# EDGAR Filing Document

**Accession Number:** 0000887340
**File Stem:** 0001752724-23-044136
**Filing Date:** 2023-2
**Character Count:** 268277
**Document Hash:** 19b78f9fe2cc72195b4bbe2f3086aa7d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-044136.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-044136

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**FILER**: 

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03833-01
- **FILM NUMBER:** 23679078

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

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

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

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

## Series and Classes Contracts Data

### MainStay VP Janus Henderson Balanced Portfolio (Series ID: S000033928)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000104627 | Initial Class |  |
| C000104628 | Service Class |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10010

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

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

- **a. Name of Series:** MainStay VP Janus Henderson Balanced Portfolio

- **b. EDGAR series identifier (if any):** S000033928

- **c. LEI of Series:** 549300IH1BE6KCPK8R42

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1449347198.17

**Total Liabilities:** $79425178.95

**Net Assets:** $1369922019.22

**Cash Not Reported:** $6998359.17

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -2657.02000000 | **1-Year:** -6794.41000000 | **5-Year:** -55517.94000000 | **10-Year:** -103746.56000000 | **30-Year:** -184377.04000000

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

- **3-Month:** -531.22000000 | **1-Year:** -1523.15000000 | **5-Year:** -6146.62000000 | **10-Year:** -4111.98000000 | **30-Year:** -5735.71000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000104628 | 3.95%                | 4.97%                | -3.33%               |
| Class ID C000104627 | 3.97%                | 4.99%                | -3.31%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-2408177.48             | $52161328.48                               |
| Month 2  | $-12139326.00            | $77492758.41                               |
| Month 3  | $2117522.24              | $-51565515.41                              |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| JPMorgan Chase & Co.                                 | JPMorgan Chase & Co.                                                           | CUSIP: 46647PDK9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2323000 | PA      | $2267372.16   | 0.17%             | 2033-09-14      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| CBRE Group, Inc.                                     | CBRE Group, Inc., Class A                                                      | CUSIP: 12504L109<br>LEI: 52990016II9MJ2OSWA10 | Long             | EC               | CORP              | US        |     43506 | NS      | $3348221.76   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| TPI Re-REMIC Trust                                   | TPI Re-REMIC Trust, Series 2022-FRR1, Class AK35                               | CUSIP: 872659AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    536000 | PA      | $512174.42    | 0.04%             | 2046-08-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Bonds                                                            | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  32713000 | PA      | $26952445.16  | 1.97%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 15 Year                                                                  | CUSIP: 3132CWBH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    842621 | PA      | $787892.95    | 0.06%             | 2033-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                    | CIFC Funding Ltd., Series 2018-3A, Class A                                     | CUSIP: 12551YAA1<br>LEI: 635400OB7ZCBUWDQNV87 | Long             | ABS-CBDO         | CORP              | KY        |    603000 | PA      | $593286.88    | 0.04%             | 2031-07-18      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| Med Trust                                            | Med Trust, Series 2021-MDLN, Class C                                           | CUSIP: 58403YAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $266014.84    | 0.02%             | 2038-11-15      | Floating      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                | Westlake Automobile Receivables Trust, Series 2020-1A, Class D                 | CUSIP: 96042KAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    741000 | PA      | $727259.12    | 0.05%             | 2025-06-16      | Fixed         | 2.80%                 | Yes           |                  2 | On Loan: No      |
| Monster Beverage Corp.                               | Monster Beverage Corp.                                                         | CUSIP: 61174X109<br>LEI: 52990090AP0E7HCB6F33 | Long             | EC               | CORP              | US        |    124341 | NS      | $12624341.73  | 0.92%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                                | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3490939 | PA      | $3206829.70   | 0.23%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                               | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3218691 | PA      | $2881486.68   | 0.21%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Cadence Design Systems, Inc.                         | Cadence Design Systems, Inc.                                                   | CUSIP: 127387108<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | EC               | CORP              | US        |     17769 | NS      | $2854412.16   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Microchip Technology, Inc.                           | Microchip Technology, Inc.                                                     | CUSIP: 595017AZ7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |   1514000 | PA      | $1485771.85   | 0.11%             | 2023-09-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140ML4S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41806 | PA      | $40449.43     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140MJ6S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    590682 | PA      | $522940.45    | 0.04%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140JMBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110814 | PA      | $105661.12    | 0.01%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Hasbro, Inc.                                         | Hasbro, Inc.                                                                   | CUSIP: 418056AZ0<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |   2121000 | PA      | $1884899.44   | 0.14%             | 2029-11-19      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140E9H66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2098 | PA      | $1881.15      | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                        | UMBS, Single Family, 30 Year                                                   | CUSIP: 01F0426C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2205008 | PA      | $2121782.69   | 0.15%             | 2052-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Hasbro, Inc.                                         | Hasbro, Inc.                                                                   | CUSIP: 418056AU1<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |    614000 | PA      | $522696.95    | 0.04%             | 2044-05-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140X7ST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1333212 | PA      | $1261252.52   | 0.09%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3132DNGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    651187 | PA      | $621730.46    | 0.05%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CME Group, Inc.                                      | CME Group, Inc.                                                                | CUSIP: 12572Q105<br>LEI: LCZ7XYGSLJUHFXXNXD88 | Long             | EC               | CORP              | US        |     52414 | NS      | $8813938.24   | 0.64%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup, Inc.                                      | Citigroup, Inc.                                                                | CUSIP: 172967LD1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2060000 | PA      | $1925003.83   | 0.14%             | 2028-01-10      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP                                       | GLP Capital LP                                                                 | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     86000 | PA      | $81385.24     | 0.01%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                    | CIFC Funding Ltd., Series 2021-7A, Class B                                     | CUSIP: 12567HAE2<br>LEI: 54930089HD7KU5NUS092 | Long             | ABS-CBDO         | CORP              | KY        |    323837 | PA      | $309214.79    | 0.02%             | 2035-01-23      | Floating      | 5.92%                 | Yes           |                  2 | On Loan: No      |
| FREED ABS Trust                                      | FREED ABS Trust, Series 2022-3FP, Class A                                      | CUSIP: 35634EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    468125 | PA      | $466596.60    | 0.03%             | 2029-08-20      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| AT&T, Inc.                                           | AT&T, Inc.                                                                     | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    105000 | PA      | $70279.75     | 0.01%             | 2059-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| BX Trust                                             | BX Trust, Series 2019-OC11, Class C                                            | CUSIP: 05606FAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    564000 | PA      | $464733.07    | 0.03%             | 2041-12-09      | Fixed         | 3.86%                 | Yes           |                  2 | On Loan: No      |
| Bayview MSR Opportunity Master Fund Trust            | Bayview MSR Opportunity Master Fund Trust, Series 2021-5, Class AF             | CUSIP: 07336JAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    923454 | PA      | $840078.96    | 0.06%             | 2051-11-25      | Floating      | 4.37%                 | Yes           |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                           | LAD Auto Receivables Trust, Series 2022-1A, Class A                            | CUSIP: 501687AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1230183 | PA      | $1210479.36   | 0.09%             | 2027-06-15      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140HGR90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146099 | PA      | $143227.30    | 0.01%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CP EF Asset Securitization I LLC                     | CP EF Asset Securitization I LLC, Series 2022-1A, Class A                      | CUSIP: 12662AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    516435 | PA      | $508006.65    | 0.04%             | 2030-04-15      | Fixed         | 5.96%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140HPR58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123734 | PA      | $117979.27    | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140MJ7G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    576145 | PA      | $531015.99    | 0.04%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2022-R08, Class 1M1                | CUSIP: 20755DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    342537 | PA      | $343611.99    | 0.03%             | 2042-07-25      | Floating      | 6.48%                 | Yes           |                  2 | On Loan: No      |
| Charter Communications Operating LLC                 | Charter Communications Operating LLC                                           | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    256000 | PA      | $230854.16    | 0.02%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| SVB Financial Group                                  | SVB Financial Group                                                            | CUSIP: 78486QAG6<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |   1382000 | PA      | $790948.04    | 0.06%             | 2031-02-15      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| NVIDIA Corp.                                         | NVIDIA Corp.                                                                   | CUSIP: 67066G104<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | EC               | CORP              | US        |     76818 | NS      | $11226182.52  | 0.82%             |  |  |  | No            |                  1 | On Loan: No      |
| Amazon.com, Inc.                                     | Amazon.com, Inc.                                                               | CUSIP: 023135106<br>LEI: ZXTILKJKG63JELOEG630 | Long             | EC               | CORP              | US        |    122123 | NS      | $10258332.00  | 0.75%             |  |  |  | No            |                  1 | On Loan: No      |
| CF Hippolyta Issuer LLC                              | CF Hippolyta Issuer LLC, Series 2021-1A, Class A1                              | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    961238 | PA      | $831163.29    | 0.06%             | 2061-03-15      | Fixed         | 1.53%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140HBFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109539 | PA      | $109499.95    | 0.01%             | 2048-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Conn's Receivables Funding LLC                       | Conn's Receivables Funding LLC, Series 2021-A, Class A                         | CUSIP: 20825GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       693 | PA      | $691.55       | 0.00%             | 2026-05-15      | Fixed         | 1.05%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC Gold Pools, Other                                                        | CUSIP: 31329L6U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23176 | PA      | $21648.25     | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3133A9WN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    126690 | PA      | $109702.63    | 0.01%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140XJLW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7261286 | PA      | $6411314.67   | 0.47%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3133BMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    588334 | PA      | $596628.02    | 0.04%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OWL Rock Core Income Corp.                           | OWL Rock Core Income Corp.                                                     | CUSIP: 69120VAN1<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |    973000 | PA      | $969851.79    | 0.07%             | 2027-09-16      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Hilton Worldwide Holdings, Inc.                      | Hilton Worldwide Holdings, Inc.                                                | CUSIP: 43300A203<br>LEI: 549300HVGPK36ICB0B89 | Long             | EC               | CORP              | US        |     94102 | NS      | $11890728.72  | 0.87%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140QPYX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    469748 | PA      | $430973.15    | 0.03%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Sponsor LLC               | New Economy Assets Phase 1 Sponsor LLC, Series 2021-1, Class B1                | CUSIP: 643821AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    514000 | PA      | $422258.61    | 0.03%             | 2061-10-20      | Fixed         | 2.41%                 | Yes           |                  2 | On Loan: No      |
| Vantage Data Centers LLC                             | Vantage Data Centers LLC, Series 2020-2A, Class A2                             | CUSIP: 92212KAC0<br>LEI: 5493000RL8X7WTQ7HO20 | Long             | ABS-O            | CORP              | US        |    705000 | PA      | $579175.34    | 0.04%             | 2045-09-15      | Fixed         | 1.99%                 | Yes           |                  2 | On Loan: No      |
| KLA Corp.                                            | KLA Corp.                                                                      | CUSIP: 482480100<br>LEI: 549300H0BF5JCG96TJ81 | Long             | EC               | CORP              | US        |     14689 | NS      | $5538193.67   | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC STACR REMIC Trust                              | FHLMC STACR REMIC Trust, Series 2020-DNA6, Class M2                            | CUSIP: 35566CAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    889236 | PA      | $883074.77    | 0.06%             | 2050-12-25      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                             | BX Trust, Series 2021-LBA, Class AV                                            | CUSIP: 05609BAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1122000 | PA      | $1066446.75   | 0.08%             | 2036-02-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Diamond Infrastructure Funding LLC                   | Diamond Infrastructure Funding LLC, Series 2021-1A, Class A                    | CUSIP: 25265LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1031000 | PA      | $844478.49    | 0.06%             | 2049-04-15      | Fixed         | 1.76%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140XFWY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4025185 | PA      | $3442572.21   | 0.25%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                               | JPMorgan Chase Bank NA, Series 2021-1, Class B                                 | CUSIP: 46591HBR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    188414 | PA      | $182133.37    | 0.01%             | 2028-09-25      | Fixed         | 0.88%                 | Yes           |                  2 | On Loan: No      |
| Med Trust                                            | Med Trust, Series 2021-MDLN, Class D                                           | CUSIP: 58403YAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    284000 | PA      | $268331.89    | 0.02%             | 2038-11-15      | Floating      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| Eli Lilly & Co.                                      | Eli Lilly & Co.                                                                | CUSIP: 532457108<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | EC               | CORP              | US        |     54749 | NS      | $20029374.16  | 1.46%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                      | Goldman Sachs Group, Inc. (The)                                                | CUSIP: 38141GXJ8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2399000 | PA      | $2306980.12   | 0.17%             | 2025-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Stryker Corp.                                        | Stryker Corp.                                                                  | CUSIP: 863667101<br>LEI: 5493002F0SC4JTBU5137 | Long             | EC               | CORP              | US        |     23974 | NS      | $5861403.26   | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140X8S24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    631820 | PA      | $598894.19    | 0.04%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TPI Re-REMIC Trust                                   | TPI Re-REMIC Trust, Series 2022-FRR1, Class AK34                               | CUSIP: 872659AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    395000 | PA      | $379756.75    | 0.03%             | 2046-07-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3132DNSB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118404 | PA      | $112240.30    | 0.01%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3133BPUK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    744283 | PA      | $741283.20    | 0.05%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Alphabet, Inc.                                       | Alphabet, Inc., Class C                                                        | CUSIP: 02079K107<br>LEI: 5493006MHB84DD0ZWV18 | Long             | EC               | CORP              | US        |    295503 | NS      | $26219981.19  | 1.91%             |  |  |  | No            |                  1 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2021-1A, Class D                   | CUSIP: 30166RAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    674000 | PA      | $630117.34    | 0.05%             | 2026-11-16      | Fixed         | 1.08%                 | No            |                  2 | On Loan: No      |
| SVB Financial Group                                  | SVB Financial Group, Series D                                                  | CUSIP: 78486QAP6<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |   2139000 | PA      | $1403288.19   | 0.10%             | 2026-11-15      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                               | Tesla Auto Lease Trust, Series 2021-B, Class B                                 | CUSIP: 88161KAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    258000 | PA      | $240693.88    | 0.02%             | 2025-09-22      | Fixed         | 0.91%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140QQZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    572655 | PA      | $552852.17    | 0.04%             | 2052-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Bonds                                                            | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6166000 | PA      | $4402668.53   | 0.32%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140XJAP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    790992 | PA      | $773680.15    | 0.06%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3133A73R8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67223 | PA      | $58085.32     | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3138ENRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    175205 | PA      | $172969.70    | 0.01%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                            | CUSIP: 91282CFP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2278000 | PA      | $2276220.31   | 0.17%             | 2025-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Capital Trusts                | Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class C         | CUSIP: 12653VAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    333000 | PA      | $326327.81    | 0.02%             | 2036-05-15      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Constellation Brands, Inc.                           | Constellation Brands, Inc., Class A                                            | CUSIP: 21036P108<br>LEI: 5493005GKEG8QCVY7037 | Long             | EC               | CORP              | US        |     24696 | NS      | $5723298.00   | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3132A4C89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    367222 | PA      | $384072.52    | 0.03%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140GSKE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85002 | PA      | $78838.19     | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3133B7F86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77976 | PA      | $71973.77     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140X7JB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1631777 | PA      | $1514968.46   | 0.11%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140JLKM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59037 | PA      | $56292.14     | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VASA Trust                                           | VASA Trust, Series 2021-VASA, Class A                                          | CUSIP: 92230AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    525000 | PA      | $484123.55    | 0.04%             | 2039-07-15      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140H6W88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34040 | PA      | $31944.99     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140MRZU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    369644 | PA      | $347154.99    | 0.03%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                          | Apple, Inc.                                                                    | CUSIP: 037833100<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | EC               | CORP              | US        |    277647 | NS      | $36074674.71  | 2.63%             |  |  |  | No            |                  1 | On Loan: No      |
| Sound Point CLO XXII Ltd.                            | Sound Point CLO XXII Ltd., Series 2019-1A, Class AR                            | CUSIP: 83611KAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1556000 | PA      | $1522835.42   | 0.11%             | 2032-01-20      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                            | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11805500 | PA      | $11849770.63  | 0.86%             | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                 | JPMorgan Chase & Co., Series HH                                                | CUSIP: 48128BAG6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    466000 | PA      | $410662.50    | 0.03%             | 2025-02-01      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| ARES LX CLO Ltd.                                     | ARES LX CLO Ltd., Series 2021-60A, Class A                                     | CUSIP: 04018FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    322000 | PA      | $313209.08    | 0.02%             | 2034-07-18      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                         | Upstart Securitization Trust, Series 2022-2, Class A                           | CUSIP: 91679TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1432474 | PA      | $1400458.94   | 0.10%             | 2032-05-20      | Fixed         | 4.37%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140MRCT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37940 | PA      | $36529.80     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140QPYS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173692 | PA      | $159838.34    | 0.01%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140QELR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4065775 | PA      | $3505763.83   | 0.26%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3133B3XQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    257134 | PA      | $220476.58    | 0.02%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                              | FHLMC STACR REMIC Trust, Series 2021-HQA4, Class M1                            | CUSIP: 35564KNK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1326295 | PA      | $1258414.45   | 0.09%             | 2041-12-25      | Floating      | 4.88%                 | Yes           |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                            | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30070000 | PA      | $30685495.31  | 2.24%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                              | CF Hippolyta Issuer LLC, Series 2022-1A, Class A1                              | CUSIP: 12530MAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1269940 | PA      | $1241030.01   | 0.09%             | 2062-08-15      | Fixed         | 5.97%                 | Yes           |                  2 | On Loan: No      |
| Life Mortgage Trust                                  | Life Mortgage Trust, Series 2022-BMR2, Class B                                 | CUSIP: 53218DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    357000 | PA      | $345820.55    | 0.03%             | 2039-05-15      | Floating      | 6.13%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140MSCJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    470174 | PA      | $452830.00    | 0.03%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3133B4H73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    210373 | PA      | $186433.36    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                        | UMBS, Single Family, 15 Year                                                   | CUSIP: 01F020414<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2603869 | PA      | $2315436.66   | 0.17%             | 2038-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Centene Corp.                                        | Centene Corp.                                                                  | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   3132000 | PA      | $2937387.57   | 0.21%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140H6CC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    437357 | PA      | $422127.50    | 0.03%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140XHVN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2347517 | PA      | $2155778.16   | 0.16%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140HFFE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130801 | PA      | $126246.28    | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                      | Air Lease Corp.                                                                | CUSIP: 00914AAG7<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    515000 | PA      | $429496.13    | 0.03%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSL Finance plc                                      | CSL Finance plc                                                                | CUSIP: 12661PAB5<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |    753000 | PA      | $709730.23    | 0.05%             | 2029-04-27      | Fixed         | 4.05%                 | Yes           |                  2 | On Loan: No      |
| American Express Co.                                 | American Express Co.                                                           | CUSIP: 025816109<br>LEI: R4PP93JZOLY261QX3811 | Long             | EC               | CORP              | US        |     94212 | NS      | $13919823.00  | 1.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                                 | CUSIP: 61747YEF8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1965000 | PA      | $1424882.89   | 0.10%             | 2036-09-16      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| Rocket Mortgage LLC                                  | Rocket Mortgage LLC                                                            | CUSIP: 77313LAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    741000 | PA      | $635157.32    | 0.05%             | 2026-10-15      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: —       |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3133BAFM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    235167 | PA      | $216679.28    | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3132DNQJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    904016 | PA      | $908182.59    | 0.07%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Life Mortgage Trust                                  | Life Mortgage Trust, Series 2022-BMR2, Class A1                                | CUSIP: 53218DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1231000 | PA      | $1200159.88   | 0.09%             | 2039-05-15      | Floating      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Merck & Co., Inc.                                    | Merck & Co., Inc.                                                              | CUSIP: 58933Y105<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | EC               | CORP              | US        |    145867 | NS      | $16183943.65  | 1.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Mastercard, Inc.                                     | Mastercard, Inc., Class A                                                      | CUSIP: 57636Q104<br>LEI: AR5L2ODV9HN37376R084 | Long             | EC               | CORP              | US        |     81401 | NS      | $28305569.73  | 2.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                 | Mitsubishi UFJ Financial Group, Inc.                                           | CUSIP: 606822CH5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    931000 | PA      | $921720.35    | 0.07%             | 2025-07-18      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                                | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8640010 | PA      | $7485342.30   | 0.55%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 15 Year                                                                  | CUSIP: 3131XDFC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97842 | PA      | $93110.71     | 0.01%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140J9NN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5853945 | PA      | $5326942.14   | 0.39%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 15 Year                                                                  | CUSIP: 3140JXSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86947 | PA      | $81587.76     | 0.01%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2022-R09, Class 2M1                | CUSIP: 20753DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1286213 | PA      | $1279556.62   | 0.09%             | 2042-09-25      | Floating      | 6.44%                 | Yes           |                  2 | On Loan: No      |
| ACM Auto Trust                                       | ACM Auto Trust, Series 2022-1A, Class A                                        | CUSIP: 00091QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    148822 | PA      | $148440.34    | 0.01%             | 2029-04-20      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                             | BX Trust, Series 2022-FOX2, Class A2                                           | CUSIP: 05610AAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1214000 | PA      | $1118099.46   | 0.08%             | 2039-04-15      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                               | Sequoia Mortgage Trust, Series 2013-5, Class A1                                | CUSIP: 81745AAA5<br>LEI: 549300671OK77JNRLK28 | Long             | ABS-MBS          | CORP              | US        |    177126 | PA      | $148095.88    | 0.01%             | 2043-05-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140X6FJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63875 | PA      | $59382.13     | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Barings CLO Ltd.                                     | Barings CLO Ltd., Series 2018-3A, Class A1                                     | CUSIP: 06760PAC5<br>LEI: 5493000D71NBEM2WZE67 | Long             | ABS-CBDO         | CORP              | KY        |    584073 | PA      | $579466.51    | 0.04%             | 2029-07-20      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                             | PRPM LLC, Series 2022-2, Class A1                                              | CUSIP: 69377AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1436920 | PA      | $1358865.04   | 0.10%             | 2027-03-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                       | 280 Park Avenue Mortgage Trust, Series 2017-280P, Class A                      | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    699152 | PA      | $681525.96    | 0.05%             | 2034-09-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| SREIT Trust                                          | SREIT Trust, Series 2021-MFP, Class A                                          | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    136000 | PA      | $130798.44    | 0.01%             | 2038-11-15      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140X3A73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    724289 | PA      | $659085.66    | 0.05%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Cold Storage Trust                                   | Cold Storage Trust, Series 2020-ICE5, Class A                                  | CUSIP: 193051AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1480384 | PA      | $1439494.35   | 0.11%             | 2037-11-15      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance                    | Mello Mortgage Capital Acceptance, Series 2021-INV4, Class A3                  | CUSIP: 58550NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    418161 | PA      | $335655.76    | 0.02%             | 2051-12-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp.                                                          | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    509000 | PA      | $471025.27    | 0.03%             | 2028-04-24      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 31416CE69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22268 | PA      | $23285.22     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140MNP67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    336623 | PA      | $310159.64    | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TPI Re-REMIC Trust                                   | TPI Re-REMIC Trust, Series 2022-FRR1, Class AK33                               | CUSIP: 872659AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    480000 | PA      | $461476.56    | 0.03%             | 2046-07-25      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| United Parcel Service, Inc.                          | United Parcel Service, Inc., Class B                                           | CUSIP: 911312106<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | EC               | CORP              | US        |    109150 | NS      | $18974636.00  | 1.39%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 31418BW93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82306 | PA      | $76596.90     | 0.01%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                            | OBX Trust, Series 2022-INV1, Class A18                                         | CUSIP: 67115NAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    786248 | PA      | $624852.47    | 0.05%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3138EPX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57013 | PA      | $56518.69     | 0.00%             | 2042-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                               | CUSIP: 3617B13X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20484 | PA      | $19565.54     | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                             | PRPM LLC, Series 2020-4, Class A1                                              | CUSIP: 69359XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    577336 | PA      | $556996.77    | 0.04%             | 2025-10-25      | Variable      | 2.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140HAMH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165258 | PA      | $146299.13    | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC Gold Pools, Other                                                        | CUSIP: 3131Y4LZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10123 | PA      | $9087.51      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3274215 | PA      | $3105376.36   | 0.23%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Mondelez International, Inc.                         | Mondelez International, Inc.                                                   | CUSIP: 609207AT2<br>LEI: 549300DV9GIB88LZ5P30 | Long             | DBT              | CORP              | US        |     80000 | PA      | $68956.27     | 0.01%             | 2030-04-13      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Progressive Corp. (The)                              | Progressive Corp. (The)                                                        | CUSIP: 743315103<br>LEI: 529900TACNVLY9DCR586 | Long             | EC               | CORP              | US        |    150253 | NS      | $19489316.63  | 1.42%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 31418DKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49819 | PA      | $48490.04     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140J7UG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21964 | PA      | $20602.91     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2022-R05, Class 2M1                | CUSIP: 20754DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    623326 | PA      | $617417.70    | 0.05%             | 2042-04-25      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Home Depot, Inc. (The)                               | Home Depot, Inc. (The)                                                         | CUSIP: 437076102<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | EC               | CORP              | US        |     44931 | NS      | $14191905.66  | 1.04%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                            | CUSIP: 91282CEY3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2161000 | PA      | $2093131.09   | 0.15%             | 2025-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CBAM Ltd.                                            | CBAM Ltd., Series 2019-11RA, Class B                                           | CUSIP: 12510TAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400456 | PA      | $380714.72    | 0.03%             | 2035-01-20      | Floating      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2019-R03, Class 1M2                | CUSIP: 20753MAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55143 | PA      | $55008.78     | 0.00%             | 2031-09-25      | Floating      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| BBCMS Trust                                          | BBCMS Trust, Series 2015-SRCH, Class A2                                        | CUSIP: 05547HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    875000 | PA      | $813722.18    | 0.06%             | 2035-08-10      | Fixed         | 4.20%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                       | BNP Paribas SA                                                                 | CUSIP: 09659W2U7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    622000 | PA      | $491108.83    | 0.04%             | 2033-01-20      | Variable      | 3.13%                 | Yes           |                  2 | On Loan: —       |
| Reliance Steel & Aluminum Co.                        | Reliance Steel & Aluminum Co.                                                  | CUSIP: 759509AE2<br>LEI: 549300E287ZOFT3C5Z56 | Long             | DBT              | CORP              | US        |    469000 | PA      | $468918.09    | 0.03%             | 2023-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| U.S. Bancorp                                         | U.S. Bancorp                                                                   | CUSIP: 91159HJB7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   1471000 | PA      | $1119389.36   | 0.08%             | 2036-11-03      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                | Global Payments, Inc.                                                          | CUSIP: 37940XAQ5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    539000 | PA      | $513316.92    | 0.04%             | 2032-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                                 | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1457668.58   | 0.11%             | 2032-07-21      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140QQVP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1066281 | PA      | $1040031.71   | 0.08%             | 2052-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                               | CUSIP: 36179TZ57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    197477 | PA      | $188613.50    | 0.01%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140QPX69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1814326 | PA      | $1748074.52   | 0.13%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Trane Technologies plc                               | Trane Technologies plc                                                         | CUSIP: N/A<br>LEI: 549300BURLR9SLYY2705       | Long             | EC               | CORP              | IE        |     34427 | NS      | $5786834.43   | 0.42%             |  |  |  | No            |                  1 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                            | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17329800 | PA      | $17393432.95  | 1.27%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M2                | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    706000 | PA      | $665215.79    | 0.05%             | 2042-01-25      | Floating      | 6.93%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3132ADY69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26902 | PA      | $25768.15     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EQT Corp.                                            | EQT Corp.                                                                      | CUSIP: 26884LAP4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |   1066000 | PA      | $1060818.69   | 0.08%             | 2025-10-01      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Bonds                                                            | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26321000 | PA      | $25769904.06  | 1.88%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140N0FK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    373247 | PA      | $371742.23    | 0.03%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Cedar Funding XI CLO Ltd.                            | Cedar Funding XI CLO Ltd., Series 2019-11A, Class A1R                          | CUSIP: 15033LAQ5<br>LEI: 2549004YLPCISGLL7978 | Long             | ABS-CBDO         | CORP              | KY        |    508000 | PA      | $498163.09    | 0.04%             | 2032-05-29      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                                 | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2235000 | PA      | $1808066.52   | 0.13%             | 2033-01-21      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                     | Great Wolf Trust, Series 2019-WOLF, Class B                                    | CUSIP: 39152TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    303000 | PA      | $292052.03    | 0.02%             | 2036-12-15      | Floating      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140MNNA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94770 | PA      | $87446.23     | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140H6CD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    761147 | PA      | $731463.58    | 0.05%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140XHZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31009 | PA      | $29473.78     | 0.00%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3132ACSX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    716440 | PA      | $665740.15    | 0.05%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSK Consumer Healthcare Capital US LLC               | GSK Consumer Healthcare Capital US LLC                                         | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    753000 | PA      | $701009.72    | 0.05%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 15 Year                                                                  | CUSIP: 3132A8GL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    713864 | PA      | $684641.46    | 0.05%             | 2031-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                    | CUSIP: 3140FXEC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    992414 | PA      | $906709.96    | 0.07%             | 2056-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140QQL37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    385476 | PA      | $391360.99    | 0.03%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3132DNFY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1044493 | PA      | $959407.32    | 0.07%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| National Australia Bank Ltd.                         | National Australia Bank Ltd.                                                   | CUSIP: 632525AY7<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | DBT              | CORP              | AU        |   1708000 | PA      | $1336978.74   | 0.10%             | 2031-05-21      | Fixed         | 2.99%                 | Yes           |                  2 | On Loan: No      |
| HPS Loan Management Ltd.                             | HPS Loan Management Ltd., Series 2021-16A, Class B                             | CUSIP: 40440XAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    310367 | PA      | $295008.18    | 0.02%             | 2035-01-23      | Floating      | 6.02%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140QPHP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1814606 | PA      | $1671950.83   | 0.12%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                               | CUSIP: 3617B14U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16389 | PA      | $15635.39     | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140XJKP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    458329 | PA      | $435726.92    | 0.03%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| General Dynamics Corp.                               | General Dynamics Corp.                                                         | CUSIP: 369550108<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | EC               | CORP              | US        |     45706 | NS      | $11340115.66  | 0.83%             |  |  |  | No            |                  1 | On Loan: No      |
| Dollar General Corp.                                 | Dollar General Corp.                                                           | CUSIP: 256677105<br>LEI: OPX52SQVOZI8IVSWYU66 | Long             | EC               | CORP              | US        |     51521 | NS      | $12687046.25  | 0.93%             |  |  |  | No            |                  1 | On Loan: No      |
| Energy Transfer Operating LP                         | Energy Transfer LP                                                             | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    116000 | PA      | $112170.29    | 0.01%             | 2028-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Deere & Co.                                          | Deere & Co.                                                                    | CUSIP: 244199105<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | EC               | CORP              | US        |     42669 | NS      | $18294760.44  | 1.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Duke Energy Corp.                                    | Duke Energy Corp.                                                              | CUSIP: 26441CBS3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    920000 | PA      | $885245.78    | 0.06%             | 2028-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Sysco Corp.                                          | Sysco Corp.                                                                    | CUSIP: 871829107<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | EC               | CORP              | US        |    112025 | NS      | $8564311.25   | 0.63%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140MLUD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72890 | PA      | $70505.91     | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140XGXG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1281860 | PA      | $1217521.51   | 0.09%             | 2050-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3131Y04D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1968 | PA      | $1876.89      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                              | FHLMC STACR REMIC Trust, Series 2022-DNA5, Class M1A                           | CUSIP: 35564KYN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    852151 | PA      | $862155.19    | 0.06%             | 2042-06-25      | Floating      | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                        | Lendbuzz Securitization Trust, Series 2022-1A, Class A                         | CUSIP: 52607KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    995766 | PA      | $952971.60    | 0.07%             | 2027-05-17      | Fixed         | 4.22%                 | Yes           |                  2 | On Loan: No      |
| CoStar Group, Inc.                                   | CoStar Group, Inc.                                                             | CUSIP: 22160NAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    711000 | PA      | $580666.36    | 0.04%             | 2030-07-15      | Fixed         | 2.80%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                 | JPMorgan Chase & Co., Series FF                                                | CUSIP: 48128BAF8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    441000 | PA      | $403484.44    | 0.03%             | 2024-08-01      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Series 2021-R02, Class 2M2                                               | CUSIP: 20754KAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |   1891000 | PA      | $1758744.97   | 0.13%             | 2041-11-25      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Great Wolf Trust                                     | Great Wolf Trust, Series 2019-WOLF, Class C                                    | CUSIP: 39152TAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    337000 | PA      | $321736.16    | 0.02%             | 2036-12-15      | Floating      | 5.95%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC Gold Pools, Other                                                        | CUSIP: 3131Y6P45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25861 | PA      | $24167.18     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140J8K28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    441655 | PA      | $395723.83    | 0.03%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                          | Extended Stay America Trust, Series 2021-ESH, Class B                          | CUSIP: 30227FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    339715 | PA      | $326505.35    | 0.02%             | 2038-07-15      | Floating      | 5.70%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, 30 Year                                                                | CUSIP: 3622A2UF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    439920 | PA      | $437117.37    | 0.03%             | 2046-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3132DNHN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1245910 | PA      | $1072840.32   | 0.08%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3133KHGG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136890 | PA      | $133740.95    | 0.01%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Sherwin-Williams Co. (The)                           | Sherwin-Williams Co. (The)                                                     | CUSIP: 824348106<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | EC               | CORP              | US        |     19911 | NS      | $4725477.63   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3131Y2YX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8510 | PA      | $8469.45      | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                | Global Payments, Inc.                                                          | CUSIP: 37940XAN2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   1189000 | PA      | $1149490.09   | 0.08%             | 2029-08-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                            | CUSIP: 91282CCJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6560000 | PA      | $5866075.00   | 0.43%             | 2026-06-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2022-R06, Class 1M1                | CUSIP: 20754NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    421472 | PA      | $426721.37    | 0.03%             | 2042-05-25      | Floating      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3131Y1D80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    370226 | PA      | $353065.83    | 0.03%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 31334WZG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13744 | PA      | $12226.68     | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140QNPK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1131165 | PA      | $1039263.10   | 0.08%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140MSNE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166850 | PA      | $166177.12    | 0.01%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3132DNQD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3820399 | PA      | $3508369.97   | 0.26%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Corteva, Inc.                                        | Corteva, Inc.                                                                  | CUSIP: 22052L104<br>LEI: 549300WZN9I2QKLS0O94 | Long             | EC               | CORP              | US        |    122408 | NS      | $7195142.24   | 0.53%             |  |  |  | No            |                  1 | On Loan: No      |
| MSCI, Inc.                                           | MSCI, Inc.                                                                     | CUSIP: 55354GAL4<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |   1122000 | PA      | $932858.85    | 0.07%             | 2031-02-15      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3133B6F54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55437 | PA      | $47413.73     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp.                                                          | CUSIP: 06051GHG7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    670000 | PA      | $618225.64    | 0.05%             | 2029-03-05      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                              | CF Hippolyta Issuer LLC, Series 2021-1A, Class B1                              | CUSIP: 12530MAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    363557 | PA      | $303114.71    | 0.02%             | 2061-03-15      | Fixed         | 1.98%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3133KPUD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1715654 | PA      | $1657780.61   | 0.12%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| First Republic Bank                                  | First Republic Bank                                                            | CUSIP: 33616CAC4<br>LEI: YWC0TIKBQM2JV8L4IV08 | Long             | DBT              | CORP              | US        |    391000 | PA      | $303415.84    | 0.02%             | 2047-02-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| THL Credit Wind River CLO Ltd.                       | THL Credit Wind River CLO Ltd., Series 2019-1A, Class AR                       | CUSIP: 97316JAC7<br>LEI: 549300TGVPUHSOMYKZ89 | Long             | ABS-CBDO         | CORP              | KY        |    448000 | PA      | $434464.13    | 0.03%             | 2034-07-20      | Floating      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                               | CUSIP: 3617H1CH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34798 | PA      | $33835.73     | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                       | BNP Paribas SA                                                                 | CUSIP: 09659W2T0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    728000 | PA      | $640277.77    | 0.05%             | 2028-01-20      | Variable      | 2.59%                 | Yes           |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance                    | Mello Mortgage Capital Acceptance, Series 2021-INV2, Class A11                 | CUSIP: 58549XBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    657301 | PA      | $600745.00    | 0.04%             | 2051-08-25      | Floating      | 4.47%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140MHTA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    795014 | PA      | $704547.86    | 0.05%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corp.                         | Chase Mortgage Finance Corp., Series 2021-CL1, Class M1                        | CUSIP: 46591HBX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    929760 | PA      | $842083.48    | 0.06%             | 2050-02-25      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                         | BX Commercial Mortgage Trust, Series 2019-XL, Class A                          | CUSIP: 056054AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1332207 | PA      | $1315781.90   | 0.10%             | 2036-10-15      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                                 | Westgate Resorts LLC, Series 2022-1A, Class A                                  | CUSIP: 96034JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    298682 | PA      | $281455.53    | 0.02%             | 2036-08-20      | Fixed         | 1.79%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                             | BX Trust, Series 2019-OC11, Class B                                            | CUSIP: 05606FAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    284000 | PA      | $232831.27    | 0.02%             | 2041-12-09      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3133KPUC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4032100 | PA      | $3884862.46   | 0.28%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                     | NRG Energy, Inc.                                                               | CUSIP: 629377CQ3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   1057000 | PA      | $852597.34    | 0.06%             | 2029-02-15      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                 | Mitsubishi UFJ Financial Group, Inc.                                           | CUSIP: 606822CL6<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   1562000 | PA      | $1524707.14   | 0.11%             | 2028-07-20      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                         | Upstart Securitization Trust, Series 2022-1, Class A                           | CUSIP: 91679WAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    970609 | PA      | $935291.06    | 0.07%             | 2032-03-20      | Fixed         | 3.12%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2022-R05, Class 2M2                | CUSIP: 20754DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    521000 | PA      | $504329.67    | 0.04%             | 2042-04-25      | Floating      | 6.93%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                             | Angel Oak Mortgage Trust, Series 2019-5, Class A1                              | CUSIP: 03464KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     99500 | PA      | $94411.45     | 0.01%             | 2049-10-25      | Variable      | 2.59%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2018-R07, Class 1M2                | CUSIP: 20753QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89972 | PA      | $89748.97     | 0.01%             | 2031-04-25      | Floating      | 6.79%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140XDEL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    241125 | PA      | $228893.69    | 0.02%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Nordea Bank Abp                                      | Nordea Bank Abp                                                                | CUSIP: 65558RAD1<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |   1834000 | PA      | $1842460.83   | 0.13%             | 2027-09-22      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                  | New Residential Mortgage Loan Trust, Series 2018-2A, Class A1                  | CUSIP: 64828CAA7<br>LEI: 549300U1MV4J7YQZG974 | Long             | ABS-MBS          | CORP              | US        |    146211 | PA      | $140387.26    | 0.01%             | 2058-02-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance                    | Mello Mortgage Capital Acceptance, Series 2022-INV1, Class A2                  | CUSIP: 585490AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1653764 | PA      | $1378374.27   | 0.10%             | 2052-03-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Bank of Montreal                                     | Bank of Montreal                                                               | CUSIP: 06368DH72<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   3042000 | PA      | $2300067.67   | 0.17%             | 2037-01-10      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3133B2LX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    158109 | PA      | $135566.67    | 0.01%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140XGZE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    488448 | PA      | $462536.99    | 0.03%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3131Y0QS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    128594 | PA      | $125635.11    | 0.01%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140XFC25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1164831 | PA      | $1110697.99   | 0.08%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3133B4H81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    158942 | PA      | $141062.17    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp., Series U                                                | CUSIP: 060505ED2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    443000 | PA      | $429267.68    | 0.03%             | 2023-06-01      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                            | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  32639600 | PA      | $32461102.19  | 2.37%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| Abbott Laboratories                                  | Abbott Laboratories                                                            | CUSIP: 002824100<br>LEI: HQD377W2YR662HK5JX27 | Long             | EC               | CORP              | US        |    109080 | NS      | $11975893.20  | 0.87%             |  |  |  | No            |                  1 | On Loan: No      |
| GE HealthCare Technologies, Inc.                     | GE HealthCare Technologies, Inc.                                               | CUSIP: 36267VAG8<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   1624000 | PA      | $1661939.43   | 0.12%             | 2030-03-15      | Fixed         | 5.86%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3133B9K78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17980 | PA      | $17312.09     | 0.00%             | 2052-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Medtronic plc                                        | Medtronic plc                                                                  | CUSIP: N/A<br>LEI: 549300GX3ZBSQWUXY261       | Long             | EC               | CORP              | IE        |     42721 | NS      | $3320276.12   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140JGAN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82696 | PA      | $80745.98     | 0.01%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Costco Wholesale Corp.                               | Costco Wholesale Corp.                                                         | CUSIP: 22160K105<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | EC               | CORP              | US        |     18272 | NS      | $8341168.00   | 0.61%             |  |  |  | No            |                  1 | On Loan: No      |
| HCA, Inc.                                            | HCA, Inc.                                                                      | CUSIP: 404119BW8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    459000 | PA      | $457565.90    | 0.03%             | 2029-02-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                              | Flagstar Mortgage Trust, Series 2021-13IN, Class A2                            | CUSIP: 33853HAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1365861 | PA      | $1138413.74   | 0.08%             | 2051-12-30      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| SVB Financial Group                                  | SVB Financial Group, Series C                                                  | CUSIP: 78486QAJ0<br>LEI: 549300D2KJ20JMXE7542 | Long             | DBT              | CORP              | US        |    276000 | PA      | $182165.53    | 0.01%             | 2026-05-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140XHZN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63623 | PA      | $60364.56     | 0.00%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2019-1A, Class E                   | CUSIP: 30167DAE7<br>LEI: 549300KR7NUJOX0UJ040 | Long             | ABS-O            | CORP              | US        |    485000 | PA      | $480853.64    | 0.04%             | 2026-01-15      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| MSCI, Inc.                                           | MSCI, Inc.                                                                     | CUSIP: 55354GAH3<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    104000 | PA      | $90587.62     | 0.01%             | 2029-11-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                         | BX Commercial Mortgage Trust, Series 2021-VOLT, Class D                        | CUSIP: 05609VAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    984000 | PA      | $920603.83    | 0.07%             | 2036-09-15      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| GSK Consumer Healthcare Capital US LLC               | GSK Consumer Healthcare Capital US LLC                                         | CUSIP: 36264FAL5<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |    480000 | PA      | $431633.39    | 0.03%             | 2029-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140MGJK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134465 | PA      | $114845.17    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Logan CLO II Ltd.                                    | Logan CLO II Ltd., Series 2021-2A, Class A                                     | CUSIP: 540544AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    761109 | PA      | $739209.61    | 0.05%             | 2035-01-20      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 15 Year                                                                  | CUSIP: 3140K3SF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19919 | PA      | $18694.97     | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                            | CUSIP: 91282CFW6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1702000 | PA      | $1712238.59   | 0.12%             | 2025-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140QNLY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    596165 | PA      | $510518.23    | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140XHLE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2032992 | PA      | $1879153.88   | 0.14%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140MJ7F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    325992 | PA      | $300898.80    | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Hess Midstream Operations LP                         | Hess Midstream Operations LP                                                   | CUSIP: 428104AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    670000 | PA      | $619546.72    | 0.05%             | 2028-06-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| GXO Logistics, Inc.                                  | GXO Logistics, Inc.                                                            | CUSIP: 36262GAB7<br>LEI: 5493007CNWMXN78JRN66 | Long             | DBT              | CORP              | US        |    885000 | PA      | $757716.73    | 0.06%             | 2026-07-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                              | FHLMC STACR REMIC Trust, Series 2020-HQA4, Class M2                            | CUSIP: 35565RAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4544 | PA      | $4546.40      | 0.00%             | 2050-09-25      | Floating      | 7.54%                 | Yes           |                  2 | On Loan: No      |
| Charles Schwab Corp. (The)                           | Charles Schwab Corp. (The), Series H                                           | CUSIP: 808513BJ3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    661000 | PA      | $527114.45    | 0.04%             | 2030-12-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                               | JPMorgan Chase Bank NA, Series 2021-2, Class B                                 | CUSIP: 48128U2M0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    421974 | PA      | $403281.07    | 0.03%             | 2028-12-26      | Fixed         | 0.89%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corp.                                        | Comcast Corp., Class A                                                         | CUSIP: 20030N101<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | EC               | CORP              | US        |    429572 | NS      | $15022132.84  | 1.10%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                           | FHLMC Gold Pools, Other                                                        | CUSIP: 31329L6W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23708 | PA      | $22144.86     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Analog Devices, Inc.                                 | Analog Devices, Inc.                                                           | CUSIP: 032654AS4<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |    676000 | PA      | $650172.99    | 0.05%             | 2025-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR Trust                                    | FHLMC STACR Trust, Series 2019-DNA4, Class M2                                  | CUSIP: 35565AAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20854 | PA      | $20854.58     | 0.00%             | 2049-10-25      | Floating      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140XBJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    635909 | PA      | $623511.55    | 0.05%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                      | Citigroup, Inc., Series D                                                      | CUSIP: 172967GR6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    537000 | PA      | $523255.00    | 0.04%             | 2023-05-15      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Series 2015-C03, Class 1M2                                               | CUSIP: 30711XBB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    211538 | PA      | $214695.83    | 0.02%             | 2025-07-25      | Floating      | 9.39%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3133A0G73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61622 | PA      | $54571.13     | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Commonwealth Bank of Australia                       | Commonwealth Bank of Australia                                                 | CUSIP: 202712BS3<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |   1307000 | PA      | $1077338.29   | 0.08%             | 2032-03-14      | Fixed         | 3.78%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                               | CUSIP: 3617H1CJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92571 | PA      | $90263.73     | 0.01%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140Q7DN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75360 | PA      | $70722.99     | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3132DPCD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2598322 | PA      | $2641480.63   | 0.19%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Hasbro, Inc.                                         | Hasbro, Inc.                                                                   | CUSIP: 418056AS6<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |    420000 | PA      | $406616.90    | 0.03%             | 2040-03-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                            | BPR Trust, Series 2022-OANA, Class A                                           | CUSIP: 05592DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1896000 | PA      | $1850490.50   | 0.14%             | 2037-04-15      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3131Y06M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    175516 | PA      | $168670.72    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 48 Ltd.                  | Octagon Investment Partners 48 Ltd., Series 2020-3A, Class AR                  | CUSIP: 67577UAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    454000 | PA      | $441645.30    | 0.03%             | 2034-10-20      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140XHLR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    799501 | PA      | $758947.54    | 0.06%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Agree LP                                             | Agree LP                                                                       | CUSIP: 008513AB9<br>LEI: 549300DXY3G299V1BO77 | Long             | DBT              | CORP              | US        |    684000 | PA      | $560080.48    | 0.04%             | 2028-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                               | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1413284 | PA      | $1264696.46   | 0.09%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MainStay U.S. Government Liquidity Fund              | MainStay U.S. Government Liquidity Fund, Class I                               | CUSIP: 56064L488<br>LEI: 549300Y3ZLEL13IJCK58 | Long             | STIV             | RF                | US        |  70975023 | NS      | $70975023.14  | 5.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Affirm Asset Securitization Trust                    | Affirm Asset Securitization Trust, Series 2021-B, Class A                      | CUSIP: 00834DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    721000 | PA      | $683804.33    | 0.05%             | 2026-08-17      | Fixed         | 1.03%                 | Yes           |                  2 | On Loan: No      |
| CBAM Ltd.                                            | CBAM Ltd., Series 2019-11RA, Class A1                                          | CUSIP: 12510TAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1569000 | PA      | $1527484.26   | 0.11%             | 2035-01-20      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Air Lease Corp.                                      | Air Lease Corp.                                                                | CUSIP: 00914AAM4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   1020000 | PA      | $885908.25    | 0.06%             | 2026-08-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA                                       | JBS USA LUX SA                                                                 | CUSIP: 46590XAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1130000 | PA      | $1075217.60   | 0.08%             | 2030-01-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: —       |
| Rocket Mortgage LLC                                  | Rocket Mortgage LLC                                                            | CUSIP: 74841CAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    708000 | PA      | $561046.15    | 0.04%             | 2029-03-01      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                              | FHLMC STACR REMIC Trust, Series 2021-HQA1, Class M2                            | CUSIP: 35564KBS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1395000 | PA      | $1313856.06   | 0.10%             | 2033-08-25      | Floating      | 6.18%                 | Yes           |                  2 | On Loan: No      |
| Life Mortgage Trust                                  | Life Mortgage Trust, Series 2021-BMR, Class C                                  | CUSIP: 53218CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    908264 | PA      | $863246.66    | 0.06%             | 2038-03-15      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Rockwell Automation, Inc.                            | Rockwell Automation, Inc.                                                      | CUSIP: 773903109<br>LEI: VH3R4HHBHH12O0EXZJ88 | Long             | EC               | CORP              | US        |     16889 | NS      | $4350099.73   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Structured Agency Credit Risk Debt Notes       | FHLMC Structured Agency Credit Risk Debt Notes, Series 2020-HQA5, Class M2     | CUSIP: 35565TAH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    993854 | PA      | $991764.81    | 0.07%             | 2050-11-25      | Floating      | 6.53%                 | Yes           |                  2 | On Loan: No      |
| Centene Corp.                                        | Centene Corp.                                                                  | CUSIP: 15135BAW1<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   1079000 | PA      | $884509.42    | 0.06%             | 2030-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Cold Storage Trust                                   | Cold Storage Trust, Series 2020-ICE5, Class C                                  | CUSIP: 193051AL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    660570 | PA      | $639008.04    | 0.05%             | 2037-11-15      | Floating      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| UWM Mortgage Trust                                   | UWM Mortgage Trust, Series 2021-INV1, Class A9                                 | CUSIP: 90354XAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    789633 | PA      | $716456.10    | 0.05%             | 2051-08-25      | Floating      | 4.42%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2021-P4, Class A2                       | CUSIP: 14687KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    305415 | PA      | $302421.95    | 0.02%             | 2025-04-10      | Fixed         | 0.82%                 | No            |                  2 | On Loan: No      |
| Consumer Loan Underlying Bond CLUB Credit Trust      | Consumer Loan Underlying Bond CLUB Credit Trust, Series 2019-P2, Class C       | CUSIP: 21054PAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    253758 | PA      | $252280.53    | 0.02%             | 2026-10-15      | Fixed         | 4.41%                 | Yes           |                  2 | On Loan: No      |
| Sun Communities Operating LP                         | Sun Communities Operating LP                                                   | CUSIP: 866677AE7<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |   1283000 | PA      | $1012697.87   | 0.07%             | 2031-07-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes              | Santander Bank Auto Credit-Linked Notes, Series 2022-B, Class A2               | CUSIP: 80290CBD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    321713 | PA      | $320576.05    | 0.02%             | 2032-08-16      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140ML4R8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21369 | PA      | $20569.81     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Agree LP                                             | Agree LP                                                                       | CUSIP: 008513AC7<br>LEI: 549300DXY3G299V1BO77 | Long             | DBT              | CORP              | US        |    513000 | PA      | $386121.18    | 0.03%             | 2033-06-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                            | HCA, Inc.                                                                      | CUSIP: 404121AJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    310000 | PA      | $308243.01    | 0.02%             | 2028-09-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Starbucks Corp.                                      | Starbucks Corp.                                                                | CUSIP: 855244109<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | EC               | CORP              | US        |    115492 | NS      | $11456806.40  | 0.84%             |  |  |  | No            |                  1 | On Loan: No      |
| Centene Corp.                                        | Centene Corp.                                                                  | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   1025000 | PA      | $865151.25    | 0.06%             | 2028-07-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                        | MHC Commercial Mortgage Trust, Series 2021-MHC, Class C                        | CUSIP: 55316VAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    938912 | PA      | $897423.26    | 0.07%             | 2038-04-15      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                             | UnitedHealth Group, Inc.                                                       | CUSIP: 91324PEP3<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    598000 | PA      | $611294.04    | 0.04%             | 2028-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                 | American Express Co.                                                           | CUSIP: 025816CX5<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1137000 | PA      | $1092895.62   | 0.08%             | 2033-05-26      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| BX Trust                                             | BX Trust, Series 2021-LBA, Class AJV                                           | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1118000 | PA      | $1062644.80   | 0.08%             | 2036-02-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                              | CF Hippolyta Issuer LLC, Series 2022-1A, Class A2                              | CUSIP: 12530MAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2928658 | PA      | $2750293.70   | 0.20%             | 2062-08-15      | Fixed         | 6.11%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2022-R03, Class 1M1                | CUSIP: 20753XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1304053 | PA      | $1294984.80   | 0.09%             | 2042-03-25      | Floating      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140J73V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291481 | PA      | $288954.20    | 0.02%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Prudential Financial, Inc.                           | Prudential Financial, Inc.                                                     | CUSIP: 744320BH4<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |   1486000 | PA      | $1254020.54   | 0.09%             | 2050-10-01      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| Corning, Inc.                                        | Corning, Inc.                                                                  | CUSIP: 219350105<br>LEI: 549300X2937PB0CJ7I56 | Long             | EC               | CORP              | US        |     85781 | NS      | $2739845.14   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| PRPM LLC                                             | PRPM LLC, Series 2021-10, Class A1                                             | CUSIP: 69360HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    937365 | PA      | $866717.10    | 0.06%             | 2026-10-25      | Variable      | 2.49%                 | Yes           |                  2 | On Loan: No      |
| Athene Global Funding                                | Athene Global Funding                                                          | CUSIP: 04685A3E9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   1875000 | PA      | $1432414.67   | 0.10%             | 2031-10-04      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank NA                                    | Santander Bank NA, Series 2021-1A, Class B                                     | CUSIP: 80290CAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    208215 | PA      | $200268.26    | 0.01%             | 2031-12-15      | Fixed         | 1.83%                 | Yes           |                  2 | On Loan: No      |
| Cognizant Technology Solutions Corp.                 | Cognizant Technology Solutions Corp., Class A                                  | CUSIP: 192446102<br>LEI: 5493006IEVQEFQO40L83 | Long             | EC               | CORP              | US        |     90102 | NS      | $5152933.38   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Elmwood CLO II Ltd.                                  | Elmwood CLO II Ltd., Series 2019-2A, Class AR                                  | CUSIP: 29001LAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    485000 | PA      | $473526.84    | 0.03%             | 2034-04-20      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                   | Tricolor Auto Securitization Trust, Series 2022-1A, Class A                    | CUSIP: 89616BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    120653 | PA      | $119346.89    | 0.01%             | 2025-02-18      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                 | JPMorgan Chase & Co.                                                           | CUSIP: 46625H100<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EC               | CORP              | US        |    114317 | NS      | $15329909.70  | 1.12%             |  |  |  | No            |                  1 | On Loan: No      |
| OBX Trust                                            | OBX Trust, Series 2021-INV3, Class A3                                          | CUSIP: 67117JAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    402335 | PA      | $322952.33    | 0.02%             | 2051-10-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 31418DCZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49541 | PA      | $47153.26     | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3132DV4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38763 | PA      | $37819.77     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                                 | CUSIP: 617446448<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | EC               | CORP              | US        |    158766 | NS      | $13498285.32  | 0.99%             |  |  |  | No            |                  1 | On Loan: No      |
| GLP Capital LP                                       | GLP Capital LP                                                                 | CUSIP: 361841AH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    381000 | PA      | $373786.57    | 0.03%             | 2026-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                         | BX Commercial Mortgage Trust, Series 2020-VKNG, Class A                        | CUSIP: 12433YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    183076 | PA      | $178650.39    | 0.01%             | 2037-10-15      | Floating      | 5.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140H6B57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205629 | PA      | $192068.74    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Advanced Micro Devices, Inc.                         | Advanced Micro Devices, Inc.                                                   | CUSIP: 007903107<br>LEI: R2I72C950HOYXII45366 | Long             | EC               | CORP              | US        |     75205 | NS      | $4871027.85   | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3138WHND0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    266013 | PA      | $247082.88    | 0.02%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2020-3, Class D                 | CUSIP: 80285WAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1630000 | PA      | $1562703.98   | 0.11%             | 2026-11-16      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                  | RCKT Mortgage Trust, Series 2021-3, Class A21                                  | CUSIP: 74938DAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    591971 | PA      | $536982.61    | 0.04%             | 2051-07-25      | Floating      | 4.32%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp.                                                          | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1776000 | PA      | $1833669.74   | 0.13%             | 2028-11-10      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                          | Extended Stay America Trust, Series 2021-ESH, Class A                          | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    527144 | PA      | $511935.26    | 0.04%             | 2038-07-15      | Floating      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| VMC Finance LLC                                      | VMC Finance LLC, Series 2021-HT1, Class A                                      | CUSIP: 91835TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    595954 | PA      | $576361.52    | 0.04%             | 2037-01-18      | Floating      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Bonds                                                            | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15954000 | PA      | $12181128.20  | 0.89%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 15 Year                                                                  | CUSIP: 3133G62T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    205186 | PA      | $192558.04    | 0.01%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                         | BX Commercial Mortgage Trust, Series 2021-VOLT, Class B                        | CUSIP: 05609VAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    937000 | PA      | $883342.51    | 0.06%             | 2036-09-15      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Oak Street Investment Grade Net Lease Fund           | Oak Street Investment Grade Net Lease Fund, Series 2020-1A, Class A1           | CUSIP: 67181DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    807554 | PA      | $716729.88    | 0.05%             | 2050-11-20      | Fixed         | 1.85%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                    | CIFC Funding Ltd., Series 2021-4A, Class A                                     | CUSIP: 12547DAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1174946 | PA      | $1156514.62   | 0.08%             | 2033-07-15      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Series 2014-C04, Class 1M2                                               | CUSIP: 30711XAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |     43429 | PA      | $44559.71     | 0.00%             | 2024-11-25      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140LQQJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143682 | PA      | $122884.70    | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, 30 Year                                                                | CUSIP: 3617BA5W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33614 | PA      | $32738.82     | 0.00%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                        | UMBS, Single Family, 30 Year                                                   | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  16382155 | PA      | $14879955.95  | 1.09%             | 2053-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 31418C4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    370011 | PA      | $352445.13    | 0.03%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, 30 Year                                                                | CUSIP: 3617BN3S2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23995 | PA      | $23438.75     | 0.00%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                | Global Payments, Inc.                                                          | CUSIP: 37940XAG7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    651000 | PA      | $567900.68    | 0.04%             | 2027-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Life Mortgage Trust                                  | Life Mortgage Trust, Series 2021-BMR, Class A                                  | CUSIP: 53218CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1569803 | PA      | $1520062.70   | 0.11%             | 2038-03-15      | Floating      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140N7ZL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    927980 | PA      | $924239.63    | 0.07%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chevron Corp.                                        | Chevron Corp.                                                                  | CUSIP: 166764100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     14093 | NS      | $2529552.57   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| JBS USA LUX SA                                       | JBS USA LUX SA                                                                 | CUSIP: 46590XAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    795000 | PA      | $609646.27    | 0.04%             | 2032-05-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: —       |
| Citigroup, Inc.                                      | Citigroup, Inc., Series P                                                      | CUSIP: 172967JM4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    584000 | PA      | $526008.80    | 0.04%             | 2025-05-15      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| EQT Corp.                                            | EQT Corp.                                                                      | CUSIP: 26884LAQ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    459000 | PA      | $456533.64    | 0.03%             | 2028-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140XHL21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1050842 | PA      | $969631.18    | 0.07%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| General Dynamics Corp.                               | General Dynamics Corp.                                                         | CUSIP: 369550BL1<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | DBT              | CORP              | US        |    456000 | PA      | $435659.40    | 0.03%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Agency Credit Risk Debt Notes       | FHLMC Structured Agency Credit Risk Debt Notes, Series 2022-HQA2, Class M1A    | CUSIP: 35564KB24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    437387 | PA      | $439553.32    | 0.03%             | 2042-07-25      | Floating      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC Gold Pools, Other                                                        | CUSIP: 3132ADJC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    176604 | PA      | $164937.58    | 0.01%             | 2044-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3131Y8MN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174471 | PA      | $173699.40    | 0.01%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Series 2015-C01, Class 1M2                                               | CUSIP: 30711XAT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    254331 | PA      | $258783.10    | 0.02%             | 2025-02-25      | Floating      | 8.69%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers Issuer LLC                      | Vantage Data Centers Issuer LLC, Series 2020-1A, Class A2                      | CUSIP: 92212KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1091000 | PA      | $962178.97    | 0.07%             | 2045-09-15      | Fixed         | 1.65%                 | Yes           |                  2 | On Loan: No      |
| GE HealthCare Technologies, Inc.                     | GE HealthCare Technologies, Inc.                                               | CUSIP: 36267VAE3<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   1359000 | PA      | $1374900.97   | 0.10%             | 2027-11-15      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| ConocoPhillips                                       | ConocoPhillips                                                                 | CUSIP: 20825C104<br>LEI: WPTL2Z3FIYTHSP5V2253 | Long             | EC               | CORP              | US        |    121123 | NS      | $14292514.00  | 1.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Spruce Hill Mortgage Loan Trust                      | Spruce Hill Mortgage Loan Trust, Series 2020-SH1, Class A2                     | CUSIP: 85209FAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48419 | PA      | $47795.99     | 0.00%             | 2050-01-28      | Variable      | 2.62%                 | Yes           |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                 | BBCMS Mortgage Trust, Series 2017-DELC, Class A                                | CUSIP: 05552EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    495000 | PA      | $486262.36    | 0.04%             | 2036-08-15      | Floating      | 5.29%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                 | JPMorgan Chase & Co.                                                           | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1316000 | PA      | $1084325.78   | 0.08%             | 2031-05-13      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Charles Schwab Corp. (The)                           | Charles Schwab Corp. (The)                                                     | CUSIP: 808513105<br>LEI: 549300VSGCJ7E698NM85 | Long             | EC               | CORP              | US        |     78481 | NS      | $6534328.06   | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| AerCap Ireland Capital DAC                           | AerCap Ireland Capital DAC                                                     | CUSIP: 00774MAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1147000 | PA      | $1065291.22   | 0.08%             | 2027-10-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                              | FHLMC STACR REMIC Trust, Series 2021-DNA7, Class M1                            | CUSIP: 35564KMA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    755702 | PA      | $742646.18    | 0.05%             | 2041-11-25      | Floating      | 4.78%                 | Yes           |                  2 | On Loan: No      |
| Rocket Mortgage LLC                                  | Rocket Mortgage LLC                                                            | CUSIP: 77313LAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    850000 | PA      | $634831.00    | 0.05%             | 2033-10-15      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Med Trust                                            | Med Trust, Series 2021-MDLN, Class E                                           | CUSIP: 58403YAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1262000 | PA      | $1170232.91   | 0.09%             | 2038-11-15      | Floating      | 7.47%                 | Yes           |                  2 | On Loan: No      |
| TSMC Arizona Corp.                                   | TSMC Arizona Corp.                                                             | CUSIP: 872898AF8<br>LEI: 2549005GOBWLCSY63Q97 | Long             | DBT              | CORP              | US        |    916000 | PA      | $880563.95    | 0.06%             | 2027-04-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3131Y0KU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    161271 | PA      | $149909.23    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Edwards Lifesciences Corp.                           | Edwards Lifesciences Corp.                                                     | CUSIP: 28176E108<br>LEI: YA13X31F3V31L8TMPR58 | Long             | EC               | CORP              | US        |     44095 | NS      | $3289927.95   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140MNNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197518 | PA      | $182102.39    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                             | COLT Mortgage Loan Trust, Series 2020-3, Class A1                              | CUSIP: 12597QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72704 | PA      | $67937.91     | 0.00%             | 2065-04-27      | Variable      | 1.51%                 | Yes           |                  2 | On Loan: No      |
| Domino's Pizza Master Issuer LLC                     | Domino's Pizza Master Issuer LLC, Series 2018-1A, Class A2I                    | CUSIP: 25755TAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    888960 | PA      | $841472.65    | 0.06%             | 2048-07-25      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318411 | PA      | $302927.45    | 0.02%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Marvell Technology, Inc.                             | Marvell Technology, Inc.                                                       | CUSIP: 573874AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    793000 | PA      | $700387.39    | 0.05%             | 2026-04-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140MJ6R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    672501 | PA      | $596157.94    | 0.04%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140QPQ67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    262713 | PA      | $241760.23    | 0.02%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                        | UMBS, Single Family, 30 Year                                                   | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6989873 | PA      | $6132699.70   | 0.45%             | 2053-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3132DNWL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    405804 | PA      | $386341.44    | 0.03%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Foursight Capital Automobile Receivables Trust       | Foursight Capital Automobile Receivables Trust, Series 2021-1, Class B         | CUSIP: 35105WAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    424000 | PA      | $416690.28    | 0.03%             | 2026-01-15      | Fixed         | 0.87%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                               | CUSIP: 36179T7M1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    236639 | PA      | $235931.63    | 0.02%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140QPY35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96123 | PA      | $88694.24     | 0.01%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                    | CUSIP: 3140FXFH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    829054 | PA      | $729787.95    | 0.05%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3132DN2L6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    560797 | PA      | $547430.81    | 0.04%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSL Finance plc                                      | CSL Finance plc                                                                | CUSIP: 12661PAA7<br>LEI: 2549007CCNBNAF4HBC02 | Long             | DBT              | CORP              | GB        |    364000 | PA      | $348212.62    | 0.03%             | 2027-04-27      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| Trimble, Inc.                                        | Trimble, Inc.                                                                  | CUSIP: 896239AA8<br>LEI: 549300E2MI7NSZFQWS19 | Long             | DBT              | CORP              | US        |   1238000 | PA      | $1223793.12   | 0.09%             | 2024-12-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3133B9MB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    244834 | PA      | $225657.19    | 0.02%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140Q9ED1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275573 | PA      | $269361.38    | 0.02%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                        | Comcast Corp.                                                                  | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    365000 | PA      | $301024.55    | 0.02%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                | Wells Fargo Commercial Mortgage Trust, Series 2021-SAVE, Class A               | CUSIP: 95003LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    497235 | PA      | $464592.41    | 0.03%             | 2040-02-15      | Floating      | 5.47%                 | Yes           |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                          | L3Harris Technologies, Inc.                                                    | CUSIP: 502431109<br>LEI: 549300UTE50ZMDBG8A20 | Long             | EC               | CORP              | US        |     26703 | NS      | $5559831.63   | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp., Series X                                                | CUSIP: 060505EH3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1172000 | PA      | $1125542.94   | 0.08%             | 2024-09-05      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-71, Class P                                           | CUSIP: 3136B6B77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    779345 | PA      | $700001.13    | 0.05%             | 2049-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TJX Cos., Inc. (The)                                 | TJX Cos., Inc. (The)                                                           | CUSIP: 872540109<br>LEI: V167QI9I69W364E2DY52 | Long             | EC               | CORP              | US        |    143764 | NS      | $11443614.40  | 0.84%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 15 Year                                                                  | CUSIP: 3131XDAJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57816 | PA      | $54931.10     | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LL ABS Trust                                         | LL ABS Trust, Series 2022-2A, Class A                                          | CUSIP: 75526GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    382144 | PA      | $380747.38    | 0.03%             | 2030-05-15      | Fixed         | 6.63%                 | Yes           |                  2 | On Loan: No      |
| Westpac Banking Corp.                                | Westpac Banking Corp.                                                          | CUSIP: 961214EP4<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |   1218000 | PA      | $905286.31    | 0.07%             | 2035-11-15      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                    | CUSIP: 3140FXF72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13025 | PA      | $11466.01     | 0.00%             | 2057-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Mello Mortgage Capital Acceptance                    | Mello Mortgage Capital Acceptance, Series 2021-INV3, Class A11                 | CUSIP: 585491BC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    818197 | PA      | $747797.78    | 0.05%             | 2051-10-25      | Floating      | 4.47%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                    | CIFC Funding Ltd., Series 2021-7A, Class A1                                    | CUSIP: 12567HAC6<br>LEI: 54930089HD7KU5NUS092 | Long             | ABS-CBDO         | CORP              | KY        |    483000 | PA      | $470574.34    | 0.03%             | 2035-01-23      | Floating      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140XGFX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1656000 | PA      | $1416302.56   | 0.10%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140GQDG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34715 | PA      | $32578.52     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                | Global Payments, Inc.                                                          | CUSIP: 891906AC3<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    629000 | PA      | $612007.51    | 0.04%             | 2026-04-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3132A5DB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103693 | PA      | $93434.03     | 0.01%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                             | PRPM LLC, Series 2021-9, Class A1                                              | CUSIP: 69360XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    812037 | PA      | $731005.23    | 0.05%             | 2026-10-25      | Variable      | 2.36%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                        | UMBS, Single Family, 15 Year                                                   | CUSIP: 01F022410<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1116310 | PA      | $1021287.37   | 0.07%             | 2038-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Procter & Gamble Co. (The)                           | Procter & Gamble Co. (The)                                                     | CUSIP: 742718109<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | EC               | CORP              | US        |     84947 | NS      | $12874567.32  | 0.94%             |  |  |  | No            |                  1 | On Loan: No      |
| Med Trust                                            | Med Trust, Series 2021-MDLN, Class F                                           | CUSIP: 58403YAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    794000 | PA      | $730295.32    | 0.05%             | 2038-11-15      | Floating      | 8.32%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140MJWN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113661 | PA      | $97210.38     | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, 30 Year                                                                | CUSIP: 3617AUZW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    292769 | PA      | $279362.77    | 0.02%             | 2047-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                        | UMBS, Single Family, 30 Year                                                   | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7861942 | PA      | $7881334.27   | 0.58%             | 2053-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                            | CUSIP: 91282CFN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3811000 | PA      | $3791498.39   | 0.28%             | 2024-09-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Marvell Technology, Inc.                             | Marvell Technology, Inc.                                                       | CUSIP: 573874AN4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    883000 | PA      | $841602.15    | 0.06%             | 2028-06-22      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Bayview MSR Opportunity Master Fund Trust            | Bayview MSR Opportunity Master Fund Trust, Series 2022-2, Class A1             | CUSIP: 07336NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   1840203 | PA      | $1533766.68   | 0.11%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140MHU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118394 | PA      | $109793.83    | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INVESCO GOVT AND AGCY LEX                            | INVESCO GOVERNMENT & AGENCY PORTFOLIO OPEN-END FUND USD                        | CUSIP: 825252885<br>LEI: O37NHJVF7S22I1ONOU83 | Long             | STIV             | RF                | US        |   6410290 | NS      | $6410290.50   | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA or FHLMC                                        | UMBS, Single Family, 30 Year                                                   | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    250518 | PA      | $212067.07    | 0.02%             | 2053-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                    | CUSIP: 3138EQFX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120262 | PA      | $118019.75    | 0.01%             | 2045-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 15 Year                                                                  | CUSIP: 3132CWDV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154810 | PA      | $142643.48    | 0.01%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                | Global Payments, Inc.                                                          | CUSIP: 37940XAH5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    977000 | PA      | $770431.27    | 0.06%             | 2031-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                   | Energy Transfer LP                                                             | CUSIP: 29273VAP5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    880000 | PA      | $872898.40    | 0.06%             | 2028-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    258470 | PA      | $246691.05    | 0.02%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                         | BX Commercial Mortgage Trust, Series 2019-XL, Class B                          | CUSIP: 056054AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    411400 | PA      | $404148.05    | 0.03%             | 2036-10-15      | Floating      | 5.53%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3131Y0TA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118029 | PA      | $113919.23    | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140X6NZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72085 | PA      | $66992.47     | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                              | FHLMC STACR REMIC Trust, Series 2022-HQA1, Class M1A                           | CUSIP: 35564KTA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    575127 | PA      | $567771.17    | 0.04%             | 2042-03-25      | Floating      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                                 | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    685000 | PA      | $600905.58    | 0.04%             | 2027-05-04      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3133BPV54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1146969 | PA      | $1139878.17   | 0.08%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Estee Lauder Cos., Inc. (The)                        | Estee Lauder Cos., Inc. (The), Class A                                         | CUSIP: 518439104<br>LEI: 549300VFZ8XJ9NUPU221 | Long             | EC               | CORP              | US        |      9988 | NS      | $2478122.68   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Theorem Funding Trust                                | Theorem Funding Trust, Series 2021-1A, Class A                                 | CUSIP: 88339VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    515386 | PA      | $507096.44    | 0.04%             | 2027-12-15      | Fixed         | 1.21%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                      | Goldman Sachs Group, Inc. (The)                                                | CUSIP: 38141G104<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | EC               | CORP              | US        |     21532 | NS      | $7393658.16   | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| Spruce Hill Mortgage Loan Trust                      | Spruce Hill Mortgage Loan Trust, Series 2020-SH1, Class A1                     | CUSIP: 85209FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8647 | PA      | $8538.50      | 0.00%             | 2050-01-28      | Variable      | 2.52%                 | Yes           |                  2 | On Loan: No      |
| Walt Disney Co. (The)                                | Walt Disney Co. (The)                                                          | CUSIP: 254687106<br>LEI: 549300GZKULIZ0WOW665 | Long             | EC               | CORP              | US        |    119754 | NS      | $10404227.52  | 0.76%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3133KGF52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39436 | PA      | $38512.29     | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ACC Auto Trust                                       | ACC Auto Trust, Series 2022-A, Class A                                         | CUSIP: 00085YAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    422532 | PA      | $415248.56    | 0.03%             | 2026-07-15      | Fixed         | 4.58%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3133B42A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    371662 | PA      | $317867.53    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp.                                      | Microsoft Corp.                                                                | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |    238453 | NS      | $57185798.46  | 4.17%             |  |  |  | No            |                  1 | On Loan: No      |
| OWL Rock Core Income Corp.                           | OWL Rock Core Income Corp.                                                     | CUSIP: 69120VAF8<br>LEI: 5493003I42XBWPE05N35 | Long             | DBT              | CORP              | US        |    163000 | PA      | $146978.50    | 0.01%             | 2027-02-08      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                               | CUSIP: 3617B14A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51736 | PA      | $49154.85     | 0.00%             | 2047-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3132ACLS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    352534 | PA      | $329804.72    | 0.02%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3133A9JV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23950 | PA      | $20721.36     | 0.00%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust           | Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A            | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    842000 | PA      | $803314.39    | 0.06%             | 2026-03-20      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 31417EMM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44931 | PA      | $40882.33     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Regatta XXIII Funding Ltd.                           | Regatta XXIII Funding Ltd., Series 2021-4A, Class B                            | CUSIP: 75889FAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    343955 | PA      | $327745.43    | 0.02%             | 2035-01-20      | Floating      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140MRLZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115635 | PA      | $111854.80    | 0.01%             | 2052-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp.                                                          | CUSIP: 060505104<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | EC               | CORP              | US        |    474072 | NS      | $15701264.64  | 1.15%             |  |  |  | No            |                  1 | On Loan: No      |
| MHC Commercial Mortgage Trust                        | MHC Commercial Mortgage Trust, Series 2021-MHC, Class A                        | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1662744 | PA      | $1612556.57   | 0.12%             | 2038-04-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                              | FHLMC STACR REMIC Trust, Series 2022-DNA3, Class M1A                           | CUSIP: 35564KUW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    273365 | PA      | $271998.64    | 0.02%             | 2042-04-25      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140XFMH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    815241 | PA      | $697245.98    | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                               | Sequoia Mortgage Trust, Series 2020-2, Class A19                               | CUSIP: 81748KBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62762 | PA      | $52038.36     | 0.00%             | 2050-03-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Fox Corp.                                            | Fox Corp.                                                                      | CUSIP: 35137LAG0<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    429000 | PA      | $424025.00    | 0.03%             | 2024-01-25      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| NIKE, Inc.                                           | NIKE, Inc., Class B                                                            | CUSIP: 654106103<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | EC               | CORP              | US        |    134681 | NS      | $15759023.81  | 1.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Cold Storage Trust                                   | Cold Storage Trust, Series 2020-ICE5, Class B                                  | CUSIP: 193051AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    657621 | PA      | $636567.66    | 0.05%             | 2037-11-15      | Floating      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                                 | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1226000 | PA      | $921412.98    | 0.07%             | 2032-02-13      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| Ares Capital Corp.                                   | Ares Capital Corp.                                                             | CUSIP: 04010LBD4<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    970000 | PA      | $822096.66    | 0.06%             | 2027-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| TE Connectivity Ltd.                                 | TE Connectivity Ltd.                                                           | CUSIP: N/A<br>LEI: 894500ZRIX9K13RHXR17       | Long             | EC               | CORP              | CH        |     58306 | NS      | $6693528.80   | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-ACE, Class B | CUSIP: 46591PAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    840000 | PA      | $760919.12    | 0.06%             | 2037-01-10      | Fixed         | 3.64%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                         | Upstart Securitization Trust, Series 2021-4, Class A                           | CUSIP: 91682NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    326741 | PA      | $316292.53    | 0.02%             | 2031-09-20      | Fixed         | 0.84%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Trust                                   | Aqua Finance Trust, Series 2021-A, Class A                                     | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    321779 | PA      | $294206.39    | 0.02%             | 2046-07-17      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2018-27, Class EA                                          | CUSIP: 3136B1N26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    559229 | PA      | $502243.48    | 0.04%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3133USG21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    412358 | PA      | $391193.56    | 0.03%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 31334YMG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56111 | PA      | $49663.88     | 0.00%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Southwestern Energy Co.                              | Southwestern Energy Co.                                                        | CUSIP: 845467AT6<br>LEI: EFWMP121W54QV9MGOP87 | Long             | DBT              | CORP              | US        |    716000 | PA      | $611886.44    | 0.04%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                                 | CUSIP: 6174467Y9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    898000 | PA      | $871277.84    | 0.06%             | 2026-09-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Honeywell International, Inc.                        | Honeywell International, Inc.                                                  | CUSIP: 438516106<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | EC               | CORP              | US        |     51811 | NS      | $11103097.30  | 0.81%             |  |  |  | No            |                  1 | On Loan: No      |
| COLT Mortgage Loan Trust                             | COLT Mortgage Loan Trust, Series 2020-2, Class A1                              | CUSIP: 19688JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20215 | PA      | $19768.25     | 0.00%             | 2065-03-25      | Variable      | 1.85%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp.                                                          | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1835000 | PA      | $1754852.61   | 0.13%             | 2028-04-27      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                 | JPMorgan Chase & Co.                                                           | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2061000 | PA      | $1677452.45   | 0.12%             | 2033-01-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                      | Citigroup, Inc., Series M                                                      | CUSIP: 172967HQ7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    123000 | PA      | $116019.75    | 0.01%             | 2024-05-15      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                            | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8178100 | PA      | $6982691.75   | 0.51%             | 2028-08-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                                 | CUSIP: 6174468Q5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1231000 | PA      | $1143925.57   | 0.08%             | 2026-04-28      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3131XXYA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    213623 | PA      | $197965.70    | 0.01%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Hasbro, Inc.                                         | Hasbro, Inc.                                                                   | CUSIP: 418056107<br>LEI: 549300NUB6D2R1ITYR45 | Long             | EC               | CORP              | US        |     65963 | NS      | $4024402.63   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                    | CUSIP: 3138WQJB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70432 | PA      | $62909.93     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140HGGX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137342 | PA      | $118371.51    | 0.01%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3133A3FP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3068 | PA      | $2810.93      | 0.00%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XXXV Ltd.                       | Madison Park Funding XXXV Ltd., Series 2019-35A, Class A1R                     | CUSIP: 55819MAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    689000 | PA      | $677146.44    | 0.05%             | 2032-04-20      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140XJTC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    842171 | PA      | $856438.00    | 0.06%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 15 Year                                                                  | CUSIP: 3140K0HB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208539 | PA      | $192021.26    | 0.01%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3132DNP49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    404724 | PA      | $379730.23    | 0.03%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                            | HCA, Inc.                                                                      | CUSIP: 404119BS7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    286000 | PA      | $287804.73    | 0.02%             | 2026-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140QBCV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25943 | PA      | $25368.43     | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Royalty Pharma plc                                   | Royalty Pharma plc                                                             | CUSIP: 78081BAM5<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    899000 | PA      | $574509.09    | 0.04%             | 2050-09-02      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140X6ZM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71159 | PA      | $67785.70     | 0.00%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                             | Angel Oak Mortgage Trust, Series 2020-3, Class A2                              | CUSIP: 03465LAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    205945 | PA      | $184326.39    | 0.01%             | 2065-04-25      | Variable      | 2.41%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3131XUSX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90280 | PA      | $84181.82     | 0.01%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3133B7FX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    220972 | PA      | $196000.25    | 0.01%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Intuitive Surgical, Inc.                             | Intuitive Surgical, Inc.                                                       | CUSIP: 46120E602<br>LEI: 54930052SRG011710797 | Long             | EC               | CORP              | US        |     15994 | NS      | $4244007.90   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| AbbVie, Inc.                                         | AbbVie, Inc.                                                                   | CUSIP: 00287Y109<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | EC               | CORP              | US        |    113574 | NS      | $18354694.14  | 1.34%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140XHCF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    434580 | PA      | $400528.57    | 0.03%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VCAT LLC                                             | VCAT LLC, Series 2021-NPL1, Class A1                                           | CUSIP: 91790CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    174606 | PA      | $164820.58    | 0.01%             | 2050-12-26      | Variable      | 2.29%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140MUUU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158003 | PA      | $148283.32    | 0.01%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                                | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4824848 | PA      | $4679680.58   | 0.34%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes              | Santander Bank Auto Credit-Linked Notes, Series 2022-A, Class B                | CUSIP: 80290CAS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    818027 | PA      | $798615.33    | 0.06%             | 2032-05-15      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                    | CUSIP: 3138ENS83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202491 | PA      | $203533.29    | 0.01%             | 2044-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, 30 Year                                                                | CUSIP: 3617BN4U6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68162 | PA      | $65513.19     | 0.00%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3132DNHU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1192840 | PA      | $1165342.02   | 0.09%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Trimble, Inc.                                        | Trimble, Inc.                                                                  | CUSIP: 896239AC4<br>LEI: 549300E2MI7NSZFQWS19 | Long             | DBT              | CORP              | US        |    672000 | PA      | $644327.95    | 0.05%             | 2028-06-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp.                                  | Union Pacific Corp.                                                            | CUSIP: 907818108<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | EC               | CORP              | US        |     14678 | NS      | $3039373.46   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Equinix, Inc.                                        | Equinix, Inc.                                                                  | CUSIP: 29444UBH8<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    623000 | PA      | $495620.96    | 0.04%             | 2030-07-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA                                       | JBS USA LUX SA                                                                 | CUSIP: 46590XAT3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    551000 | PA      | $446310.00    | 0.03%             | 2032-01-15      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp.                                                          | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1551000 | PA      | $1263190.11   | 0.09%             | 2031-04-29      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                      | Citigroup, Inc.                                                                | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1375000 | PA      | $1262657.84   | 0.09%             | 2031-03-31      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                    | CUSIP: 3140JB2B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1022808 | PA      | $972449.88    | 0.07%             | 2050-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SMRT                                                 | SMRT, Series 2022-MINI, Class A                                                | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    660000 | PA      | $636844.36    | 0.05%             | 2039-01-15      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| Booking Holdings, Inc.                               | Booking Holdings, Inc.                                                         | CUSIP: 09857L108<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | EC               | CORP              | US        |      3015 | NS      | $6076069.20   | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA or FHLMC                                        | UMBS, Single Family, 30 Year                                                   | CUSIP: 01F0426C2<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -2205008 | PA      | $-2121782.69  | -0.15%            | 2052-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Trust                                 | Pagaya AI Debt Trust, Series 2022-1, Class A                                   | CUSIP: 69546MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    513539 | PA      | $493094.92    | 0.04%             | 2029-10-15      | Fixed         | 2.03%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140QBPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35570 | PA      | $34749.57     | 0.00%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                         | BX Commercial Mortgage Trust, Series 2021-VINO, Class A                        | CUSIP: 05608KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1119000 | PA      | $1077233.55   | 0.08%             | 2038-05-15      | Floating      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| AT&T, Inc.                                           | AT&T, Inc.                                                                     | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    642000 | PA      | $442937.18    | 0.03%             | 2057-12-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Oceanview Mortgage Trust                             | Oceanview Mortgage Trust, Series 2022-1, Class A1                              | CUSIP: 67648BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    990711 | PA      | $828459.09    | 0.06%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Hershey Co. (The)                                    | Hershey Co. (The)                                                              | CUSIP: 427866108<br>LEI: 21X2CX66SU2BR6QTAD08 | Long             | EC               | CORP              | US        |     32475 | NS      | $7520235.75   | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, Other                                                        | CUSIP: 3132H7F41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50445 | PA      | $47157.92     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC Gold Pools, Other                                                        | CUSIP: 3132ADHW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    330681 | PA      | $324522.29    | 0.02%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, 30 Year                                                                | CUSIP: 3622A2QL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    412652 | PA      | $399709.52    | 0.03%             | 2045-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                            | CIM Trust, Series 2021-NR1, Class A1                                           | CUSIP: 12565YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    516176 | PA      | $489976.56    | 0.04%             | 2055-07-25      | Variable      | 2.57%                 | Yes           |                  2 | On Loan: No      |
| Great Wolf Trust                                     | Great Wolf Trust, Series 2019-WOLF, Class A                                    | CUSIP: 39152TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    695000 | PA      | $674882.88    | 0.05%             | 2036-12-15      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                        | UMBS, Single Family, 30 Year                                                   | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2450000 | PA      | $2297266.85   | 0.17%             | 2053-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                        | UMBS, Single Family, 30 Year                                                   | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9986395 | PA      | $9838810.16   | 0.72%             | 2053-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2019-R02, Class 1M2                | CUSIP: 20753KAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19777 | PA      | $19752.49     | 0.00%             | 2031-08-25      | Floating      | 6.69%                 | Yes           |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                             | UnitedHealth Group, Inc.                                                       | CUSIP: 91324P102<br>LEI: 549300GHBMY8T5GXDE41 | Long             | EC               | CORP              | US        |     57436 | NS      | $30451418.48  | 2.22%             |  |  |  | No            |                  1 | On Loan: No      |
| GE HealthCare Technologies, Inc.                     | GE HealthCare Technologies, Inc.                                               | CUSIP: 36267VAJ2<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   2337000 | PA      | $2421595.31   | 0.18%             | 2032-11-22      | Fixed         | 5.91%                 | Yes           |                  2 | On Loan: No      |
| Thermo Fisher Scientific, Inc.                       | Thermo Fisher Scientific, Inc.                                                 | CUSIP: 883556102<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | EC               | CORP              | US        |     25682 | NS      | $14142820.58  | 1.03%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 15 Year                                                                  | CUSIP: 3133G7BU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    211646 | PA      | $194854.42    | 0.01%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Receivables Trust         | Arivo Acceptance Auto Loan Receivables Trust, Series 2022-1A, Class A          | CUSIP: 04047EAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    390346 | PA      | $379018.92    | 0.03%             | 2028-05-15      | Fixed         | 3.93%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140JXJ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37272 | PA      | $33603.41     | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                        | UMBS, Single Family, 30 Year                                                   | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2557749 | PA      | $2461210.06   | 0.18%             | 2053-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3133KGF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    229758 | PA      | $224579.72    | 0.02%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GCAT Trust                                           | GCAT Trust, Series 2022-INV1, Class A1                                         | CUSIP: 36168YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2442791 | PA      | $2036009.93   | 0.15%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140MSF75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99038 | PA      | $92945.72     | 0.01%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                              | FHLMC STACR REMIC Trust, Series 2022-HQA3, Class M1A                           | CUSIP: 35564KE39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    390634 | PA      | $390182.79    | 0.03%             | 2042-08-25      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| Diageo Capital plc                                   | Diageo Capital plc                                                             | CUSIP: 25243YBD0<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |    713000 | PA      | $585646.51    | 0.04%             | 2030-04-29      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UWM Mortgage Trust                                   | UWM Mortgage Trust, Series 2021-INV4, Class A3                                 | CUSIP: 918307AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    322870 | PA      | $257535.72    | 0.02%             | 2051-12-25      | Variable      | 2.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                              | FHLMC STACR REMIC Trust, Series 2022-DNA2, Class M1A                           | CUSIP: 35564KRE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    292974 | PA      | $288122.87    | 0.02%             | 2042-02-25      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| Parker-Hannifin Corp.                                | Parker-Hannifin Corp.                                                          | CUSIP: 701094104<br>LEI: 5493002CONDB4N2HKI23 | Long             | EC               | CORP              | US        |     16279 | NS      | $4737189.00   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2021-R03, Class 1M2                | CUSIP: 20754AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    612000 | PA      | $577231.48    | 0.04%             | 2041-12-25      | Floating      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3133BGQW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    877368 | PA      | $844932.10    | 0.06%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GXO Logistics, Inc.                                  | GXO Logistics, Inc.                                                            | CUSIP: 36262GAD3<br>LEI: 5493007CNWMXN78JRN66 | Long             | DBT              | CORP              | US        |    135000 | PA      | $99677.29     | 0.01%             | 2031-07-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140QQEC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2303255 | PA      | $2314768.95   | 0.17%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Agency Credit Risk Debt Notes       | FHLMC Structured Agency Credit Risk Debt Notes, Series 2021-DNA2, Class M2     | CUSIP: 35564KDB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    616401 | PA      | $609407.99    | 0.04%             | 2033-08-25      | Floating      | 6.23%                 | Yes           |                  2 | On Loan: No      |
| McDonald's Corp.                                     | McDonald's Corp.                                                               | CUSIP: 580135101<br>LEI: UE2136O97NLB5BYP9H04 | Long             | EC               | CORP              | US        |     63319 | NS      | $16686456.07  | 1.22%             |  |  |  | No            |                  1 | On Loan: No      |
| Tesla Auto Lease Trust                               | Tesla Auto Lease Trust, Series 2021-B, Class A3                                | CUSIP: 88161KAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    503000 | PA      | $473934.85    | 0.03%             | 2025-09-22      | Fixed         | 0.60%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                         | Upstart Securitization Trust, Series 2021-5, Class A                           | CUSIP: 91679JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    223079 | PA      | $213543.39    | 0.02%             | 2031-11-20      | Fixed         | 1.31%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140QNLZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1620472 | PA      | $1385911.59   | 0.10%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                            | OBX Trust, Series 2022-INV1, Class A1                                          | CUSIP: 67115NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1853763 | PA      | $1547385.93   | 0.11%             | 2051-12-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                              | FHLMC STACR REMIC Trust, Series 2020-HQA2, Class M2                            | CUSIP: 35565LAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    276511 | PA      | $280344.12    | 0.02%             | 2050-03-25      | Floating      | 7.49%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                              | FHLMC STACR REMIC Trust, Series 2022-DNA6, Class M1A                           | CUSIP: 35564KH36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    223727 | PA      | $223863.86    | 0.02%             | 2042-09-25      | Floating      | 6.08%                 | Yes           |                  2 | On Loan: No      |
| CSMC Trust                                           | CSMC Trust, Series 2021-WEHO, Class A                                          | CUSIP: 12657CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    725331 | PA      | $692624.20    | 0.05%             | 2023-04-15      | Floating      | 8.29%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 31346YPV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134904 | PA      | $119410.76    | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                               | CUSIP: 36179TSJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41676 | PA      | $41033.30     | 0.00%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Capital Trusts                | Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class A         | CUSIP: 12653VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1559000 | PA      | $1541799.09   | 0.11%             | 2036-05-15      | Floating      | 5.30%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3133BGBH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    355134 | PA      | $333288.71    | 0.02%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                        | UMBS, Single Family, 15 Year                                                   | CUSIP: 01F030413<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    404515 | PA      | $378845.93    | 0.03%             | 2038-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Accenture plc                                        | Accenture plc, Class A                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | IE        |     46122 | NS      | $12307194.48  | 0.90%             |  |  |  | No            |                  1 | On Loan: No      |
| Workday, Inc.                                        | Workday, Inc.                                                                  | CUSIP: 98138HAG6<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |    483000 | PA      | $451396.87    | 0.03%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Brown & Brown, Inc.                                  | Brown & Brown, Inc.                                                            | CUSIP: 115236AE1<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |    369000 | PA      | $319908.96    | 0.02%             | 2032-03-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                           | AerCap Ireland Capital DAC                                                     | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    757000 | PA      | $634195.89    | 0.05%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3133KGJ90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    201330 | PA      | $196937.28    | 0.01%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2019-R07, Class 1M2                | CUSIP: 20753WAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63667 | PA      | $63507.85     | 0.00%             | 2039-10-25      | Floating      | 6.49%                 | Yes           |                  2 | On Loan: No      |
| Diageo Capital plc                                   | Diageo Capital plc                                                             | CUSIP: 25243YBC2<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |    461000 | PA      | $422692.38    | 0.03%             | 2025-09-29      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| MSCI, Inc.                                           | MSCI, Inc.                                                                     | CUSIP: 55354GAK6<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |   1643000 | PA      | $1365743.75   | 0.10%             | 2030-09-01      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Rocket Mortgage LLC                                  | Rocket Mortgage LLC                                                            | CUSIP: 74841CAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    729000 | PA      | $556427.79    | 0.04%             | 2031-03-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Bonds                                                            | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8134000 | PA      | $5566388.54   | 0.41%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140MMPS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94709 | PA      | $91662.30     | 0.01%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3138EPHU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268166 | PA      | $264745.44    | 0.02%             | 2045-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Brown & Brown, Inc.                                  | Brown & Brown, Inc.                                                            | CUSIP: 115236AF8<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   1071000 | PA      | $869356.31    | 0.06%             | 2052-03-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                    | CUSIP: 31418AQR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13694 | PA      | $12231.39     | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Lam Research Corp.                                   | Lam Research Corp.                                                             | CUSIP: 512807108<br>LEI: 549300I4GMO6D34U1T02 | Long             | EC               | CORP              | US        |     34350 | NS      | $14437305.00  | 1.05%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140MRCJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33186 | PA      | $31952.99     | 0.00%             | 2052-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Libra Solutions LLC                                  | Libra Solutions LLC, Series 2022-2A, Class A                                   | CUSIP: 53161MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    382203 | PA      | $380173.04    | 0.03%             | 2034-10-15      | Fixed         | 6.85%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Single Family, 30 Year                                                | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4948685 | PA      | $4681938.21   | 0.34%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Libra Solutions LLC                                  | Libra Solutions LLC, Series 2022-1A, Class A                                   | CUSIP: 53161NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    361177 | PA      | $354317.57    | 0.03%             | 2034-05-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Barings CLO Ltd.                                     | Barings CLO Ltd., Series 2019-3A, Class A1R                                    | CUSIP: 06761KAL5<br>LEI: 549300T40QLO0VJIOB35 | Long             | ABS-CBDO         | CORP              | KY        |   1338000 | PA      | $1318960.26   | 0.10%             | 2031-04-20      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes               | NRZ Excess Spread-Collateralized Notes, Series 2021-FHT1, Class A              | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    605546 | PA      | $528491.49    | 0.04%             | 2026-07-25      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                 | JPMorgan Chase & Co.                                                           | CUSIP: 46647PDF0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1056000 | PA      | $993552.65    | 0.07%             | 2030-06-14      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                   | Energy Transfer LP                                                             | CUSIP: 29273VAQ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    880000 | PA      | $860956.80    | 0.06%             | 2033-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-ACE, Class A | CUSIP: 46591PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1235000 | PA      | $1144573.18   | 0.08%             | 2037-01-10      | Fixed         | 3.29%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 15 Year                                                                  | CUSIP: 3133G62Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93994 | PA      | $88230.40     | 0.01%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes               | NRZ Excess Spread-Collateralized Notes, Series 2020-PLS1, Class A              | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    238257 | PA      | $217131.97    | 0.02%             | 2025-12-25      | Fixed         | 3.84%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    922340 | PA      | $793137.78    | 0.06%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3133BAFN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68313 | PA      | $63054.77     | 0.00%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BXP Trust                                            | BXP Trust, Series 2017-GM, Class A                                             | CUSIP: 056083AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    396000 | PA      | $352349.36    | 0.03%             | 2039-06-13      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Texas Instruments, Inc.                              | Texas Instruments, Inc.                                                        | CUSIP: 882508104<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | EC               | CORP              | US        |     61440 | NS      | $10151116.80  | 0.74%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3133BPL22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22530 | PA      | $22438.71     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Illumina, Inc.                                       | Illumina, Inc.                                                                 | CUSIP: 452327AN9<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |    707000 | PA      | $711804.13    | 0.05%             | 2025-12-12      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Duquesne Light Holdings, Inc.                        | Duquesne Light Holdings, Inc.                                                  | CUSIP: 266233AJ4<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |   1005000 | PA      | $786080.83    | 0.06%             | 2032-01-07      | Fixed         | 2.77%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC Gold Pools, Other                                                        | CUSIP: 3133SKBZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    464975 | PA      | $441488.24    | 0.03%             | 2050-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 31329Q5T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25912 | PA      | $25425.02     | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                | Athene Global Funding                                                          | CUSIP: 04685A3G4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   1235000 | PA      | $1019802.72   | 0.07%             | 2029-01-07      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| HCA, Inc.                                            | HCA, Inc.                                                                      | CUSIP: 404121AH8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    220000 | PA      | $217552.94    | 0.02%             | 2026-09-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Agree LP                                             | Agree LP                                                                       | CUSIP: 008513AA1<br>LEI: 549300DXY3G299V1BO77 | Long             | DBT              | CORP              | US        |    473000 | PA      | $383975.15    | 0.03%             | 2030-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                            | CUSIP: 91282CFY2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6999000 | PA      | $6951975.47   | 0.51%             | 2029-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 15 Year                                                                  | CUSIP: 3131XC5X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160864 | PA      | $153068.67    | 0.01%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2022-R04, Class 1M1                | CUSIP: 20753YCH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    561616 | PA      | $559625.55    | 0.04%             | 2042-03-25      | Floating      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                           | UMBS, 30 Year                                                                  | CUSIP: 3132ADPD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33392 | PA      | $31839.12     | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC Gold Pools, Other                                                        | CUSIP: 3131Y6V71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122893 | PA      | $114799.57    | 0.01%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 15 Year                                                                  | CUSIP: 3140K1TP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20886 | PA      | $19602.11     | 0.00%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp.                                                          | CUSIP: 06051GJZ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1528000 | PA      | $1285802.95   | 0.09%             | 2029-06-14      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| Zoetis, Inc.                                         | Zoetis, Inc.                                                                   | CUSIP: 98978V103<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | EC               | CORP              | US        |     41086 | NS      | $6021153.30   | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| LAD Auto Receivables Trust                           | LAD Auto Receivables Trust, Series 2021-1A, Class A                            | CUSIP: 501683AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    363878 | PA      | $353617.95    | 0.03%             | 2026-08-17      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140MGJG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46423 | PA      | $39804.62     | 0.00%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                             | Angel Oak Mortgage Trust, Series 2019-6, Class A1                              | CUSIP: 03464VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85995 | PA      | $81785.41     | 0.01%             | 2059-11-25      | Variable      | 2.62%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                 | UMBS, 30 Year                                                                  | CUSIP: 3140MAYY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    527242 | PA      | $484179.68    | 0.04%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** Jack Benintende

**Name of Signer:** Jack Benintende

**Title:** Treasurer