# EDGAR Filing Document

**Accession Number:** 0000892538
**File Stem:** 0001752724-23-070692
**Filing Date:** 2023-3
**Character Count:** 177567
**Document Hash:** 91276a143528e8616e42f38a8bb8c7dc
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-070692.hdr.sgml**: 20230329

**ACCESSION NUMBER**: 0001752724-23-070692

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230329

**DATE AS OF CHANGE**: 20230329

**PERIOD START**: 20230131

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** SUNAMERICA SERIES TRUST
- **CENTRAL INDEX KEY:** 0000892538
- **IRS NUMBER:** 137002445
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0131

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07238
- **FILM NUMBER:** 23772228

**BUSINESS ADDRESS:**
- **STREET 1:** 21650 OXNARD STREET, 10TH FLOOR
- **CITY:** WOODLAND HILLS
- **STATE:** CA
- **ZIP:** 91367
- **BUSINESS PHONE:** 201-324-6378

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

## Series and Classes Contracts Data

### SA PIMCO VCP Tactical Balanced Portfolio (Series ID: S000040593)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000125868 | Class 3      |  |
| C000169135 | Class 1      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** SUNAMERICA SERIES TRUST

- **b. Investment Company Act file number:** 811-07238

- **c. CIK number of Registrant:** 0000892538

- **d. LEI of Registrant:** 549300YDIAXUNCUXFM44

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

  - **Street Address 1:** 21650 Oxnard Street, 10th Floor

  - **City:** Woodland Hills

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 91367

  - **Telephone number:** 800-445-7862

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

- **a. Name of Series:** SA PIMCO VCP Tactical Balanced Portfolio

- **b. EDGAR series identifier (if any):** S000040593

- **c. LEI of Series:** 5493001ZAM72PQFJBP54

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

- **a. Date of fiscal year-end:** 2023-01-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1284142098.79

**Total Liabilities:** $273847425.60

**Net Assets:** $1010294673.19

**Delayed Delivery Securities:** $255746041.03

**Cash Not Reported:** $2568213.92

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -572.28000000 | **1-Year:** -8969.98000000 | **5-Year:** -21817.17000000 | **10-Year:** -20239.83000000 | **30-Year:** -10459.66000000

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

- **3-Month:** -652.39000000 | **1-Year:** -1546.95000000 | **5-Year:** -3984.64000000 | **10-Year:** -2280.66000000 | **30-Year:** -1069.96000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000125868 | 3.98%                | -2.68%               | 4.70%                |
| Class ID C000169135 | 3.93%                | -2.65%               | 4.76%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $388206.47               | $14499003.71                               |
| Month 2  | $1551526.68              | $-5219313.41                               |
| Month 3  | $2170062.72              | $11230633.14                               |

**Designated Index Information**

- **Index Name:** 40% S&P 500, 40% Bloomberg US Aggregate Bond, 15% MSCI EAFE (Net) Index, 5% Russell 2000

- **Index Identifier:** 40% SPX, 40% LBUSTRUU, 15% M1EA, 5% RU20INTR

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| AMER AIRLINE 16-3 A PTT                            | American Airlines 2016-3 Class A Pass Through Trust                                                                              | CUSIP: 023771S25<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    144282 | PA      | $114988.56    | 0.01%             | 2028-10-15      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| United States Treasury                             | United States Treasury Note/Bond                                                                                                 | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2200000 | PA      | $2352625.00   | 0.23%             | 2052-11-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Sound Point CLO LTD                                | Sound Point Clo XII Ltd                                                                                                          | CUSIP: 83610CAW1<br>LEI: 549300EBWPUX52MGF160 | Long             | ABS-CBDO         | CORP              | KY        |    829431 | PA      | $823433.24    | 0.08%             | 2028-10-20      | Floating      | 5.86%                 | No            | 2                  | On Loan: No      |
| Countrywide Alternative Loan Trust                 | Alternative Loan Trust 2007-J1                                                                                                   | CUSIP: 02149MAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    651182 | PA      | $266403.55    | 0.03%             | 2037-03-25      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| ROCHESTER GAS & ELECTRIC                           | Rochester Gas and Electric Corp                                                                                                  | CUSIP: 771367CE7<br>LEI: 549300DD8M80WFTQO509 | Long             | DBT              | CORP              | US        |    960000 | PA      | $758352.34    | 0.08%             | 2030-12-01      | Fixed         | 1.85%                 | No            | 2                  | On Loan: No      |
| AMERICAN TOWER CORP                                | American Tower Corp                                                                                                              | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    400000 | PA      | $327721.39    | 0.03%             | 2030-06-15      | Fixed         | 2.10%                 | No            | 2                  | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                             | Mitsubishi UFJ Financial Group Inc                                                                                               | CUSIP: 606822CQ5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   1500000 | PA      | $1498165.86   | 0.15%             | 2025-09-12      | Fixed         | 5.06%                 | No            | 2                  | On Loan: No      |
| HIGHWOODS REALTY LP                                | Highwoods Realty LP                                                                                                              | CUSIP: 431282AT9<br>LEI: JUJNVZX73BIYHLR58F51 | Long             | DBT              |  | US        |    100000 | PA      | $76652.20     | 0.01%             | 2031-02-01      | Fixed         | 2.60%                 | No            | 2                  | On Loan: No      |
| Lloyds Banking Group PLC                           | Lloyds Banking Group PLC                                                                                                         | CUSIP: 539439AR0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    600000 | PA      | $582359.80    | 0.06%             | 2028-03-22      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| Options Clearing Corp.                             | S+P 500 INDEX                                                                                                                    | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |       185 | NC      | $526325.00    | 0.05%             |  |  |  | No            | 1                  | On Loan: No      |
| Birch Grove CLO Ltd.                               | Birch Grove CLO Ltd                                                                                                              | CUSIP: 09075JAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2500000 | PA      | $2459000.00   | 0.24%             | 2031-06-15      | Floating      | 5.90%                 | No            | 2                  | On Loan: No      |
| Citibank N.A.                                      | PURCHASED PEN / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | PE        |         1 | NC      | $-2457.62     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| CHENIERE ENERGY PARTNERS                           | Cheniere Energy Partners LP                                                                                                      | CUSIP: 16411QAK7<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    300000 | PA      | $269148.00    | 0.03%             | 2031-03-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Mercedes-Benz Finance North America LLC            | Mercedes-Benz Finance North America LLC                                                                                          | CUSIP: 58768KP66<br>LEI: 549300423Z16BB673J12 | Long             | STIV             | CORP              | US        |    500000 | PA      | $499609.92    | 0.05%             | 2023-02-06      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| CONSTELLATION BRANDS INC                           | Constellation Brands Inc                                                                                                         | CUSIP: 21036PBL1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99972.19     | 0.01%             | 2032-05-09      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| REPUBLIC OF PERU                                   | Peruvian Government International Bond                                                                                           | CUSIP: 715638DS8<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    200000 | PA      | $150390.25    | 0.01%             | 2041-03-11      | Fixed         | 3.30%                 | No            | 2                  | On Loan: No      |
| STIFEL FINANCIAL CORP                              | Stifel Financial Corp                                                                                                            | CUSIP: 860630AG7<br>LEI: 549300E5F07FE5GHJX84 | Long             | DBT              | CORP              | US        |    400000 | PA      | $357663.91    | 0.04%             | 2030-05-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| VASA Trust                                         | VASA Trust 2021-VASA                                                                                                             | CUSIP: 92230AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $465099.60    | 0.05%             | 2039-07-15      | Floating      | 5.36%                 | No            | 2                  | On Loan: No      |
| Constellation Energy Generation LLC                | Constellation Energy Generation LLC                                                                                              | CUSIP: 21038QPP3<br>LEI: S2PEWKCZFFECR4533P43 | Long             | STIV             | CORP              | US        |   1100000 | PA      | $1096290.73   | 0.11%             | 2023-02-23      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| PACIFIC GAS & ELECTRIC                             | Pacific Gas and Electric Co                                                                                                      | CUSIP: 694308HW0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    500000 | PA      | $456862.56    | 0.05%             | 2027-12-01      | Fixed         | 3.30%                 | No            | 2                  | On Loan: No      |
| SANTANDER HOLDINGS USA                             | Santander Holdings USA Inc                                                                                                       | CUSIP: 80282KBC9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    400000 | PA      | $352807.82    | 0.03%             | 2028-01-06      | Fixed         | 2.49%                 | No            | 2                  | On Loan: No      |
| LoanCore 2021-CRE5 Issuer, Ltd                     | LoanCore 2021-CRE5 Issuer Ltd                                                                                                    | CUSIP: 53947XAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $483208.70    | 0.05%             | 2036-07-15      | Floating      | 5.75%                 | No            | 2                  | On Loan: No      |
| United States Treasury                             | United States Treasury Note/Bond                                                                                                 | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9500000 | PA      | $6920898.39   | 0.69%             | 2041-08-15      | Fixed         | 1.75%                 | No            | 2                  | On Loan: No      |
| T-MOBILE USA INC                                   | T-Mobile USA Inc                                                                                                                 | CUSIP: 87264ACS2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    700000 | PA      | $608977.42    | 0.06%             | 2029-03-15      | Fixed         | 2.40%                 | No            | 2                  | On Loan: No      |
| MARRIOTT INTERNATIONAL                             | Marriott International Inc/MD                                                                                                    | CUSIP: 571903BG7<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |    700000 | PA      | $595784.84    | 0.06%             | 2031-04-15      | Fixed         | 2.85%                 | No            | 2                  | On Loan: No      |
| DOMINICAN REPUBLIC                                 | Dominican Republic International Bond                                                                                            | CUSIP: 25714PEF1<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |   1200000 | PA      | $1021544.92   | 0.10%             | 2032-09-23      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| ALASKA AIRLINES 2020 TR                            | Alaska Airlines 2020-1 Class A Pass Through Trust                                                                                | CUSIP: 01166VAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    168645 | PA      | $164063.54    | 0.02%             | 2027-08-15      | Fixed         | 4.80%                 | No            | 2                  | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                             | Mitsubishi UFJ Financial Group Inc                                                                                               | CUSIP: 606822CC6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    900000 | PA      | $812694.13    | 0.08%             | 2028-01-19      | Fixed         | 2.34%                 | No            | 2                  | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                             | NXP BV / NXP Funding LLC / NXP USA Inc                                                                                           | CUSIP: 62954HBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    900000 | PA      | $882435.90    | 0.09%             | 2033-01-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Constellation Brands Inc                           | Constellation Brands Inc                                                                                                         | CUSIP: 21037DPE8<br>LEI: 5493005GKEG8QCVY7037 | Long             | STIV             | CORP              | US        |    400000 | PA      | $399217.87    | 0.04%             | 2023-02-14      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                                                                  | CUSIP: 3140X7SQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    266622 | PA      | $261302.16    | 0.03%             | 2049-07-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                        | Freddie Mac REMICS                                                                                                               | CUSIP: 3137F5BX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    434362 | PA      | $424225.45    | 0.04%             | 2043-10-15      | Floating      | 4.65%                 | No            | 2                  | On Loan: No      |
| ILLUMINA INC                                       | Illumina Inc                                                                                                                     | CUSIP: 452327AM1<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |    400000 | PA      | $331554.82    | 0.03%             | 2031-03-23      | Fixed         | 2.55%                 | No            | 2                  | On Loan: No      |
| WEIR GROUP PLC (THE)                               | Weir Group PLC/The                                                                                                               | CUSIP: 94876QAA4<br>LEI: 549300KDR56WHY9I3D10 | Long             | DBT              | CORP              | GB        |    900000 | PA      | $806644.21    | 0.08%             | 2026-05-13      | Fixed         | 2.20%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association           | Government National Mortgage Association                                                                                         | CUSIP: 38375UXM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1377106 | PA      | $1361397.76   | 0.13%             | 2066-05-20      | Floating      | 4.98%                 | No            | 2                  | On Loan: No      |
| Thomson Reuters Corp                               | Thomson Reuters Corp                                                                                                             | CUSIP: 88513BP87<br>LEI: 549300561UZND4C7B569 | Long             | STIV             | CORP              | CA        |    250000 | PA      | $249743.22    | 0.02%             | 2023-02-08      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| UNITED AIR 2016-2 A PTT                            | United Airlines 2016-2 Class A Pass Through Trust                                                                                | CUSIP: 90932DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    735690 | PA      | $615480.22    | 0.06%             | 2028-10-07      | Fixed         | 3.10%                 | No            | 2                  | On Loan: No      |
| PRESTIGE BRANDS INC                                | Prestige Brands Inc                                                                                                              | CUSIP: 74112BAM7<br>LEI: 549300JBVP4J6D42I235 | Long             | DBT              | CORP              | US        |    500000 | PA      | $424550.00    | 0.04%             | 2031-04-01      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                             | 317U22SA4 PIMCO                                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |  -2000000 | NC      | $-5082.60     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Alba Plc                                           | Alba 2005-1 PLC                                                                                                                  | CUSIP: 000000000<br>LEI: 213800OGMHK8BKUJEY32 | Long             | ABS-MBS          | CORP              | GB        |    339718 | PA      | $403427.54    | 0.04%             | 2042-11-25      | Floating      | 3.61%                 | No            | 2                  | On Loan: No      |
| Bear Stearns Asset Backed Securities Trust         | Bear Stearns Asset Backed Securities I Trust 2006-PC1                                                                            | CUSIP: 07387UAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34235 | PA      | $34113.70     | 0.00%             | 2035-12-25      | Floating      | 5.14%                 | No            | 2                  | On Loan: No      |
| WILLIS NORTH AMERICA INC                           | Willis North America Inc                                                                                                         | CUSIP: 970648AL5<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1385517.24   | 0.14%             | 2027-06-15      | Fixed         | 4.65%                 | No            | 2                  | On Loan: No      |
| United States Treasury                             | United States Treasury Bill                                                                                                      | CUSIP: 912796Y78<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  50500000 | PA      | $50331645.63  | 4.98%             | 2023-02-28      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| Barings CLO Ltd. 2016-II                           | Barings CLO Ltd 2016-II                                                                                                          | CUSIP: 06761CAL3<br>LEI: 549300Z33CTC4YAKLT16 | Long             | ABS-CBDO         | CORP              | KY        |    450000 | PA      | $444424.05    | 0.04%             | 2032-01-20      | Floating      | 5.88%                 | No            | 2                  | On Loan: No      |
| Sound Point CLO LTD                                | Sound Point Clo XV Ltd                                                                                                           | CUSIP: 83609RAL5<br>LEI: 549300YVZ0M0XDDYS744 | Long             | ABS-CBDO         | CORP              | KY        |    281706 | PA      | $279367.13    | 0.03%             | 2029-01-23      | Floating      | 5.72%                 | No            | 2                  | On Loan: No      |
| Sculptor CLO XXV, Ltd.                             | Sculptor CLO XXV Ltd                                                                                                             | CUSIP: 811244AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $593797.20    | 0.06%             | 2031-01-15      | Floating      | 6.06%                 | No            | 2                  | On Loan: No      |
| United States Treasury                             | United States Treasury Note/Bond                                                                                                 | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10100000 | PA      | $7591964.87   | 0.75%             | 2041-02-15      | Fixed         | 1.88%                 | No            | 2                  | On Loan: No      |
| LEASEPLAN CORPORATION NV                           | LeasePlan Corp NV                                                                                                                | CUSIP: 52206AAD2<br>LEI: 724500C60L930FVHS484 | Long             | DBT              | CORP              | NL        |   1200000 | PA      | $1138788.00   | 0.11%             | 2024-10-24      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| CROWN CASTLE INC                                   | Crown Castle Inc                                                                                                                 | CUSIP: 22822VAR2<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |    300000 | PA      | $272704.06    | 0.03%             | 2030-07-01      | Fixed         | 3.30%                 | No            | 2                  | On Loan: No      |
| Pennsylvania Higher Education Assistance Agency    | PHEAA Student Loan Trust 2016-2                                                                                                  | CUSIP: 69343VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    257285 | PA      | $255136.10    | 0.03%             | 2065-11-25      | Floating      | 5.46%                 | No            | 2                  | On Loan: No      |
| United States Treasury                             | United States Treasury Note/Bond - WI Reopening                                                                                  | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4000000 | PA      | $4133750.00   | 0.41%             | 2042-11-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| DAE FUNDING LLC                                    | DAE Funding LLC                                                                                                                  | CUSIP: 23371DAJ3<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1699843.75   | 0.17%             | 2024-08-01      | Fixed         | 1.55%                 | No            | 2                  | On Loan: No      |
| NYO Commercial Mortgage Trust                      | NYO Commercial Mortgage Trust 2021-1290                                                                                          | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900000 | PA      | $824633.37    | 0.08%             | 2038-11-15      | Floating      | 5.56%                 | No            | 2                  | On Loan: No      |
| APPALACHIAN POWER CO                               | Appalachian Power Co                                                                                                             | CUSIP: 037735DA2<br>LEI: 3SCHO1ABYYIG382BEI70 | Long             | DBT              | CORP              | US        |    200000 | PA      | $194496.39    | 0.02%             | 2032-08-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                                                                  | CUSIP: 3140Q9NL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3250 | PA      | $3185.24      | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Mercedes-Benz Finance North America LLC            | Mercedes-Benz Finance North America LLC                                                                                          | CUSIP: 58768KPH2<br>LEI: 549300423Z16BB673J12 | Long             | STIV             | CORP              | US        |    500000 | PA      | $498881.78    | 0.05%             | 2023-02-17      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| LCM Ltd Partnership                                | LCM XIII LP                                                                                                                      | CUSIP: 50184KBL1<br>LEI: 549300WD241FFLNM0E69 | Long             | ABS-CBDO         | CORP              | KY        |   1329846 | PA      | $1320234.21   | 0.13%             | 2027-07-19      | Floating      | 5.67%                 | No            | 2                  | On Loan: No      |
| ENERGY TRANSFER LP                                 | Energy Transfer LP                                                                                                               | CUSIP: 29273RBG3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39641.82     | 0.00%             | 2026-01-15      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| United States Treasury                             | United States Treasury Note/Bond                                                                                                 | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    290000 | PA      | $249660.55    | 0.02%             | 2046-11-15      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| VICI PROPERTIES LP                                 | VICI Properties LP                                                                                                               | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |   1000000 | PA      | $968327.10    | 0.10%             | 2028-02-15      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| MortgageIT Trust                                   | MortgageIT Trust 2005-2                                                                                                          | CUSIP: 61915RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16966 | PA      | $16204.81     | 0.00%             | 2035-05-25      | Floating      | 5.03%                 | No            | 2                  | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                           | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                                        | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1000000 | PA      | $899601.30    | 0.09%             | 2026-10-29      | Fixed         | 2.45%                 | No            | 2                  | On Loan: No      |
| MidOcean Credit CLO                                | Midocean Credit Clo VIII                                                                                                         | CUSIP: 59801MAL2<br>LEI: 549300T32RO3I7BJ4V26 | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $495591.50    | 0.05%             | 2031-02-20      | Floating      | 5.73%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                                                                  | CUSIP: 3140LXDP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4048236 | PA      | $3587756.62   | 0.36%             | 2037-06-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Sands China Ltd                                    | Sands China Ltd                                                                                                                  | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $196495.04    | 0.02%             | 2028-08-08      | Fixed         | 5.90%                 | No            | 2                  | On Loan: No      |
| CCRDRXUS9 FUTURES COC USD                          | CCRDRXUS9 FUTURES COC USD                                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |  25147000 | NS      | $25147000.00  | 2.49%             |  |  |  | No            | N/A                | On Loan: No      |
| Texas Transportation Commission State Highway Fund | TEXAS ST TRANSPRTN COMMISSIONST HIGHWAY FUND REVENUE                                                                             | CUSIP: 88283LKV7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1000000 | PA      | $962127.50    | 0.10%             | 2033-10-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Citibank N.A.                                      | PURCHASED PEN / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | PE        |         1 | NC      | $-3409.65     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| HSBC HOLDINGS PLC                                  | HSBC Holdings PLC                                                                                                                | CUSIP: 404280DR7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1100000 | PA      | $1199122.45   | 0.12%             | 2028-11-03      | Fixed         | 7.39%                 | No            | 2                  | On Loan: No      |
| Citibank N.A.                                      | PURCHASED PEN / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | PE        |         1 | NC      | $275.72       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| SMBC AVIATION CAPITAL FI                           | SMBC Aviation Capital Finance DAC                                                                                                | CUSIP: 78448TAE2<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |    300000 | PA      | $291598.14    | 0.03%             | 2024-04-15      | Fixed         | 3.55%                 | No            | 2                  | On Loan: No      |
| STATE STREET CORP                                  | State Street Corp                                                                                                                | CUSIP: 857477BY8<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    300000 | PA      | $315105.96    | 0.03%             | 2028-11-04      | Fixed         | 5.82%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley & Co. LLC                           | 317U21ZA8 PIMCO                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   -400000 | NC      | $-227.68      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Chicago Board of Trade                             | US LONG BOND(CBT) MAR23                                                                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -29 | NC      | $-133486.51   | -0.01%            |  |  |  | No            | 1                  | On Loan: No      |
| Countrywide Asset-Backed Certificates              | CWABS Asset-Backed Certificates Trust 2006-11                                                                                    | CUSIP: 12667AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    968341 | PA      | $888176.03    | 0.09%             | 2036-12-25      | Floating      | 4.77%                 | No            | 2                  | On Loan: No      |
| SEMPRA ENERGY                                      | Sempra Energy                                                                                                                    | CUSIP: 816851BP3<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    600000 | PA      | $565993.34    | 0.06%             | 2029-04-01      | Fixed         | 3.70%                 | No            | 2                  | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                           | Charter Communications Operating LLC / Charter Communications Operating Capital                                                  | CUSIP: 161175BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $190258.91    | 0.02%             | 2061-04-01      | Fixed         | 3.85%                 | No            | 2                  | On Loan: No      |
| TBW Mortgage Backed Pass Through Certificates      | TBW Mortgage-Backed Trust Series 2006-3                                                                                          | CUSIP: 87804AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    639315 | PA      | $310071.82    | 0.03%             | 2036-07-25      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Marble Point CLO X LTD                             | Marble Point Clo X Ltd                                                                                                           | CUSIP: 566061AL1<br>LEI: 549300PJ1FVY9B16K017 | Long             | ABS-CBDO         | CORP              | KY        |    673097 | PA      | $662271.26    | 0.07%             | 2030-10-15      | Floating      | 5.83%                 | No            | 2                  | On Loan: No      |
| MORGAN STANLEY + CO INC CASH COLL (CCP)            | MORGAN STANLEY + CO INC                                                                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |    446000 | NS      | $446000.00    | 0.04%             |  |  |  | No            | 1                  | On Loan: No      |
| Countrywide Asset-Backed Certificates              | CWABS Asset-Backed Certificates Trust 2005-2                                                                                     | CUSIP: 126673C26<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1100000 | PA      | $996449.08    | 0.10%             | 2035-08-25      | Floating      | 6.46%                 | No            | 2                  | On Loan: No      |
| Countrywide Alternative Loan Trust                 | Alternative Loan Trust 2006-OA3                                                                                                  | CUSIP: 12668BB77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2658223 | PA      | $2245815.80   | 0.22%             | 2036-05-25      | Floating      | 4.93%                 | No            | 2                  | On Loan: No      |
| Romark CLO Ltd                                     | Romark CLO Ltd                                                                                                                   | CUSIP: 77587UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1050000 | PA      | $1035645.45   | 0.10%             | 2030-10-23      | Floating      | 5.85%                 | No            | 2                  | On Loan: No      |
| BOSTON SCIENTIFIC CORP                             | Boston Scientific Corp                                                                                                           | CUSIP: 101137BA4<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |    450000 | PA      | $399422.68    | 0.04%             | 2030-06-01      | Fixed         | 2.65%                 | No            | 2                  | On Loan: No      |
| Citibank N.A.                                      | PURCHASED USD / SOLD PEN                                                                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |         1 | NC      | $-2127.27     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| ALEXANDRIA REAL ESTATE E                           | Alexandria Real Estate Equities Inc                                                                                              | CUSIP: 015271AG4<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              |  | US        |    100000 | PA      | $98239.80     | 0.01%             | 2029-07-30      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| LCH Limited                                        | Long: SWU010DI3 IRS CAD R F  1.23500 SWU010DI3 CCPVANILLA / Short: SWU010DI3 IRS CAD P V 03MCDOR SWUV10DI5 CCPVANILLA            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3400000 | OU      | $-148740.13   | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| LCH Limited                                        | Long: SWU010CK9 IRS CAD R F  1.22000 SWU010CK9 CCPVANILLA / Short: SWU010CK9 IRS CAD P V 03MCDOR SWUV10CK1 CCPVANILLA            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    800000 | OU      | $-35163.86    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Countrywide Alternative Loan Trust                 | Alternative Loan Trust 2005-65CB                                                                                                 | CUSIP: 12668AZ65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    147331 | PA      | $109688.86    | 0.01%             | 2035-12-25      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| BROADCOM INC                                       | Broadcom Inc                                                                                                                     | CUSIP: 11135FBL4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    100000 | PA      | $82912.75     | 0.01%             | 2034-04-15      | Fixed         | 3.47%                 | No            | 2                  | On Loan: No      |
| Freddiemac Strip                                   | Freddie Mac Strips                                                                                                               | CUSIP: 31325UUE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    726838 | PA      | $66841.11     | 0.01%             | 2043-09-15      | Floating      | 1.43%                 | No            | 2                  | On Loan: No      |
| SOUTHERN CAL EDISON                                | Southern California Edison Co                                                                                                    | CUSIP: 842400FZ1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    480000 | PA      | $447232.36    | 0.04%             | 2043-10-01      | Fixed         | 4.65%                 | No            | 2                  | On Loan: No      |
| Chicago Board of Trade                             | US 10YR ULTRA FUT MAR23                                                                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -346 | NC      | $-794213.90   | -0.08%            |  |  |  | No            | 1                  | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                                                                  | CUSIP: 3140MS7E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26686 | PA      | $23658.87     | 0.00%             | 2037-06-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| BARCLAYS PLC                                       | Barclays PLC                                                                                                                     | CUSIP: 06738EBZ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $300019.60    | 0.03%             | 2026-08-09      | Fixed         | 5.30%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                                                                                 | CUSIP: 31329P5X7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    527268 | PA      | $516203.35    | 0.05%             | 2049-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Physicians Realty LP                               | Physicians Realty LP                                                                                                             | CUSIP: 71951QAB8<br>LEI: 549300P6Q1UMT0X60U20 | Long             | DBT              |  | US        |    315000 | PA      | $296172.82    | 0.03%             | 2028-01-15      | Fixed         | 3.95%                 | No            | 2                  | On Loan: No      |
| LCH Limited                                        | Long: BWU01BIU7 IRS USD R V 03MLIBOR SWUV1BIU9 CCPVANILLA / Short: BWU01BIU7 IRS USD P F  1.44100 SWU01BIU7 CCPVANILLA           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   9600000 | OU      | $1431717.12   | 0.14%             |  |  |  | No            | 2                  | On Loan: No      |
| Chicago Mercantile Exchange                        | Long: SWU01NJO4 IRS BRL R F 12.97950 SWU01NJO4 CCPNDFPREDISWAP / Short: SWU01NJO4 IRS BRL P V 00MBRCDI SWUV1NJO6 CCPNDFPREDISWAP | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  18800000 | OU      | $24366.97     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                                                                  | CUSIP: 3140X7ST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6334204 | PA      | $6164042.54   | 0.61%             | 2050-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Bank of America N.A.                               | PURCHASED EUR / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | XX        |         1 | NC      | $5215.54      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| MORGAN STANLEY MSC2 CA H COLL BROKER               | MORGAN STANLEY MSC2 CA H COLL BROKER                                                                                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |   -716000 | NS      | $-716000.00   | -0.07%            |  |  |  | No            | 2                  | On Loan: No      |
| FEDERAL HOME LOAN BANK                             | Federal Home Loan Banks                                                                                                          | CUSIP: 3130AUQ56<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |  12200000 | PA      | $12200093.21  | 1.21%             | 2023-05-04      | Floating      | 4.34%                 | No            | 2                  | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                           | Avolon Holdings Funding Ltd                                                                                                      | CUSIP: 05401AAH4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    400000 | PA      | $375134.29    | 0.04%             | 2025-02-15      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| Arrow Electronics Inc                              | Arrow Electronics Inc                                                                                                            | CUSIP: 04273MPF4<br>LEI: 549300YNNLBXT8N8R512 | Long             | STIV             | CORP              | US        |   1500000 | PA      | $1496843.13   | 0.15%             | 2023-02-15      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| NATWEST GROUP PLC                                  | NatWest Group PLC                                                                                                                | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   1100000 | PA      | $1085516.58   | 0.11%             | 2029-05-18      | Fixed         | 4.89%                 | No            | 2                  | On Loan: No      |
| Woodside Finance Ltd                               | Woodside Finance Ltd                                                                                                             | CUSIP: 980236AM5<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |     10000 | PA      | $9692.17      | 0.00%             | 2025-03-05      | Fixed         | 3.65%                 | No            | 2                  | On Loan: No      |
| KREF 2022-Fl3 Ltd                                  | KREF 2022-FL3 Ltd                                                                                                                | CUSIP: 48275EAA4<br>LEI: 549300DG0FGL1EU1CT79 | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $386912.04    | 0.04%             | 2039-02-17      | Floating      | 5.94%                 | No            | 2                  | On Loan: No      |
| OMEGA HLTHCARE INVESTORS                           | Omega Healthcare Investors Inc                                                                                                   | CUSIP: 681936BN9<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              |  | US        |    600000 | PA      | $451227.42    | 0.04%             | 2033-04-15      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| BDS Ltd                                            | BDS 2022-FL11 LLC                                                                                                                | CUSIP: 054980AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $990036.20    | 0.10%             | 2039-03-19      | Floating      | 6.29%                 | No            | 2                  | On Loan: No      |
| Woodside Finance Ltd                               | Woodside Finance Ltd                                                                                                             | CUSIP: 980236AQ6<br>LEI: 254900AIZKU6TGRRNZ98 | Long             | DBT              | CORP              | AU        |    300000 | PA      | $289802.17    | 0.03%             | 2029-03-04      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FED HOME LN DISCOUNT NT                            | Federal Home Loan Bank Discount Notes                                                                                            | CUSIP: 313384BZ1<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |  17900000 | PA      | $17864332.82  | 1.77%             | 2023-02-17      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| Options Clearing Corp.                             | S+P 500 INDEX                                                                                                                    | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |       185 | NC      | $941650.00    | 0.09%             |  |  |  | No            | 1                  | On Loan: No      |
| REPUBLIC OF PERU                                   | Peruvian Government International Bond                                                                                           | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    700000 | PA      | $159117.52    | 0.02%             | 2032-08-12      | Fixed         | 6.15%                 | No            | 2                  | On Loan: No      |
| Bruegel                                            | Bruegel 2021 DAC                                                                                                                 | CUSIP: 000000000<br>LEI: 549300P1CR5XGGQ0OD33 | Long             | ABS-MBS          | CORP              | IE        |   1860486 | PA      | $1926194.93   | 0.19%             | 2031-05-22      | Floating      | 2.62%                 | No            | 2                  | On Loan: No      |
| JPMorgan Securities LLC                            | J P MORGAN TERM REPO                                                                                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Long             | RA               | CORP              | US        |    100000 | PA      | $100000.00    | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| NISOURCE INC                                       | NiSource Inc                                                                                                                     | CUSIP: 65473PAM7<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    300000 | PA      | $293219.66    | 0.03%             | 2052-06-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| HGI CRE CLO Ltd                                    | HGI CRE CLO 2021-FL3 Ltd                                                                                                         | CUSIP: 403950AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $244702.35    | 0.02%             | 2037-04-20      | Floating      | 5.98%                 | No            | 2                  | On Loan: No      |
| Boston Scientific Corp                             | Boston Scientific Corp                                                                                                           | CUSIP: 101137AU1<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |     99000 | PA      | $95555.71     | 0.01%             | 2049-03-01      | Fixed         | 4.70%                 | No            | 2                  | On Loan: No      |
| Worldwide Plaza Trust                              | Worldwide Plaza Trust 2017-WWP                                                                                                   | CUSIP: 98162JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2100000 | PA      | $1850621.22   | 0.18%             | 2036-11-10      | Fixed         | 3.53%                 | No            | 2                  | On Loan: No      |
| KKR GROUP FINAN CO XII                             | KKR Group Finance Co XII LLC                                                                                                     | CUSIP: 48255GAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1263776.12   | 0.13%             | 2032-05-17      | Fixed         | 4.85%                 | No            | 2                  | On Loan: No      |
| La Hipotecaria SA                                  | La Hipotecaria El Salvadorian Mortgage Trust 2016-1                                                                              | CUSIP: 50346VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | PA        |    820931 | PA      | $784169.61    | 0.08%             | 2046-01-15      | Fixed         | 3.36%                 | No            | 3                  | On Loan: No      |
| Options Clearing Corp.                             | S+P 500 INDEX                                                                                                                    | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |       185 | NC      | $1762125.00   | 0.17%             |  |  |  | No            | 1                  | On Loan: No      |
| ICE Futures U.S., Inc.                             | MSCI EAFE MAR23                                                                                                                  | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DE               |  | US        |      1485 | NC      | $8863077.05   | 0.88%             |  |  |  | No            | 1                  | On Loan: No      |
| Start Ltd.                                         | Start II LTD                                                                                                                     | CUSIP: 85573LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |    293574 | PA      | $253806.53    | 0.03%             | 2044-03-15      | Fixed         | 4.09%                 | No            | 2                  | On Loan: No      |
| Countrywide Asset-Backed Certificates              | CWABS Asset-Backed Certificates Trust 2007-10                                                                                    | CUSIP: 23246BAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    586356 | PA      | $562598.95    | 0.06%             | 2047-06-25      | Floating      | 4.76%                 | No            | 2                  | On Loan: No      |
| HCA INC                                            | HCA Inc                                                                                                                          | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    300000 | PA      | $285157.20    | 0.03%             | 2029-06-15      | Fixed         | 4.13%                 | No            | 2                  | On Loan: No      |
| Louisiana Loc Govt Envrnmntl Fac & Cmnty Dev Auth  | Louisiana Local Government Environmental Facilities & Community Development Auth                                                 | CUSIP: 54627RAN0<br>LEI: 5493004WIZ1HV87IVF85 | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1161595.92   | 0.11%             | 2036-02-01      | Fixed         | 4.28%                 | No            | 2                  | On Loan: No      |
| Eurosail Plc                                       | Eurosail-UK 2007-3bl PLC                                                                                                         | CUSIP: 29880YAJ8<br>LEI: 213800YCKG3TNT5E1296 | Long             | ABS-MBS          | CORP              | GB        |    274632 | PA      | $336530.91    | 0.03%             | 2045-06-13      | Floating      | 4.46%                 | No            | 2                  | On Loan: No      |
| Citibank N.A.                                      | PURCHASED MXN / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | MX        |         1 | NC      | $70.32        | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| SANDS CHINA LTD                                    | Sands China Ltd                                                                                                                  | CUSIP: 80007RAK1<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    400000 | PA      | $379419.16    | 0.04%             | 2026-01-08      | Fixed         | 4.30%                 | No            | 2                  | On Loan: No      |
| SPIRIT AIR 2017-1 PTT A                            | Spirit Airlines Pass Through Trust 2017-1A                                                                                       | CUSIP: 84858XAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    376907 | PA      | $313969.47    | 0.03%             | 2030-02-15      | Fixed         | 3.65%                 | No            | 2                  | On Loan: No      |
| JPMorgan Securities LLC                            | J P MORGAN TERM REPO                                                                                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Long             | RA               | CORP              | US        | 150500000 | PA      | $150500000.00 | 14.90%            |  |  |  | No            | 2                  | On Loan: No      |
| Government National Mortgage Association           | Ginnie Mae                                                                                                                       | CUSIP: 21H040624<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4300000 | PA      | $4174359.38   | 0.41%             | 2053-02-21      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Chicago Board of Trade                             | US 10YR NOTE (CBT)MAR23                                                                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       167 | NC      | $269841.61    | 0.03%             |  |  |  | No            | 1                  | On Loan: No      |
| Countrywide Asset-Backed Certificates              | CWABS Asset-Backed Certificates Trust 2006-25                                                                                    | CUSIP: 12668HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    153072 | PA      | $140918.57    | 0.01%             | 2037-06-25      | Floating      | 4.65%                 | No            | 2                  | On Loan: No      |
| BANK OF AM BOS2 CASH COLL                          | BANK OF AM BOS2 CASH COLL                                                                                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | STIV             | CORP              | US        |  -1830000 | NS      | $-1830000.00  | -0.18%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America N.A.                               | PURCHASED JPY / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | JP        |         1 | NC      | $-40218.87    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                           | Duke Energy Progress LLC                                                                                                         | CUSIP: 26442UAP9<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    800000 | PA      | $683596.61    | 0.07%             | 2052-04-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Citigroup Commercial Mortgage Trust                | Citigroup COmmercial Mortgage Trust 2019-SMRT                                                                                    | CUSIP: 29429MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2400000 | PA      | $2352919.92   | 0.23%             | 2036-01-10      | Fixed         | 4.15%                 | No            | 2                  | On Loan: No      |
| NISSAN MOTOR CO                                    | Nissan Motor Co Ltd                                                                                                              | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    400000 | PA      | $376571.92    | 0.04%             | 2027-09-17      | Fixed         | 4.35%                 | No            | 2                  | On Loan: No      |
| United States Treasury                             | United States Treasury Note/Bond                                                                                                 | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4800000 | PA      | $4538250.00   | 0.45%             | 2042-08-15      | Fixed         | 3.38%                 | No            | 2                  | On Loan: No      |
| Fortress CBO Investments Ltd                       | FORT CRE 2022-FL3 Issuer LLC                                                                                                     | CUSIP: 34706CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1200000 | PA      | $1180187.88   | 0.12%             | 2039-02-23      | Floating      | 6.16%                 | No            | 2                  | On Loan: No      |
| NATWEST GROUP PLC                                  | NatWest Group PLC                                                                                                                | CUSIP: 639057AG3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   1500000 | PA      | $1586739.20   | 0.16%             | 2026-11-10      | Fixed         | 7.47%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                                                                                 | CUSIP: 3131Y0WZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66151 | PA      | $65012.43     | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Credit Suisse Mortgage Trust                       | CSMC 2020-RPL5 Trust                                                                                                             | CUSIP: 12597XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255994 | PA      | $249414.51    | 0.02%             | 2060-08-25      | Variable      | 3.02%                 | No            | 2                  | On Loan: No      |
| MICRON TECHNOLOGY INC                              | Micron Technology Inc                                                                                                            | CUSIP: 595112BV4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    600000 | PA      | $639958.12    | 0.06%             | 2029-11-01      | Fixed         | 6.75%                 | No            | 2                  | On Loan: No      |
| JPMORGAN CHASE & CO                                | JPMorgan Chase & Co                                                                                                              | CUSIP: 46647PDF0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1371348.85   | 0.14%             | 2030-06-14      | Fixed         | 4.57%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                                                                                 | CUSIP: 3131Y2UM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5758 | PA      | $5655.21      | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| UMBS, TBA                                          | Uniform Mortgage-Backed Security, TBA                                                                                            | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3100000 | PA      | $3111382.80   | 0.31%             | 2053-02-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Barclays Bank PLC                                  | 317U1WJA9 PIMCO                                                                                                                  | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |   -800000 | NC      | $-782.00      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| UNITED AIR 2019-1 A PTT                            | United Airlines 2019-1 Class A Pass Through Trust                                                                                | CUSIP: 90931EAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    774110 | PA      | $664540.17    | 0.07%             | 2031-08-25      | Fixed         | 4.55%                 | No            | 2                  | On Loan: No      |
| GA GLOBAL FUNDING TRUST                            | GA Global Funding Trust                                                                                                          | CUSIP: 36143L2H7<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    800000 | PA      | $655812.65    | 0.06%             | 2032-01-06      | Fixed         | 2.90%                 | No            | 2                  | On Loan: No      |
| UMBS, TBA                                          | Uniform Mortgage-Backed Security, TBA                                                                                            | CUSIP: 01F040636<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  22400000 | PA      | $21630874.94  | 2.14%             | 2053-03-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| American Electric Power Co Inc                     | American Electric Power Co Inc                                                                                                   | CUSIP: 0255E3Q68<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | STIV             | CORP              | US        |    250000 | PA      | $248870.68    | 0.02%             | 2023-03-06      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| UMBS, TBA                                          | Uniform Mortgage-Backed Security, TBA                                                                                            | CUSIP: 01F032633<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6400000 | PA      | $6002865.79   | 0.59%             | 2053-03-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                                                                  | CUSIP: 3138WFCL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289733 | PA      | $285536.77    | 0.03%             | 2045-07-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| AEP TEXAS INC                                      | AEP Texas Inc                                                                                                                    | CUSIP: 00108WAQ3<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |    200000 | PA      | $204088.65    | 0.02%             | 2052-05-15      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| Chicago Mercantile Exchange                        | Long: BWU0EQ377 IRS USD R V 03MLIBOR SWUVEQ379 CCPVANILLA / Short: BWU0EQ377 IRS USD P F  2.00000 SWU0EQ377 CCPVANILLA           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   3200000 | OU      | $762247.04    | 0.08%             |  |  |  | No            | 2                  | On Loan: No      |
| New Residential Mortgage Loan Trust                | New Residential Mortgage Loan Trust 2018-3                                                                                       | CUSIP: 64830KAA5<br>LEI: 549300U48YU2VDL8N523 | Long             | ABS-MBS          | CORP              | US        |    500972 | PA      | $476370.38    | 0.05%             | 2058-05-25      | Variable      | 4.50%                 | No            | 2                  | On Loan: No      |
| Fremont Home Loan Trust                            | Fremont Home Loan Trust 2005-1                                                                                                   | CUSIP: 35729PJF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    585837 | PA      | $550323.15    | 0.05%             | 2035-06-25      | Floating      | 5.57%                 | No            | 2                  | On Loan: No      |
| DBUBS Mortgage Trust                               | DBUBS 2017-BRBK Mortgage Trust                                                                                                   | CUSIP: 23305JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2400000 | PA      | $2268751.44   | 0.22%             | 2034-10-10      | Fixed         | 3.45%                 | No            | 2                  | On Loan: No      |
| Constellation Brands Inc                           | Constellation Brands Inc                                                                                                         | CUSIP: 21037DPU2<br>LEI: 5493005GKEG8QCVY7037 | Long             | STIV             | CORP              | US        |    500000 | PA      | $498030.28    | 0.05%             | 2023-02-28      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates            | WaMu Mortgage Pass-Through Certificates Series 2005-AR19 Trust                                                                   | CUSIP: 92925CBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195939 | PA      | $183202.26    | 0.02%             | 2045-12-25      | Floating      | 5.05%                 | No            | 2                  | On Loan: No      |
| SANTANDER HOLDINGS USA                             | Santander Holdings USA Inc                                                                                                       | CUSIP: 80282KBE5<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1111807.05   | 0.11%             | 2026-09-09      | Fixed         | 5.81%                 | No            | 2                  | On Loan: No      |
| HERA Commercial Mortgage Ltd                       | HERA Commercial Mortgage 2021-FL1 Ltd                                                                                            | CUSIP: 42704RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1200000 | PA      | $1162252.44   | 0.12%             | 2038-02-18      | Floating      | 5.52%                 | No            | 2                  | On Loan: No      |
| Constellation Brands Inc                           | Constellation Brands Inc                                                                                                         | CUSIP: 21037DPD0<br>LEI: 5493005GKEG8QCVY7037 | Long             | STIV             | CORP              | US        |    800000 | PA      | $798548.05    | 0.08%             | 2023-02-13      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| BNP PARIBAS                                        | BNP Paribas SA                                                                                                                   | CUSIP: 05565ASK0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $163601.73    | 0.02%             | 2031-02-25      | Fixed         | 4.63%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                                                                  | CUSIP: 3140HSM24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1800000 | PA      | $1766988.13   | 0.17%             | 2029-01-01      | Fixed         | 3.79%                 | No            | 2                  | On Loan: No      |
| Citibank N.A.                                      | PURCHASED PEN / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | PE        |         1 | NC      | $2131.94      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| LFT CRE 2021-FL1, LLC                              | LFT CRE 2021-FL1 Ltd                                                                                                             | CUSIP: 50203JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1100000 | PA      | $1082885.76   | 0.11%             | 2039-06-15      | Floating      | 5.63%                 | No            | 2                  | On Loan: No      |
| United States Treasury                             | United States Treasury Note/Bond                                                                                                 | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3100000 | PA      | $2472734.38   | 0.24%             | 2041-05-15      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                   | IndyMac INDX Mortgage Loan Trust 2005-AR12                                                                                       | CUSIP: 45660LMF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    218907 | PA      | $151448.76    | 0.01%             | 2035-07-25      | Floating      | 5.03%                 | No            | 2                  | On Loan: No      |
| Octagon Loan Funding Ltd                           | Octagon Loan Funding Ltd                                                                                                         | CUSIP: 67590RAY1<br>LEI: 549300HJJWTCMWFILG24 | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $297534.30    | 0.03%             | 2031-11-18      | Floating      | 5.85%                 | No            | 2                  | On Loan: No      |
| STANDARD CHARTERED PLC                             | Standard Chartered PLC                                                                                                           | CUSIP: 853254CB4<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $380117.87    | 0.04%             | 2025-03-23      | Fixed         | 1.21%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association           | Government National Mortgage Association                                                                                         | CUSIP: 38376RVV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    770464 | PA      | $763283.35    | 0.08%             | 2066-06-20      | Floating      | 4.59%                 | No            | 2                  | On Loan: No      |
| Barclays Bank PLC                                  | 317U1WKA7 PIMCO                                                                                                                  | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |   -800000 | NC      | $-491.20      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| LIBERTY UTILITIES FIN                              | Liberty Utilities Finance GP 1                                                                                                   | CUSIP: 531546AB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $790944.68    | 0.08%             | 2030-09-15      | Fixed         | 2.05%                 | No            | 2                  | On Loan: No      |
| TICP CLO Ltd                                       | TICP CLO II-2 LTD                                                                                                                | CUSIP: 87249TAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    402283 | PA      | $400666.96    | 0.04%             | 2028-04-20      | Floating      | 5.65%                 | No            | 2                  | On Loan: No      |
| GEORGIA POWER CO                                   | Georgia Power Co                                                                                                                 | CUSIP: 373334KQ3<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1296128.41   | 0.13%             | 2032-05-15      | Fixed         | 4.70%                 | No            | 2                  | On Loan: No      |
| BOEING CO                                          | Boeing Co/The                                                                                                                    | CUSIP: 097023CJ2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    280000 | PA      | $240119.99    | 0.02%             | 2034-05-01      | Fixed         | 3.60%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                                                                  | CUSIP: 3140HNTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170931 | PA      | $167607.55    | 0.02%             | 2048-07-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Angel Oak Mortgage Trust                           | Angel Oak Mortgage Trust 2020-4                                                                                                  | CUSIP: 03464LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    199031 | PA      | $180540.46    | 0.02%             | 2065-06-25      | Variable      | 1.47%                 | No            | 2                  | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp                | JP Morgan Mortgage Acquisition Trust 2006-WMC2                                                                                   | CUSIP: 46628TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265670 | PA      | $221951.81    | 0.02%             | 2036-07-25      | Floating      | 4.78%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                                                                  | CUSIP: 3140X7KS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1280946 | PA      | $1256049.25   | 0.12%             | 2049-03-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Walgreens Boots Alliance Inc                       | Walgreens Boots Alliance Inc                                                                                                     | CUSIP: 93142XPQ8<br>LEI: 549300RPTUOIXG4LIH86 | Long             | STIV             | CORP              | US        |   1000000 | PA      | $996783.33    | 0.10%             | 2023-02-24      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc       | BAMLL Commercial Mortgage Securities Trust 2019-RLJ                                                                              | CUSIP: 05492HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1275918.02   | 0.13%             | 2036-04-15      | Floating      | 5.51%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                                                                  | CUSIP: 3138WE6W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    441175 | PA      | $434784.58    | 0.04%             | 2045-07-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| T-MOBILE USA INC                                   | T-Mobile USA Inc                                                                                                                 | CUSIP: 87264ACT0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    700000 | PA      | $510932.78    | 0.05%             | 2052-10-15      | Fixed         | 3.40%                 | No            | 2                  | On Loan: No      |
| BX Trust                                           | BX Trust 2018-GW                                                                                                                 | CUSIP: 12433UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    580000 | PA      | $570353.96    | 0.06%             | 2035-05-15      | Floating      | 5.26%                 | No            | 2                  | On Loan: No      |
| CLEVELAND ELECTRIC ILLUM                           | Cleveland Electric Illuminating Co/The                                                                                           | CUSIP: 186108CL8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    836000 | PA      | $809981.69    | 0.08%             | 2030-11-15      | Fixed         | 4.55%                 | No            | 2                  | On Loan: No      |
| Eurosail Plc                                       | Eurosail-UK 2007-3bl PLC                                                                                                         | CUSIP: 000000000<br>LEI: 213800YCKG3TNT5E1296 | Long             | ABS-MBS          | CORP              | GB        |    324565 | PA      | $397718.66    | 0.04%             | 2045-06-13      | Floating      | 4.46%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                                                                                 | CUSIP: 3132DV4Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51832 | PA      | $50441.49     | 0.00%             | 2050-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| JT INTL FIN SERVICES BV                            | JT International Financial Services BV                                                                                           | CUSIP: 480914AA8<br>LEI: 549300U2F0PG10VZUN93 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $222604.28    | 0.02%             | 2032-10-24      | Fixed         | 6.88%                 | No            | 2                  | On Loan: No      |
| 280 Park Avenue Mortgage Trust                     | 280 Park Avenue 2017-280P Mortgage Trust                                                                                         | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1900000 | PA      | $1861798.98   | 0.18%             | 2034-09-15      | Floating      | 5.28%                 | No            | 2                  | On Loan: No      |
| Chicago Board of Trade                             | US 5YR NOTE (CBT) MAR23                                                                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       424 | NC      | $502206.32    | 0.05%             |  |  |  | No            | 1                  | On Loan: No      |
| Sales Tax Securitization Corp                      | SALES TAX SECURITIZATION CORP IL                                                                                                 | CUSIP: 79467BDX0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1300000 | PA      | $1040120.38   | 0.10%             | 2042-01-01      | Fixed         | 3.24%                 | No            | 2                  | On Loan: No      |
| United States Treasury                             | United States Treasury Note/Bond                                                                                                 | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4400000 | PA      | $4082375.00   | 0.40%             | 2042-05-15      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| Barclays Bank PLC                                  | PURCHASED USD / SOLD GBP                                                                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |         1 | NC      | $-27539.19    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| US AIRWAYS 2012-1A PTT                             | US Airways 2012-1 Class A Pass Through Trust                                                                                     | CUSIP: 90345WAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     39592 | PA      | $38521.58     | 0.00%             | 2024-10-01      | Fixed         | 5.90%                 | No            | 2                  | On Loan: No      |
| STARWOOD PROPERTY TRUST                            | Starwood Property Trust Inc                                                                                                      | CUSIP: 85571BAW5<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              |  | US        |   1100000 | PA      | $1044639.75   | 0.10%             | 2024-12-31      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| Citibank N.A.                                      | PURCHASED PEN / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | PE        |         1 | NC      | $-45.21       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| SOUTHERN CAL EDISON                                | Southern California Edison Co                                                                                                    | CUSIP: 842400GG2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1258883.79   | 0.12%             | 2047-04-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| TD Securities, Inc.                                | REPO TORONTO DOMINION                                                                                                            | CUSIP: 000000000<br>LEI: 5493006RJSLS5DA4PD75 | Long             | RA               | CORP              | KY        | 239700000 | PA      | $239700000.00 | 23.73%            |  |  |  | No            | 2                  | On Loan: No      |
| HarborView Mortgage Loan Trust                     | HarborView Mortgage Loan Trust 2005-4                                                                                            | CUSIP: 41161PMX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    106065 | PA      | $77600.52     | 0.01%             | 2035-07-19      | Variable      | 3.31%                 | No            | 2                  | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                           | Avolon Holdings Funding Ltd                                                                                                      | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    318000 | PA      | $274434.82    | 0.03%             | 2027-11-18      | Fixed         | 2.53%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley BAML Trust                          | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25                                                                      | CUSIP: 61765TAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1722434.76   | 0.17%             | 2048-10-15      | Fixed         | 3.37%                 | No            | 2                  | On Loan: No      |
| AVIATION CAPITAL GROUP                             | Aviation Capital Group LLC                                                                                                       | CUSIP: 05369AAH4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    400000 | PA      | $396159.24    | 0.04%             | 2024-12-15      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd    | Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd                                                                           | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1100000 | PA      | $1079375.44   | 0.11%             | 2037-01-15      | Floating      | 5.73%                 | No            | 2                  | On Loan: No      |
| AKER BP ASA                                        | Aker BP ASA                                                                                                                      | CUSIP: 00973RAJ2<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    200000 | PA      | $182472.92    | 0.02%             | 2031-01-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Independence Plaza Trust                           | Independence Plaza Trust 2018-INDP                                                                                               | CUSIP: 45378YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1518081.28   | 0.15%             | 2035-07-10      | Fixed         | 3.76%                 | No            | 2                  | On Loan: No      |
| WELLS FARGO & COMPANY                              | Wells Fargo & Co                                                                                                                 | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1234522.30   | 0.12%             | 2033-03-02      | Fixed         | 3.35%                 | No            | 2                  | On Loan: No      |
| BANK OF AMERICA CORP                               | Bank of America Corp                                                                                                             | CUSIP: 06051GKM0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1354237.81   | 0.13%             | 2026-04-02      | Fixed         | 3.38%                 | No            | 2                  | On Loan: No      |
| Ludgate Funding Plc                                | Ludgate Funding PLC                                                                                                              | CUSIP: 000000000<br>LEI: 213800LADM2GPWI3P269 | Long             | ABS-MBS          | CORP              | GB        |    479668 | PA      | $564782.48    | 0.06%             | 2060-12-01      | Floating      | 3.87%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                        | Freddie Mac REMICS                                                                                                               | CUSIP: 3137BPPH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    464363 | PA      | $450731.05    | 0.04%             | 2038-01-15      | Floating      | 3.47%                 | No            | 2                  | On Loan: No      |
| Conagra Brands Inc                                 | Conagra Brands Inc                                                                                                               | CUSIP: 205887CD2<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    200000 | PA      | $201182.63    | 0.02%             | 2038-11-01      | Fixed         | 5.30%                 | No            | 2                  | On Loan: No      |
| COMM Mortgage Trust                                | COMM 2018-HOME Mortgage Trust                                                                                                    | CUSIP: 20048JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1025068.44   | 0.10%             | 2033-04-10      | Variable      | 3.82%                 | No            | 2                  | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates            | WaMu Mortgage Pass-Through Certificates Series 2006-AR9 Trust                                                                    | CUSIP: 93363DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    895081 | PA      | $724846.37    | 0.07%             | 2046-08-25      | Floating      | 3.48%                 | No            | 2                  | On Loan: No      |
| Northwell Healthcare Inc                           | Northwell Healthcare Inc                                                                                                         | CUSIP: 667274AA2<br>LEI: 54930073NUTKK4QD3P47 | Long             | DBT              | CORP              | US        |    700000 | PA      | $565084.23    | 0.06%             | 2046-11-01      | Fixed         | 3.98%                 | No            | 2                  | On Loan: No      |
| Chicago Mercantile Exchange                        | Long: BWU01CKZ1 IRS USD R V 12MSOFR SWUV1CKZ3 CCPOIS / Short: BWU01CKZ1 IRS USD P F  1.75000 SWU01CKZ1 CCPOIS                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   4200000 | OU      | $979714.26    | 0.10%             |  |  |  | No            | 2                  | On Loan: No      |
| FEDERAL HOME LOAN BANK                             | Federal Home Loan Banks                                                                                                          | CUSIP: 3130AUJN5<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   7900000 | PA      | $7899680.52   | 0.78%             | 2023-05-18      | Floating      | 4.33%                 | No            | 2                  | On Loan: No      |
| BANNER HEALTH                                      | Banner Health                                                                                                                    | CUSIP: 06654DAD9<br>LEI: PLD0E0WJKFN8IZJ2WD85 | Long             | DBT              | CORP              | US        |    500000 | PA      | $409045.39    | 0.04%             | 2031-01-01      | Fixed         | 1.90%                 | No            | 2                  | On Loan: No      |
| Natixis Commercial Mortgage Securities             | Natixis Commercial Mortgage Securities Trust 2019-10K                                                                            | CUSIP: 63874UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1600000 | PA      | $1433456.16   | 0.14%             | 2039-05-15      | Fixed         | 3.62%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                         | Fannie Mae REMICS                                                                                                                | CUSIP: 3136A8V72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    212074 | PA      | $210718.57    | 0.02%             | 2040-10-25      | Floating      | 4.86%                 | No            | 2                  | On Loan: No      |
| SOUTHERN CAL EDISON                                | Southern California Edison Co                                                                                                    | CUSIP: 842400FW8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    200000 | PA      | $165618.66    | 0.02%             | 2043-03-15      | Fixed         | 3.90%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                             | PURCHASED USD / SOLD PEN                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |         1 | NC      | $-24963.33    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| American Tower Corp                                | American Tower Corp                                                                                                              | CUSIP: 03027XAG5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    690000 | PA      | $675384.18    | 0.07%             | 2025-06-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| National Rural Utilities Cooperative Finance Corp  | National Rural Utilities Cooperative Finance Corp                                                                                | CUSIP: 63743DPD7<br>LEI: 4NYF266XZC35SCTGX023 | Long             | STIV             | CORP              | US        |   1200000 | PA      | $1198058.23   | 0.12%             | 2023-02-13      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| Mill City Mortgage Trust                           | Mill City Mortgage Loan Trust 2019-GS2                                                                                           | CUSIP: 59981TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    556473 | PA      | $526884.65    | 0.05%             | 2059-08-25      | Variable      | 2.75%                 | No            | 2                  | On Loan: No      |
| Walgreens Boots Alliance Inc                       | Walgreens Boots Alliance Inc                                                                                                     | CUSIP: 93142XPN5<br>LEI: 549300RPTUOIXG4LIH86 | Long             | STIV             | CORP              | US        |   1000000 | PA      | $997054.44    | 0.10%             | 2023-02-22      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                                                                  | CUSIP: 3140Q9HQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50640 | PA      | $49655.05     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| BOSTON GAS COMPANY                                 | Boston Gas Co                                                                                                                    | CUSIP: 100743AM5<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1005640.92   | 0.10%             | 2032-03-16      | Fixed         | 3.76%                 | No            | 2                  | On Loan: No      |
| SOUTHERN CAL EDISON                                | Southern California Edison Co                                                                                                    | CUSIP: 842400FV0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    200000 | PA      | $169486.61    | 0.02%             | 2042-03-15      | Fixed         | 4.05%                 | No            | 2                  | On Loan: No      |
| Flex Ltd                                           | Flex Ltd                                                                                                                         | CUSIP: 33938XAA3<br>LEI: 549300EAQH74YHD07T53 | Long             | DBT              | CORP              | SG        |    500000 | PA      | $493492.90    | 0.05%             | 2029-06-15      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| United States Treasury                             | United States Treasury Note/Bond                                                                                                 | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8680000 | PA      | $5789153.08   | 0.57%             | 2040-05-15      | Fixed         | 1.13%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley Capital Inc                         | Morgan Stanley ABS Capital I Inc Trust 2005-NC2                                                                                  | CUSIP: 61744CPK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    142880 | PA      | $140270.69    | 0.01%             | 2035-03-25      | Floating      | 5.42%                 | No            | 2                  | On Loan: No      |
| Elevation CLO Ltd                                  | Elevation CLO 2014-2 Ltd                                                                                                         | CUSIP: 28622QAB7<br>LEI: 635400HAVYYWWB139K27 | Long             | ABS-CBDO         | CORP              | KY        |    327340 | PA      | $324343.60    | 0.03%             | 2029-10-15      | Floating      | 6.12%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                             | 317U22TA3 PIMCO                                                                                                                  | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |  -2000000 | NC      | $-3017.60     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| NISSAN MOTOR CO                                    | Nissan Motor Co Ltd                                                                                                              | CUSIP: 654744AB7<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    900000 | PA      | $849566.09    | 0.08%             | 2025-09-17      | Fixed         | 3.52%                 | No            | 2                  | On Loan: No      |
| NOMURA HOLDINGS INC                                | Nomura Holdings Inc                                                                                                              | CUSIP: 65535HAZ2<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    500000 | PA      | $449367.17    | 0.04%             | 2027-01-22      | Fixed         | 2.33%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                        | Freddie Mac REMICS                                                                                                               | CUSIP: 3137BPS83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    464363 | PA      | $18303.78     | 0.00%             | 2038-01-15      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                        | Freddie Mac REMICS                                                                                                               | CUSIP: 3137FDBN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1194416 | PA      | $1088550.15   | 0.11%             | 2048-01-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association           | Government National Mortgage Association                                                                                         | CUSIP: 38375UCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    394881 | PA      | $394202.52    | 0.04%             | 2063-12-20      | Floating      | 4.83%                 | No            | 2                  | On Loan: No      |
| Venture CDO Ltd                                    | Venture Xxv Clo Ltd                                                                                                              | CUSIP: 92329VAS1<br>LEI: 549300A6M3BR8FZNXO79 | Long             | ABS-CBDO         | CORP              | KY        |    186786 | PA      | $185279.24    | 0.02%             | 2029-04-20      | Floating      | 5.83%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                                                                  | CUSIP: 3138ERA59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    708170 | PA      | $690467.56    | 0.07%             | 2046-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Natixis Commercial Mortgage Securities             | Natixis Commercial Mortgage Securities Trust 2019-LVL                                                                            | CUSIP: 63874TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800000 | PA      | $719382.32    | 0.07%             | 2038-08-15      | Fixed         | 3.89%                 | No            | 2                  | On Loan: No      |
| SYNGENTA FINANCE NV                                | Syngenta Finance NV                                                                                                              | CUSIP: 87164KAH7<br>LEI: 54930042S3BYCEGOCN86 | Long             | DBT              | CORP              | NL        |    300000 | PA      | $299111.81    | 0.03%             | 2023-04-24      | Fixed         | 4.44%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs & Co. LLC                            | GOLDMAN SACHS REPO                                                                                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | Long             | RA               | CORP              | US        | 153700000 | PA      | $153700000.00 | 15.21%            |  |  |  | No            | 2                  | On Loan: No      |
| SANTANDER HOLDINGS USA                             | Santander Holdings USA Inc                                                                                                       | CUSIP: 80282KBB1<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    700000 | PA      | $669729.34    | 0.07%             | 2025-06-02      | Fixed         | 3.45%                 | No            | 2                  | On Loan: No      |
| Anchorage Capital CLO LTD                          | Anchorage Capital CLO 6 Ltd                                                                                                      | CUSIP: 03328QAY7<br>LEI: 54930064GO7DB3TVDY21 | Long             | ABS-CBDO         | CORP              | KY        |    496356 | PA      | $492019.56    | 0.05%             | 2030-07-15      | Floating      | 5.84%                 | No            | 2                  | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust             | Merrill Lynch Mortgage Investors Trust Series 2005-NC1                                                                           | CUSIP: 59020URP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1945179 | PA      | $1826394.15   | 0.18%             | 2035-10-25      | Floating      | 5.23%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                                                                  | CUSIP: 3140EUHZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    691075 | PA      | $681064.28    | 0.07%             | 2046-02-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Barings CLO Ltd                                    | Barings CLO Ltd 2013-I                                                                                                           | CUSIP: 06760EAA4<br>LEI: 54930079SUKCXYW8DR07 | Long             | ABS-CBDO         | CORP              | KY        |    108585 | PA      | $107929.97    | 0.01%             | 2028-01-20      | Floating      | 5.61%                 | No            | 2                  | On Loan: No      |
| BNP PARIBAS                                        | BNP Paribas SA                                                                                                                   | CUSIP: 09659W2U7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    800000 | PA      | $676125.40    | 0.07%             | 2033-01-20      | Fixed         | 3.13%                 | No            | 2                  | On Loan: No      |
| CORPORATE OFFICE PROP LP                           | Corporate Office Properties LP                                                                                                   | CUSIP: 22003BAM8<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              |  | US        |    100000 | PA      | $78051.78     | 0.01%             | 2031-04-15      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| FAIRFAX FINL HLDGS LTD                             | Fairfax Financial Holdings Ltd                                                                                                   | CUSIP: 303901BJ0<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    400000 | PA      | $340166.38    | 0.03%             | 2031-03-03      | Fixed         | 3.38%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                                                                                 | CUSIP: 3131Y95C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45664 | PA      | $44611.86     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Credit Suisse Commercial Mortgage Securities Corp  | CSWF 2021-SOP2                                                                                                                   | CUSIP: 12657VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1213867 | PA      | $1162261.14   | 0.12%             | 2034-06-15      | Floating      | 5.43%                 | No            | 2                  | On Loan: No      |
| JAPAN FIN ORG MUNICIPAL                            | Japan Finance Organization for Municipalities                                                                                    | CUSIP: 471068AJ5<br>LEI: 5493007YYYNZ4NMEOD64 | Long             | DBT              | NUSS              | JP        |   2700000 | PA      | $2642517.00   | 0.26%             | 2023-10-25      | Fixed         | 2.13%                 | No            | 2                  | On Loan: No      |
| BRITISH AIR 19-1 A PTT                             | British Airways 2019-1 Class A Pass Through Trust                                                                                | CUSIP: 11043XAB9<br>LEI: 635400GSHSFIWYIDXC76 | Long             | DBT              | CORP              | US        |    436628 | PA      | $380755.43    | 0.04%             | 2029-06-15      | Fixed         | 3.35%                 | No            | 2                  | On Loan: No      |
| Amgen Inc                                          | Amgen Inc                                                                                                                        | CUSIP: 031162BZ2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    700000 | PA      | $624771.60    | 0.06%             | 2045-05-01      | Fixed         | 4.40%                 | No            | 2                  | On Loan: No      |
| United States Treasury                             | United States Treasury Note/Bond                                                                                                 | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6300000 | PA      | $5574515.63   | 0.55%             | 2052-08-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| UNITED AIR 2016-2 AA PTT                           | United Airlines 2016-2 Class AA Pass Through Trust                                                                               | CUSIP: 90932EAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    735690 | PA      | $657767.98    | 0.07%             | 2028-10-07      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| SOUTHERN CALIF GAS CO                              | Southern California Gas Co                                                                                                       | CUSIP: 842434CR1<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1192245.85   | 0.12%             | 2048-06-01      | Fixed         | 4.13%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                                                                  | CUSIP: 3140X8S24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7618408 | PA      | $7427925.11   | 0.74%             | 2050-03-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Venture CDO Ltd                                    | Venture XIV CLO Ltd                                                                                                              | CUSIP: 92328GBA3<br>LEI: 5493002O60L75PP6F022 | Long             | ABS-CBDO         | CORP              | KY        |   2121782 | PA      | $2105869.08   | 0.21%             | 2029-08-28      | Floating      | 5.77%                 | No            | 2                  | On Loan: No      |
| PACIFIC GAS & ELECTRIC                             | Pacific Gas and Electric Co                                                                                                      | CUSIP: 694308HN0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $981262.39    | 0.10%             | 2046-03-15      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| LCM Ltd Partnership                                | LCM 30 Ltd                                                                                                                       | CUSIP: 50200YAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1600000 | PA      | $1574252.80   | 0.16%             | 2031-04-20      | Floating      | 5.89%                 | No            | 2                  | On Loan: No      |
| Residential Asset Mortgage Products, INC.          | RAMP Series 2005-RS6 Trust                                                                                                       | CUSIP: 76112BTV2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    289771 | PA      | $288375.82    | 0.03%             | 2035-06-25      | Floating      | 5.48%                 | No            | 2                  | On Loan: No      |
| Chicago Board of Trade                             | US 2YR NOTE (CBT) MAR23                                                                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       219 | NC      | $167393.96    | 0.02%             |  |  |  | No            | 1                  | On Loan: No      |
| United States Treasury                             | United States Treasury Note/Bond                                                                                                 | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15300000 | PA      | $11626804.76  | 1.15%             | 2041-11-15      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| ChaseFlex Trust                                    | ChaseFlex Trust Series 2007-2                                                                                                    | CUSIP: 16165WAA4<br>LEI: 549300B1U8MKA7ONX421 | Long             | ABS-MBS          | CORP              | US        |    466064 | PA      | $447826.96    | 0.04%             | 2037-05-25      | Floating      | 5.07%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association           | Government National Mortgage Association                                                                                         | CUSIP: 38376RXT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1828202 | PA      | $1809514.52   | 0.18%             | 2066-08-20      | Floating      | 5.01%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                             | PURCHASED BRL / SOLD USD                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |         1 | NC      | $44915.31     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| AMER AIRLN 15-1 A PTT                              | American Airlines 2015-1 Class A Pass Through Trust                                                                              | CUSIP: 023770AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    125160 | PA      | $108274.65    | 0.01%             | 2027-05-01      | Fixed         | 3.38%                 | No            | 2                  | On Loan: No      |
| ROMANIA                                            | Romanian Government International Bond                                                                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    600000 | PA      | $558523.48    | 0.06%             | 2028-03-07      | Fixed         | 2.13%                 | No            | 2                  | On Loan: No      |
| Ludgate Funding Plc                                | Ludgate Funding PLC                                                                                                              | CUSIP: 000000000<br>LEI: 213800LADM2GPWI3P269 | Long             | ABS-MBS          | CORP              | GB        |    704717 | PA      | $828460.21    | 0.08%             | 2061-01-01      | Floating      | 4.49%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley & Co. LLC                           | 317U21YA9 PIMCO                                                                                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   -400000 | NC      | $-1567.32     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| AMER AIRLINE 16-3 AA PTT                           | American Airlines 2016-3 Class AA Pass Through Trust                                                                             | CUSIP: 023771R91<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    505506 | PA      | $443774.61    | 0.04%             | 2028-10-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| United States Treasury                             | United States Treasury Note/Bond                                                                                                 | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $84011.72     | 0.01%             | 2047-11-15      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| American Home Mortgage Assets                      | American Home Mortgage Assets Trust 2006-3                                                                                       | CUSIP: 02660UAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11467 | PA      | $9794.48      | 0.00%             | 2046-10-25      | Floating      | 4.63%                 | No            | 2                  | On Loan: No      |
| SMB Private Education Loan Trust                   | SMB Private Education Loan Trust 2016-B                                                                                          | CUSIP: 78449GAC3<br>LEI: 5493008SQ2WS8HE83M61 | Long             | ABS-O            | CORP              | US        |    366336 | PA      | $364164.90    | 0.04%             | 2032-02-17      | Floating      | 5.91%                 | No            | 2                  | On Loan: No      |
| VMC Finance LLC                                    | VMC Finance 2022-FL5 LLC                                                                                                         | CUSIP: 91835BAA3<br>LEI: 549300QK6J0UZ3WZJ014 | Long             | ABS-CBDO         | CORP              | US        |    800000 | PA      | $784672.08    | 0.08%             | 2039-02-18      | Floating      | 6.21%                 | No            | 2                  | On Loan: No      |
| PACIFIC GAS & ELECTRIC                             | Pacific Gas and Electric Co                                                                                                      | CUSIP: 694308HM2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28564.06     | 0.00%             | 2025-06-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Republic of Peru                                   | Peruvian Government International Bond                                                                                           | CUSIP: 715638BX9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    400000 | PA      | $94536.35     | 0.01%             | 2029-02-12      | Fixed         | 5.94%                 | No            | 2                  | On Loan: No      |
| Eurosail Plc                                       | Eurosail-UK 2007-3bl PLC                                                                                                         | CUSIP: 000000000<br>LEI: 213800YCKG3TNT5E1296 | Long             | ABS-MBS          | CORP              | GB        |    243464 | PA      | $298356.43    | 0.03%             | 2045-06-13      | Floating      | 4.46%                 | No            | 2                  | On Loan: No      |
| Lazard Group LLC                                   | Lazard Group LLC                                                                                                                 | CUSIP: 52107QAK1<br>LEI: FI94J2CJ1D7BIGVMS874 | Long             | DBT              | CORP              | US        |    200000 | PA      | $192341.06    | 0.02%             | 2029-03-11      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| MidOcean Credit CLO                                | MidOcean Credit CLO II                                                                                                           | CUSIP: 59863KAS6<br>LEI: 549300EKSLXKVD2RWW61 | Long             | ABS-CBDO         | CORP              | KY        |    348706 | PA      | $345235.41    | 0.03%             | 2030-01-29      | Floating      | 5.83%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Pool                                                                                                                 | CUSIP: 3132D6BQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5318317 | PA      | $4713495.64   | 0.47%             | 2037-04-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| NOMURA HOLDINGS INC                                | Nomura Holdings Inc                                                                                                              | CUSIP: 65535HBB4<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    700000 | PA      | $606333.03    | 0.06%             | 2029-01-22      | Fixed         | 2.71%                 | No            | 2                  | On Loan: No      |
| Spirit AeroSystems Inc                             | Spirit AeroSystems Inc                                                                                                           | CUSIP: 85205TAG5<br>LEI: ZD2NBKV6GCC3UMGBM518 | Long             | DBT              | CORP              | US        |    800000 | PA      | $751992.00    | 0.07%             | 2026-06-15      | Fixed         | 3.85%                 | No            | 2                  | On Loan: No      |
| CREDIT SUISSE GROUP AG                             | Credit Suisse Group AG                                                                                                           | CUSIP: 225433AC5<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $234607.16    | 0.02%             | 2025-03-26      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| MORGAN STANLEY                                     | Morgan Stanley                                                                                                                   | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1268651.11   | 0.13%             | 2028-10-18      | Fixed         | 6.30%                 | No            | 2                  | On Loan: No      |
| ENEL FINANCE INTL NV                               | Enel Finance International NV                                                                                                    | CUSIP: 29278GAW8<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   1400000 | PA      | $1369467.55   | 0.14%             | 2027-06-15      | Fixed         | 4.63%                 | No            | 2                  | On Loan: No      |
| BofA Securities, Inc.                              | 317561496                                                                                                                        | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |  -2000000 | NC      | $-12776.60    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| BANK OF IRELAND GROUP                              | Bank of Ireland Group PLC                                                                                                        | CUSIP: 06279JAA7<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   1300000 | PA      | $1285700.00   | 0.13%             | 2023-11-25      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                         | Fannie Mae REMICS                                                                                                                | CUSIP: 31396XQT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    918818 | PA      | $913182.62    | 0.09%             | 2037-09-25      | Floating      | 5.05%                 | No            | 2                  | On Loan: No      |
| Chicago Mercantile Exchange                        | S+P500 EMINI FUT MAR23                                                                                                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |      1426 | NC      | $6097172.21   | 0.60%             |  |  |  | No            | 1                  | On Loan: No      |
| EDISON INTERNATIONAL                               | Edison International                                                                                                             | CUSIP: 281020AW7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |    400000 | PA      | $434273.33    | 0.04%             | 2029-11-15      | Fixed         | 6.95%                 | No            | 2                  | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                           | Sumitomo Mitsui Financial Group Inc                                                                                              | CUSIP: 86562MCB4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    600000 | PA      | $495985.73    | 0.05%             | 2030-07-08      | Fixed         | 2.13%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                         | Fannie Mae REMICS                                                                                                                | CUSIP: 3136ACHM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    343678 | PA      | $18355.72     | 0.00%             | 2028-03-25      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Kansas Development Finance Authority               | KANSAS ST DEV FIN AUTH REVENUE                                                                                                   | CUSIP: 485428ZY5<br>LEI: 549300WTL7BL8KBDPR87 | Long             | DBT              | MUN               | US        |    400000 | PA      | $421999.28    | 0.04%             | 2034-05-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Countrywide Alternative Loan Trust                 | Alternative Loan Trust 2005-J11                                                                                                  | CUSIP: 12668ARS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108138 | PA      | $65438.20     | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| BRIGHTHOUSE HLDGS LLC                              | Brighthouse Holdings LLC                                                                                                         | CUSIP: 10924BAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $465000.00    | 0.05%             | 2037-07-27      | Variable      | 6.50%                 | No            | 2                  | On Loan: No      |
| Vibrant CLO Ltd                                    | Vibrant Clo VI Ltd                                                                                                               | CUSIP: 92558EAJ1<br>LEI: 549300WOQQ4NNX4VIU97 | Long             | ABS-CBDO         | CORP              | KY        |    461833 | PA      | $457911.28    | 0.05%             | 2029-06-20      | Floating      | 5.70%                 | No            | 2                  | On Loan: No      |
| New Residential Mortgage Loan Trust                | New Residential Mortgage Loan Trust 2020-RPL1                                                                                    | CUSIP: 64828XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410507 | PA      | $386601.40    | 0.04%             | 2059-11-25      | Variable      | 2.75%                 | No            | 2                  | On Loan: No      |
| Citibank N.A.                                      | PURCHASED USD / SOLD PEN                                                                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |         1 | NC      | $88.77        | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Alabama Power Co                                   | Alabama Power Co                                                                                                                 | CUSIP: 010392FR4<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    300000 | PA      | $245500.70    | 0.02%             | 2047-12-01      | Fixed         | 3.70%                 | No            | 2                  | On Loan: No      |
| FEDERAL HOME LOAN BANK                             | Federal Home Loan Banks                                                                                                          | CUSIP: 3130AUMX9<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   8000000 | PA      | $7999845.12   | 0.79%             | 2023-05-26      | Floating      | 4.34%                 | No            | 2                  | On Loan: No      |
| United States Treasury                             | United States Treasury Inflation Indexed Bonds                                                                                   | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3688884 | PA      | $3488661.19   | 0.35%             | 2032-07-15      | Fixed         | 0.63%                 | No            | 2                  | On Loan: No      |
| STICHTING AK RABOBANK                              | Stichting AK Rabobank Certificaten                                                                                               | CUSIP: 000000000<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    945450 | PA      | $1026561.46   | 0.10%             | 2049-12-29      | Variable      | 6.50%                 | No            | 2                  | On Loan: No      |
| AMER AIRLINE 17-1 A PTT                            | American Airlines 2017-1 Class A Pass Through Trust                                                                              | CUSIP: 02378AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     73375 | PA      | $61510.50     | 0.01%             | 2029-02-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| HUMANA INC                                         | Humana Inc                                                                                                                       | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1037155.69   | 0.10%             | 2029-03-23      | Fixed         | 3.70%                 | No            | 2                  | On Loan: No      |
| FEDERAL HOME LOAN BANK                             | Federal Home Loan Banks                                                                                                          | CUSIP: 3130ATRB5<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   8300000 | PA      | $8299997.26   | 0.82%             | 2023-02-23      | Floating      | 4.35%                 | No            | 2                  | On Loan: No      |
| Vibrant CLO Ltd                                    | Vibrant Clo VII Ltd                                                                                                              | CUSIP: 92558BAJ7<br>LEI: 5493007DQ2IM8HOLV582 | Long             | ABS-CBDO         | CORP              | KY        |    463174 | PA      | $457979.22    | 0.05%             | 2030-09-15      | Floating      | 5.85%                 | No            | 2                  | On Loan: No      |
| HalseyPoint CLO 3, Ltd.                            | HalseyPoint CLO 3 Ltd                                                                                                            | CUSIP: 40638UAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1300000 | PA      | $1292839.60   | 0.13%             | 2032-11-30      | Floating      | 6.25%                 | 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        |     12682 | PA      | $11209.25     | 0.00%             | 2038-01-19      | Floating      | 4.85%                 | No            | 2                  | On Loan: No      |
| ROMANIA                                            | Romanian Government International Bond                                                                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    860000 | PA      | $737637.58    | 0.07%             | 2034-02-07      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| BCPE Empire Holdings, Inc.                         | BCPE Empire Holdings, Inc. 2022 Incremental Term Loan                                                                            | CUSIP: 05550HAL9<br>LEI: 549300O2G0VI2955B626 | Long             | LON              | CORP              | US        |    694750 | PA      | $688670.94    | 0.07%             | 2026-06-11      | Floating      | 9.29%                 | No            | 2                  | On Loan: No      |
| MASTR Asset Backed Securities Trust                | Mastr Asset Backed Securities Trust 2004-WMC3                                                                                    | CUSIP: 57643LFN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    453414 | PA      | $421573.85    | 0.04%             | 2034-10-25      | Floating      | 5.33%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                                                                  | CUSIP: 3140X7CB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8043780 | PA      | $7887424.50   | 0.78%             | 2049-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| GOODMAN US FIN FIVE LLC                            | Goodman US Finance Five LLC                                                                                                      | CUSIP: 38239PAA5<br>LEI: N/A                  | Long             | DBT              |  | US        |    100000 | PA      | $94519.10     | 0.01%             | 2032-05-04      | Fixed         | 4.63%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                         | Fannie Mae REMICS                                                                                                                | CUSIP: 3136A35Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114389 | PA      | $114203.84    | 0.01%             | 2041-02-25      | Floating      | 5.06%                 | No            | 2                  | On Loan: No      |
| United States Treasury                             | United States Treasury Bill                                                                                                      | CUSIP: 912796V48<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  13200000 | PA      | $13070281.09  | 1.29%             | 2023-04-20      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| New Residential Mortgage Loan Trust                | New Residential Mortgage Loan Trust 2019-RPL3                                                                                    | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    850156 | PA      | $801944.89    | 0.08%             | 2059-07-25      | Variable      | 2.75%                 | No            | 2                  | On Loan: No      |
| GOODMAN US FIN THREE                               | Goodman US Finance Three LLC                                                                                                     | CUSIP: 38239JAA9<br>LEI: N/A                  | Long             | DBT              |  | US        |   1200000 | PA      | $1104399.36   | 0.11%             | 2028-03-15      | Fixed         | 3.70%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                                                                  | CUSIP: 3140Q94R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57542 | PA      | $56423.66     | 0.01%             | 2048-11-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Freddie Mac                                        | Freddie Mac Gold Pool                                                                                                            | CUSIP: 3132Y1RS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    742244 | PA      | $748456.07    | 0.07%             | 2048-08-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                           | Enterprise Products Operating LLC                                                                                                | CUSIP: 29379VCA9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   1070000 | PA      | $765901.71    | 0.08%             | 2052-02-15      | Fixed         | 3.20%                 | No            | 2                  | On Loan: No      |
| VIRTUSA CORPORATION                                | Virtusa Corporation First Lien Term Loan B                                                                                       | CUSIP: 92828KAK8<br>LEI: C77OMXDER63WLJCSKT03 | Long             | LON              | CORP              | US        |    393000 | PA      | $389561.25    | 0.04%             | 2028-02-11      | Floating      | 8.32%                 | No            | 2                  | On Loan: No      |
| SOCIETE GENERALE                                   | Societe Generale SA                                                                                                              | CUSIP: 83368RBM3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1800000 | PA      | $1793453.51   | 0.18%             | 2027-06-15      | Fixed         | 4.68%                 | No            | 2                  | On Loan: No      |
| UMBS, TBA                                          | Uniform Mortgage-Backed Security, TBA                                                                                            | CUSIP: 01F022634<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  37500000 | PA      | $32854606.13  | 3.25%             | 2053-03-15      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| BofA Securities, Inc.                              | 317596KP8                                                                                                                        | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |  -2000000 | NC      | $-10378.20    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Countrywide Asset-Backed Certificates              | CWABS Asset-Backed Certificates Trust 2007-1                                                                                     | CUSIP: 23245CAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50479 | PA      | $49480.33     | 0.00%             | 2037-07-25      | Floating      | 4.65%                 | No            | 2                  | On Loan: No      |
| PARK AEROSPACE HOLDINGS                            | Park Aerospace Holdings Ltd                                                                                                      | CUSIP: 70014LAB6<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |    112000 | PA      | $111155.17    | 0.01%             | 2024-02-15      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| BOOZ ALLEN HAMILTON INC                            | Booz Allen Hamilton Inc                                                                                                          | CUSIP: 09951LAA1<br>LEI: 549300D7XCH2480XU542 | Long             | DBT              | CORP              | US        |    200000 | PA      | $180946.00    | 0.02%             | 2028-09-01      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| Uropa Securities plc                               | Uropa Securities PLC                                                                                                             | CUSIP: 000000000<br>LEI: 213800IVU1GPPZBQ4446 | Long             | ABS-MBS          | CORP              | GB        |    218000 | PA      | $258421.34    | 0.03%             | 2040-10-10      | Floating      | 3.76%                 | No            | 2                  | On Loan: No      |
| United States Treasury                             | United States Treasury Inflation Indexed Bonds                                                                                   | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1181422 | PA      | $1066660.24   | 0.11%             | 2032-01-15      | Fixed         | 0.13%                 | No            | 2                  | On Loan: No      |
| Bank of America N.A.                               | PURCHASED USD / SOLD EUR                                                                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-5124.87     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| AT&T INC                                           | AT&T Inc                                                                                                                         | CUSIP: 00206RKB7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $986319.02    | 0.10%             | 2060-06-01      | Fixed         | 3.85%                 | No            | 2                  | On Loan: No      |
| Citigroup Inc                                      | Citigroup Inc                                                                                                                    | CUSIP: 172967JT9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    750000 | PA      | $744137.68    | 0.07%             | 2025-06-10      | Fixed         | 4.40%                 | No            | 2                  | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                           | Charter Communications Operating LLC / Charter Communications Operating Capital                                                  | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1100000 | PA      | $866198.28    | 0.09%             | 2050-03-01      | Fixed         | 4.80%                 | No            | 2                  | On Loan: No      |
| United States Treasury                             | United States Treasury Note/Bond                                                                                                 | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17090000 | PA      | $11826146.53  | 1.17%             | 2040-11-15      | Fixed         | 1.38%                 | No            | 2                  | On Loan: No      |
| Entergy Mississippi LLC                            | Entergy Mississippi LLC                                                                                                          | CUSIP: 29364NAT5<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1744925.63   | 0.17%             | 2028-06-01      | Fixed         | 2.85%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                                                                  | CUSIP: 3140X7KT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3068304 | PA      | $2995998.90   | 0.30%             | 2050-05-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Hospitality Mortgage Trust                         | HPLY Trust 2019-HIT                                                                                                              | CUSIP: 40443RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    382841 | PA      | $377315.07    | 0.04%             | 2036-11-15      | Floating      | 5.46%                 | No            | 2                  | On Loan: No      |
| ING GROEP NV                                       | ING Groep NV                                                                                                                     | CUSIP: 456837BA0<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    700000 | PA      | $679857.96    | 0.07%             | 2026-03-28      | Fixed         | 3.87%                 | No            | 2                  | On Loan: No      |
| DEUTSCHE BANK NY                                   | Deutsche Bank AG/New York NY                                                                                                     | CUSIP: 251526CK3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    700000 | PA      | $572118.23    | 0.06%             | 2032-05-28      | Fixed         | 3.04%                 | No            | 2                  | On Loan: No      |
| MKS CLO Ltd                                        | MKS CLO 2017-1 Ltd                                                                                                               | CUSIP: 55317AAA7<br>LEI: 5493003VGNSG059H2J98 | Long             | ABS-CBDO         | CORP              | KY        |   1734128 | PA      | $1713061.33   | 0.17%             | 2030-07-20      | Floating      | 5.81%                 | No            | 2                  | On Loan: No      |
| ENERGY TRANSFER LP                                 | Energy Transfer LP                                                                                                               | CUSIP: 29273RAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1219628.18   | 0.12%             | 2041-06-01      | Fixed         | 6.05%                 | No            | 2                  | On Loan: No      |
| Chicago Mercantile Exchange                        | E-MINI RUSS 2000 MAR23                                                                                                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |       549 | NC      | $3111490.50   | 0.31%             |  |  |  | No            | 1                  | On Loan: No      |
| ROMANIA                                            | Romanian Government International Bond                                                                                           | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    400000 | PA      | $258624.36    | 0.03%             | 2040-12-02      | Fixed         | 2.63%                 | No            | 2                  | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.   | Freddie Mac Multifamily Structured Pass Through Certificates                                                                     | CUSIP: 3137FG6Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2700000 | PA      | $2578003.74   | 0.26%             | 2028-04-25      | Variable      | 3.34%                 | No            | 2                  | On Loan: No      |
| United States Treasury                             | United States Treasury Note/Bond                                                                                                 | CUSIP: 912810QQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5500000 | PA      | $6029160.17   | 0.60%             | 2041-05-15      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| OZLM Ltd                                           | OZLM XVI Ltd                                                                                                                     | CUSIP: 67111KAJ9<br>LEI: 54930042UBEHLEPQ4B17 | Long             | ABS-CBDO         | CORP              | KY        |    774185 | PA      | $764618.17    | 0.08%             | 2030-05-16      | Floating      | 5.67%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Bank USA                             | PURCHASED USD / SOLD EUR                                                                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |         1 | NC      | $-110413.41   | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| ING GROEP NV                                       | ING Groep NV                                                                                                                     | CUSIP: 456837BB8<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    700000 | PA      | $671820.77    | 0.07%             | 2028-03-28      | Fixed         | 4.02%                 | No            | 2                  | On Loan: No      |
| CREDIT SUISSE GROUP AG                             | Credit Suisse Group AG                                                                                                           | CUSIP: 225401AY4<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1700000 | PA      | $1650601.49   | 0.16%             | 2026-07-15      | Fixed         | 6.37%                 | No            | 2                  | On Loan: No      |
| Residential Asset Securities Corporation           | RASC Series 2005-KS6 Trust                                                                                                       | CUSIP: 76110WZ33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79991 | PA      | $79785.66     | 0.01%             | 2035-07-25      | Floating      | 5.56%                 | No            | 2                  | On Loan: No      |
| Fannie Mae                                         | Fannie Mae Pool                                                                                                                  | CUSIP: 3140LQN71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    763555 | PA      | $676722.40    | 0.07%             | 2037-03-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Gallatin Funding Ltd                               | Gallatin CLO IX 2018-1 Ltd                                                                                                       | CUSIP: 36361WAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    325687 | PA      | $324388.92    | 0.03%             | 2028-01-21      | Floating      | 5.87%                 | No            | 2                  | On Loan: No      |
| BRITISH AIR 18-1 AA PTT                            | British Airways 2018-1 Class AA Pass Through Trust                                                                               | CUSIP: 11042TAA1<br>LEI: 2549007HITOHPGVGUX03 | Long             | DBT              | CORP              | US        |    431637 | PA      | $396541.00    | 0.04%             | 2031-09-20      | Fixed         | 3.80%                 | No            | 2                  | On Loan: No      |
| TD SYNNEX CORP                                     | TD SYNNEX Corp                                                                                                                   | CUSIP: 87162WAD2<br>LEI: 5493004HI6PFLF46NS53 | Long             | DBT              | CORP              | US        |    500000 | PA      | $469919.65    | 0.05%             | 2024-08-09      | Fixed         | 1.25%                 | No            | 2                  | On Loan: No      |
| UMBS, TBA                                          | Uniform Mortgage-Backed Security, TBA                                                                                            | CUSIP: 01F030637<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  25900000 | PA      | $23539660.22  | 2.33%             | 2053-03-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Oracle Corp                                        | Oracle Corp                                                                                                                      | CUSIP: 68389XBC8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    700000 | PA      | $672440.43    | 0.07%             | 2025-05-15      | Fixed         | 2.95%                 | No            | 2                  | On Loan: No      |
| UMBS, TBA                                          | Uniform Mortgage-Backed Security, TBA                                                                                            | CUSIP: 01F042632<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  49200000 | PA      | $48573468.50  | 4.81%             | 2053-03-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Constellation Energy Generation LLC                | Constellation Energy Generation LLC                                                                                              | CUSIP: 21038QP65<br>LEI: S2PEWKCZFFECR4533P43 | Long             | STIV             | CORP              | US        |   1000000 | PA      | $999137.33    | 0.10%             | 2023-02-06      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| BAT CAPITAL CORP                                   | BAT Capital Corp                                                                                                                 | CUSIP: 05526DBX2<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    200000 | PA      | $222979.32    | 0.02%             | 2032-10-19      | Fixed         | 7.75%                 | No            | 2                  | On Loan: No      |
| LCM Ltd Partnership                                | LCM XV LP                                                                                                                        | CUSIP: 50184NAR3<br>LEI: 549300HV40B88JRNJD93 | Long             | ABS-CBDO         | CORP              | KY        |    643917 | PA      | $637088.61    | 0.06%             | 2030-07-20      | Floating      | 5.81%                 | No            | 2                  | On Loan: No      |
| ARIZONA PUBLIC SERVICE                             | Arizona Public Service Co                                                                                                        | CUSIP: 040555DC5<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |    400000 | PA      | $252316.61    | 0.02%             | 2050-09-15      | Fixed         | 2.65%                 | No            | 2                  | On Loan: No      |

### Signature

**Date Signed:** 2023-02-27

**Name of Applicant:** SUNAMERICA SERIES TRUST

**Signature:** Shawn Parry

**Name of Signer:** Shawn Parry

**Title:** Assistant Treasurer