>LEI: IGJSJL3JD5P30I6NJZ34 | N/A              | DCR              |  | GB        |   1205977 | OU      | $-66308.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                                        | Gen Digital Inc                                                                                            | CUSIP: 668771AK4<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |    625000 | PA      | $612500.00    | 0.03%             | 2027-09-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                 | US LONG BOND(CBT) MAR23                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -564 | NC      | $305481.11    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 31397LTB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    212050 | PA      | $207674.27    | 0.01%             | 2038-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132WJEV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    530829 | PA      | $476720.78    | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AXIS Equipment Finance Receivables LLC                 | Amur Equipment Finance Receivables XI LLC                                                                  | CUSIP: 03236XAB3<br>LEI: 549300IFG1NMINYRYF89 | Long             | ABS-O            | CORP              | US        |   1055000 | PA      | $1043656.85   | 0.06%             | 2028-06-21      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 36179UV82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1279761 | PA      | $1189551.11   | 0.07%             | 2049-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                               | Long: 99D06EGL9 CDS USD R V 01MEVENT 2 ABX / Short: 99D06EGL9 CDS USD P F   .11000 1 ABX                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |    586539 | OU      | $43001.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                   | CUSIP: 38382CT84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1317003 | PA      | $165557.95    | 0.01%             | 2047-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EQM MIDSTREAM PARTNERS L                               | EQM Midstream Partners LP                                                                                  | CUSIP: 26885BAH3<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |    125000 | PA      | $119468.75    | 0.01%             | 2027-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Wingstop Funding LLC                                   | Wingstop Funding LLC                                                                                       | CUSIP: 974153AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    767250 | PA      | $647980.99    | 0.04%             | 2050-12-05      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 31292HR71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100012 | PA      | $103594.08    | 0.01%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                               | OBX 2022-NQM1 Trust                                                                                        | CUSIP: 67114VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4251022 | PA      | $3649270.65   | 0.21%             | 2061-11-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132QVVE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    447728 | PA      | $429876.82    | 0.02%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                           | CUSIP: 3133BALX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    526464 | PA      | $429711.85    | 0.02%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                              | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12                                                | CUSIP: 61762XAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    795172 | PA      | $786142.58    | 0.04%             | 2046-10-15      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                              | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26                                                | CUSIP: 61690VBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1286042 | PA      | $21081.57     | 0.00%             | 2048-10-15      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2020-BNK28                                                                                            | CUSIP: 06540YAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20695413 | PA      | $2050069.03   | 0.12%             | 2063-03-15      | Variable      | 1.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36200NZT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20622 | PA      | $21762.36     | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132Y2HF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144003 | PA      | $137634.53    | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NORTH MACEDONIA                                        | North Macedonia Government International Bond                                                              | CUSIP: 000000000<br>LEI: 635400RD1N6RVNCE4958 | Long             | DBT              | NUSS              | MK        |   1825000 | PA      | $1817351.77   | 0.10%             | 2025-01-18      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                                         | Open Text Corp                                                                                             | CUSIP: 683715AD8<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |   3075000 | PA      | $2473122.87   | 0.14%             | 2029-12-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust 2019-NQM4                                                              | CUSIP: 64828EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    392150 | PA      | $353727.71    | 0.02%             | 2059-09-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 3136ANHJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1378498 | PA      | $48659.19     | 0.00%             | 2055-04-25      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 3136AFXT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    273084 | PA      | $12457.96     | 0.00%             | 2028-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                               | Intercontinental Exchange Inc                                                                              | CUSIP: 45866FAX2<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    165000 | PA      | $153832.55    | 0.01%             | 2052-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128M8GA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    181236 | PA      | $188264.76    | 0.01%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                           | UBS Group AG                                                                                               | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1220000 | PA      | $1169192.26   | 0.07%             | 2028-05-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                           | CUSIP: 3133KMYL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1251744 | PA      | $1064020.50   | 0.06%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36213UNQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       360 | PA      | $369.90       | 0.00%             | 2034-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2017-2                                                                           | CUSIP: 89173HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    197665 | PA      | $195111.43    | 0.01%             | 2057-04-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| FIRSTCASH INC                                          | FirstCash Inc                                                                                              | CUSIP: 31944TAA8<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |   1735000 | PA      | $1544262.83   | 0.09%             | 2030-01-01      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF CHILE                                      | Chile Government International Bond                                                                        | CUSIP: 000000000<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   3865000 | PA      | $2221392.29   | 0.13%             | 2051-01-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| ARCELORMITTAL SA                                       | ArcelorMittal SA                                                                                           | CUSIP: 03938LBF0<br>LEI: 2EULGUTUI56JI9SAL165 | Long             | DBT              | CORP              | LU        |    390000 | PA      | $387396.21    | 0.02%             | 2032-11-29      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3138M8VW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    601080 | PA      | $577960.38    | 0.03%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MONDELEZ INTERNATIONAL                                 | Mondelez International Inc                                                                                 | CUSIP: 609207BB0<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |    705000 | PA      | $605189.27    | 0.03%             | 2032-03-17      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 31335A7C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16008 | PA      | $16332.60     | 0.00%             | 2044-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                 | US ULTRA BOND CBT MAR23                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       185 | NC      | $-188935.57   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    337410 | PA      | $314569.22    | 0.02%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128MABU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1271087 | PA      | $1223575.78   | 0.07%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM 2014-CR14 Mortgage Trust                                                                              | CUSIP: 12630DAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6590630 | PA      | $25271.77     | 0.00%             | 2047-02-10      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                | Goldman Sachs Group Inc/The                                                                                | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    320000 | PA      | $253530.85    | 0.01%             | 2032-10-21      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Education                             | CHICAGO IL BRD OF EDU                                                                                      | CUSIP: 167505KH8<br>LEI: 54930099NR6T9V7LVB43 | Long             | DBT              | MUN               | US        |   1115000 | PA      | $953002.65    | 0.05%             | 2039-12-01      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                   | Colombia Government International Bond                                                                     | CUSIP: 195325BR5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   1180000 | PA      | $865041.16    | 0.05%             | 2044-02-26      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                             | MFA 2021-NPL1 LLC                                                                                          | CUSIP: 55282YAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2911586 | PA      | $2692212.29   | 0.15%             | 2060-03-25      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| Envision Healthcare Corporation                        | Envision Healthcare Corporation 2022 Third Out Term Loan                                                   | CUSIP: 29373UAG6<br>LEI: 549300OL60X0LPKY8N60 | Long             | LON              | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2027-03-31      | Variable      | 8.33%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                             | Verus Securitization Trust 2021-7                                                                          | CUSIP: 92538QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4698271 | PA      | $3949929.20   | 0.22%             | 2066-10-25      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31403MUG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    450945 | PA      | $465323.01    | 0.03%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust 2018-4                                                                 | CUSIP: 64828FCQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1832951 | PA      | $1757300.40   | 0.10%             | 2048-01-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                               | Rogers Communications Inc                                                                                  | CUSIP: 775109CD1<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    975000 | PA      | $756385.58    | 0.04%             | 2052-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140FFLC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    601440 | PA      | $560308.53    | 0.03%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                            | Ivory Coast Government International Bond                                                                  | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |   1965000 | PA      | $1655780.59   | 0.09%             | 2032-01-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128M6JB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20218 | PA      | $21002.27     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                            | BNP Paribas SA                                                                                             | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1275000 | PA      | $1171554.19   | 0.07%             | 2026-06-09      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Education                             | CHICAGO IL BRD OF EDU                                                                                      | CUSIP: 167505NG7<br>LEI: 54930099NR6T9V7LVB43 | Long             | DBT              | MUN               | US        |   2315000 | PA      | $2174512.37   | 0.12%             | 2029-11-01      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                           | CUSIP: 3132DV7K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1809006 | PA      | $1481783.22   | 0.08%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NRG ENERGY INC                                         | NRG Energy Inc                                                                                             | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   1705000 | PA      | $1414627.28   | 0.08%             | 2027-12-02      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                   | CUSIP: 38381TR23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1317241 | PA      | $223073.24    | 0.01%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust             | Mercury Financial Credit Card Master Trust                                                                 | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2210000 | PA      | $2108461.77   | 0.12%             | 2026-03-20      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                     | Ellington Financial Mortgage Trust 2022-1                                                                  | CUSIP: 31573CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2420651 | PA      | $2036791.57   | 0.12%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                                   | FirstKey Homes 2022-SFR2 Trust                                                                             | CUSIP: 33767PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4842613 | PA      | $4579378.15   | 0.26%             | 2039-07-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36212U5F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7337 | PA      | $7545.09      | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                        | CSAIL 2016-C5 Commercial Mortgage Trust                                                                    | CUSIP: 12636LBA7<br>LEI: 549300FU8TZDHFLQZL50 | Long             | ABS-MBS          | CORP              | US        |   2279104 | PA      | $47210.51     | 0.00%             | 2048-11-15      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| ONEOK Inc                                              | ONEOK Inc                                                                                                  | CUSIP: 682680AU7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    380000 | PA      | $359288.20    | 0.02%             | 2028-07-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9705000 | PA      | $9111716.95   | 0.52%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                              | Boeing Co/The                                                                                              | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    705000 | PA      | $698001.97    | 0.04%             | 2027-05-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36186S6R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    391306 | PA      | $350135.19    | 0.02%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                    | American Tower Corp                                                                                        | CUSIP: 03027XBM1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    320000 | PA      | $261279.05    | 0.01%             | 2031-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 31297ENC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1222 | PA      | $1243.11      | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                                | Jersey Central Power & Light Co                                                                            | CUSIP: 476556DD4<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |   1075000 | PA      | $871616.39    | 0.05%             | 2032-03-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                         | Lowe's Cos Inc                                                                                             | CUSIP: 548661EL7<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    892000 | PA      | $873484.66    | 0.05%             | 2033-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                               | Charter Communications Operating LLC / Charter Communications Operating Capital                            | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    935000 | PA      | $802889.46    | 0.05%             | 2033-04-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                        | CVS Health Corp                                                                                            | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    660000 | PA      | $598870.72    | 0.03%             | 2045-07-20      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                             | Verus Securitization Trust 2021-4                                                                          | CUSIP: 92538HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1539639 | PA      | $1179136.97   | 0.07%             | 2066-07-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                               | Penske Truck Leasing Co Lp / PTL Finance Corp                                                              | CUSIP: 709599BJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1575000 | PA      | $1508117.37   | 0.09%             | 2025-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust 2017-1                                                                 | CUSIP: 64829JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2824982 | PA      | $2657849.29   | 0.15%             | 2057-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 3136A6MP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    995863 | PA      | $214429.44    | 0.01%             | 2042-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 3136B5PK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1375856 | PA      | $1246021.85   | 0.07%             | 2049-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential 2022-SFR5 Trust                                                                       | CUSIP: 74332YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    885650 | PA      | $831844.07    | 0.05%             | 2039-06-17      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2020-BNK25                                                                                            | CUSIP: 06539WBC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  35301570 | PA      | $1633202.45   | 0.09%             | 2063-01-15      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                | GLP Capital LP / GLP Financing II Inc                                                                      | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1025000 | PA      | $969844.75    | 0.05%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1553596 | PA      | $1451733.58   | 0.08%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                             | Intel Corp                                                                                                 | CUSIP: 458140CB4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   1590000 | PA      | $1414707.56   | 0.08%             | 2052-08-05      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12122825 | PA      | $9916323.53   | 0.56%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| KAISER FOUNDATION HOSPIT                               | Kaiser Foundation Hospitals                                                                                | CUSIP: 48305QAG8<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |   1170000 | PA      | $803563.09    | 0.05%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                             | Verus Securitization Trust 2021-R2                                                                         | CUSIP: 92538DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1204272 | PA      | $1092220.20   | 0.06%             | 2064-02-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140QGGN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    403618 | PA      | $344330.21    | 0.02%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36180DUR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86787 | PA      | $81735.03     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FAIR ISAAC CORP                                        | Fair Isaac Corp                                                                                            | CUSIP: 303250AF1<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |   3542000 | PA      | $3214386.25   | 0.18%             | 2028-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36201MD66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44888 | PA      | $46173.62     | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36201FXQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2259 | PA      | $2323.52      | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                 | UnitedHealth Group Inc                                                                                     | CUSIP: 91324PEP3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1820000 | PA      | $1863442.65   | 0.11%             | 2028-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140XFBM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1656891 | PA      | $1485963.69   | 0.08%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Avantor Funding, Inc.                                  | Avantor Funding, Inc. 2021 Term Loan B5                                                                    | CUSIP: 05350NAL8<br>LEI: 5493003VM0XB4U8YD238 | Long             | LON              | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2027-11-08      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                  | PRPM 2021-5 LLC                                                                                            | CUSIP: 69358DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2362643 | PA      | $2137364.63   | 0.12%             | 2026-06-25      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                   | PRET 2021-NPL6 LLC                                                                                         | CUSIP: 69362GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1781532 | PA      | $1646727.30   | 0.09%             | 2051-07-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Fannie Mae Connecticut Avenue Securities                                                                   | CUSIP: 30711XEP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    914476 | PA      | $932862.06    | 0.05%             | 2029-07-25      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                       | T-Mobile USA Inc                                                                                           | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    219000 | PA      | $188451.60    | 0.01%             | 2028-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31389DTA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       358 | PA      | $371.60       | 0.00%             | 2031-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Connecticut Avenue Securities Trust 2019-HRP1                                                              | CUSIP: 20754PAC4<br>LEI: 549300Z5THZ1JXIHVK60 | Long             | ABS-MBS          | USGSE             | US        |    678155 | PA      | $662813.78    | 0.04%             | 2039-11-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                            | Southern Co/The                                                                                            | CUSIP: 842587DE4<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1086463.45   | 0.06%             | 2030-04-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132LQA80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2169912 | PA      | $2018316.02   | 0.11%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                 | BP Capital Markets America Inc                                                                             | CUSIP: 10373QBQ2<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     90000 | PA      | $62085.06     | 0.00%             | 2061-02-08      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Sempra Energy                                          | Sempra Energy                                                                                              | CUSIP: 816851BJ7<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    205000 | PA      | $161302.36    | 0.01%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                     | Alternative Loan Trust 2005-72                                                                             | CUSIP: 12668A3N3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123896 | PA      | $108420.70    | 0.01%             | 2036-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Arab Republic of Egypt                                 | Egypt Government International Bond                                                                        | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    720000 | PA      | $478566.72    | 0.03%             | 2047-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                         | HarborView Mortgage Loan Trust 2006-12                                                                     | CUSIP: 41162DAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2052077 | PA      | $1848475.07   | 0.10%             | 2036-12-19      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PHILIPPINES                                | Philippine Government International Bond                                                                   | CUSIP: 000000000<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |   4330000 | PA      | $3556786.21   | 0.20%             | 2033-04-28      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132WEDN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    396445 | PA      | $369215.55    | 0.02%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 3136B3SL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2543959 | PA      | $2355538.65   | 0.13%             | 2058-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GCAT                                                   | GCAT 2021-NQM2 Trust                                                                                       | CUSIP: 36166XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750087 | PA      | $1473196.64   | 0.08%             | 2066-05-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust 2017-6                                                                 | CUSIP: 64830BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2550966 | PA      | $2386263.30   | 0.14%             | 2057-08-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                                 | Egypt Government International Bond                                                                        | CUSIP: 03846JX62<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    595000 | PA      | $401173.99    | 0.02%             | 2050-05-29      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                | GLP Capital LP / GLP Financing II Inc                                                                      | CUSIP: 361841AK5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1535000 | PA      | $1504270.48   | 0.09%             | 2028-06-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                   | Colombia Government International Bond                                                                     | CUSIP: 195325DQ5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    395000 | PA      | $268870.82    | 0.02%             | 2049-05-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2019-BNK24                                                                                            | CUSIP: 06540VBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9691616 | PA      | $339824.89    | 0.02%             | 2062-11-15      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                                     | Panama Government International Bond                                                                       | CUSIP: 698299BS2<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    555000 | PA      | $390722.05    | 0.02%             | 2063-01-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140QKVB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3795273 | PA      | $3235370.52   | 0.18%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                 | Verizon Communications Inc                                                                                 | CUSIP: 92343VBG8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    555000 | PA      | $442666.39    | 0.03%             | 2042-11-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128MJGH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7447 | PA      | $7736.43      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC            | BBCMS Mortgage Trust 2022-C18                                                                              | CUSIP: 054975AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    425000 | PA      | $446172.06    | 0.03%             | 2055-12-15      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                                 | RR 16 Ltd                                                                                                  | CUSIP: 74971CAA1<br>LEI: 549300FLUOZC8QYYKL96 | Long             | ABS-CBDO         | CORP              | KY        |   5375000 | PA      | $5230305.00   | 0.30%             | 2036-07-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                       | IndyMac INDX Mortgage Loan Trust 2006-AR3                                                                  | CUSIP: 45660L5S4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    684607 | PA      | $478211.87    | 0.03%             | 2036-03-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                 | UnitedHealth Group Inc                                                                                     | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    190000 | PA      | $205578.28    | 0.01%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                  | Wells Fargo & Co                                                                                           | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1530000 | PA      | $1493987.96   | 0.08%             | 2028-07-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                                    | Sound Point CLO XXIX Ltd                                                                                   | CUSIP: 83614VAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5775000 | PA      | $5558044.80   | 0.31%             | 2034-04-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3138YR6D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    502057 | PA      | $481492.38    | 0.03%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                               | Warnermedia Holdings Inc                                                                                   | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    930000 | PA      | $767129.28    | 0.04%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                | Long: 99D02DK30 CDS USD R V 01MEVENT 99D02DK4 / Short: 99D02DK30 CDS USD P F   .09000 99D02DK30            | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              |  | GB        |   1205978 | OU      | $66308.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                     | Alternative Loan Trust 2005-56                                                                             | CUSIP: 12668AHE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    664035 | PA      | $523260.21    | 0.03%             | 2035-11-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| RBSGC Mortgage Pass Through Certificates               | RBSGC Mortgage Loan Trust 2007-A                                                                           | CUSIP: 74927WAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    576073 | PA      | $514481.49    | 0.03%             | 2037-01-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae                                                                                                 | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7950000 | PA      | $6899086.32   | 0.39%             | 2053-01-23      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                         | CUSIP: 3137BSCE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    760093 | PA      | $151196.07    | 0.01%             | 2046-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140H6C80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    274534 | PA      | $255575.73    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3194158 | PA      | $2862136.14   | 0.16%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Crown Finance US, Inc.                                 | Crown Finance US, Inc. 2018 EUR Term Loan                                                                  | CUSIP: 22834KAC5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     32436 | PA      | $6141.54      | 0.00%             | 2025-02-28      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36200EA35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    254873 | PA      | $261881.46    | 0.01%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 3136AP2P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147774 | PA      | $9410.59      | 0.00%             | 2030-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                 | Marvell Technology Inc                                                                                     | CUSIP: 573874AF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1730000 | PA      | $1466969.95   | 0.08%             | 2028-04-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                 | US 10YR NOTE (CBT)MAR23                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -841 | NC      | $416173.64    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                           | CUSIP: 31329QM40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1186176 | PA      | $1133910.69   | 0.06%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                              | ONEOK Inc                                                                                                  | CUSIP: 682680BE2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    237000 | PA      | $241448.07    | 0.01%             | 2031-01-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36210GW91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1542 | PA      | $1585.33      | 0.00%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                   | Pretium Mortgage Credit Partners LLC                                                                       | CUSIP: 69362NAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4599587 | PA      | $4112739.40   | 0.23%             | 2052-01-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC            | BBCMS Mortgage Trust 2022-C16                                                                              | CUSIP: 05552YAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $965186.30    | 0.05%             | 2055-06-15      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                   | Bank of America Corp                                                                                       | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1630000 | PA      | $1594339.12   | 0.09%             | 2028-07-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140XFX71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1546202 | PA      | $1364274.82   | 0.08%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 3136ARFZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211030 | PA      | $8917.35      | 0.00%             | 2031-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 3136AP2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    372090 | PA      | $38326.97     | 0.00%             | 2035-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                   | CUSIP: 38379BCS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    515269 | PA      | $468996.07    | 0.03%             | 2039-12-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                            | BNP Paribas SA                                                                                             | CUSIP: 09659W2T0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1875000 | PA      | $1651705.89   | 0.09%             | 2028-01-20      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                   | CUSIP: 38380TE93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    923473 | PA      | $143942.70    | 0.01%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM 2014-CR14 Mortgage Trust                                                                              | CUSIP: 12630DAY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    535000 | PA      | $525857.28    | 0.03%             | 2047-02-10      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31371JMC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1123 | PA      | $1156.41      | 0.00%             | 2030-07-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Ascent Resources Marcellus Holdings, LLC               | ASCENT 1 LIEN WAR PP                                                                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |     16740 | NS      | $50.22        | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| VCAT Asset Securitization, LLC                         | VCAT 2021-NPL3 LLC                                                                                         | CUSIP: 91824MAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2075079 | PA      | $1803652.11   | 0.10%             | 2051-05-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31400HUC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22967 | PA      | $23386.48     | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                     | Wendy's Funding LLC                                                                                        | CUSIP: 95058XAK4<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |   4969325 | PA      | $4009296.13   | 0.23%             | 2051-06-15      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                   | Bank of America Corp                                                                                       | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    940000 | PA      | $895450.53    | 0.05%             | 2033-07-22      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| GAP INC/THE                                            | Gap Inc/The                                                                                                | CUSIP: 364760AQ1<br>LEI: T2ZG1WRWZ4BUCMQL9224 | Long             | DBT              | CORP              | US        |   3819000 | PA      | $2664191.76   | 0.15%             | 2031-10-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2019-BNK22                                                                                            | CUSIP: 06540XBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19924372 | PA      | $638554.22    | 0.04%             | 2062-11-15      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128MJZB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10461 | PA      | $9378.83      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                 | Diamondback Energy Inc                                                                                     | CUSIP: 25278XAV1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    380000 | PA      | $386482.64    | 0.02%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                   | CUSIP: 38379V5S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    829092 | PA      | $155363.73    | 0.01%             | 2046-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31385HS37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       614 | PA      | $626.18       | 0.00%             | 2031-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LP                               | Viper Energy Partners LP                                                                                   | CUSIP: 92763MAA3<br>LEI: 5299009LINL232255G03 | Long             | DBT              | CORP              | US        |   2200000 | PA      | $2088923.03   | 0.12%             | 2027-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36291YF51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1360 | PA      | $1422.86      | 0.00%             | 2036-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Seasoned Credit Risk Transfer Trust Series 2019-2                                                          | CUSIP: 35563PKJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    986435 | PA      | $899466.39    | 0.05%             | 2058-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC                         | VCAT 2021-NPL2 LLC                                                                                         | CUSIP: 91822YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    649648 | PA      | $587405.68    | 0.03%             | 2051-03-27      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140XGGS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1069172 | PA      | $909606.18    | 0.05%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                                        | Gen Digital Inc                                                                                            | CUSIP: 871503AU2<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |   4490000 | PA      | $4367309.76   | 0.25%             | 2025-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36200KVD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    388825 | PA      | $402483.90    | 0.02%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 3136A5P34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    243310 | PA      | $12298.02     | 0.00%             | 2027-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                         | CUSIP: 3137BJQK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    413862 | PA      | $35457.22     | 0.00%             | 2030-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36184FSP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28765 | PA      | $25729.77     | 0.00%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                           | Centene Corp                                                                                               | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   5230000 | PA      | $4781208.52   | 0.27%             | 2029-12-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust               | AmeriCredit Automobile Receivables Trust 2019-3                                                            | CUSIP: 03066NAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2375000 | PA      | $2283430.69   | 0.13%             | 2025-09-18      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                    | Sirius XM Radio Inc                                                                                        | CUSIP: 82967NBG2<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    590000 | PA      | $486873.90    | 0.03%             | 2030-07-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                         | CUSIP: 3137B2JF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    150669 | PA      | $6613.34      | 0.00%             | 2028-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                   | CUSIP: 38380WH28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1814258 | PA      | $363543.48    | 0.02%             | 2045-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                        | CVS Health Corp                                                                                            | CUSIP: 126650DK3<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    435000 | PA      | $363825.19    | 0.02%             | 2040-04-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                 | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-3618.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                       | Soundview Home Loan Trust 2007-OPT2                                                                        | CUSIP: 83613DAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1741114 | PA      | $1562822.46   | 0.09%             | 2037-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2019-BNK18                                                                                            | CUSIP: 065402BD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12652243 | PA      | $543747.85    | 0.03%             | 2062-05-15      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM 2013-CCRE7 Mortgage Trust                                                                             | CUSIP: 12625FAE6<br>LEI: 549300FVY7JUBJ0PIH53 | Long             | ABS-MBS          | CORP              | US        |    389666 | PA      | $387070.32    | 0.02%             | 2046-03-10      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                               | Discovery Communications LLC                                                                               | CUSIP: 25470DBL2<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |   1970000 | PA      | $1189281.18   | 0.07%             | 2055-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                               | Rogers Communications Inc                                                                                  | CUSIP: 775109CC3<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    235000 | PA      | $203638.73    | 0.01%             | 2032-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust 2015-NXS1                                                            | CUSIP: 94989HBM1<br>LEI: 5493002S7XBI8CVRR075 | Long             | ABS-MBS          | CORP              | US        |    430000 | PA      | $367512.79    | 0.02%             | 2048-05-15      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                         | CUSIP: 3137B05Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    369389 | PA      | $33666.16     | 0.00%             | 2033-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140XGGR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1868416 | PA      | $1603697.26   | 0.09%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                              | ONEOK Inc                                                                                                  | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    865000 | PA      | $870392.99    | 0.05%             | 2032-11-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                   | CUSIP: 38380CF81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    880697 | PA      | $149825.40    | 0.01%             | 2047-02-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36213USS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1024 | PA      | $1052.82      | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 36202EAZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    496861 | PA      | $517307.99    | 0.03%             | 2034-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36213WQW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42571 | PA      | $43781.29     | 0.00%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                                 | GE HealthCare Technologies Inc                                                                             | CUSIP: 36267VAG8<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   1690000 | PA      | $1733470.25   | 0.10%             | 2030-03-15      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36210VYQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80514 | PA      | $82802.33     | 0.00%             | 2029-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36200UDP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81470 | PA      | $83785.37     | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36182QCS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1459516 | PA      | $1304526.52   | 0.07%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                           | NiSource Inc                                                                                               | CUSIP: 65473PAJ4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    990000 | PA      | $884520.82    | 0.05%             | 2030-05-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 312931TJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8310 | PA      | $8295.60      | 0.00%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                      | L3Harris Technologies Inc                                                                                  | CUSIP: 502431AF6<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    185000 | PA      | $158320.95    | 0.01%             | 2029-12-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust          | JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN                                              | CUSIP: 46652BAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1265146.26   | 0.07%             | 2037-01-16      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential 2021-SFR8 Trust                                                                       | CUSIP: 74333TAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3312091 | PA      | $2825379.30   | 0.16%             | 2038-10-17      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                       | COLT 2021-1 Mortgage Loan Trust                                                                            | CUSIP: 19688EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2054640 | PA      | $1659386.86   | 0.09%             | 2066-06-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36211BD84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3573 | PA      | $3674.78      | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 3136A7GL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    379915 | PA      | $10183.93     | 0.00%             | 2027-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Education                             | CHICAGO IL BRD OF EDU                                                                                      | CUSIP: 167505KG0<br>LEI: 54930099NR6T9V7LVB43 | Long             | DBT              | MUN               | US        |    365000 | PA      | $342162.68    | 0.02%             | 2029-12-01      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140XJAR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2763530 | PA      | $2518644.26   | 0.14%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CAMB Commercial Mortgage Trust                         | CAMB Commercial Mortgage Trust 2019-LIFE                                                                   | CUSIP: 12482HAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2920000 | PA      | $2780666.65   | 0.16%             | 2037-12-15      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31391NMW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    240208 | PA      | $245549.95    | 0.01%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                                  | Toorak Mortgage Corp 2021-1 Ltd                                                                            | CUSIP: 89053BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2840000 | PA      | $2685769.82   | 0.15%             | 2024-06-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 36202FHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1755051 | PA      | $1697819.81   | 0.10%             | 2040-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes                 | NRZ Excess Spread-Collateralized Notes Series 2020-PLS1                                                    | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    461306 | PA      | $420602.33    | 0.02%             | 2025-12-25      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| UNITED RENTALS NORTH AM                                | United Rentals North America Inc                                                                           | CUSIP: 911365BG8<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |    445000 | PA      | $421704.25    | 0.02%             | 2028-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Financial Square Funds - Government Fund | Goldman Sachs Financial Square Funds - Government Fund                                                     | CUSIP: 38141W273<br>LEI: 549300BRJMXN4GUWZ402 | Long             | STIV             | RF                | US        |    557704 | NS      | $557704.13    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE & CO                                    | JPMorgan Chase & Co                                                                                        | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    155000 | PA      | $148285.91    | 0.01%             | 2033-07-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 31398SBC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1518314 | PA      | $229586.51    | 0.01%             | 2040-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Seasoned Credit Risk Transfer Trust Series 2018-4                                                          | CUSIP: 35563PHE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3604442 | PA      | $3259391.44   | 0.18%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 36179RXF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    175511 | PA      | $176099.69    | 0.01%             | 2046-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ashtead Capital Inc                                    | Ashtead Capital Inc                                                                                        | CUSIP: 045054AF0<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |   4990000 | PA      | $4690799.60   | 0.27%             | 2027-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| RR 1 Ltd                                               | RR 1 LLC                                                                                                   | CUSIP: 78108YAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5870000 | PA      | $5711445.43   | 0.32%             | 2035-07-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                | MPLX LP                                                                                                    | CUSIP: 55336VBT6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    600000 | PA      | $493515.62    | 0.03%             | 2052-03-14      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Fannie Mae Connecticut Avenue Securities                                                                   | CUSIP: 20755DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    686930 | PA      | $689076.28    | 0.04%             | 2042-07-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                            | NVIDIA Corp                                                                                                | CUSIP: 67066GAG9<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |    940000 | PA      | $766050.57    | 0.04%             | 2040-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust 2022-5                                                              | CUSIP: 80287HAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    955000 | PA      | $929089.32    | 0.05%             | 2027-03-15      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                           | Broadcom Inc                                                                                               | CUSIP: 11135FBR1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2540000 | PA      | $2311923.60   | 0.13%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                  | Indonesia Government International Bond                                                                    | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |   3795000 | PA      | $2949822.81   | 0.17%             | 2033-03-12      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                       | Freddie Mac Strips                                                                                         | CUSIP: 31325YB31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3224523 | PA      | $476200.64    | 0.03%             | 2052-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                           | CUSIP: 3133KJJQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    864418 | PA      | $763617.91    | 0.04%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36209S6G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       952 | PA      | $979.00       | 0.00%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                       | Societe Generale SA                                                                                        | CUSIP: 83368RBL5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   5020000 | PA      | $4713111.74   | 0.27%             | 2033-06-15      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| Invesco Government & Agency Portfolio                  | Invesco Government & Agency Portfolio                                                                      | CUSIP: 825252885<br>LEI: 5493007T1J7WZ5QI1A47 | Long             | STIV             | RF                | US        |    557704 | NS      | $557704.13    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| TARGA RESOURCES PARTNERS                               | Targa Resources Partners LP / Targa Resources Partners Finance Corp                                        | CUSIP: 87612BBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    280000 | PA      | $251317.64    | 0.01%             | 2031-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                   | Keurig Dr Pepper Inc                                                                                       | CUSIP: 49271VAP5<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |   1790000 | PA      | $1668785.82   | 0.09%             | 2029-04-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                           | CUSIP: 3132DVL86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    883742 | PA      | $784714.02    | 0.04%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140LGPZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    650000 | PA      | $609777.29    | 0.03%             | 2032-07-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust 2011-C3                                                                     | CUSIP: 61760RAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1460000 | PA      | $801768.49    | 0.05%             | 2049-07-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| NBM US Holdings Inc                                    | NBM US Holdings Inc                                                                                        | CUSIP: 62877VAA9<br>LEI: 5493008K1QMSP0J8UC24 | Long             | DBT              | CORP              | US        |   3070000 | PA      | $3048540.70   | 0.17%             | 2026-05-14      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                   | CUSIP: 38378JXN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    306417 | PA      | $57356.84     | 0.00%             | 2043-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                   | CUSIP: 38380BAQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    256012 | PA      | $12296.93     | 0.00%             | 2028-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Inflation Indexed Bonds                                                             | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6836336 | PA      | $6519220.92   | 0.37%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust          | JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8                                               | CUSIP: 46638UAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1605029 | PA      | $1251120.04   | 0.07%             | 2045-10-15      | Variable      | 2.73%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                       | WFRBS Commercial Mortgage Trust 2013-C15                                                                   | CUSIP: 92938CAD9<br>LEI: 5493003CHVRASC16O965 | Long             | ABS-MBS          | CORP              | US        |   1095000 | PA      | $1082252.12   | 0.06%             | 2046-08-15      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                       | Paramount Global                                                                                           | CUSIP: 92553PAP7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |   1710000 | PA      | $1183221.45   | 0.07%             | 2043-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128M8AV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4062 | PA      | $4219.64      | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust 2022-4                                                              | CUSIP: 80286FAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2995000 | PA      | $2899565.82   | 0.16%             | 2027-11-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                                 | ConocoPhillips Co                                                                                          | CUSIP: 20826FAV8<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |     60000 | PA      | $47609.54     | 0.00%             | 2052-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 3136A8GE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226328 | PA      | $10818.74     | 0.00%             | 2027-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140Q8FN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1129264 | PA      | $1046891.51   | 0.06%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140QKF86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    539796 | PA      | $475162.63    | 0.03%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F040412<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -4225000 | PA      | $-4120860.34  | -0.23%            | 2038-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC            | BBCMS MORTGAGE TRUST 2017-C1                                                                               | CUSIP: 07332VBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24496521 | PA      | $1144470.11   | 0.06%             | 2050-02-15      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                           | CUSIP: 3131XYTF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    511079 | PA      | $474356.93    | 0.03%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Willis North America Inc                               | Willis North America Inc                                                                                   | CUSIP: 970648AF8<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |    830000 | PA      | $807662.43    | 0.05%             | 2024-05-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36213UKG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58722 | PA      | $60408.06     | 0.00%             | 2031-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust 2016-4                                                                 | CUSIP: 64829LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1610654 | PA      | $1472289.32   | 0.08%             | 2056-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31407NQM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    424589 | PA      | $418239.65    | 0.02%             | 2035-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                 | Long: 99D06I1V4 CDS USD R V 01MEVENT 2 ABX / Short: 99D06I1V4 CDS USD P F   .11000 1 ABX                   | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DCR              |  | GB        |    256924 | OU      | $18835.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140XFM32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8711445 | PA      | $7405696.74   | 0.42%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SUTTER HEALTH                                          | Sutter Health                                                                                              | CUSIP: 86944BAJ2<br>LEI: 549300MJCC12LU768G81 | Long             | DBT              | CORP              | US        |    770000 | PA      | $525979.52    | 0.03%             | 2050-08-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                  | Westlake Automobile Receivables Trust 2020-3                                                               | CUSIP: 96042QAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1930000 | PA      | $1828945.97   | 0.10%             | 2026-02-17      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 36179SWX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1639358 | PA      | $1531089.05   | 0.09%             | 2047-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                               | Duke Energy Progress LLC                                                                                   | CUSIP: 26442UAP9<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    490000 | PA      | $395052.70    | 0.02%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31417YUH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    442750 | PA      | $425717.57    | 0.02%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                  | Westlake Automobile Receivables Trust 2019-3                                                               | CUSIP: 96042HAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2227004 | PA      | $2212470.22   | 0.13%             | 2024-11-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36204X4P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       351 | PA      | $359.74       | 0.00%             | 2023-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                              | BPR Trust 2022-STAR                                                                                        | CUSIP: 055980AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2335000 | PA      | $2297820.50   | 0.13%             | 2024-08-15      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36209N3B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2896 | PA      | $2978.45      | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                         | CUSIP: 3137AYYN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    287473 | PA      | $8992.94      | 0.00%             | 2032-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31389SRP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       230 | PA      | $230.02       | 0.00%             | 2032-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                   | Bank of America Corp                                                                                       | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2150000 | PA      | $1661769.87   | 0.09%             | 2032-07-21      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                  | PRPM 2021-3 LLC                                                                                            | CUSIP: 69357PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1768554 | PA      | $1576811.31   | 0.09%             | 2026-04-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                                    | CDW LLC / CDW Finance Corp                                                                                 | CUSIP: 12513GBH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    450000 | PA      | $385272.00    | 0.02%             | 2028-12-01      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                           | CUSIP: 3133KYVC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2068867 | PA      | $1764943.15   | 0.10%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F030611<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -8855000 | PA      | $-7781727.95  | -0.44%            | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                | WaMu Mortgage Pass-Through Certificates Series 2007-HY6 Trust                                              | CUSIP: 92927XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    629729 | PA      | $543556.00    | 0.03%             | 2037-06-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 31307VYC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    346608 | PA      | $330029.95    | 0.02%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                | WaMu Mortgage Pass-Through Certificates Series 2004-AR8 Trust                                              | CUSIP: 92922FTJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280096 | PA      | $250737.63    | 0.01%             | 2044-06-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140F5Z63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183049 | PA      | $175045.71    | 0.01%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140X8XH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1978917 | PA      | $1620290.20   | 0.09%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2535000 | PA      | $2305975.37   | 0.13%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36213HWZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       122 | PA      | $129.26       | 0.00%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                   | Bank of America Corp                                                                                       | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    275000 | PA      | $211716.68    | 0.01%             | 2031-07-23      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140XAUM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2924314 | PA      | $2503332.56   | 0.14%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                           | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14975000 | PA      | $13475160.16  | 0.76%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                   | Pretium Mortgage Credit Partners LLC                                                                       | CUSIP: 74140QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3680815 | PA      | $3242588.42   | 0.18%             | 2061-02-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 3622AAN26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    992754 | PA      | $957904.06    | 0.05%             | 2042-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                 | Marvell Technology Inc                                                                                     | CUSIP: 573874AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    465000 | PA      | $375129.44    | 0.02%             | 2031-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                                     | Panama Government International Bond                                                                       | CUSIP: 698299BT0<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    350000 | PA      | $354990.53    | 0.02%             | 2035-02-14      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                                 | Marlette Funding Trust 2021-2                                                                              | CUSIP: 57108TAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1015000 | PA      | $990073.73    | 0.06%             | 2031-09-15      | Fixed         | 1.06%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                    | Exeter Automobile Receivables Trust 2022-4                                                                 | CUSIP: 30166BAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1472032.65   | 0.08%             | 2027-01-15      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36213UWW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79806 | PA      | $82078.56     | 0.00%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                       | T-Mobile USA Inc                                                                                           | CUSIP: 87264ACV5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    465000 | PA      | $462708.61    | 0.03%             | 2033-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                               | Discovery Communications LLC                                                                               | CUSIP: 25470DAT6<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    790000 | PA      | $590409.71    | 0.03%             | 2047-09-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 36179TUA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    415068 | PA      | $387242.27    | 0.02%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HOWARD UNIVERSITY                                      | Howard University                                                                                          | CUSIP: 442851AT8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $848401.03    | 0.05%             | 2029-10-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                       | Deutsche Bank AG/New York NY                                                                               | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1545000 | PA      | $1311943.05   | 0.07%             | 2027-11-16      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT HOLDINGS INC                                 | Open Text Holdings Inc                                                                                     | CUSIP: 683720AC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    600000 | PA      | $466377.29    | 0.03%             | 2031-12-01      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| TRUIST BANK                                            | Truist Bank                                                                                                | CUSIP: 89788KAA4<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |   1310000 | PA      | $1062168.78   | 0.06%             | 2030-03-11      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36213YPX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20563 | PA      | $21618.88     | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                               | Madison Park Funding XXXVIII Ltd                                                                           | CUSIP: 55821KAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6190000 | PA      | $6033151.59   | 0.34%             | 2034-07-17      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31384VRN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7207 | PA      | $7380.42      | 0.00%             | 2030-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                                               | CUSIP: 3137FVNJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12845962 | PA      | $828624.95    | 0.05%             | 2030-06-25      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                  | Micron Technology Inc                                                                                      | CUSIP: 595112BV4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    370000 | PA      | $377125.59    | 0.02%             | 2029-11-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31371JL36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       650 | PA      | $671.44       | 0.00%             | 2030-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust 2017-H1                                                                     | CUSIP: 61691JAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7190691 | PA      | $270375.72    | 0.02%             | 2050-06-15      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                    | JPMorgan Chase & Co                                                                                        | CUSIP: 46647PBA3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3215000 | PA      | $3067930.05   | 0.17%             | 2027-01-29      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140Q7QD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1483617 | PA      | $1377089.73   | 0.08%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust 2013-C12                                                        | CUSIP: 46639NAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90374 | PA      | $89698.14     | 0.01%             | 2045-07-15      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                      | EURO-SCHATZ FUT MAR23                                                                                      | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |      -470 | NC      | $552311.94    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31371KLV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        77 | PA      | $80.05        | 0.00%             | 2032-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                   | Targa Resources Corp                                                                                       | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    975000 | PA      | $841982.34    | 0.05%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                     | Alternative Loan Trust 2006-9T1                                                                            | CUSIP: 12668BVA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    588444 | PA      | $261202.44    | 0.01%             | 2036-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36213R5B9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17240 | PA      | $17712.24     | 0.00%             | 2031-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140X4TQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    646966 | PA      | $634206.86    | 0.04%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LSTAR Securities Investment Ltd                        | LSTAR Securities Investment Ltd 2021-2                                                                     | CUSIP: 54912PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3044373 | PA      | $2655844.43   | 0.15%             | 2026-03-02      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36209QQK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5361 | PA      | $5541.98      | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                 | Pacific Gas and Electric Co                                                                                | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   3780000 | PA      | $2953644.15   | 0.17%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 3136A8CC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    973777 | PA      | $111601.24    | 0.01%             | 2042-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HOWARD UNIVERSITY                                      | Howard University                                                                                          | CUSIP: 442851AY7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    720000 | PA      | $524230.29    | 0.03%             | 2041-10-01      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                   | BlueMountain CLO XXIV Ltd                                                                                  | CUSIP: 09609NAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3660000 | PA      | $3544325.70   | 0.20%             | 2034-04-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 31394VV56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62027 | PA      | $52178.82     | 0.00%             | 2036-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF GHANA                                      | Ghana Government International Bond                                                                        | CUSIP: 37443GAG6<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |    418000 | PA      | $156750.00    | 0.01%             | 2027-02-11      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 3136A9Q43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2104280 | PA      | $1940226.42   | 0.11%             | 2042-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH INBEV WOR                               | Anheuser-Busch InBev Worldwide Inc                                                                         | CUSIP: 03523TBU1<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   1699000 | PA      | $1704265.57   | 0.10%             | 2039-01-23      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust 2017-3                                                                 | CUSIP: 64828MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2211267 | PA      | $2089522.01   | 0.12%             | 2057-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Puget Energy Inc                                       | Puget Energy Inc                                                                                           | CUSIP: 745310AH5<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |   2070000 | PA      | $1970328.65   | 0.11%             | 2025-05-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 3617GCKE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    156575 | PA      | $151490.38    | 0.01%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EVERGY INC                                             | Evergy Inc                                                                                                 | CUSIP: 30034WAA4<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |    730000 | PA      | $693445.70    | 0.04%             | 2024-09-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36213DWF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7786 | PA      | $8006.87      | 0.00%             | 2031-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                   | Targa Resources Corp                                                                                       | CUSIP: 87612KAC6<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    930000 | PA      | $883435.26    | 0.05%             | 2052-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| New York Transportation Development Corp               | NEW YORK TRANSPRTN DEV CORP LEASE REVENUE                                                                  | CUSIP: 650117AA2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   5280000 | PA      | $5074433.76   | 0.29%             | 2035-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31376JRX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       715 | PA      | $731.50       | 0.00%             | 2027-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 3136AAKA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153687 | PA      | $18394.83     | 0.00%             | 2042-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                           | Upstart Securitization Trust 2021-3                                                                        | CUSIP: 91679LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    450358 | PA      | $441050.65    | 0.02%             | 2031-07-20      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| FIRSTCASH INC                                          | FirstCash Inc                                                                                              | CUSIP: 33767DAB1<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |   3352000 | PA      | $2942924.40   | 0.17%             | 2028-09-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36211CXU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4187 | PA      | $4306.87      | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO                                       | Alabama Power Co                                                                                           | CUSIP: 010392FT0<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |   1235000 | PA      | $895261.95    | 0.05%             | 2049-10-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM 2014-CCRE15 Mortgage Trust                                                                            | CUSIP: 12591RBA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    630000 | PA      | $618165.51    | 0.03%             | 2047-02-10      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                           | CUSIP: 3133KL2S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    811341 | PA      | $692848.25    | 0.04%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                               | Capital One Financial Corp                                                                                 | CUSIP: 14040HCV5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   3325000 | PA      | $3173326.63   | 0.18%             | 2030-07-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                           | Drive Auto Receivables Trust 2019-4                                                                        | CUSIP: 26209AAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1775161 | PA      | $1748272.97   | 0.10%             | 2027-02-16      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                               | Penske Truck Leasing Co Lp / PTL Finance Corp                                                              | CUSIP: 709599BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1170000 | PA      | $1111890.64   | 0.06%             | 2027-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F032419<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2250000 | PA      | $2154111.32   | 0.12%             | 2038-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Seasoned Credit Risk Transfer Trust Series 2019-3                                                          | CUSIP: 35563PLK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    969218 | PA      | $887617.21    | 0.05%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                           | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7860000 | PA      | $7902063.26   | 0.45%             | 2027-09-30      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                           | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1742657 | PA      | $1437702.85   | 0.08%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36212HDY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9672 | PA      | $9933.96      | 0.00%             | 2037-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                             | US Bancorp                                                                                                 | CUSIP: 902973866<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | EP               | CORP              | US        |      2242 | NS      | $1828776.98   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| OGLETHORPE POWER CORP                                  | Oglethorpe Power Corp                                                                                      | CUSIP: 677050AR7<br>LEI: 3EERXCUSWMS9GV5D9M98 | Long             | DBT              | CORP              | US        |    705000 | PA      | $563519.51    | 0.03%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| CREDIT SUISSE GROUP AG                                 | Credit Suisse Group AG                                                                                     | CUSIP: 225401AV0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1015000 | PA      | $925684.68    | 0.05%             | 2028-08-11      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 36179XBR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3999603 | PA      | $3567647.77   | 0.20%             | 2052-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140F5SH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    471314 | PA      | $438010.26    | 0.02%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                    | Southern California Edison Co                                                                              | CUSIP: 842400HS5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    295000 | PA      | $304190.62    | 0.02%             | 2027-11-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Fannie Mae Connecticut Avenue Securities                                                                   | CUSIP: 30711XEC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1567544 | PA      | $1614722.43   | 0.09%             | 2029-05-25      | Floating      | 8.74%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                               | Warnermedia Holdings Inc                                                                                   | CUSIP: 55903VAS2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    400000 | PA      | $291110.98    | 0.02%             | 2062-03-15      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140LHG53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1620000 | PA      | $1504834.39   | 0.09%             | 2032-11-01      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                      | Imperial Fund Mortgage Trust 2022-NQM2                                                                     | CUSIP: 45276PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5024352 | PA      | $4569963.10   | 0.26%             | 2067-03-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36210AUS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       275 | PA      | $283.17       | 0.00%             | 2028-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SBA Tower Trust                                        | SBA Tower Trust                                                                                            | CUSIP: 78403DAN0<br>LEI: N/A                  | Long             | DBT              |  | US        |   2240000 | PA      | $2112429.09   | 0.12%             | 2025-01-15      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140X76R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2255215 | PA      | $1986934.88   | 0.11%             | 2040-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6435 | PA      | $6185.84      | 0.00%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                        | Lehman XS Trust Series 2006-10N                                                                            | CUSIP: 525229AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    602694 | PA      | $548926.38    | 0.03%             | 2046-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                 | Verizon Communications Inc                                                                                 | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1330000 | PA      | $1055767.67   | 0.06%             | 2032-03-15      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                           | CSMC 2022-NQM1                                                                                             | CUSIP: 126416AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5159147 | PA      | $4435444.54   | 0.25%             | 2066-11-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                      | Long: 99D083228 CDS USD R F   .11000 1 ABX / Short: 99D083228 CDS USD P V 01MEVENT 2 ABX                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              |  | GB        |   1084222 | OU      | $-79486.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust           | American Credit Acceptance Receivables Trust 2022-3                                                        | CUSIP: 02528GAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    225000 | PA      | $220583.16    | 0.01%             | 2026-10-13      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Arab Republic of Egypt                                 | Egypt Government International Bond                                                                        | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |   1375000 | PA      | $866415.00    | 0.05%             | 2048-02-21      | Fixed         | 7.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140QG4T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1771630 | PA      | $1449484.63   | 0.08%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F040610<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -33279000 | PA      | $-31244598.49 | -1.77%            | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36294PZB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22138 | PA      | $22728.49     | 0.00%             | 2036-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                  | Arroyo Mortgage Trust 2019-2                                                                               | CUSIP: 042858AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1579134 | PA      | $1461639.09   | 0.08%             | 2049-04-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 3617G1SM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    380839 | PA      | $362987.68    | 0.02%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36208XNN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       324 | PA      | $333.42       | 0.00%             | 2028-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                       | Duke Energy Corp                                                                                           | CUSIP: 26441CBT1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1515000 | PA      | $1428165.78   | 0.08%             | 2032-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LLC                        | Domino's Pizza Master Issuer LLC                                                                           | CUSIP: 25755TAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3144000 | PA      | $2975371.56   | 0.17%             | 2048-07-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                       | WFRBS Commercial Mortgage Trust 2014-LC14                                                                  | CUSIP: 96221TAE7<br>LEI: 549300QGM7D5K3CV2643 | Long             | ABS-MBS          | CORP              | US        |    230000 | PA      | $225630.14    | 0.01%             | 2047-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                    | JPMorgan Chase & Co                                                                                        | CUSIP: 46647PDA1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3175000 | PA      | $3025157.97   | 0.17%             | 2028-04-26      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                   | Deephaven Residential Mortgage Trust 2021-2                                                                | CUSIP: 24381WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    875780 | PA      | $736881.89    | 0.04%             | 2066-04-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                               | Marsh & McLennan Cos Inc                                                                                   | CUSIP: 571748BH4<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1200865.17   | 0.07%             | 2039-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Summit Issuer, LLC                                     | Summit Issuer LLC                                                                                          | CUSIP: 86613XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1435000 | PA      | $1257513.17   | 0.07%             | 2050-12-20      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                        | Long: B9D0TKV25 CDS USD R V 03MEVENT 2 CCPCDX / Short: B9D0TKV25 CDS USD P F  1.00000 1 CCPCDX             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |  13865000 | OU      | $805837.49    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140QHM77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9023890 | PA      | $7378314.55   | 0.42%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140QFB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2881074 | PA      | $2480770.91   | 0.14%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140FJB36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    642181 | PA      | $597341.03    | 0.03%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140M9X51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1827388 | PA      | $1563012.86   | 0.09%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                                     | Alcon Finance Corp                                                                                         | CUSIP: 01400EAE3<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |    455000 | PA      | $459589.03    | 0.03%             | 2032-12-06      | Fixed         | 5.38%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                            | Freddie Mac Pool                                                                                           | CUSIP: 3133KTYL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2310676 | PA      | $1951162.41   | 0.11%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                   | CUSIP: 38379LG91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    495622 | PA      | $94849.34     | 0.01%             | 2045-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Regatta VI Funding Ltd.                                | Regatta VI Funding Ltd                                                                                     | CUSIP: 75887NAW9<br>LEI: 2549001NU08X5ZRD6A39 | Long             | ABS-CBDO         | CORP              | KY        |   5155000 | PA      | $4997262.16   | 0.28%             | 2034-04-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                           | CSMC 2021-NQM8                                                                                             | CUSIP: 12659FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2314475 | PA      | $1848712.21   | 0.10%             | 2066-10-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                              | ONEOK Inc                                                                                                  | CUSIP: 682680AY9<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    980000 | PA      | $849246.84    | 0.05%             | 2029-09-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31391MPC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161917 | PA      | $165203.84    | 0.01%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31419BBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    221576 | PA      | $210183.93    | 0.01%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                               | Angel Oak Mortgage Trust 2021-8                                                                            | CUSIP: 03465MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2137152 | PA      | $1768036.11   | 0.10%             | 2066-11-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                                   | BAT International Finance PLC                                                                              | CUSIP: 05530QAP5<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |   1955000 | PA      | $1816255.88   | 0.10%             | 2028-03-16      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                         | Morgan Stanley                                                                                             | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1875000 | PA      | $1668371.89   | 0.09%             | 2028-01-21      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                           | CUSIP: 3133KNA94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    755433 | PA      | $620158.60    | 0.04%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 3620AE3L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97033 | PA      | $95394.40     | 0.01%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                               | Charter Communications Operating LLC / Charter Communications Operating Capital                            | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    765000 | PA      | $581796.93    | 0.03%             | 2049-07-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                   | CUSIP: 38379VRH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    667302 | PA      | $37150.88     | 0.00%             | 2042-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                              | ONEOK Inc                                                                                                  | CUSIP: 682680BB8<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    985000 | PA      | $828005.19    | 0.05%             | 2030-03-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                         | Home Depot Inc/The                                                                                         | CUSIP: 437076CC4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    675000 | PA      | $540825.53    | 0.03%             | 2040-04-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31371J3D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4714 | PA      | $4834.86      | 0.00%             | 2031-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31419A3M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1262060 | PA      | $1252398.43   | 0.07%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                     | Energy Transfer LP                                                                                         | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    775000 | PA      | $750724.99    | 0.04%             | 2028-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132HLE25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    487932 | PA      | $469686.09    | 0.03%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                            | Legacy Mortgage Asset Trust 2021-GS3                                                                       | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1690689 | PA      | $1542984.94   | 0.09%             | 2061-07-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140LBZA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    800230 | PA      | $661922.18    | 0.04%             | 2033-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140GT7A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    406532 | PA      | $378457.17    | 0.02%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                 | BP Capital Markets America Inc                                                                             | CUSIP: 10373QBG4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    285000 | PA      | $191761.28    | 0.01%             | 2050-02-24      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                       | Georgia Power Co                                                                                           | CUSIP: 373334KQ3<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    450000 | PA      | $435428.18    | 0.02%             | 2032-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                 | UnitedHealth Group Inc                                                                                     | CUSIP: 91324PER9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1430000 | PA      | $1479684.91   | 0.08%             | 2033-02-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36209YNU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28686 | PA      | $29500.93     | 0.00%             | 2031-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FORESIGHT ENERGY LLC                                   | FORESIGHT ENERGY LLC                                                                                       | CUSIP: 000000000<br>LEI: 549300HM3UR1W0JJ7F28 | Long             | EC               | CORP              | US        |      6767 | NS      | $71056.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31386CS52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        69 | PA      | $69.41        | 0.00%             | 2030-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust 2022-7                                                              | CUSIP: 80287FAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2615000 | PA      | $2642251.96   | 0.15%             | 2028-01-17      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Hologic Inc                                            | Hologic Inc                                                                                                | CUSIP: 436440AM3<br>LEI: 549300DYP6F5ZJL0LB74 | Long             | DBT              | CORP              | US        |   2812000 | PA      | $2649733.54   | 0.15%             | 2028-02-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| UBS-Barclays Commercial Mortgage Trust                 | UBS-Barclays Commercial Mortgage Trust 2013-C5                                                             | CUSIP: 90270YBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4680 | PA      | $4671.39      | 0.00%             | 2046-03-10      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6158986 | PA      | $5045009.10   | 0.29%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36209BZU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3352 | PA      | $3447.01      | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36213UME7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12235 | PA      | $12583.17     | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Crown Finance US, Inc.                                 | Crown Finance US, Inc. 2018 USD Term Loan                                                                  | CUSIP: 22834KAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    180193 | PA      | $32105.07     | 0.00%             | 2025-02-28      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| NORTH MACEDONIA                                        | North Macedonia Government International Bond                                                              | CUSIP: 000000000<br>LEI: 635400RD1N6RVNCE4958 | Long             | DBT              | NUSS              | MK        |   2165000 | PA      | $2131078.41   | 0.12%             | 2026-06-03      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                             | GLS Auto Receivables Issuer Trust 2022-3                                                                   | CUSIP: 38014QAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    365000 | PA      | $357594.52    | 0.02%             | 2027-01-15      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| STEEL DYNAMICS INC                                     | Steel Dynamics Inc                                                                                         | CUSIP: 858119BK5<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |    380000 | PA      | $335199.30    | 0.02%             | 2030-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                           | Comcast Corp                                                                                               | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1659000 | PA      | $1033852.67   | 0.06%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                      | PURCHASED USD / SOLD EUR                                                                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |         1 | NC      | $-667091.42   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                         | CUSIP: 3137AMVN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    147815 | PA      | $5592.02      | 0.00%             | 2027-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                               | Corebridge Financial Inc                                                                                   | CUSIP: 21871XAG4<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    280000 | PA      | $246445.78    | 0.01%             | 2032-04-05      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust            | Bear Stearns ARM Trust 2005-9                                                                              | CUSIP: 07387AEG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115874 | PA      | $107161.81    | 0.01%             | 2035-10-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                         | Morgan Stanley                                                                                             | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   4595000 | PA      | $3464855.29   | 0.20%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                         | CUSIP: 3137ARZH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92776 | PA      | $4506.69      | 0.00%             | 2027-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                 | UnitedHealth Group Inc                                                                                     | CUSIP: 91324PEH1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1180000 | PA      | $1127431.09   | 0.06%             | 2029-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                               | Corebridge Financial Inc                                                                                   | CUSIP: 21871XAN9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   4085000 | PA      | $3797640.31   | 0.21%             | 2052-12-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities         | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-4                                               | CUSIP: 225458PR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1024201 | PA      | $742488.89    | 0.04%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust 2019-XL                   | BX Commercial Mortgage Trust 2019-XL                                                                       | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3992857 | PA      | $3943628.47   | 0.22%             | 2036-10-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31419FFW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    521965 | PA      | $501889.19    | 0.03%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36201FWU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13789 | PA      | $14180.64     | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                           | CUSIP: 3133KLTH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3061515 | PA      | $2502687.52   | 0.14%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                                               | CUSIP: 3137F83S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7762733 | PA      | $458307.09    | 0.03%             | 2030-10-25      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM 2013-CCRE10 Mortgage Trust                                                                            | CUSIP: 12626BAF1<br>LEI: 549300YJIXJB9DCDOI21 | Long             | ABS-MBS          | CORP              | US        |   2779881 | PA      | $5119.43      | 0.00%             | 2046-08-10      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                | Consolidated Edison Co of New York Inc                                                                     | CUSIP: 209111GC1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $731663.10    | 0.04%             | 2051-12-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Affirm Asset Securitization Trust                      | Affirm Asset Securitization Trust 2020-Z1                                                                  | CUSIP: 00832PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    195532 | PA      | $193929.70    | 0.01%             | 2024-10-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140XDGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    526928 | PA      | $466330.37    | 0.03%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| State of Illinois                                      | ILLINOIS ST                                                                                                | CUSIP: 452152KJ9<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |    280000 | PA      | $280000.00    | 0.02%             | 2023-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                         | CUSIP: 3137FFMX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2586248 | PA      | $381955.53    | 0.02%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140GPSA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    584403 | PA      | $560686.51    | 0.03%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SG Commercial Mortgage Securities Trust                | SG Commercial Mortgage Securities Trust 2020-COVE                                                          | CUSIP: 78397FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5410000 | PA      | $4982989.24   | 0.28%             | 2037-03-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC            | BBCMS 2017-DELC Mortgage Trust                                                                             | CUSIP: 05552EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8553000 | PA      | $8402024.15   | 0.48%             | 2036-08-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 3136A9GA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    394372 | PA      | $22440.47     | 0.00%             | 2027-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31419CSC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    372524 | PA      | $369241.54    | 0.02%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                               | Benchmark 2018-B4 Mortgage Trust                                                                           | CUSIP: 08161HAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19357775 | PA      | $328092.99    | 0.02%             | 2051-07-15      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3138YMLN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    703097 | PA      | $607192.86    | 0.03%             | 2045-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Hanesbrands Inc                                        | Hanesbrands Inc                                                                                            | CUSIP: 410345AL6<br>LEI: GX5LWVWZLL5S4W1L2F20 | Long             | DBT              | CORP              | US        |    550000 | PA      | $491464.02    | 0.03%             | 2026-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31391ANZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1328 | PA      | $1337.66      | 0.00%             | 2032-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36200EBP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    386131 | PA      | $400549.09    | 0.02%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31416WM90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    579635 | PA      | $575194.68    | 0.03%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HOWARD UNIVERSITY                                      | Howard University                                                                                          | CUSIP: 442851AV3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $821413.80    | 0.05%             | 2031-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2017-5                                                                           | CUSIP: 89169EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1068367 | PA      | $1057278.91   | 0.06%             | 2057-02-25      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates      | First Franklin Mortgage Loan Trust 2006-FF5                                                                | CUSIP: 32027EAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3267261 | PA      | $2939674.96   | 0.17%             | 2036-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Seasoned Credit Risk Transfer Trust Series 2019-1                                                          | CUSIP: 35563PJH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4968511 | PA      | $4548216.57   | 0.26%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                 | Standard Chartered PLC                                                                                     | CUSIP: 853254CN8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   2385000 | PA      | $2531274.98   | 0.14%             | 2028-11-16      | Fixed         | 7.77%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                 | US 5YR NOTE (CBT) MAR23                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       245 | NC      | $-123421.28   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Bank                                                   | BANK 2017-BNK9                                                                                             | CUSIP: 06540RAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3756482 | PA      | $113393.18    | 0.01%             | 2054-11-15      | Variable      | 0.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36180C4J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114722 | PA      | $108041.78    | 0.01%             | 2043-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| 510 Assets Backed Trust                                | 510 Asset Backed 2021-NPL2 Trust                                                                           | CUSIP: 33835JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3405832 | PA      | $3055703.14   | 0.17%             | 2061-06-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| PulteGroup Inc                                         | PulteGroup Inc                                                                                             | CUSIP: 745867AW1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2465000 | PA      | $2475449.38   | 0.14%             | 2026-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE                                | GSK Consumer Healthcare Capital US LLC                                                                     | CUSIP: 36264FAM3<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    265000 | PA      | $233822.03    | 0.01%             | 2032-03-24      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 31396WJS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    528541 | PA      | $447787.70    | 0.03%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140KLH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    445581 | PA      | $382282.69    | 0.02%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36180KJY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25841 | PA      | $24335.58     | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                 | Pacific Gas and Electric Co                                                                                | CUSIP: 694308KG1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1630000 | PA      | $1597129.86   | 0.09%             | 2032-06-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                   | CUSIP: 38378P4B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141473 | PA      | $25885.50     | 0.00%             | 2044-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140F8BQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140610 | PA      | $134675.67    | 0.01%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  16070000 | PA      | $15846526.56  | 0.90%             | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS-Barclays Commercial Mortgage Trust                 | UBS-Barclays Commercial Mortgage Trust 2013-C6                                                             | CUSIP: 90349GBF1<br>LEI: 549300G1IXWLFE766Q13 | Long             | ABS-MBS          | CORP              | US        |    522397 | PA      | $518545.91    | 0.03%             | 2046-04-10      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                                         | Open Text Corp                                                                                             | CUSIP: 683715AF3<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |   1525000 | PA      | $1525000.00   | 0.09%             | 2027-12-01      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31419AG68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1791035 | PA      | $1852255.84   | 0.10%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36201ANR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7713 | PA      | $7932.54      | 0.00%             | 2031-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                | Shell International Finance BV                                                                             | CUSIP: 822582CK6<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    485000 | PA      | $354370.05    | 0.02%             | 2041-11-26      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                    | Southern California Edison Co                                                                              | CUSIP: 842400GG2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    271000 | PA      | $212608.31    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140FXJJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2622151 | PA      | $2408991.93   | 0.14%             | 2058-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36213PRE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2818 | PA      | $2969.65      | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                               | Celanese US Holdings LLC                                                                                   | CUSIP: 15089QAM6<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1580411.31   | 0.09%             | 2027-07-15      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3172046 | PA      | $2595225.74   | 0.15%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTALEXCHANGE                               | Intercontinental Exchange Inc                                                                              | CUSIP: 45866FAV6<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |    455000 | PA      | $441076.64    | 0.02%             | 2029-06-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Comcast Corp                                           | Comcast Corp                                                                                               | CUSIP: 20030NBT7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     65000 | PA      | $52933.96     | 0.00%             | 2036-07-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132QQFU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    123074 | PA      | $118164.38    | 0.01%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36210FWP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1049 | PA      | $1079.18      | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LSTAR Securities Investment Ltd                        | LSTAR Securities Investment Ltd 2019-3                                                                     | CUSIP: 50220XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    965996 | PA      | $947713.81    | 0.05%             | 2024-04-01      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31403DDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    478392 | PA      | $495687.54    | 0.03%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                             | MFA 2021-NQM1 Trust                                                                                        | CUSIP: 55283FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1126194 | PA      | $1023157.48   | 0.06%             | 2065-04-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140FXFR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2333878 | PA      | $1980206.96   | 0.11%             | 2057-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2021-R1                                                                          | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5346916 | PA      | $4289430.06   | 0.24%             | 2060-11-30      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| HSBC U.S. Government Money Market Fund                 | HSBC U.S. Government Money Market Fund                                                                     | CUSIP: 40428X107<br>LEI: 213800MK2OTSN7TSAV83 | Long             | STIV             | RF                | US        |   1859014 | NS      | $1859013.75   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA CORP                                   | Bank of America Corp                                                                                       | CUSIP: 06051GHV4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3050000 | PA      | $2630111.72   | 0.15%             | 2030-07-23      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36200QW59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1007 | PA      | $1044.51      | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                   | CUSIP: 38380CP80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    872821 | PA      | $162687.70    | 0.01%             | 2040-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                  | Wells Fargo Commercial Mortgage Trust 2015-NXS3                                                            | CUSIP: 94989VAG4<br>LEI: 549300ZVNWG0TX42H716 | Long             | ABS-MBS          | CORP              | US        |  25291616 | PA      | $496234.15    | 0.03%             | 2057-09-15      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                 | Philip Morris International Inc                                                                            | CUSIP: 718172CV9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   1855000 | PA      | $1870560.46   | 0.11%             | 2027-11-17      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3138EQFE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    511002 | PA      | $507090.33    | 0.03%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140QCYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    866828 | PA      | $773179.08    | 0.04%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36210TQV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11038 | PA      | $11351.99     | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                     | Energy Transfer LP                                                                                         | CUSIP: 29273VAP5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    635000 | PA      | $628751.60    | 0.04%             | 2028-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Seasoned Credit Risk Transfer Trust Series 2018-2                                                          | CUSIP: 35563PFJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1859117 | PA      | $1715535.19   | 0.10%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                       | WFRBS Commercial Mortgage Trust 2011-C4                                                                    | CUSIP: 92936CBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    710000 | PA      | $473801.32    | 0.03%             | 2044-06-15      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                         | CUSIP: 3137BHEQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    301631 | PA      | $9358.26      | 0.00%             | 2026-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                                             | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    515000 | PA      | $481986.60    | 0.03%             | 2030-01-23      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                               | Charter Communications Operating LLC / Charter Communications Operating Capital                            | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3165000 | PA      | $2866328.00   | 0.16%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates                | WaMu Mortgage Pass-Through Certificates Series 2006-AR17 Trust                                             | CUSIP: 92925DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1507727 | PA      | $1265075.64   | 0.07%             | 2046-12-25      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140XGQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2656536 | PA      | $2531741.85   | 0.14%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36210FLG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       605 | PA      | $621.96       | 0.00%             | 2028-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 3617BVST5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    460767 | PA      | $438957.71    | 0.02%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36209VJ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        37 | PA      | $38.52        | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae                                                                                                 | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20015000 | PA      | $18960325.79  | 1.07%             | 2053-01-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                            | Aker BP ASA                                                                                                | CUSIP: 00973RAJ2<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    150000 | PA      | $132048.30    | 0.01%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31371KPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        62 | PA      | $62.82        | 0.00%             | 2032-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust 2021-NQM2R                                                             | CUSIP: 64831EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    908157 | PA      | $804853.72    | 0.05%             | 2058-10-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                         | CUSIP: 3137AWF91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    698526 | PA      | $594905.10    | 0.03%             | 2042-10-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                               | National Rural Utilities Cooperative Finance Corp                                                          | CUSIP: 63743HFG2<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |   1210000 | PA      | $1201673.31   | 0.07%             | 2028-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: —       |
| United States Treasury                                 | United States Treasury Note/Bond                                                                           | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6175000 | PA      | $5095822.30   | 0.29%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                  | Wells Fargo & Co                                                                                           | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1555000 | PA      | $1314541.14   | 0.07%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36291QHV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28413 | PA      | $29405.16     | 0.00%             | 2034-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                           | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1635000 | PA      | $1542903.52   | 0.09%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2019-BNK20                                                                                            | CUSIP: 06540AAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17949145 | PA      | $745776.21    | 0.04%             | 2062-09-15      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 3622A2LL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    621735 | PA      | $636152.46    | 0.04%             | 2041-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                                               | CUSIP: 3137F9YZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17253838 | PA      | $759760.67    | 0.04%             | 2030-12-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust 2018-1                                                                 | CUSIP: 64830GAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1104553 | PA      | $1036645.77   | 0.06%             | 2057-12-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                             | Flagship Credit Auto Trust 2022-3                                                                          | CUSIP: 33845PAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2031000 | PA      | $1983920.20   | 0.11%             | 2028-07-17      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31376KCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318365 | PA      | $328555.41    | 0.02%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INTL AIRPORT FINANCE SA                                | International Airport Finance SA                                                                           | CUSIP: 45900TAA0<br>LEI: 959800M9M5LP0KXUP789 | Long             | DBT              | CORP              | ES        |   3178404 | PA      | $3125563.13   | 0.18%             | 2033-03-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: —       |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2811039 | PA      | $2719437.83   | 0.15%             | 2040-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan Trust                   | GMACM Mortgage Loan Trust 2006-AR1                                                                         | CUSIP: 36185MDN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16736 | PA      | $12540.70     | 0.00%             | 2036-04-19      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36213ESK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8265 | PA      | $8511.25      | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                 | GSAA Home Equity Trust 2006-17                                                                             | CUSIP: 362257AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1940201 | PA      | $497996.29    | 0.03%             | 2036-11-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                         | Morgan Stanley                                                                                             | CUSIP: 61747YEU5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    365000 | PA      | $344036.18    | 0.02%             | 2033-07-20      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Municipal Electric Authority of Georgia                | MUNI ELEC AUTH OF GEORGIA                                                                                  | CUSIP: 626207YF5<br>LEI: JA0WNILDDF2KUPS83B16 | Long             | DBT              | MUN               | US        |    740000 | PA      | $791608.93    | 0.04%             | 2057-04-01      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTL                                      | Service Corp International/US                                                                              | CUSIP: 817565CF9<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2057900.00   | 0.12%             | 2030-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36213VJU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8597 | PA      | $8840.87      | 0.00%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140XDDV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    585560 | PA      | $494456.90    | 0.03%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                               | Benchmark 2020-B18 Mortgage Trust                                                                          | CUSIP: 08163AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2753570 | PA      | $216268.95    | 0.01%             | 2053-07-15      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128L1D23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64654 | PA      | $68059.46     | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                | MPLX LP                                                                                                    | CUSIP: 55336VBU3<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   1610000 | PA      | $1514694.15   | 0.09%             | 2032-09-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae                                                                                                 | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -3525000 | PA      | $-3495395.50  | -0.20%            | 2053-01-23      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO INC                                    | Sirius XM Radio Inc                                                                                        | CUSIP: 82967NBL1<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |   3550000 | PA      | $3152187.00   | 0.18%             | 2026-09-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| LSTAR Securities Investment Ltd                        | LSTAR Securities Investment Ltd 2020-1                                                                     | CUSIP: 54912MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2159681 | PA      | $1925761.68   | 0.11%             | 2026-02-01      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1072141 | PA      | $905337.12    | 0.05%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NGPL PIPECO LLC                                        | NGPL PipeCo LLC                                                                                            | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |    895000 | PA      | $730370.01    | 0.04%             | 2031-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BLACK KNIGHT INFOSERV LL                               | Black Knight InfoServ LLC                                                                                  | CUSIP: 092174AA9<br>LEI: 549300H5PS5C68DAUX66 | Long             | DBT              | CORP              | US        |   5959000 | PA      | $5157514.50   | 0.29%             | 2028-09-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                 | UnitedHealth Group Inc                                                                                     | CUSIP: 91324PEL2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    240000 | PA      | $225605.35    | 0.01%             | 2062-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| IPALCO Enterprises Inc                                 | IPALCO Enterprises Inc                                                                                     | CUSIP: 462613AM2<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |   1465000 | PA      | $1420241.54   | 0.08%             | 2024-09-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 3617A0C87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    907200 | PA      | $811501.92    | 0.05%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust 2017-2                                                                 | CUSIP: 64829KBV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2808351 | PA      | $2633692.09   | 0.15%             | 2057-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                         | CUSIP: 3137BBPC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1515810 | PA      | $1303369.20   | 0.07%             | 2044-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                   | CUSIP: 38380CG23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    546889 | PA      | $95928.53     | 0.01%             | 2047-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                               | Builders FirstSource Inc                                                                                   | CUSIP: 12008RAN7<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |   3340000 | PA      | $2960080.68   | 0.17%             | 2030-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                        | BRAVO Residential Funding Trust 2021-NQM2                                                                  | CUSIP: 10569EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    860199 | PA      | $796311.61    | 0.05%             | 2060-03-25      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                           | Ecopetrol SA                                                                                               | CUSIP: 279158AP4<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |   1805000 | PA      | $1379264.56   | 0.08%             | 2031-11-02      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132Y1PW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    206595 | PA      | $192594.86    | 0.01%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS CORP                                      | ITC Holdings Corp                                                                                          | CUSIP: 465685AQ8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |   1370000 | PA      | $1158864.55   | 0.07%             | 2030-05-14      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31418BPB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87586 | PA      | $83998.94     | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 31296JVZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        36 | PA      | $35.78        | 0.00%             | 2029-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128MMXN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1232624 | PA      | $1160258.92   | 0.07%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LEVIATHAN BOND LTD                                     | Leviathan Bond Ltd                                                                                         | CUSIP: 000000000<br>LEI: 254900D9T8VKYVQNZ220 | Long             | DBT              | CORP              | IL        |   2045000 | PA      | $1978742.00   | 0.11%             | 2027-06-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                       | Duke Energy Corp                                                                                           | CUSIP: 26441CBL8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   2845000 | PA      | $2325817.54   | 0.13%             | 2031-06-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                           | Broadcom Inc                                                                                               | CUSIP: 11135FBK6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2115000 | PA      | $1701359.28   | 0.10%             | 2033-04-15      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                            | CITIBANK NA DDCA                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | STIV             | RF                | US        |    185901 | NS      | $185901.36    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2017-1                                                                           | CUSIP: 89173FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    782202 | PA      | $769047.32    | 0.04%             | 2056-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                            | Aker BP ASA                                                                                                | CUSIP: 55037AAB4<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    465000 | PA      | $381718.40    | 0.02%             | 2031-07-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                           | CUSIP: 3132DNF73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2785288 | PA      | $2289198.00   | 0.13%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  61322000 | PA      | $51998961.85  | 2.94%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                    | JPMorgan Chase & Co                                                                                        | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2245000 | PA      | $2193672.81   | 0.12%             | 2028-07-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140H23B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340709 | PA      | $318696.96    | 0.02%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36213YNR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2307 | PA      | $2372.77      | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140X6WG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    648826 | PA      | $604203.47    | 0.03%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                         | CUSIP: 3137AYCZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    691081 | PA      | $30917.92     | 0.00%             | 2041-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2743082 | PA      | $2340175.24   | 0.13%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 36179W5C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29998 | PA      | $26753.16     | 0.00%             | 2052-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                         | CUSIP: 3137B2AV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    281516 | PA      | $12995.68     | 0.00%             | 2028-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1855000 | PA      | $1630164.35   | 0.09%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                    | JPMorgan Chase & Co                                                                                        | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1560000 | PA      | $1237355.56   | 0.07%             | 2032-11-08      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Ovintiv Inc                                            | Ovintiv Inc                                                                                                | CUSIP: 292505AE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    785000 | PA      | $792581.50    | 0.04%             | 2037-08-15      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132L6NA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34268 | PA      | $33102.87     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                               | Benchmark 2018-B1 Mortgage Trust                                                                           | CUSIP: 08162PAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8797124 | PA      | $174407.38    | 0.01%             | 2051-01-15      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                               | AT&T Inc                                                                                                   | CUSIP: 00206RKA9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    580000 | PA      | $411335.90    | 0.02%             | 2051-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                    | Starwood Mortgage Residential Trust 2021-6                                                                 | CUSIP: 85573RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3404427 | PA      | $2825770.35   | 0.16%             | 2066-11-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FUNDING LLC                                 | NXP BV / NXP Funding LLC                                                                                   | CUSIP: 62947QBC1<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    385000 | PA      | $384904.48    | 0.02%             | 2028-12-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1971197 | PA      | $1906912.39   | 0.11%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                               | Saudi Government International Bond                                                                        | CUSIP: 000000000<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |   2615000 | PA      | $2071986.66   | 0.12%             | 2039-07-09      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140X6YJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    505643 | PA      | $471592.84    | 0.03%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GTP ACQUISITION PARTNERS                               | GTP Acquisition Partners I LLC                                                                             | CUSIP: 36246MAU3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7400000 | PA      | $6898291.10   | 0.39%             | 2025-06-16      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM 2013-CCRE9 Mortgage Trust                                                                             | CUSIP: 12625UBF9<br>LEI: 549300C72XVZH4MIKU63 | Long             | ABS-MBS          | CORP              | US        |    451150 | PA      | $448387.22    | 0.03%             | 2045-07-10      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                           | Centene Corp                                                                                               | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     95000 | PA      | $80310.15     | 0.00%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                     | Energy Transfer LP                                                                                         | CUSIP: 86765BAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    175000 | PA      | $148615.44    | 0.01%             | 2044-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128M5R93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36622 | PA      | $38044.99     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                  | PRPM 2021-10 LLC                                                                                           | CUSIP: 69360HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1863581 | PA      | $1689475.94   | 0.10%             | 2026-10-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                                     | Alcon Finance Corp                                                                                         | CUSIP: 01400EAF0<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |    340000 | PA      | $343048.41    | 0.02%             | 2052-12-06      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                         | CUSIP: 3137BTKX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1229329 | PA      | $1134838.55   | 0.06%             | 2046-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 31288BPE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23824 | PA      | $24285.99     | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae                                                                                                 | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1400000 | PA      | $1248250.22   | 0.07%             | 2053-01-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE                                | GSK Consumer Healthcare Capital US LLC                                                                     | CUSIP: 36264FAL5<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |   1650000 | PA      | $1486916.18   | 0.08%             | 2029-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                      | HSBC Holdings PLC                                                                                          | CUSIP: 404280DH9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   6085000 | PA      | $5653559.93   | 0.32%             | 2033-08-11      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140QKN87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2140525 | PA      | $1820957.04   | 0.10%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 3136B9YK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2525900 | PA      | $177248.95    | 0.01%             | 2033-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Republic of Indonesia                                  | Indonesia Government International Bond                                                                    | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    470000 | PA      | $501825.31    | 0.03%             | 2023-06-14      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31388LYQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       231 | PA      | $237.01       | 0.00%             | 2031-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 36179SNV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    409433 | PA      | $382377.64    | 0.02%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36207KJ27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       614 | PA      | $631.73       | 0.00%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                                                                  | CUSIP: 3136FGRW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    715031 | PA      | $637669.31    | 0.04%             | 2039-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                            | Oracle Corp                                                                                                | CUSIP: 68389XBQ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    570000 | PA      | $419668.50    | 0.02%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                                 | BP Capital Markets America Inc                                                                             | CUSIP: 10373QBP4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |   1005000 | PA      | $666692.59    | 0.04%             | 2051-06-04      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                         | CUSIP: 3137F1XN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    626251 | PA      | $578416.06    | 0.03%             | 2046-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                                 | Cox Communications Inc                                                                                     | CUSIP: 224044CN5<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |   1495000 | PA      | $1194473.65   | 0.07%             | 2031-06-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3138Y3XN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    757689 | PA      | $708076.99    | 0.04%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EyeCare Partners, LLC                                  | EyeCare Partners, LLC 2020 Term Loan                                                                       | CUSIP: 30233PAB6<br>LEI: 254900ZAACWK09RJ8W93 | Long             | LON              | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2027-02-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132KEUJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    857447 | PA      | $826257.05    | 0.05%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F060618<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -5090000 | PA      | $-5167940.63  | -0.29%            | 2053-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Eagle Re 2018-1 Ltd.                                   | Eagle RE 2018-1 Ltd                                                                                        | CUSIP: 269826AA1<br>LEI: 549300BLEDGL5R7YKU33 | Long             | ABS-MBS          | CORP              | US        |   1015179 | PA      | $1011852.04   | 0.06%             | 2028-11-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                | GSR Mortgage Loan Trust 2006-AR1                                                                           | CUSIP: 3623414D8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    794697 | PA      | $761872.33    | 0.04%             | 2036-01-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 36179W2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    999999 | PA      | $892690.91    | 0.05%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140XHCY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    884610 | PA      | $781077.94    | 0.04%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust                | DBJPM 20-C9 Mortgage Trust                                                                                 | CUSIP: 233063AW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4267620 | PA      | $296438.24    | 0.02%             | 2053-09-15      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140FHLJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    517754 | PA      | $481333.47    | 0.03%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140XGRG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2414580 | PA      | $2138774.56   | 0.12%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| METINVEST BV                                           | Metinvest BV                                                                                               | CUSIP: 000000000<br>LEI: 635400TMCKVEU87EJ582 | Long             | DBT              | CORP              | NL        |   1755000 | PA      | $1010707.71   | 0.06%             | 2025-06-17      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Apollo Aviation Securitization Equity Trust            | AASET 2020-1 Trust                                                                                         | CUSIP: 00255UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    485721 | PA      | $389077.62    | 0.02%             | 2040-01-16      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                    | STACR Trust 2018-HRP1                                                                                      | CUSIP: 3137G0VC0<br>LEI: 549300D2VO9JVX6KU482 | Long             | ABS-MBS          | USGSE             | US        |     83358 | PA      | $83247.96     | 0.00%             | 2043-04-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 31283HUA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    127195 | PA      | $131749.27    | 0.01%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                           | CUSIP: 91282CEU1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  38360000 | PA      | $37104309.18  | 2.10%             | 2025-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36201APT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6793 | PA      | $6985.59      | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                            | Oracle Corp                                                                                                | CUSIP: 68389XBF1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     70000 | PA      | $53106.53     | 0.00%             | 2045-05-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36210TZV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3539 | PA      | $3639.15      | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                               | Brazil Notas do Tesouro Nacional Serie F                                                                   | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  47432000 | PA      | $7837487.24   | 0.44%             | 2031-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3138NY4L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    385043 | PA      | $332503.57    | 0.02%             | 2043-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                 | CHL Mortgage Pass-Through Trust 2007-HY4                                                                   | CUSIP: 17025RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1010268 | PA      | $873868.99    | 0.05%             | 2047-09-25      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                       | WFRBS Commercial Mortgage Trust 2013-C13                                                                   | CUSIP: 92937UAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450000 | PA      | $445239.32    | 0.03%             | 2045-05-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                  | Wells Fargo & Co                                                                                           | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   5495000 | PA      | $5203061.42   | 0.29%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust 2015-C29                                                        | CUSIP: 46644RBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3827234 | PA      | $41153.10     | 0.00%             | 2048-05-15      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3138W2RF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100495 | PA      | $86538.91     | 0.00%             | 2043-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                                    | CDW LLC / CDW Finance Corp                                                                                 | CUSIP: 12513GBF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5898000 | PA      | $5023267.62   | 0.28%             | 2029-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRIES INC                                | Standard Industries Inc/NJ                                                                                 | CUSIP: 853496AH0<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |    535000 | PA      | $403274.11    | 0.02%             | 2031-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                 | US 2YR NOTE (CBT) MAR23                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -192 | NC      | $158680.70    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140JGWZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    683061 | PA      | $652110.62    | 0.04%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                        | Danske Bank A/S                                                                                            | CUSIP: 23636AAT8<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1970000 | PA      | $1954218.47   | 0.11%             | 2024-01-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                               | Corebridge Financial Inc                                                                                   | CUSIP: 21871XAE9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    650000 | PA      | $593288.25    | 0.03%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Bank                                                   | BANK 2017-BNK8                                                                                             | CUSIP: 06650AAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  32945252 | PA      | $911351.32    | 0.05%             | 2050-11-15      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| OTIS WORLDWIDE CORP                                    | Otis Worldwide Corp                                                                                        | CUSIP: 68902VAK3<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |   1801000 | PA      | $1517369.12   | 0.09%             | 2030-02-15      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36208T5R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14428 | PA      | $14837.69     | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC                               | Baxter International Inc                                                                                   | CUSIP: 071813CS6<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |   2805000 | PA      | $2235298.69   | 0.13%             | 2032-02-01      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140XJNJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1833332 | PA      | $1558951.77   | 0.09%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HOLDINGS                               | Cleco Corporate Holdings LLC                                                                               | CUSIP: 18551PAD1<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |     75000 | PA      | $63630.91     | 0.00%             | 2046-05-01      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140XCR75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3155804 | PA      | $2788969.52   | 0.16%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                        | Xcel Energy Inc                                                                                            | CUSIP: 98388MAD9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    720000 | PA      | $689765.21    | 0.04%             | 2032-06-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                | Romanian Government International Bond                                                                     | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   3241000 | PA      | $2502874.11   | 0.14%             | 2049-04-03      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36180DVG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    341041 | PA      | $318886.35    | 0.02%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36213FVM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10117 | PA      | $10568.44     | 0.00%             | 2033-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                 | UnitedHealth Group Inc                                                                                     | CUSIP: 91324PEJ7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    415000 | PA      | $395081.96    | 0.02%             | 2032-05-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128M5ED8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19988 | PA      | $20665.22     | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 3136A6U85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102208 | PA      | $2914.74      | 0.00%             | 2027-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 3620A6QK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32276 | PA      | $33586.23     | 0.00%             | 2039-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                                             | CUSIP: 61744YAK4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1841949.68   | 0.10%             | 2028-07-22      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31410KYB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    377034 | PA      | $388899.22    | 0.02%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36200Q3L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15385 | PA      | $15956.44     | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                | Shell International Finance BV                                                                             | CUSIP: 822582CH3<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    575000 | PA      | $415524.58    | 0.02%             | 2050-04-06      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Philadelphia Authority for Industrial Development      | PHILADELPHIA PA AUTH FOR INDL DEV PENSION FUNDING                                                          | CUSIP: 71781LBH1<br>LEI: 549300DIY68KQZEW7M79 | Long             | DBT              | MUN               | US        |   5445000 | PA      | $5691538.17   | 0.32%             | 2028-10-15      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36210SGF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6901 | PA      | $7097.22      | 0.00%             | 2029-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd        | Arbor Realty Commercial Real Estate Notes 2021-FL2 Ltd                                                     | CUSIP: 03881EAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    885000 | PA      | $859628.82    | 0.05%             | 2036-05-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31419ABJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36972 | PA      | $37199.74     | 0.00%             | 2025-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust         | Securitized Asset Backed Receivables LLC Trust 2006-HE1                                                    | CUSIP: 81376YAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    354379 | PA      | $123437.22    | 0.01%             | 2036-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36200ACT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       450 | PA      | $474.15       | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140XCPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3438632 | PA      | $3288285.70   | 0.19%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                         | Fannie Mae-Aces                                                                                            | CUSIP: 3136B6WW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10299694 | PA      | $576556.27    | 0.03%             | 2029-05-25      | Variable      | 1.39%                 | No            |                  2 | On Loan: No      |
| Hess Corp                                              | Hess Corp                                                                                                  | CUSIP: 023551AM6<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    782000 | PA      | $845681.58    | 0.05%             | 2033-03-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust 2013-GC13                                                                     | CUSIP: 36198EAG0<br>LEI: 549300WF5YRKNHB1FX69 | Long             | ABS-MBS          | CORP              | US        |  39993824 | PA      | $1139.82      | 0.00%             | 2046-07-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36207VDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       418 | PA      | $430.02       | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36209DR97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2448 | PA      | $2517.72      | 0.00%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140XHB89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1279939 | PA      | $1089255.21   | 0.06%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                 | GSAA Home Equity Trust 2007-1                                                                              | CUSIP: 3622EQAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4401490 | PA      | $1411154.33   | 0.08%             | 2037-02-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                           | CUSIP: 3133AG7H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2268366 | PA      | $1855082.05   | 0.10%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F060618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3915000 | PA      | $3974948.44   | 0.22%             | 2053-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| QORVO INC                                              | Qorvo Inc                                                                                                  | CUSIP: 74736KAH4<br>LEI: 254900YAUJV2EUEVBR11 | Long             | DBT              | CORP              | US        |    275000 | PA      | $243166.00    | 0.01%             | 2029-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FS LUXEMBOURG SARL                                     | FS Luxembourg Sarl                                                                                         | CUSIP: 30315XAB0<br>LEI: 222100EKR3JUJPGGOY81 | Long             | DBT              | CORP              | LU        |   1085000 | PA      | $1089806.55   | 0.06%             | 2025-12-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128MJML1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133732 | PA      | $135691.89    | 0.01%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EYECARE PARTNERS, LLC                                  | EyeCare Partners, LLC 2021 Incremental Term Loan                                                           | CUSIP: 30233PAH3<br>LEI: 254900ZAACWK09RJ8W93 | Long             | LON              | CORP              | US        |    193538 | PA      | $162281.19    | 0.01%             | 2028-11-15      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 31296SKL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19386 | PA      | $20080.92     | 0.00%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                   | CUSIP: 38379QGG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99447 | PA      | $4406.41      | 0.00%             | 2027-02-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140X9AZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1376643 | PA      | $1181080.88   | 0.07%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36209LM45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11433 | PA      | $11758.11     | 0.00%             | 2031-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132M6R69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10348 | PA      | $10448.46     | 0.00%             | 2044-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140M2FC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1021141 | PA      | $868318.65    | 0.05%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 3136ACR60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1645406 | PA      | $1465158.08   | 0.08%             | 2043-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 36179WDS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2680935 | PA      | $2402177.30   | 0.14%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                           | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15065000 | PA      | $10578454.69  | 0.60%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                    | Exeter Automobile Receivables Trust 2020-1                                                                 | CUSIP: 30167HAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1378698 | PA      | $1350733.83   | 0.08%             | 2025-12-15      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36201FQH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59701 | PA      | $61403.80     | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                      | HSBC Holdings PLC                                                                                          | CUSIP: 404280BT5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2300000 | PA      | $2121423.93   | 0.12%             | 2029-06-19      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                        | Fannie Mae Interest Strip                                                                                  | CUSIP: 31395Q3G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1475333 | PA      | $283040.77    | 0.02%             | 2043-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36290TRJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38772 | PA      | $40480.19     | 0.00%             | 2036-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132WJEU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    296793 | PA      | $266356.75    | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation                    | Banc of America Funding 2007-C Trust                                                                       | CUSIP: 059522AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    629567 | PA      | $552199.14    | 0.03%             | 2047-05-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential 2022-SFR7 Trust                                                                       | CUSIP: 74333CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1405000 | PA      | $1353399.97   | 0.08%             | 2039-10-27      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                   | CUSIP: 38380CEN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    857161 | PA      | $140142.90    | 0.01%             | 2039-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 36179XDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1970523 | PA      | $1813255.66   | 0.10%             | 2052-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36213HHG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28679 | PA      | $29494.45     | 0.00%             | 2031-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3138A9CW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    594246 | PA      | $571394.92    | 0.03%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                     | Morgan Stanley Mortgage Loan Trust 2006-16AX                                                               | CUSIP: 617487AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1214369 | PA      | $370264.14    | 0.02%             | 2036-11-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                           | CSMC 2017-FHA1 Trust                                                                                       | CUSIP: 12651RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1481629 | PA      | $1317129.15   | 0.07%             | 2047-04-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                           | Voya CLO 2015-1 Ltd                                                                                        | CUSIP: 92914NAJ0<br>LEI: 54930085W413OSH6FR69 | Long             | ABS-CBDO         | CORP              | KY        |   4988167 | PA      | $4937143.49   | 0.28%             | 2029-01-18      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| TAYLOR MORRISON COMM                                   | Taylor Morrison Communities Inc                                                                            | CUSIP: 87724RAJ1<br>LEI: 549300O1Z08HI2MRK572 | Long             | DBT              | CORP              | US        |    540000 | PA      | $469076.40    | 0.03%             | 2030-08-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36209VHA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56087 | PA      | $57698.13     | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 3136ANV61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    951638 | PA      | $41420.79     | 0.00%             | 2055-06-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128M5V98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    607559 | PA      | $635316.13    | 0.04%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                  | Continental Resources Inc/OK                                                                               | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |    570000 | PA      | $530770.79    | 0.03%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128MJAM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102266 | PA      | $105934.27    | 0.01%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                       | Paramount Global                                                                                           | CUSIP: 124857AZ6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    170000 | PA      | $151757.58    | 0.01%             | 2029-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                    | CommonSpirit Health                                                                                        | CUSIP: 20268JAB9<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    360000 | PA      | $314322.35    | 0.02%             | 2029-10-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31387WJX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3721 | PA      | $3722.63      | 0.00%             | 2031-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                               | AT&T Inc                                                                                                   | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   3294000 | PA      | $2207782.81   | 0.12%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM 2022-HC Mortgage Trust                                                                                | CUSIP: 12659DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    841000 | PA      | $722426.57    | 0.04%             | 2039-01-10      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36209YLT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        90 | PA      | $89.76        | 0.00%             | 2031-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                                               | CUSIP: 3137F2LL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10275980 | PA      | $275912.10    | 0.02%             | 2027-06-25      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                           | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4424505 | PA      | $3620634.90   | 0.20%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                                | CF Hippolyta Issuer LLC                                                                                    | CUSIP: 12530MAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1039415 | PA      | $858651.83    | 0.05%             | 2060-07-15      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31418D6D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    512030 | PA      | $451083.94    | 0.03%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                            | Oracle Corp                                                                                                | CUSIP: 68389XCH6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1805000 | PA      | $1877890.48   | 0.11%             | 2029-11-09      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTL                                      | Service Corp International/US                                                                              | CUSIP: 817565CD4<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |    385000 | PA      | $358834.59    | 0.02%             | 2027-12-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Georgia Power Co                                       | Georgia Power Co                                                                                           | CUSIP: 373334JW2<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    940000 | PA      | $811882.49    | 0.05%             | 2042-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| CSL Finance PLC                                        | CSL Finance PLC                                                                                            | CUSIP: 12661PAC3<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |    795000 | PA      | $751160.41    | 0.04%             | 2032-04-27      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128M9BP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    917045 | PA      | $952609.45    | 0.05%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36207KDG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       800 | PA      | $822.24       | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                               | Bear Stearns ALT-A Trust 2005-10                                                                           | CUSIP: 07386HYW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    512743 | PA      | $655633.64    | 0.04%             | 2036-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                      | Credit Acceptance Auto Loan Trust 2021-3                                                                   | CUSIP: 22535GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1590000 | PA      | $1518706.94   | 0.09%             | 2030-05-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 31292JBH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    411097 | PA      | $424897.64    | 0.02%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| O'REILLY AUTOMOTIVE INC                                | O'Reilly Automotive Inc                                                                                    | CUSIP: 67103HAL1<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |   1520000 | PA      | $1475247.89   | 0.08%             | 2032-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F050619<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -7585000 | PA      | $-7479521.09  | -0.42%            | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                    | LCM XX LP                                                                                                  | CUSIP: 50188WAE8<br>LEI: 549300VQTTD2PAP2Y421 | Long             | ABS-CBDO         | CORP              | KY        |    776428 | PA      | $771776.19    | 0.04%             | 2027-10-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                     | Royalty Pharma PLC                                                                                         | CUSIP: 78081BAN3<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |   3565000 | PA      | $2705308.06   | 0.15%             | 2031-09-02      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Conagra Brands Inc                                     | Conagra Brands Inc                                                                                         | CUSIP: 205887CC4<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    411000 | PA      | $400363.58    | 0.02%             | 2028-11-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31418DZW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2686224 | PA      | $2279590.33   | 0.13%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31418D4Z2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1426194 | PA      | $1254778.63   | 0.07%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36201ASX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2198 | PA      | $2260.78      | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust 2011-GC5                                                                      | CUSIP: 36191YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    929202 | PA      | $2.23         | 0.00%             | 2044-08-10      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                | Goldman Sachs Group Inc/The                                                                                | CUSIP: 38141GWV2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    840000 | PA      | $768619.77    | 0.04%             | 2029-04-23      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                             | Intel Corp                                                                                                 | CUSIP: 458140BK5<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $690995.15    | 0.04%             | 2060-02-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31416WNB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    396375 | PA      | $393338.69    | 0.02%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                           | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16897000 | PA      | $10573825.78  | 0.60%             | 2040-08-15      | Fixed         | 1.13%                 | No            |                  2 | On Loan: No      |
| Sapphire Aviation Finance I Limited                    | SAPPHIRE AVIATION FINANCE II LTD                                                                           | CUSIP: 80307AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    440512 | PA      | $333390.78    | 0.02%             | 2040-03-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERG                               | Berkshire Hathaway Energy Co                                                                               | CUSIP: 084659BD2<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |    705000 | PA      | $545670.30    | 0.03%             | 2031-05-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Thompson Park CLO, LTD                                 | Thompson Park CLO Ltd                                                                                      | CUSIP: 884887AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5815000 | PA      | $5648103.69   | 0.32%             | 2034-04-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                           | CUSIP: 3133KH4B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1054072 | PA      | $905564.20    | 0.05%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                 | General Motors Financial Co Inc                                                                            | CUSIP: 37045XCY0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    860000 | PA      | $726097.01    | 0.04%             | 2030-06-21      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                               | Charter Communications Operating LLC / Charter Communications Operating Capital                            | CUSIP: 161175BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     55000 | PA      | $50980.97     | 0.00%             | 2055-10-23      | Fixed         | 6.83%                 | No            |                  2 | On Loan: No      |
| EPR Properties                                         | EPR Properties                                                                                             | CUSIP: 26884UAE9<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              |  | US        |   1660000 | PA      | $1418629.94   | 0.08%             | 2028-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                 | UnitedHealth Group Inc                                                                                     | CUSIP: 91324PDT6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    190000 | PA      | $156100.05    | 0.01%             | 2039-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36209MH49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       464 | PA      | $477.34       | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31371LCE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    510392 | PA      | $526568.48    | 0.03%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140MNNR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25606 | PA      | $20894.54     | 0.00%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                         | CUSIP: 31397CNW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52354 | PA      | $43493.71     | 0.00%             | 2036-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140XJLG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    525663 | PA      | $450893.38    | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36178D2F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6333 | PA      | $5964.21      | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140HGL88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1406395 | PA      | $1199841.22   | 0.07%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140X9UG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1401009 | PA      | $1155852.11   | 0.07%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1977312 | PA      | $1975440.90   | 0.11%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F040412<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3625000 | PA      | $3535649.41   | 0.20%             | 2038-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                           | CUSIP: 3133KJGF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1237868 | PA      | $1057605.34   | 0.06%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2490348 | PA      | $2232957.04   | 0.13%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                | Goldman Sachs Group Inc/The                                                                                | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3035000 | PA      | $2832383.92   | 0.16%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                  | Wells Fargo & Co                                                                                           | CUSIP: 95000U2M4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    765000 | PA      | $678623.57    | 0.04%             | 2051-04-04      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| KERNEL HOLDING SA                                      | Kernel Holding SA                                                                                          | CUSIP: 000000000<br>LEI: 5493003GR6L4DZOS2U12 | Long             | DBT              | CORP              | LU        |   1760000 | PA      | $771006.02    | 0.04%             | 2024-10-17      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                           | CUSIP: 3132DNDQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    915240 | PA      | $778049.72    | 0.04%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 3622A2LM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    870635 | PA      | $890997.04    | 0.05%             | 2044-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 36179T4P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3174031 | PA      | $3046323.73   | 0.17%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36186NMB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37790 | PA      | $33803.04     | 0.00%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140XHDR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    829003 | PA      | $736242.72    | 0.04%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                             | MFA 2020-NQM3 Trust                                                                                        | CUSIP: 552757AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260740 | PA      | $238015.67    | 0.01%             | 2065-01-26      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36200WBH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28010 | PA      | $28806.29     | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36210MEP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4511 | PA      | $4639.01      | 0.00%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE ENTRMN                               | Time Warner Cable Enterprises LLC                                                                          | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3900000 | PA      | $4346117.45   | 0.25%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31418U2E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    301939 | PA      | $294877.00    | 0.02%             | 2025-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                        | Long: B9D0REBG2 CDS USD R V 03MEVENT 2 CCPCORPORATE / Short: B9D0REBG2 CDS USD P F  1.00000 1 CCPCORPORATE | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   6073000 | OU      | $309660.90    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 31288G4G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32156 | PA      | $33185.48     | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140XFPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4370210 | PA      | $3785645.43   | 0.21%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                           | AutoZone Inc                                                                                               | CUSIP: 053332BB7<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    880000 | PA      | $854585.02    | 0.05%             | 2032-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                 | GSAA Home Equity Trust 2006-10                                                                             | CUSIP: 362375AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    499913 | PA      | $131124.26    | 0.01%             | 2036-06-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  45764000 | PA      | $45910302.02  | 2.60%             | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                     | VICI Properties LP                                                                                         | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |   2332000 | PA      | $2219871.24   | 0.13%             | 2030-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                   | CUSIP: 38378H3E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1656912 | PA      | $250513.98    | 0.01%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust 2017-3                                                                           | CUSIP: 89169DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    641746 | PA      | $625248.59    | 0.04%             | 2057-07-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                              | Boeing Co/The                                                                                              | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1390000 | PA      | $1359849.80   | 0.08%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust             | JPMBB Commercial Mortgage Securities Trust 2014-C23                                                        | CUSIP: 46643ABG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  17019967 | PA      | $125071.22    | 0.01%             | 2047-09-15      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                           | Barclays PLC                                                                                               | CUSIP: 06738ECD5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    960000 | PA      | $1000715.73   | 0.06%             | 2028-11-02      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                           | Centene Corp                                                                                               | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    850000 | PA      | $716738.97    | 0.04%             | 2028-07-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 312938NF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7777 | PA      | $7848.47      | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                 | Anglo American Capital PLC                                                                                 | CUSIP: 034863AX8<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |   1945000 | PA      | $1584921.86   | 0.09%             | 2030-09-10      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                           | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20715000 | PA      | $17630407.03  | 1.00%             | 2044-08-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36200RAD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       242 | PA      | $248.52       | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  35751000 | PA      | $29135426.17  | 1.65%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Envision Healthcare Corporation                        | Envision Healthcare Corporation 2022 Second Out Term Loan                                                  | CUSIP: 29373UAF8<br>LEI: 549300OL60X0LPKY8N60 | Long             | LON              | CORP              | US        |         1 | PA      | $0.24         | 0.00%             | 2027-03-31      | Variable      | 8.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140X7YJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1267737 | PA      | $1135719.56   | 0.06%             | 2048-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36213PKF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39635 | PA      | $40761.26     | 0.00%             | 2031-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36203QK34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       187 | PA      | $187.20       | 0.00%             | 2024-11-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F042418<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     99000 | PA      | $98383.52     | 0.01%             | 2038-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                            | Legacy Mortgage Asset Trust 2019-GS7                                                                       | CUSIP: 52474MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3140749 | PA      | $3138264.84   | 0.18%             | 2059-11-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust 2020-4                                                              | CUSIP: 80286WAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    665000 | PA      | $634527.97    | 0.04%             | 2027-01-15      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36292LFA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72160 | PA      | $76130.43     | 0.00%             | 2036-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Amazon.com Inc                                         | Amazon.com Inc                                                                                             | CUSIP: 023135BF2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    460000 | PA      | $410344.44    | 0.02%             | 2037-08-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GOVT OF BERMUDA                                        | Bermuda Government International Bond                                                                      | CUSIP: 085209AJ3<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |   1825000 | PA      | $1811612.04   | 0.10%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 36179TEZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    481714 | PA      | $449632.38    | 0.03%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 3617GGRL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    404861 | PA      | $385884.27    | 0.02%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                     | Seasoned Credit Risk Transfer Trust Series 2019-3                                                          | CUSIP: 35563PLG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2898674 | PA      | $2623813.56   | 0.15%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PHILIPPINES                                | Philippine Government International Bond                                                                   | CUSIP: 000000000<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |   1010000 | PA      | $735292.83    | 0.04%             | 2041-04-28      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                         | Carvana Auto Receivables Trust 2022-P2                                                                     | CUSIP: 14686JAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3960000 | PA      | $3857151.67   | 0.22%             | 2027-04-12      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| GO DADDY OPCO/FINCO                                    | Go Daddy Operating Co LLC / GD Finance Co Inc                                                              | CUSIP: 38016LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3995000 | PA      | $3781107.90   | 0.21%             | 2027-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Oaktown Re Ltd                                         | Oaktown Re II Ltd                                                                                          | CUSIP: 67400CAA6<br>LEI: 254900KOPN6EP9T3LD85 | Long             | ABS-MBS          | CORP              | US        |    791098 | PA      | $790449.00    | 0.04%             | 2028-07-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| Cirrus Funding 2018-1, Ltd                             | Cirrus Funding 2018-1 Ltd                                                                                  | CUSIP: 17275GAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4175000 | PA      | $4004363.58   | 0.23%             | 2037-01-25      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36212SUR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       372 | PA      | $374.10       | 0.00%             | 2031-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                                    | CDW LLC / CDW Finance Corp                                                                                 | CUSIP: 12513GBG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    485000 | PA      | $430591.73    | 0.02%             | 2026-12-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 3617FJBZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4373699 | PA      | $4378417.48   | 0.25%             | 2052-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LOCKHEED MARTIN CORP                                   | Lockheed Martin Corp                                                                                       | CUSIP: 539830BV0<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |   3070000 | PA      | $3141576.04   | 0.18%             | 2027-11-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                                               | CUSIP: 3137FUZE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6252556 | PA      | $555654.00    | 0.03%             | 2030-05-25      | Variable      | 1.57%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                 | UnitedHealth Group Inc                                                                                     | CUSIP: 91324PET5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    260000 | PA      | $284160.70    | 0.02%             | 2063-02-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Nokia OYJ                                              | Nokia Oyj                                                                                                  | CUSIP: 654902AE5<br>LEI: 549300A0JPRWG1KI7U06 | Long             | DBT              | CORP              | FI        |   3170000 | PA      | $2994802.56   | 0.17%             | 2027-06-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Emera Inc                                              | Emera Inc                                                                                                  | CUSIP: 290876AD3<br>LEI: NQZVQT2P5IUF2PGA1Q48 | Long             | DBT              | CORP              | CA        |    955000 | PA      | $917010.10    | 0.05%             | 2076-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36212U2D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       428 | PA      | $439.69       | 0.00%             | 2031-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                                  | Bank of Ireland Group PLC                                                                                  | CUSIP: 06279JAC3<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   3685000 | PA      | $3655458.39   | 0.21%             | 2026-09-16      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                   | Edison International                                                                                       | CUSIP: 281020AW7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    470000 | PA      | $491800.53    | 0.03%             | 2029-11-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31417YSZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134506 | PA      | $131359.43    | 0.01%             | 2025-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                            | Oracle Corp                                                                                                | CUSIP: 68389XBJ3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    140000 | PA      | $102794.92    | 0.01%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                          | PURCHASED USD / SOLD BRL                                                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |         1 | NC      | $-77252.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                   | Bank of America Corp                                                                                       | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    965000 | PA      | $758531.61    | 0.04%             | 2032-10-20      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 3622A2DP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60435 | PA      | $63846.61     | 0.00%             | 2041-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Connecticut Avenue Securities Trust 2019-R03                                                               | CUSIP: 20753MAF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     86497 | PA      | $86285.84     | 0.00%             | 2031-09-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                                     | Panama Government International Bond                                                                       | CUSIP: 698299BL7<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |   5000000 | PA      | $3205579.10   | 0.18%             | 2060-07-23      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| Avant Loans Funding Trust                              | Avant Loans Funding Trust 2021-REV1                                                                        | CUSIP: 05353LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1945000 | PA      | $1852496.97   | 0.10%             | 2030-07-15      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| State of Illinois                                      | ILLINOIS ST                                                                                                | CUSIP: 452151LE1<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |   1045364 | PA      | $1045908.80   | 0.06%             | 2023-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| WMG ACQUISITION CORP                                   | WMG Acquisition Corp                                                                                       | CUSIP: 92933BAQ7<br>LEI: 549300NAS11NXI33CP80 | Long             | DBT              | CORP              | US        |   4525000 | PA      | $3897606.26   | 0.22%             | 2030-07-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                             | Affirm Asset Securitization Trust 2020-Z2                                                                  | CUSIP: 00834AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    531591 | PA      | $517158.26    | 0.03%             | 2025-01-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                   | CUSIP: 38376VPU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1168796 | PA      | $251415.29    | 0.01%             | 2040-02-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                               | EQT Corp                                                                                                   | CUSIP: 26884LAQ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    190000 | PA      | $188967.55    | 0.01%             | 2028-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                               | Plains All American Pipeline LP / PAA Finance Corp                                                         | CUSIP: 72650RBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1429000 | PA      | $1245382.17   | 0.07%             | 2030-09-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36209LMP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       102 | PA      | $105.24       | 0.00%             | 2031-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                            | Long: 99D01A0R6 CDS USD R V 01MEVENT 99D01A0S / Short: 99D01A0R6 CDS USD P F   .11000 99D01A0R6            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |    240754 | OU      | $17650.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 3136A9BW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    241346 | PA      | $31466.59     | 0.00%             | 2042-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                               | Angel Oak Mortgage Trust 2021-2                                                                            | CUSIP: 03465DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1249969 | PA      | $1010131.58   | 0.06%             | 2066-04-25      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Hess Corp                                              | Hess Corp                                                                                                  | CUSIP: 023551AJ3<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    285000 | PA      | $310356.73    | 0.02%             | 2031-08-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                      | HSBC Holdings PLC                                                                                          | CUSIP: 404280DC0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2940000 | PA      | $2556327.21   | 0.14%             | 2033-03-29      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 31292H6Y5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9614 | PA      | $9959.18      | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 3620AV6Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94711 | PA      | $93102.04     | 0.01%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Reynolds American Inc                                  | Reynolds American Inc                                                                                      | CUSIP: 761713BA3<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    335000 | PA      | $303032.08    | 0.02%             | 2035-08-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                    | Elevance Health Inc                                                                                        | CUSIP: 036752AV5<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     90000 | PA      | $91074.37     | 0.01%             | 2025-10-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 3136AR4X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1290554 | PA      | $52031.41     | 0.00%             | 2046-05-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                    | Ashtead Capital Inc                                                                                        | CUSIP: 045054AJ2<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |   1190000 | PA      | $1088154.05   | 0.06%             | 2028-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                               | Enterprise Products Operating LLC                                                                          | CUSIP: 29379VBQ5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    155000 | PA      | $124567.20    | 0.01%             | 2048-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 31396VGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    269832 | PA      | $272439.02    | 0.02%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                                 | Diamondback Energy Inc                                                                                     | CUSIP: 25278XAW9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    450000 | PA      | $437903.44    | 0.02%             | 2053-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36213UQT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23441 | PA      | $24115.13     | 0.00%             | 2031-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128M6RH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    212665 | PA      | $220913.18    | 0.01%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140XDRV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7187703 | PA      | $6147921.15   | 0.35%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 31297HUB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153091 | PA      | $155762.20    | 0.01%             | 2035-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31418DYH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1260117 | PA      | $1075010.67   | 0.06%             | 2041-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                           | CUSIP: 3133AGCV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1812365 | PA      | $1491834.50   | 0.08%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140XHG68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3773225 | PA      | $3620192.51   | 0.20%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31417GZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1371256 | PA      | $1184323.79   | 0.07%             | 2043-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ENERGEAN ISRAEL FINANCE                                | Energean Israel Finance Ltd                                                                                | CUSIP: 000000000<br>LEI: 98450044QACBL3F8EB03 | Long             | DBT              | CORP              | IL        |    860000 | PA      | $829900.00    | 0.05%             | 2024-03-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                       | Paramount Global                                                                                           | CUSIP: 92556HAD9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |   1125000 | PA      | $924019.97    | 0.05%             | 2032-05-19      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                                    | Southern California Edison Co                                                                              | CUSIP: 842400HQ9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1667253.55   | 0.09%             | 2027-06-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                   | CUSIP: 38375GLU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    198375 | PA      | $22738.88     | 0.00%             | 2042-05-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                   | CUSIP: 38378EAS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    197267 | PA      | $8478.04      | 0.00%             | 2040-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 31292H2H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9465 | PA      | $9804.47      | 0.00%             | 2033-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Venture CLO 43 Limited                                 | Venture 43 CLO Ltd                                                                                         | CUSIP: 92290CAB5<br>LEI: 549300OLN5VHTMLSN650 | Long             | ABS-CBDO         | CORP              | KY        |   2255000 | PA      | $2156963.88   | 0.12%             | 2034-04-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                   | CUSIP: 38380CNU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    250721 | PA      | $52549.40     | 0.00%             | 2047-01-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                         | CUSIP: 3137AFB27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124154 | PA      | $5188.77      | 0.00%             | 2026-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140KYBS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3190119 | PA      | $2608936.84   | 0.15%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WILLIAM CARTER                                         | William Carter Co/The                                                                                      | CUSIP: 96926JAC1<br>LEI: TGI2A0HXEYNQPU7TYV27 | Long             | DBT              | CORP              | US        |   3550000 | PA      | $3405228.09   | 0.19%             | 2027-03-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                  | Mexico Government International Bond                                                                       | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   6185000 | PA      | $4692848.52   | 0.27%             | 2033-10-25      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                     | Wendy's Funding LLC                                                                                        | CUSIP: 95058XAE8<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |   1976000 | PA      | $1778781.37   | 0.10%             | 2048-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                 | UnitedHealth Group Inc                                                                                     | CUSIP: 91324PDY5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |   1280000 | PA      | $934851.66    | 0.05%             | 2040-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LLC                        | Domino's Pizza Master Issuer LLC                                                                           | CUSIP: 25755TAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2285200 | PA      | $1899346.27   | 0.11%             | 2051-04-25      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                   | CUSIP: 38378JAS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    306044 | PA      | $39180.93     | 0.00%             | 2043-02-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 3136A3NU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1678000 | PA      | $1531087.24   | 0.09%             | 2042-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                              | Uniform Mortgage-Backed Security, TBA                                                                      | CUSIP: 01F052615<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -17820000 | PA      | $-17876968.40 | -1.01%            | 2053-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Inflation Indexed Bonds                                                             | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30920332 | PA      | $28351690.19  | 1.60%             | 2032-07-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140EWKL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224357 | PA      | $215073.59    | 0.01%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                           | CUSIP: 3133KMLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    740001 | PA      | $604550.03    | 0.03%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                       | WFRBS Commercial Mortgage Trust 2014-C20                                                                   | CUSIP: 92890FAT3<br>LEI: 549300UVB571ELWL8972 | Long             | ABS-MBS          | CORP              | US        |    441397 | PA      | $429645.36    | 0.02%             | 2047-05-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132WKQ84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    201975 | PA      | $180644.22    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC                   | PRET 2021-NPL3 LLC                                                                                         | CUSIP: 74143EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1864223 | PA      | $1648574.84   | 0.09%             | 2051-07-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31387SF50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4215 | PA      | $4213.29      | 0.00%             | 2031-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31419AU88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89068 | PA      | $85644.46     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                         | CUSIP: 3137BLP93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    417504 | PA      | $376701.91    | 0.02%             | 2045-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                       | Crown Castle Inc                                                                                           | CUSIP: 22822VAZ4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |    960000 | PA      | $874944.27    | 0.05%             | 2027-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                             | Humana Inc                                                                                                 | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   1890000 | PA      | $1733697.85   | 0.10%             | 2029-03-23      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132M9FG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    235105 | PA      | $231459.23    | 0.01%             | 2044-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                              | Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19                                                | CUSIP: 61764PBV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9596851 | PA      | $127771.51    | 0.01%             | 2047-12-15      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31418CG81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1461228 | PA      | $1357663.07   | 0.08%             | 2037-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                  | PRPM 2021-4 LLC                                                                                            | CUSIP: 693583AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2375678 | PA      | $2128089.15   | 0.12%             | 2026-04-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                         | HarborView Mortgage Loan Trust 2006-12                                                                     | CUSIP: 41162DAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    582122 | PA      | $508832.30    | 0.03%             | 2038-01-19      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31385XEC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96364 | PA      | $99250.04     | 0.01%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36209YRC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1639 | PA      | $1685.14      | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                    | American Tower Corp                                                                                        | CUSIP: 03027XBV1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |   1130000 | PA      | $1056964.90   | 0.06%             | 2027-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                             | Unum Group                                                                                                 | CUSIP: 91529YAR7<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |    130000 | PA      | $89422.54     | 0.01%             | 2051-06-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140QKQR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    436548 | PA      | $372423.24    | 0.02%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ANGOLA                                     | Angolan Government International Bond                                                                      | CUSIP: 000000000<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |   1600000 | PA      | $1400896.00   | 0.08%             | 2029-11-26      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                    | Ashtead Capital Inc                                                                                        | CUSIP: 04505AAA7<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    700000 | PA      | $671758.22    | 0.04%             | 2032-08-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM 2022-HC Mortgage Trust                                                                                | CUSIP: 12659DAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    860000 | PA      | $702340.76    | 0.04%             | 2039-01-10      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COMPANIES INC                                 | Williams Cos Inc/The                                                                                       | CUSIP: 969457BZ2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   1220000 | PA      | $1139524.69   | 0.06%             | 2032-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                                  | Indonesia Government International Bond                                                                    | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    240000 | PA      | $251127.45    | 0.01%             | 2024-07-18      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                               | Morgan Stanley Institutional Liquidity Funds - Government Portfolio                                        | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |    557704 | NS      | $557704.13    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust 2019-5                                                                 | CUSIP: 64830MAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1418544 | PA      | $1312417.53   | 0.07%             | 2059-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                | Romanian Government International Bond                                                                     | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   3725000 | PA      | $2230987.85   | 0.13%             | 2041-04-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36213F6R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36173 | PA      | $37207.75     | 0.00%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                    | JPMorgan Chase & Co                                                                                        | CUSIP: 46647PBD7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    595000 | PA      | $534980.34    | 0.03%             | 2030-05-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31400HWV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64305 | PA      | $65322.63     | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36213EMM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5624 | PA      | $5784.08      | 0.00%             | 2031-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Corp II                                                                             | CUSIP: 36192RAA0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |   4340000 | PA      | $3795565.23   | 0.21%             | 2034-11-05      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                    | JPMorgan Chase & Co                                                                                        | CUSIP: 46647PAR7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2230000 | PA      | $2059611.28   | 0.12%             | 2029-04-23      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3138WMHQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    790011 | PA      | $682285.41    | 0.04%             | 2043-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                   | CUSIP: 38379F3V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    252830 | PA      | $6012.01      | 0.00%             | 2041-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                               | MSCI Inc                                                                                                   | CUSIP: 55354GAH3<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |   1870000 | PA      | $1628835.15   | 0.09%             | 2029-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                | Romanian Government International Bond                                                                     | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   1315000 | PA      | $948719.12    | 0.05%             | 2038-02-08      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140FXG55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4518858 | PA      | $4156663.48   | 0.24%             | 2057-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                               | Constellation Brands Inc                                                                                   | CUSIP: 21036PBE7<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    517000 | PA      | $454090.09    | 0.03%             | 2029-08-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ANGOLA                                     | Angolan Government International Bond                                                                      | CUSIP: 035198AF7<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |    310000 | PA      | $267933.00    | 0.02%             | 2032-04-14      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128P7JJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14083 | PA      | $14145.24     | 0.00%             | 2028-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                      | EURO-BUXL 30Y BND MAR23                                                                                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -78 | NC      | $2259458.04   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31371HQY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       618 | PA      | $638.72       | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                           | CUSIP: 3133KTMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    337755 | PA      | $288141.51    | 0.02%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                   | CUSIP: 38380WG78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1010978 | PA      | $167946.24    | 0.01%             | 2046-01-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                                               | CUSIP: 3137FQXL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4859630 | PA      | $90432.37     | 0.01%             | 2026-10-25      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                  | Westlake Automobile Receivables Trust 2022-2                                                               | CUSIP: 96042VAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2285000 | PA      | $2225139.63   | 0.13%             | 2027-09-15      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                       | Symphony CLO XIV Ltd                                                                                       | CUSIP: 87159QBV9<br>LEI: 54930085JMJSZBQ6N270 | Long             | ABS-CBDO         | CORP              | KY        |    327348 | PA      | $326836.23    | 0.02%             | 2026-07-14      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| BENIN INTL GOV BOND                                    | Benin Government International Bond                                                                        | CUSIP: 000000000<br>LEI: 635400Q11P6AE5A5Y230 | Long             | DBT              | NUSS              | BJ        |   2640000 | PA      | $2044347.01   | 0.12%             | 2035-01-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140F4UB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137604 | PA      | $131768.25    | 0.01%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority                  | MET TRANSPRTN AUTH NY REVENUE                                                                              | CUSIP: 59259YGF0<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |   2790000 | PA      | $2915258.45   | 0.16%             | 2040-11-15      | Fixed         | 6.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132LQCS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1228539 | PA      | $1142719.38   | 0.06%             | 2037-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                             | FIXED INC CLEARING CORP.REPO                                                                               | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |  19354472 | PA      | $19354472.00  | 1.10%             |  |  |  | No            |                  2 | On Loan: No      |
| VAR ENERGI ASA                                         | Var Energi ASA                                                                                             | CUSIP: 92212WAD2<br>LEI: 549300LIVN3FFOJN2K47 | Long             | DBT              | CORP              | NO        |   2140000 | PA      | $2179807.81   | 0.12%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140X6MR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    641493 | PA      | $611100.82    | 0.03%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOOZ ALLEN HAMILTON INC                                | Booz Allen Hamilton Inc                                                                                    | CUSIP: 09951LAA1<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |   5820000 | PA      | $5156302.51   | 0.29%             | 2028-09-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential 2022-SFR3 Trust                                                                       | CUSIP: 74331UAA6<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |   1135000 | PA      | $1030301.02   | 0.06%             | 2039-04-17      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                      | Citigroup Mortgage Loan Trust 2019-E                                                                       | CUSIP: 17328DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1223783 | PA      | $1206208.22   | 0.07%             | 2070-11-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| Commonwealth Bank of Australia                         | PURCHASED EUR / SOLD USD                                                                                   | CUSIP: 000000000<br>LEI: MSFSBD3QN1GSN7Q6C537 | N/A              | DFE              |  | XX        |         1 | NC      | $2321.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                     | Ellington Financial Mortgage Trust 2021-2                                                                  | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    848519 | PA      | $653933.65    | 0.04%             | 2066-06-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 3136ABFW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1406701 | PA      | $64046.23     | 0.00%             | 2028-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae                                                                                                 | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -9215000 | PA      | $-8216161.27  | -0.46%            | 2053-01-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                     | Tricon Residential 2022-SFR2 Trust                                                                         | CUSIP: 89616TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3153757 | PA      | $2961986.13   | 0.17%             | 2040-07-17      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132XCR64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1215943 | PA      | $1137734.41   | 0.06%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                   | Bank of America Corp                                                                                       | CUSIP: 06051GJL4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    185000 | PA      | $141503.29    | 0.01%             | 2031-10-24      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                     | Energy Transfer LP                                                                                         | CUSIP: 29273RBJ7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    855000 | PA      | $795855.55    | 0.05%             | 2045-12-15      | Fixed         | 6.13%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                            | Oracle Corp                                                                                                | CUSIP: 68389XBY0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   3455000 | PA      | $2313724.22   | 0.13%             | 2060-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                                    | CDW LLC / CDW Finance Corp                                                                                 | CUSIP: 12513GBJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    430000 | PA      | $353618.70    | 0.02%             | 2031-12-01      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36213UV31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23074 | PA      | $23729.87     | 0.00%             | 2031-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3138EQFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    593363 | PA      | $588819.71    | 0.03%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                | Goldman Sachs Group Inc/The                                                                                | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $2793180.50   | 0.16%             | 2032-04-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                           | CUSIP: 31329QG54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1712267 | PA      | $1631496.88   | 0.09%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                   | Enel Finance International NV                                                                              | CUSIP: 29278GAX6<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    945000 | PA      | $849784.53    | 0.05%             | 2032-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128M9C34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174847 | PA      | $181628.31    | 0.01%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31419H5N8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    425728 | PA      | $409360.81    | 0.02%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Cent CLO LP                                            | Columbia Cent CLO 27 Ltd                                                                                   | CUSIP: 19736RAS0<br>LEI: 549300066YASG4MIU864 | Long             | ABS-CBDO         | CORP              | KY        |   4485000 | PA      | $4336353.65   | 0.25%             | 2035-01-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                         | Morgan Stanley                                                                                             | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    240000 | PA      | $187765.69    | 0.01%             | 2032-10-20      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                         | Home Depot Inc/The                                                                                         | CUSIP: 437076CS9<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    680000 | PA      | $666272.66    | 0.04%             | 2032-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                            | BNP Paribas SA                                                                                             | CUSIP: 09659W2N3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    890000 | PA      | $777628.80    | 0.04%             | 2027-01-13      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.       | Freddie Mac Multifamily Structured Pass Through Certificates                                               | CUSIP: 3137BXR20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19558087 | PA      | $415570.23    | 0.02%             | 2027-03-25      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| FIN DEPT GOVT SHARJAH                                  | Finance Department Government of Sharjah                                                                   | CUSIP: 38381CAC6<br>LEI: 254900ZNL8O3F1CLJO24 | Long             | DBT              | NUSS              | AE        |   2455000 | PA      | $2033731.82   | 0.12%             | 2033-03-10      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36180HBT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1524088 | PA      | $1435344.21   | 0.08%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 3136AT4Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    399768 | PA      | $70942.84     | 0.00%             | 2046-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140X63P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1213774 | PA      | $1038098.22   | 0.06%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 36230QJZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    811633 | PA      | $787288.52    | 0.04%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                 | NextEra Energy Capital Holdings Inc                                                                        | CUSIP: 65339KCH1<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   2560000 | PA      | $2521121.95   | 0.14%             | 2027-07-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                  | PRPM 2020-6 LLC                                                                                            | CUSIP: 693587AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    680719 | PA      | $628677.24    | 0.04%             | 2025-11-25      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31388JZE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12492 | PA      | $12470.61     | 0.00%             | 2031-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                     | Energy Transfer LP                                                                                         | CUSIP: 29273VAQ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    750000 | PA      | $733770.00    | 0.04%             | 2033-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                                      | Wellfleet CLO X LTD                                                                                        | CUSIP: 94949WAM8<br>LEI: 254900A99ZMAJM1OOV76 | Long             | ABS-CBDO         | CORP              | KY        |   4560000 | PA      | $4405260.96   | 0.25%             | 2032-07-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                         | CUSIP: 3137FHJ20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    582250 | PA      | $123064.03    | 0.01%             | 2048-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                         | Morgan Stanley                                                                                             | CUSIP: 6174468X0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2540000 | PA      | $1922956.38   | 0.11%             | 2032-04-28      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                         | CUSIP: 31398EX82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1179379 | PA      | $1160152.17   | 0.07%             | 2039-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                         | CUSIP: 3137FT6T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1467750 | PA      | $222339.32    | 0.01%             | 2040-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140QLRC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4154887 | PA      | $3551105.79   | 0.20%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36212XVV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1120 | PA      | $1172.19      | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                       | CARLYLE US CLO 2021-3S LTD                                                                                 | CUSIP: 14315DAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1910000 | PA      | $1845535.59   | 0.10%             | 2034-04-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                   | CUSIP: 38379FK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    653941 | PA      | $86169.53     | 0.00%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                             | Intel Corp                                                                                                 | CUSIP: 458140BZ2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1476922.04   | 0.08%             | 2029-08-05      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                           | CUSIP: 3133KJJW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3933626 | PA      | $3369724.49   | 0.19%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                       | T-Mobile USA Inc                                                                                           | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1390000 | PA      | $1262412.03   | 0.07%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                         | CUSIP: 3137AQ6X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    393374 | PA      | $366590.27    | 0.02%             | 2041-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                   | CUSIP: 38378GRL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    742069 | PA      | $120574.16    | 0.01%             | 2041-10-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                           | CUSIP: 3133KME92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    524468 | PA      | $446090.98    | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31402JH42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69950 | PA      | $72136.31     | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae                                                                                                 | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7080000 | PA      | $5942450.45   | 0.34%             | 2053-01-23      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                                 | CHL Mortgage Pass-Through Trust 2005-HYB7                                                                  | CUSIP: 126694MH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    238156 | PA      | $209218.41    | 0.01%             | 2035-11-20      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Pool                                                                                           | CUSIP: 3133AQUG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    687205 | PA      | $584393.59    | 0.03%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FIN                                | Shell International Finance BV                                                                             | CUSIP: 822582CL4<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    620000 | PA      | $421923.33    | 0.02%             | 2051-11-26      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36211CXY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1588 | PA      | $1633.24      | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Corp Trust 2022-SHIP                                                                | CUSIP: 36269CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365000 | PA      | $359754.59    | 0.02%             | 2036-08-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140KTS30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2785277 | PA      | $2277850.41   | 0.13%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GAP INC/THE                                            | Gap Inc/The                                                                                                | CUSIP: 364760AP3<br>LEI: T2ZG1WRWZ4BUCMQL9224 | Long             | DBT              | CORP              | US        |   2041000 | PA      | $1439721.40   | 0.08%             | 2029-10-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                    | JPMorgan Chase & Co                                                                                        | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    955000 | PA      | $767835.04    | 0.04%             | 2032-04-22      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                             | Morgan Stanley ABS Capital I Inc Trust 2006-NC4                                                            | CUSIP: 61748LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58010 | PA      | $50210.59     | 0.00%             | 2036-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                           | Barclays PLC                                                                                               | CUSIP: 06738ECA1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    490000 | PA      | $464402.82    | 0.03%             | 2033-08-09      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                         | CUSIP: 3137BCJ58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    395360 | PA      | $10756.85     | 0.00%             | 2027-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128M74G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53862 | PA      | $55950.77     | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE TECH INC                                 | GE HealthCare Technologies Inc                                                                             | CUSIP: 36267VAJ2<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    715000 | PA      | $743252.13    | 0.04%             | 2032-11-22      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                       | Connecticut Avenue Securities Trust 2019-R02                                                               | CUSIP: 20753KAB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     78683 | PA      | $78585.53     | 0.00%             | 2031-08-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36200JMC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34350 | PA      | $36069.53     | 0.00%             | 2036-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36212VTV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1493 | PA      | $1535.85      | 0.00%             | 2031-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3138WQAT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1678491 | PA      | $1432882.73   | 0.08%             | 2043-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                    | New Residential Mortgage Loan Trust 2017-5                                                                 | CUSIP: 64828NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1426601 | PA      | $1394970.00   | 0.08%             | 2057-06-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                            | Equinor ASA                                                                                                | CUSIP: 29446MAH5<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |    455000 | PA      | $361683.21    | 0.02%             | 2050-04-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 3136AKRF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1363112 | PA      | $259786.10    | 0.01%             | 2044-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EQUINOR ASA                                            | Equinor ASA                                                                                                | CUSIP: 29446MAG7<br>LEI: OW6OFBNCKXC4US5C7523 | Long             | DBT              | CORP              | NO        |    675000 | PA      | $558438.63    | 0.03%             | 2040-04-06      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                                | Romanian Government International Bond                                                                     | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   2970000 | PA      | $1769307.86   | 0.10%             | 2040-12-02      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                     | Royalty Pharma PLC                                                                                         | CUSIP: 78081BAK9<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    750000 | PA      | $588181.63    | 0.03%             | 2030-09-02      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 31287TK46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       934 | PA      | $949.77       | 0.00%             | 2029-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3132HLX57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    634808 | PA      | $611071.35    | 0.03%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                    | Citigroup Commercial Mortgage Trust 2016-C3                                                                | CUSIP: 17325GAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2357000 | PA      | $1989141.12   | 0.11%             | 2049-11-15      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                                  | Duke Energy Carolinas LLC                                                                                  | CUSIP: 26442CAM6<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |   1525000 | PA      | $1324360.81   | 0.07%             | 2041-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                           | CSMC 2021-RPL4 Trust                                                                                       | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1307015 | PA      | $1163237.99   | 0.07%             | 2060-12-27      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| Tullow Oil PLC                                         | Tullow Oil PLC                                                                                             | CUSIP: 899415AE3<br>LEI: 2138003EYHWO75RKS857 | Long             | DBT              | CORP              | GB        |   2320000 | PA      | $1400159.88   | 0.08%             | 2025-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140XCM54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1735513 | PA      | $1531373.86   | 0.09%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae REMICS                                                                                          | CUSIP: 3136B9YL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2438145 | PA      | $238240.90    | 0.01%             | 2039-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31387JHZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       151 | PA      | $154.30       | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 36180NXE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    261287 | PA      | $246073.08    | 0.01%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSL FINANCE PLC                                        | CSL Finance PLC                                                                                            | CUSIP: 12661PAB5<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |   1325000 | PA      | $1251629.54   | 0.07%             | 2029-04-27      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| STEEL DYNAMICS INC                                     | Steel Dynamics Inc                                                                                         | CUSIP: 858119BP4<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |     75000 | PA      | $48927.78     | 0.00%             | 2050-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140XGJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3682901 | PA      | $3240988.40   | 0.18%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TRANSCONT GAS PIPE LINE                                | Transcontinental Gas Pipe Line Co LLC                                                                      | CUSIP: 893574AP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    505000 | PA      | $439544.40    | 0.02%             | 2030-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                          | UBS Commercial Mortgage Trust 2017-C2                                                                      | CUSIP: 90276CAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3357202 | PA      | $124837.54    | 0.01%             | 2050-08-15      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| PES Holdings, LLC                                      | PES Holdings, LLC 2018 Term Loan C                                                                         | CUSIP: 71571EAD1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    727733 | PA      | $20012.65     | 0.00%             | 2022-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128PR4K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    786191 | PA      | $768613.31    | 0.04%             | 2025-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 312946ZG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6438 | PA      | $6531.72      | 0.00%             | 2041-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                               | Discovery Communications LLC                                                                               | CUSIP: 25470DBG3<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |   2196000 | PA      | $1672168.77   | 0.09%             | 2049-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM 2012-CCRE4 Mortgage Trust                                                                             | CUSIP: 12624QAR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    151460 | PA      | $150618.23    | 0.01%             | 2045-10-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTL                                      | Service Corp International/US                                                                              | CUSIP: 817565CE2<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |   4561000 | PA      | $4276161.45   | 0.24%             | 2029-06-01      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                            | Legacy Mortgage Asset Trust 2021-GS2                                                                       | CUSIP: 52476DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1302703 | PA      | $1089606.45   | 0.06%             | 2061-04-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                         | BCAP LLC Trust 2007-AA1                                                                                    | CUSIP: 05530PAP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    491275 | PA      | $425088.37    | 0.02%             | 2037-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                    | COMM 2012-CCRE3 Mortgage Trust                                                                             | CUSIP: 12624PAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1481000 | PA      | $680371.24    | 0.04%             | 2045-10-15      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| State Board of Administration Finance Corp             | FLORIDA ST BRD OF ADMIN FIN CORP REVENUE                                                                   | CUSIP: 341271AD6<br>LEI: 549300S34SOJ0RULXM35 | Long             | DBT              | MUN               | US        |   4130000 | PA      | $3791969.00   | 0.21%             | 2025-07-01      | Fixed         | 1.26%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                 | Philip Morris International Inc                                                                            | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    830000 | PA      | $844500.49    | 0.05%             | 2029-11-17      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31384XDC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6168 | PA      | $6214.37      | 0.00%             | 2030-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust 2022-6                                                              | CUSIP: 802918AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    660000 | PA      | $643511.22    | 0.04%             | 2027-06-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| Prestige Auto Receivables Trust                        | Prestige Auto Receivables Trust 2020-1                                                                     | CUSIP: 74114BAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1975000 | PA      | $1928690.00   | 0.11%             | 2026-11-16      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust 2006-TOP21                                                                  | CUSIP: 617451CX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82680 | PA      | $36252.02     | 0.00%             | 2052-10-12      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| KAISER FOUNDATION HOSPIT                               | Kaiser Foundation Hospitals                                                                                | CUSIP: 48305QAF0<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |    355000 | PA      | $258876.94    | 0.01%             | 2041-06-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LLC                        | Domino's Pizza Master Issuer LLC                                                                           | CUSIP: 25755TAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1410125 | PA      | $1217383.47   | 0.07%             | 2049-10-25      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgage Trust                  | PRPM 2020-4 LLC                                                                                            | CUSIP: 69359XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3961841 | PA      | $3822265.22   | 0.22%             | 2025-10-25      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 31385W2D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140464 | PA      | $145331.97    | 0.01%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                 | United States Treasury Note/Bond                                                                           | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26860000 | PA      | $23851889.78  | 1.35%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY INDIANA LLC                                | Duke Energy Indiana LLC                                                                                    | CUSIP: 26443TAB2<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |    780000 | PA      | $543978.29    | 0.03%             | 2049-10-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                         | Fannie Mae-Aces                                                                                            | CUSIP: 3136B75H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8041745 | PA      | $91145.14     | 0.01%             | 2030-01-25      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                      | EURO-BUND FUTURE MAR23                                                                                     | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |      -135 | NC      | $1197342.53   | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Exeter Automobile Receivables Trust                    | Exeter Automobile Receivables Trust 2019-4                                                                 | CUSIP: 30167GAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3714468 | PA      | $3652124.76   | 0.21%             | 2025-09-15      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac Gold Pool                                                                                      | CUSIP: 3128MJAG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99973 | PA      | $103558.96    | 0.01%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae I Pool                                                                                          | CUSIP: 3620AXZS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    552913 | PA      | $549923.29    | 0.03%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                            | Freddie Mac REMICS                                                                                         | CUSIP: 3137BSAJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    477843 | PA      | $75918.61     | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVT OF BERMUDA                                        | Bermuda Government International Bond                                                                      | CUSIP: 085209AG9<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |    735000 | PA      | $619999.61    | 0.04%             | 2030-08-20      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GO DADDY OPCO/FINCO                                    | Go Daddy Operating Co LLC / GD Finance Co Inc                                                              | CUSIP: 38016LAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    770000 | PA      | $649687.50    | 0.04%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                   | CUSIP: 38379AMX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    940311 | PA      | $834268.77    | 0.05%             | 2041-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CROWN FINANCE US, INC.                                 | Crown Finance US, Inc. 2022 DIP Term Loan                                                                  | CUSIP: 22834KAL5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    105085 | PA      | $102950.96    | 0.01%             | 2023-09-07      | Variable      | 14.42%                | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Government National Mortgage Association                                                                   | CUSIP: 38375C5T3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2472383 | PA      | $510334.99    | 0.03%             | 2042-09-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Republic of Senegal                                    | Senegal Government International Bond                                                                      | CUSIP: 000000000<br>LEI: 549300NP14ZLQGWIUZ97 | Long             | DBT              | NUSS              | SN        |   2115000 | PA      | $1742760.00   | 0.10%             | 2033-05-23      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                  | Wells Fargo & Co                                                                                           | CUSIP: 95000U2X0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1215000 | PA      | $1176744.67   | 0.07%             | 2026-04-25      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                             | Fannie Mae Pool                                                                                            | CUSIP: 3140FXGL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2799983 | PA      | $2746792.84   | 0.16%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PES ENERGY LIQUIDATING TRUST                           | PES ENERGY LIQUIDATING TRUST                                                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     30559 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust          | JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9                                              | CUSIP: 46639EAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1290924 | PA      | $1067914.43   | 0.06%             | 2047-12-15      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                        | Venture 42 CLO Ltd                                                                                         | CUSIP: 923260AC7<br>LEI: 5493005OM8P21GK6YE73 | Long             | ABS-CBDO         | CORP              | KY        |   5775000 | PA      | $5510972.78   | 0.31%             | 2034-04-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association               | Ginnie Mae II Pool                                                                                         | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2738284 | PA      | $2315306.79   | 0.13%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-17

**Name of Applicant:** HARTFORD SERIES FUND INC

**Signature:** John Stanziani

**Name of Signer:** John Stanziani

**Title:** Assistant Treasurer